Ignoring strips with > 512 components

Build improvements

CMakeLists.txt

@@ -55,7 +55,7 @@ else ()
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
-    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.13.0.0 ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0 ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
     COMMENT "Creating server runtime layout"

doc/user/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources /home/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
+set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)

doc/user/content/release_notes/_index.md

@@ -1,9 +1,22 @@
-+++
++++
 title = "Release notes"
 weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.16.2
+### User Visible Change
+  - Synthetic creation dialog has a "fractional" checkbox next to the tick settings.  Users may uncheck this box to enter integer tick sizes, so the synthetic security's prices will be displayed without decimals, or fractional units.
+## 2.16.1
+### Bug Fixes
+  - OrderBook's algo state parameters (in the panel on the right side) are sorted alphabetically
+## 2.16.0
+### Bug Fixes
+  - Solved an issue that could result in incorrect ladder levels
+  - Solved an issue that could lead to incorrect routing of orders in the event of certain MSGW changes
+### API Changes
+  - Add C# client side API samples for order entry, position monitoring and market data observation
+
 ## 2.15.10
 ### Bug Fixes
   - Solved an issue that could cause the user interface to fail when playing some alert sounds
@@ -715,3 +728,4 @@ insert_anchor_links = "right"
 - Start, Day and Total PnL columns are painted with a red or green background color based on if the pnl value is negative or positive respectively
 - Corrected cash per point values, used in pnl calculations, for a number of products
 - PnL report will now remember any customizations you make to filtering and/or sorting criteria
+

global.json

@@ -0,0 +1,6 @@
+{
+  "sdk": {
+    "version": "2.1.508",
+    "rollForward": "latestMajor"
+  }
+}

src/client/Directory.Build.Props

@@ -22,6 +22,10 @@
     <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
 </PropertyGroup>
 
+<PropertyGroup Condition="'$(VCTargetsPath)'==''">
+    <VCTargetsPath>C:\Program Files (x86)\Microsoft Visual Studio\2017\Professional\Common7\IDE\VC\VCTargets</VCTargetsPath>
+</PropertyGroup>
+
 <Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
 
 <ItemGroup>

src/client/spark/Modules/Market/MarketView/MarketViewRow.cs

@@ -1,370 +1,372 @@
-using bts.api;
-using bts.api.orderman;
-using bts.collections;
-using mbts.co2;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.spark;
-using mbts.ui.utility;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.ObjectModel;
-using System.Collections.Specialized;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Windows.Input;
-
-namespace mbts.spark {
-   partial class MarketViewVM {
-      public class Row : SecurityMDRow, IDisposable, IEquatable<Row>, DIYGrid.IRowVM, DIYGrid.IActionableRowVM {
-         readonly IBus _bus;
-         readonly OrdersModel _orders_model;
-         readonly AnimationManager _animation = new AnimationManager();
-         readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
-         readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
-         readonly string _security_text, _security_key_text;
-         readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
-         readonly Property<bool> _last_price_from_spread;
-         readonly CellProperty<int> _position;
-         readonly CellProperty<uint> _last_size;
-         readonly CellProperty<ulong> _volume;
-         readonly CellProperty<bool> _inside_bids, _inside_asks;
-         readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
-         readonly CellProperty<double> _working_best_bid, _working_best_ask;
-         readonly CellProperty<string> _working_bids_text, _working_asks_text;
-         readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
-         readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
-         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
-         double _raw_day_position;
-         string _bid_merged_size_text, _ask_merged_size_text;
-         ulong _bbo_ref, _last_ref;
-
-         public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
-            _bus = bus;
-            _orders_model = orders_model;
-            _security_text = smd.security.ToString();
-            _security_key_text = security_key.ToString();
-            string format_price(double price) => security.ContractSpec.format(price);
-            _position = new CellProperty<int>(this, nameof(position), 0);
-            _bid_price = backing(nameof(bid_price), double.NaN);
-            _ask_price = backing(nameof(ask_price), double.NaN);
-            _last_price = backing(nameof(last_price), double.NaN);
-            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
-            _day_change = backing(nameof(day_change), double.NaN);
-            _session_low = backing(nameof(session_low), double.NaN);
-            _session_high = backing(nameof(session_high), double.NaN);
-            _last_price_from_spread = backing(nameof(last_price_from_spread), false);
-            _settlement = backing(nameof(settlement), double.NaN);
-            _volume = new CellProperty<ulong>(this, nameof(volume), 0);
-            _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
-            _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
-            _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
-            _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
-            //
-            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
-            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
-            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
-            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
-            //
-            _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
-            _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
-            _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
-            _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
-            _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
-            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
-            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
-            //
-            default_command = new DelegateCommand(_show_ladder);
-            bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
-            bid_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidMergedSize));
-            bid_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidDirectSize));
-            bid_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidImpliedSize));
-            working_bids_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingBids));
-            ask_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Ask));
-            ask_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskMergedSize));
-            ask_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskDirectSize));
-            ask_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskImpliedSize));
-            working_asks_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingAsks));
-            _animation.AnimationsChanged += on_animations_changed;
-            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
-            _dispose = Disposable.Create(
-               _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
-               _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
-               _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
-                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
-                     raise_invalidated();
-               }),
-               _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
-               _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
-               _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
-               Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
-            );
-         }
-
-         public event Action invalidated;
-
-         #region Bound Properties
-         public bool inside_bids => _inside_bids.value;
-         public bool inside_asks => _inside_asks.value;
-         public int position => _position.value;
-         public double raw_day_position => _raw_day_position;
-         public double last_price => _last_price.Value;
-         public bool last_price_from_spread => _last_price_from_spread.Value;
-         public uint last_size => _last_size.value;
-         public double bid_price => _bid_price.Value;
-         public uint bid_direct_size => _bid_direct_size.Value;
-         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
-         public uint bid_merged_size => _bid_merged_size.Value;
-         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
-         public double ask_price => _ask_price.Value;
-         public uint ask_direct_size => _ask_direct_size.Value;
-         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
-         public uint ask_merged_size => _ask_merged_size.Value;
-         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
-         public ulong volume => _volume.value;
-         public double settlement => _settlement.Value;
-         public double day_change => _day_change.Value;
-         public double session_low => _session_low.Value;
-         public double session_high => _session_high.Value;
-         public int working_bid_volume => _working_bid_volume.value;
-         public int working_ask_volume => _working_ask_volume.value;
-         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
-         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
-         public double working_best_bid => _working_best_bid.value;
-         public double working_best_ask => _working_best_ask.value;
-         public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
-         public ICommand bid_price_click { get; }
-         public ICommand bid_merged_size_click { get; }
-         public ICommand bid_direct_size_click { get; }
-         public ICommand bid_implied_size_click { get; }
-         public ICommand working_bids_click { get; }
-         public ICommand ask_price_click { get; }
-         public ICommand ask_merged_size_click { get; }
-         public ICommand ask_direct_size_click { get; }
-         public ICommand ask_implied_size_click { get; }
-         public ICommand working_asks_click { get; }
-         public ICommand default_command { get; }
-         public string market_description {get;}
-         public string cleared_alias { get; }
-         public string product_description { get; }
-         public string hub_alias { get; }
-         public string strip_name{ get; }
-         public string mic_code { get; }
-
+using bts.api;
+using bts.api.orderman;
+using bts.collections;
+using mbts.co2;
+using mbts.spark.utilities;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.spark;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+
+namespace mbts.spark {
+   partial class MarketViewVM {
+      public class Row : SecurityMDRow, IDisposable, IEquatable<Row>, DIYGrid.IRowVM, DIYGrid.IActionableRowVM {
+         readonly IBus _bus;
+         readonly OrdersModel _orders_model;
+         readonly AnimationManager _animation = new AnimationManager();
+         readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
+         readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
+         readonly string _security_text, _security_key_text;
+         readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
+         readonly Property<bool> _last_price_from_spread;
+         readonly CellProperty<int> _position;
+         readonly CellProperty<uint> _last_size;
+         readonly CellProperty<ulong> _volume;
+         readonly CellProperty<bool> _inside_bids, _inside_asks;
+         readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
+         readonly CellProperty<double> _working_best_bid, _working_best_ask;
+         readonly CellProperty<string> _working_bids_text, _working_asks_text;
+         readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
+         readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
+         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
+         double _raw_day_position;
+         string _bid_merged_size_text, _ask_merged_size_text;
+         ulong _bbo_ref, _last_ref;
+
+         public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
+            _bus = bus;
+            _orders_model = orders_model;
+            _security_text = smd.security.ToString();
+            _security_key_text = security_key.ToString();
+            string format_price(double price) => security.ContractSpec.format(price);
+            _position = new CellProperty<int>(this, nameof(position), 0);
+            _bid_price = backing(nameof(bid_price), double.NaN);
+            _ask_price = backing(nameof(ask_price), double.NaN);
+            _last_price = backing(nameof(last_price), double.NaN);
+            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
+            _day_change = backing(nameof(day_change), double.NaN);
+            _session_low = backing(nameof(session_low), double.NaN);
+            _session_high = backing(nameof(session_high), double.NaN);
+            _last_price_from_spread = backing(nameof(last_price_from_spread), false);
+            _settlement = backing(nameof(settlement), double.NaN);
+            _volume = new CellProperty<ulong>(this, nameof(volume), 0);
+            _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
+            _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
+            _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
+            _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
+            //
+            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
+            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
+            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
+            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
+            //
+            _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
+            _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
+            _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
+            _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
+            _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
+            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
+            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
+            //
+            default_command = new DelegateCommand(_show_ladder);
+            bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
+            bid_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidMergedSize));
+            bid_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidDirectSize));
+            bid_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidImpliedSize));
+            working_bids_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingBids));
+            ask_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Ask));
+            ask_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskMergedSize));
+            ask_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskDirectSize));
+            ask_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskImpliedSize));
+            working_asks_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingAsks));
+            _animation.AnimationsChanged += on_animations_changed;
+            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
+            _dispose = Disposable.Create(
+               _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
+               _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
+               _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
+                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
+                     raise_invalidated();
+               }),
+               _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
+               _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
+               _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
+               Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
+            );
+         }
+
+         public event Action invalidated;
+
+         #region Bound Properties
+         public bool inside_bids => _inside_bids.value;
+         public bool inside_asks => _inside_asks.value;
+         public int position => _position.value;
+         public double raw_day_position => _raw_day_position;
+         public double last_price => _last_price.Value;
+         public bool last_price_from_spread => _last_price_from_spread.Value;
+         public uint last_size => _last_size.value;
+         public double bid_price => _bid_price.Value;
+         public uint bid_direct_size => _bid_direct_size.Value;
+         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
+         public uint bid_merged_size => _bid_merged_size.Value;
+         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
+         public double ask_price => _ask_price.Value;
+         public uint ask_direct_size => _ask_direct_size.Value;
+         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
+         public uint ask_merged_size => _ask_merged_size.Value;
+         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
+         public ulong volume => _volume.value;
+         public double settlement => _settlement.Value;
+         public double day_change => _day_change.Value;
+         public double session_low => _session_low.Value;
+         public double session_high => _session_high.Value;
+         public int working_bid_volume => _working_bid_volume.value;
+         public int working_ask_volume => _working_ask_volume.value;
+         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
+         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
+         public double working_best_bid => _working_best_bid.value;
+         public double working_best_ask => _working_best_ask.value;
+         // ice props
+         public string market_description => security.market_description();
+         public string cleared_alias => security.cleared_alias();
+         public string product_description => security.product_name();
+         public string hub_alias => security.hub_alias();
+         public string strip_name => security.strip_name();
+         public string mic_code => security.mic_code();
+         // animations
+         public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
          public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
-
-         public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
-         #endregion
-
-         public void raise_invalidated() => invalidated?.Invoke();
-
-         public void refresh() {
-            bool dirty = false;
-            if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
-               _bid_price.set(b.price);
-               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
-               _ask_price.set(a.price);
-               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
-               _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
-               _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
-            }
-            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
-               _last_price.set(ps.price);
-               _last_price_from_spread.set(from_spread);
-               _last_size.on_next_distinct(ps.size, ref dirty);
-               _volume.on_next_distinct(v, ref dirty);
-            }
-            dirty |= _settlement.set_new(md.md.settlement_price);
-            dirty |= _session_low.set_new(md.md.session_low);
-            dirty |= _session_high.set_new(md.md.session_high);
-            dirty |= _day_change.set_new(last_price - settlement);
-            _volume.on_next_distinct(md.md.total_volume, ref dirty);
-            if (dirty)
-               invalidated?.Invoke();
-
-            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
-               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
-                  merged.set(nps.size);
-                  direct.set(nps.direct_size);
-                  text = null;
-                  dirty = true;
-                  RaisePropertyChanged(text_prop);
-               }
-            }
-         }
-
-         public bool Equals(Row other) =>
-           other != null &&
-           other.security_key == security_key;
-
-         public override bool Equals(object obj) =>
-            Equals(obj as Row);
-
-         public override int GetHashCode() =>
-            security_key.GetHashCode();
-
-         #region Show Windows
-         void _show_ladder() => _bus.post(SparkTags.ShowLadderTag, md);
-
-         void _show_order_book(MarketViewView.Columns col) {
-            switch (col) {
-               case MarketViewView.Columns.WorkingBids: _show_order_book(Side.Buy); break;
-               case MarketViewView.Columns.WorkingAsks: _show_order_book(Side.Sell); break;
-            }
-         }
-
-         void _show_order_book(Side side) {
-            var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
-            ob_settings.filters = new bts.shell.orderbook.FilterStates {
-               statuses = new[] { OrderStatus.Working },
-               sides = new[] { side },
-               security_criteria = new SecurityCriteria(security)
-            };
-            _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
-         }
-
-         void _show_order_ticket(MarketViewView.Columns col) {
-            var order = _orders_model.factory.order(security);
-            switch (col) {
-               case MarketViewView.Columns.Bid:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, 0u));
-                  break;
-               case MarketViewView.Columns.BidMergedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_merged_size));
-                  break;
-               case MarketViewView.Columns.BidDirectSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_direct_size));
-                  break;
-               case MarketViewView.Columns.BidImpliedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_implied_size));
-                  break;
-               case MarketViewView.Columns.Ask:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, 0u));
-                  break;
-               case MarketViewView.Columns.AskMergedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, ask_merged_size));
-                  break;
-               case MarketViewView.Columns.AskDirectSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_direct_size));
-                  break;
-               case MarketViewView.Columns.AskImpliedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_implied_size));
-                  break;
-               case MarketViewView.Columns.Last:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, 0u));
-                  break;
-               case MarketViewView.Columns.LastSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, last_size));
-                  break;
-            }
-         }
-         #endregion
-
-         #region Callbacks
-         void _on_orders(ITableUpdateTransform<OrderRecordImmutable, uint> orders) {
-            foreach (var o in orders.removed)
-               _order_summarizer.remove_order(o);
-            foreach (var o in orders.added)
-               _order_summarizer.add_order(o);
-            bool dirty = false;
-            _refresh_orders(ref dirty);
-            if (dirty)
-               invalidated?.Invoke();
-         }
-
-         void _refresh_orders(ref bool dirty) {
-            _position.on_next_distinct(_order_summarizer.position, ref dirty);
-            _working_bid_volume.on_next_distinct(_order_summarizer.working_bid_qty, ref dirty);
-            _working_ask_volume.on_next_distinct(_order_summarizer.working_ask_qty, ref dirty);
-            _working_best_bid.on_next_distinct(_order_summarizer.best_working_bid, ref dirty);
-            _working_best_ask.on_next_distinct(_order_summarizer.best_working_ask, ref dirty);
-            _inside_bids.on_next_distinct(_order_summarizer.best_working_bid >= bid_price, ref dirty);
-            _inside_asks.on_next_distinct(_order_summarizer.best_working_ask <= ask_price, ref dirty);
-
-            RaisePropertyChanged(
-               // Implied might not be ever set, so it probably does not RaisePropertyChanged either
-               // This might be part of the filter funk?
-               //nameof(bid_implied_size),
-               //nameof(ask_implied_size),
-               nameof(working_bids_text), 
-               nameof(working_asks_text)
-            );
-         }
-         #endregion
-
-         class MyOrderSummarizer {
-            SortedSetMap<double, OrderRecordImmutable> _bids, _asks;
-            int _best_bid_working_qty, _best_ask_working_qty, _position, _working_bid_qty, _working_ask_qty;
-
-            public MyOrderSummarizer() {
-               _bids = new SortedSetMap<double, OrderRecordImmutable>(
-                  OrderDataHelper.CompareUtils.bid_price_comparer,
-                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
-               _asks = new SortedSetMap<double, OrderRecordImmutable>(
-                  OrderDataHelper.CompareUtils.ask_price_comparer,
-                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
-            }
-
-            // bid
-            public double best_working_bid => _bids.Count > 0 ? _bids.at_index(0).Key : double.NaN;
-            public int best_working_bid_qty => _best_bid_working_qty;
-            public int working_bid_qty => _working_bid_qty;
-            // ask
-            public double best_working_ask => _asks.Count > 0 ? _asks.at_index(0).Key : double.NaN;
-            public int best_working_ask_qty => _best_ask_working_qty;
-            public int working_ask_qty => _working_ask_qty;
-            // pos
-            public int position => _position;
-
-            public void add_order(OrderRecordImmutable o) {
-               switch (o.side()) {
-                  case Side.Buy:
-                     _position += (int)o.filled();
-                     if (o.is_active()) {
-                        _working_bid_qty += o.working_quantity();
-                        _bids.add(o.price(), o);
-                     }
-                     break;
-                  case Side.Sell:
-                     _position -= (int)o.filled();
-                     if (o.is_active()) {
-                        _working_ask_qty += o.working_quantity();
-                        _asks.add(o.price(), o);
-                     }
-                     break;
-                  default: return;
-               }
-               _refresh();
-            }
-
-            public void remove_order(OrderRecordImmutable o) {
-               switch (o.side()) {
-                  case Side.Buy:
-                     _position -= (int)o.filled();
-                     if (o.is_active()) {
-                        _working_bid_qty -= o.working_quantity();
-                        _bids.remove(o.price(), o);
-                     }
-                     break;
-                  case Side.Sell:
-                     _position += (int)o.filled();
-                     if (o.is_active()) {
-                        _working_ask_qty -= o.working_quantity();
-                        _asks.remove(o.price(), o);
-                     }
-                     break;
-                  default: return;
-               }
-               _refresh();
-            }
-
-            void _refresh() {
-               _best_bid_working_qty = _bids.Count > 0 ? _bids.at_index(0).Sum(o => o.working_quantity()) : 0;
-               _best_ask_working_qty = _asks.Count > 0 ? _asks.at_index(0).Sum(o => o.working_quantity()) : 0;
-            }
-         }
-      }
-   }
+         // commands
+         public ICommand bid_price_click { get; }
+         public ICommand bid_merged_size_click { get; }
+         public ICommand bid_direct_size_click { get; }
+         public ICommand bid_implied_size_click { get; }
+         public ICommand working_bids_click { get; }
+         public ICommand ask_price_click { get; }
+         public ICommand ask_merged_size_click { get; }
+         public ICommand ask_direct_size_click { get; }
+         public ICommand ask_implied_size_click { get; }
+         public ICommand working_asks_click { get; }
+         public ICommand default_command { get; }
+
+         public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
+         #endregion
+
+         public void raise_invalidated() => invalidated?.Invoke();
+
+         public void refresh() {
+            bool dirty = false;
+            if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
+               _bid_price.set(b.price);
+               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
+               _ask_price.set(a.price);
+               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
+               _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
+               _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
+            }
+            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
+               _last_price.set(ps.price);
+               _last_price_from_spread.set(from_spread);
+               _last_size.on_next_distinct(ps.size, ref dirty);
+               _volume.on_next_distinct(v, ref dirty);
+            }
+            dirty |= _settlement.set_new(md.md.settlement_price);
+            dirty |= _session_low.set_new(md.md.session_low);
+            dirty |= _session_high.set_new(md.md.session_high);
+            dirty |= _day_change.set_new(last_price - settlement);
+            _volume.on_next_distinct(md.md.total_volume, ref dirty);
+            if (dirty)
+               invalidated?.Invoke();
+
+            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
+               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
+                  merged.set(nps.size);
+                  direct.set(nps.direct_size);
+                  text = null;
+                  dirty = true;
+                  RaisePropertyChanged(text_prop);
+               }
+            }
+         }
+
+         public bool Equals(Row other) =>
+           other != null &&
+           other.security_key == security_key;
+
+         public override bool Equals(object obj) =>
+            Equals(obj as Row);
+
+         public override int GetHashCode() =>
+            security_key.GetHashCode();
+
+         #region Show Windows
+         void _show_ladder() => _bus.post(SparkTags.ShowLadderTag, md);
+
+         void _show_order_book(MarketViewView.Columns col) {
+            switch (col) {
+               case MarketViewView.Columns.WorkingBids: _show_order_book(Side.Buy); break;
+               case MarketViewView.Columns.WorkingAsks: _show_order_book(Side.Sell); break;
+            }
+         }
+
+         void _show_order_book(Side side) {
+            var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
+            ob_settings.filters = new bts.shell.orderbook.FilterStates {
+               statuses = new[] { OrderStatus.Working },
+               sides = new[] { side },
+               security_criteria = new SecurityCriteria(security)
+            };
+            _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
+         }
+
+         void _show_order_ticket(MarketViewView.Columns col) {
+            var order = _orders_model.factory.order(security);
+            switch (col) {
+               case MarketViewView.Columns.Bid:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, 0u));
+                  break;
+               case MarketViewView.Columns.BidMergedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_merged_size));
+                  break;
+               case MarketViewView.Columns.BidDirectSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_direct_size));
+                  break;
+               case MarketViewView.Columns.BidImpliedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_implied_size));
+                  break;
+               case MarketViewView.Columns.Ask:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, 0u));
+                  break;
+               case MarketViewView.Columns.AskMergedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, ask_merged_size));
+                  break;
+               case MarketViewView.Columns.AskDirectSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_direct_size));
+                  break;
+               case MarketViewView.Columns.AskImpliedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_implied_size));
+                  break;
+               case MarketViewView.Columns.Last:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, 0u));
+                  break;
+               case MarketViewView.Columns.LastSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, last_size));
+                  break;
+            }
+         }
+         #endregion
+
+         #region Callbacks
+         void _on_orders(ITableUpdateTransform<OrderRecordImmutable, uint> orders) {
+            foreach (var o in orders.removed)
+               _order_summarizer.remove_order(o);
+            foreach (var o in orders.added)
+               _order_summarizer.add_order(o);
+            bool dirty = false;
+            _refresh_orders(ref dirty);
+            if (dirty)
+               invalidated?.Invoke();
+         }
+
+         void _refresh_orders(ref bool dirty) {
+            _position.on_next_distinct(_order_summarizer.position, ref dirty);
+            _working_bid_volume.on_next_distinct(_order_summarizer.working_bid_qty, ref dirty);
+            _working_ask_volume.on_next_distinct(_order_summarizer.working_ask_qty, ref dirty);
+            _working_best_bid.on_next_distinct(_order_summarizer.best_working_bid, ref dirty);
+            _working_best_ask.on_next_distinct(_order_summarizer.best_working_ask, ref dirty);
+            _inside_bids.on_next_distinct(_order_summarizer.best_working_bid >= bid_price, ref dirty);
+            _inside_asks.on_next_distinct(_order_summarizer.best_working_ask <= ask_price, ref dirty);
+
+            RaisePropertyChanged(
+               // Implied might not be ever set, so it probably does not RaisePropertyChanged either
+               // This might be part of the filter funk?
+               //nameof(bid_implied_size),
+               //nameof(ask_implied_size),
+               nameof(working_bids_text), 
+               nameof(working_asks_text)
+            );
+         }
+         #endregion
+
+         class MyOrderSummarizer {
+            SortedSetMap<double, OrderRecordImmutable> _bids, _asks;
+            int _best_bid_working_qty, _best_ask_working_qty, _position, _working_bid_qty, _working_ask_qty;
+
+            public MyOrderSummarizer() {
+               _bids = new SortedSetMap<double, OrderRecordImmutable>(
+                  OrderDataHelper.CompareUtils.bid_price_comparer,
+                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
+               _asks = new SortedSetMap<double, OrderRecordImmutable>(
+                  OrderDataHelper.CompareUtils.ask_price_comparer,
+                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
+            }
+
+            // bid
+            public double best_working_bid => _bids.Count > 0 ? _bids.at_index(0).Key : double.NaN;
+            public int best_working_bid_qty => _best_bid_working_qty;
+            public int working_bid_qty => _working_bid_qty;
+            // ask
+            public double best_working_ask => _asks.Count > 0 ? _asks.at_index(0).Key : double.NaN;
+            public int best_working_ask_qty => _best_ask_working_qty;
+            public int working_ask_qty => _working_ask_qty;
+            // pos
+            public int position => _position;
+
+            public void add_order(OrderRecordImmutable o) {
+               switch (o.side()) {
+                  case Side.Buy:
+                     _position += (int)o.filled();
+                     if (o.is_active()) {
+                        _working_bid_qty += o.working_quantity();
+                        _bids.add(o.price(), o);
+                     }
+                     break;
+                  case Side.Sell:
+                     _position -= (int)o.filled();
+                     if (o.is_active()) {
+                        _working_ask_qty += o.working_quantity();
+                        _asks.add(o.price(), o);
+                     }
+                     break;
+                  default: return;
+               }
+               _refresh();
+            }
+
+            public void remove_order(OrderRecordImmutable o) {
+               switch (o.side()) {
+                  case Side.Buy:
+                     _position -= (int)o.filled();
+                     if (o.is_active()) {
+                        _working_bid_qty -= o.working_quantity();
+                        _bids.remove(o.price(), o);
+                     }
+                     break;
+                  case Side.Sell:
+                     _position += (int)o.filled();
+                     if (o.is_active()) {
+                        _working_ask_qty -= o.working_quantity();
+                        _asks.remove(o.price(), o);
+                     }
+                     break;
+                  default: return;
+               }
+               _refresh();
+            }
+
+            void _refresh() {
+               _best_bid_working_qty = _bids.Count > 0 ? _bids.at_index(0).Sum(o => o.working_quantity()) : 0;
+               _best_ask_working_qty = _asks.Count > 0 ? _asks.at_index(0).Sum(o => o.working_quantity()) : 0;
+            }
+         }
+      }
+   }
 }

src/client/spark/Modules/Market/MarketView/MarketViewVM.cs

@@ -1,286 +1,294 @@
-using bts.api;
-using bts.collections;
-using bts.utils;
-using mbts.persist;
-using mbts.spark.filters;
-using mbts.ui;
-using mbts.ui.settings;
-using mbts.ui.utility;
-using System;
-using System.Collections.Generic;
-using System.Collections.ObjectModel;
-using System.Reactive.Linq;
-using System.Windows.Data;
-using System.Windows.Media;
-using static bts.shell.MarketViewWindowFactory;
-using static mbts.ui.controls.DIYGrid;
-using static mbts.ui.spark.MarketViewView;
-
-namespace mbts.spark {
-   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
-      readonly IBus _bus;
-      readonly OrdersModel _orders_model;
-      IWindowSettingsManager<GridSettings> _settings_manager;
-
-      public MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IWindowSettingsManager<GridSettings> settings_manager )
-         : this(bus, orders_model, state, state.SelectManyInSeries(s => s.security_criteria.subscribe_md(bus)), settings_manager) { }
-
-      // securities_connectable should NOT be connected already.
-      MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IObservable<IEnumerable<SecurityMD>> securities_source, IWindowSettingsManager<GridSettings> settings_manager)
-         : base(RXCollection.Create(securities_source, SecurityDataHelper.EqualityComparer.MDComparer), null) {
-         _bus = bus;
-         _orders_model = orders_model;
-         security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
-         _settings_manager = settings_manager;
-         // Columns
-         const string merged_size_col_header = "Qty", direct_size_col_header = "Direct", implied_size_col_header = "Implied", working_col_header = "Working";
-         const double working_orders_col_width = 105;
-         IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
-         add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
-         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
-         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SessionLow, "Low", r => r.format_price(r.session_low), nameof(Row.session_low), DefaultColumnWidths.Price, session_low_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SessionHigh, "High", r => r.format_price(r.session_high), nameof(Row.session_high), DefaultColumnWidths.Price, session_high_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SecurityKey, "Security Key", r => r.security_key.ToString(), nameof(Row.security_key), DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
-
-         add_col(Columns.MarketDescription, "Market Description", r => r.security.market_description(), nameof(Row.market_description), DefaultColumnWidths.SecurityKey, market_description_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.ClearedAlias, "Cleared Alias", r => r.security.cleared_alias(), nameof(Row.cleared_alias), DefaultColumnWidths.SecurityKey, cleared_alias_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.ProductDescription, "Product Description", r => r.security.product_name(), nameof(Row.product_description), DefaultColumnWidths.SecurityKey, product_description_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.HubAlias, "Hub Alias", r => r.security.hub_alias(), nameof(Row.hub_alias), DefaultColumnWidths.SecurityKey, hub_alias_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.StripName, "Strip Name", r => r.security.strip_name(), nameof(Row.strip_name), DefaultColumnWidths.SecurityKey, strip_name_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.MicCode, "Mic Code", r => r.security.mic_code(), nameof(Row.mic_code), DefaultColumnWidths.SecurityKey, mic_code_filter, DataGridFilterKnownTemplates.Regex);
-         //
-         void add_col(Columns col_key, string header, Func<Row, string> get_text, string prop, double width, IDataGridColumnFilter filter, string filter_template, bool is_animatable = false, Color? font_color = null, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
-            columns.Add(new RenderTextColumn<Row, Columns>(col_key, get_text, filter, filter_template) {
-               // it's necessary to have this id populated for grid settings
-               id = bts.shell.MarketViewWindowFactory.col_id(col_key),
-               Header = header,
-               sort_member_path = prop,
-               Width = width,
-               padding = is_animatable ? AnimatableCellPadding : DefaultCellPadding,
-               font_color_override = font_color,
-               horizontal_alignment = h_alignment
-            });
-
-         void add_hl_price_col(Columns col_key, string header, string prop, string command_prop, IDataGridColumnFilter filter, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, price_binding(prop), prop, command_prop, filter, DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.MViewPrice, foreground, background, h_alignment);
-
-         void add_hl_merged_size_col(Columns col_key, string header, string sort_prop, string text_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.ImpliedDirectMergedSize, foreground, null, h_alignment);
-
-         void add_hl_working_orders_col(Columns col_key, string header, string text_prop, string sort_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.IntMinMax, working_orders_col_width, foreground, null, h_alignment);
-
-         void add_hl_col(
-            Columns col_key, string header, BindingBase binding, string prop, string command_prop,
-            IDataGridColumnFilter filter, string filter_template, double width, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
-         columns.Add(new HyperlinkElementColumn<Row, Columns>(
-            col_key, binding, new Binding(command_prop), filter, filter_template) {
-            // it's necessary to have this id populated for grid settings
-            id = bts.shell.MarketViewWindowFactory.col_id(col_key),
-            Header = header,
-            sort_member_path = prop,
-            font_color_override = foreground,
-            background_color_override = background,
-            Width = DefaultColumnWidths.Price,
-            horizontal_alignment = h_alignment
-         });
-
-         BindingBase price_binding(string prop) {
-            var mb = new MultiBinding { Converter = price_converter };
-            mb.Bindings.Add(new Binding(prop) { Mode = BindingMode.OneWay });
-            mb.Bindings.Add(new Binding($"{nameof(Row.security)}.{nameof(SecurityImmutable.ContractSpec)}") { Mode = BindingMode.OneWay });
-            return mb;
-         }
-         //
-         // make font-color immutable for Side, Size, (the font-color rule is hard-coded: MarketData.bid for Buy orders, MarketData.ask for Sells)
-         var col_settings_flags = new Dictionary<string, GridColumnSettingsFeatureFlags> {
-            { Columns.Bid.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor },
-            { Columns.Ask.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor},
-            { Columns.WorkingAsks.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor },
-            { Columns.WorkingBids.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor }
-         };
-         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, col_settings_flags, row_vms);
-         // this will initialize the immutable properties that correspond to the col_settings_flags above (e.g. Bid/Ask font_color_override, etc.)
-         grid_settings_manager.load_from(settings_manager.current_settings());
-         //
-         _resources.AddRange(
-            state.OnDispatcher().Subscribe(s => {
-               using (rows_view.DeferRefresh()) {
-                  if (s.grid != null) {
-                     // this means we are not using defaults,
-                     // Note: settings_manager in turn notifies grid_settings_manager of this update
-                     _settings_manager.instance_settings = s.grid;
-                  }
-                  if (s.filters is FilterStates filters) {
-                     security_filter.load_state(filters.security);
-                     bid_price_filter.load_state(filters.bid_price);
-                     bid_merged_size_filter.load_state(filters.bid_merged_size);
-                     bid_direct_size_filter.load_state(filters.bid_direct_size);
-                     bid_implied_size_filter.load_state(filters.bid_implied_size);
-                     ask_price_filter.load_state(filters.ask_price);
-                     ask_merged_size_filter.load_state(filters.ask_merged_size);
-                     ask_direct_size_filter.load_state(filters.ask_direct_size);
-                     ask_implied_size_filter.load_state(filters.ask_implied_size);
-                     last_price_filter.load_state(filters.last_price);
-                     last_price_from_spread_filter.load_state(filters.last_price_from_spread);
-                     last_size_filter.load_state(filters.last_size);
-                     day_change_filter.load_state(filters.day_change);
-                     settlement_filter.load_state(filters.settlement);
-                     session_low_filter.load_state(filters.session_low);
-                     session_high_filter.load_state(filters.session_high);
-                     position_filter.load_state(filters.position);
-                     raw_day_position_filter.load_state(filters.raw_day_position);
-                     working_bid_volume_filter.load_state(filters.working_bid_volume);
-                     working_ask_volume_filter.load_state(filters.working_ask_volume);
-                     volume_filter.load_state(filters.volume);
-                     security_key_filter.load_state(filters.security_key);
-                  }
-                  rows_view.set_sort_descriptions(s.sorting_criterion, columns);
-               }
-            }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
-            bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
-            ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
-            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
-            session_low_filter, session_high_filter, position_filter, raw_day_position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
-            settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
-            WorkLoop.Start("MarketView", _refresh)
-         );
-      }
-
-      public ObservableCollection<ColumnBase> columns { get; } = new ObservableCollection<ColumnBase>();
-
-      public SimpleGridSettingsManager<Row> grid_settings_manager { get; }
-
-      public GridSettings get_grid_save_state() {
-         if (_settings_manager.instance_settings == null)
-            return null;
-         else
-            return grid_settings_manager.create();
-      }
-
-      public static IComparer<Row> get_column_comparer(Columns column) {
-         switch (column) {
-            case Columns.Security: return wrap(r => r.security);
-            case Columns.SecurityKey: return wrap(r => r.security.Id);
-            case Columns.Volume: return wrap(r => r.volume);
-            case Columns.Last: return wrap(r => r.last_price);
-            case Columns.LastSize: return wrap(r => r.last_size);
-            case Columns.Position: return wrap(r => r.position);
-            case Columns.WorkingBids: return wrap(r => r.working_bid_volume);
-            case Columns.BidImpliedSize: return wrap(r => r.bid_implied_size);
-            case Columns.BidDirectSize: return wrap(r => r.bid_direct_size);
-            case Columns.BidMergedSize: return wrap(r => r.bid_merged_size);
-            case Columns.Bid: return wrap(r => r.bid_price);
-            case Columns.Ask: return wrap(r => r.ask_price);
-            case Columns.AskMergedSize: return wrap(r => r.ask_merged_size);
-            case Columns.AskDirectSize: return wrap(r => r.ask_direct_size);
-            case Columns.AskImpliedSize: return wrap(r => r.ask_implied_size);
-            case Columns.WorkingAsks: return wrap(r => r.working_ask_volume);
-            case Columns.Settlement: return wrap(r => r.settlement);
-            case Columns.DayChange: return wrap(r => r.day_change);
-            case Columns.SessionLow: return wrap(r => r.session_low);
-            case Columns.SessionHigh: return wrap(r => r.session_high);
-            case Columns.MarketDescription: return wrap(r => r.market_description);
-            case Columns.ClearedAlias: return wrap(r => r.security.cleared_alias());
-            case Columns.ProductDescription: return wrap(r => r.security.product_name());
-            case Columns.HubAlias: return wrap(r => r.security.hub_alias());
-            case Columns.StripName: return wrap(r => r.security.strip_name());
-            case Columns.MicCode: return wrap(r => r.security.mic_code());
-            default: return null;
-         }
-         IComparer<Row> wrap<T>(Func<Row, T> selector) =>
-            Comparer<T>.Default.wrap(selector);
-      }
-
-      #region Filters
-      public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_merged_size, nameof(Row.bid_merged_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_direct_size, nameof(Row.bid_direct_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_implied_size, nameof(Row.bid_implied_size));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> ask_price_filter { get; } = new DoubleMinMax<Row>(r => r.ask_price, nameof(Row.ask_price));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_merged_size, nameof(Row.ask_merged_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_direct_size, nameof(Row.ask_direct_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_implied_size, nameof(Row.ask_implied_size));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> last_price_filter { get; } = new DoubleMinMax<Row>(r => r.last_price, nameof(Row.last_price));
-      public IDataGridColumnPersistentFilter<Row, string> last_price_from_spread_filter { get; } = new RegexFilterVM<Row>(r => r.last_price_from_spread.ToString(), nameof(Row.last_price_from_spread));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> last_size_filter { get; } = new UIntMinMax<Row>(r => r.last_size, nameof(Row.last_size));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> day_change_filter { get; } = new DoubleMinMax<Row>(r => r.day_change, nameof(Row.day_change));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> settlement_filter { get; } = new DoubleMinMax<Row>(r => r.settlement, nameof(Row.settlement));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_low_filter { get; } = new DoubleMinMax<Row>(r => r.session_low, nameof(Row.session_low));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_high_filter { get; } = new DoubleMinMax<Row>(r => r.session_high, nameof(Row.session_high));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> position_filter { get; } = new IntMinMax<Row>(r => r.position, nameof(Row.position));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> raw_day_position_filter { get; } = new DoubleMinMax<Row>(r => r.raw_day_position, nameof(Row.raw_day_position));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_bid_volume_filter { get; } = new IntMinMax<Row>(r => r.working_bid_volume, nameof(Row.working_bid_volume));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_ask_volume_filter { get; } = new IntMinMax<Row>(r => r.working_ask_volume, nameof(Row.working_ask_volume));
-      public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
-      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
-      
-      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MarketDescription : "", nameof(Row.market_description));
-      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ClearedAlias : "", nameof(Row.cleared_alias));
-      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ProductName : "", nameof(Row.product_description));
-      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.HubAlias : "", nameof(Row.hub_alias));
-      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.StripName : "", nameof(Row.strip_name));
-      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MicCode : "", nameof(Row.mic_code));
-      
-
-      public FilterStates get_filter_states() {
-         return new FilterStates {
-            security = security_filter.get_state(),
-            bid_price = bid_price_filter.get_state(),
-            bid_merged_size = bid_merged_size_filter.get_state(),
-            bid_direct_size = bid_direct_size_filter.get_state(),
-            bid_implied_size = bid_implied_size_filter.get_state(),
-            ask_price = ask_price_filter.get_state(),
-            ask_merged_size = ask_merged_size_filter.get_state(),
-            ask_direct_size = ask_direct_size_filter.get_state(),
-            ask_implied_size = ask_implied_size_filter.get_state(),
-            last_price = last_price_filter.get_state(),
-            last_price_from_spread = last_price_from_spread_filter.get_state(),
-            last_size = last_size_filter.get_state(),
-            day_change = day_change_filter.get_state(),
-            settlement = settlement_filter.get_state(),
-            session_low = session_low_filter.get_state(),
-            session_high = session_high_filter.get_state(),
-            position = position_filter.get_state(),
-            raw_day_position = raw_day_position_filter.get_state(),
-            working_bid_volume = working_bid_volume_filter.get_state(),
-            working_ask_volume = working_ask_volume_filter.get_state(),
-            volume = volume_filter.get_state(),
-            security_key = security_key_filter.get_state(),
-            market_description = market_description_filter.get_state(),
-            cleared_alias = cleared_alias_filter.get_state(),
-            product_description = product_description_filter.get_state(),
-            hub_alias = hub_alias_filter.get_state(),
-            strip_name = strip_name_filter.get_state(),
-            mic_code = mic_code_filter.get_state(),
-         };
-      }
-      #endregion
-
-      protected override Row row_factory(SecurityMD smd) => new Row(_bus, smd, _orders_model);
-      protected override void on_row_removed(Row row) => row.Dispose();
-      protected override IEnumerable<SortingCriteria> get_default_sorting() { yield return new SortingCriteria(nameof(Row.security), true); }
-
-      void _refresh() {
-         foreach (var r in _row_vms) r.refresh();
-      }
-   }
-}
+using bts.api;
+using bts.collections;
+using bts.utils;
+using mbts.persist;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.settings;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Data;
+using System.Windows.Media;
+using static bts.shell.MarketViewWindowFactory;
+using static mbts.ui.controls.DIYGrid;
+using static mbts.ui.spark.MarketViewView;
+
+namespace mbts.spark {
+   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
+      static IReadOnlyList<Func<MarketViewVM, IDataGridColumnFilter<Row>>> _filter_getters =
+         ObjectSnapshot.property_delegates_of_type<MarketViewVM, IDataGridColumnFilter<Row>>();
+
+      readonly IBus _bus;
+      readonly OrdersModel _orders_model;
+      IWindowSettingsManager<GridSettings> _settings_manager;
+
+      public MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IWindowSettingsManager<GridSettings> settings_manager )
+         : this(bus, orders_model, state, state.SelectManyInSeries(s => s.security_criteria.subscribe_md(bus)), settings_manager) { }
+
+      // securities_connectable should NOT be connected already.
+      MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IObservable<IEnumerable<SecurityMD>> securities_source, IWindowSettingsManager<GridSettings> settings_manager)
+         : base(RXCollection.Create(securities_source, SecurityDataHelper.EqualityComparer.MDComparer), null) {
+         _bus = bus;
+         _orders_model = orders_model;
+         security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
+         _settings_manager = settings_manager;
+         // Columns
+         const string merged_size_col_header = "Qty", direct_size_col_header = "Direct", implied_size_col_header = "Implied", working_col_header = "Working";
+         const double working_orders_col_width = 105;
+         IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
+         add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
+         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
+         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SessionLow, "Low", r => r.format_price(r.session_low), nameof(Row.session_low), DefaultColumnWidths.Price, session_low_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SessionHigh, "High", r => r.format_price(r.session_high), nameof(Row.session_high), DefaultColumnWidths.Price, session_high_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SecurityKey, "Security Key", r => r.security_key.ToString(), nameof(Row.security_key), DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
+
+         add_col(Columns.MarketDescription, "Market Description", r => r.security.market_description(), nameof(Row.market_description), DefaultColumnWidths.SecurityKey, market_description_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.ClearedAlias, "Cleared Alias", r => r.security.cleared_alias(), nameof(Row.cleared_alias), DefaultColumnWidths.SecurityKey, cleared_alias_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.ProductDescription, "Product Description", r => r.security.product_name(), nameof(Row.product_description), DefaultColumnWidths.SecurityKey, product_description_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.HubAlias, "Hub Alias", r => r.security.hub_alias(), nameof(Row.hub_alias), DefaultColumnWidths.SecurityKey, hub_alias_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.StripName, "Strip Name", r => r.security.strip_name(), nameof(Row.strip_name), DefaultColumnWidths.SecurityKey, strip_name_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.MicCode, "Mic Code", r => r.security.mic_code(), nameof(Row.mic_code), DefaultColumnWidths.SecurityKey, mic_code_filter, DataGridFilterKnownTemplates.Regex);
+         //
+         void add_col(Columns col_key, string header, Func<Row, string> get_text, string prop, double width, IDataGridColumnFilter filter, string filter_template, bool is_animatable = false, Color? font_color = null, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+            columns.Add(new RenderTextColumn<Row, Columns>(col_key, get_text, filter, filter_template) {
+               // it's necessary to have this id populated for grid settings
+               id = bts.shell.MarketViewWindowFactory.col_id(col_key),
+               Header = header,
+               sort_member_path = prop,
+               Width = width,
+               padding = is_animatable ? AnimatableCellPadding : DefaultCellPadding,
+               font_color_override = font_color,
+               horizontal_alignment = h_alignment
+            });
+
+         void add_hl_price_col(Columns col_key, string header, string prop, string command_prop, IDataGridColumnFilter filter, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, price_binding(prop), prop, command_prop, filter, DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.MViewPrice, foreground, background, h_alignment);
+
+         void add_hl_merged_size_col(Columns col_key, string header, string sort_prop, string text_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.ImpliedDirectMergedSize, foreground, null, h_alignment);
+
+         void add_hl_working_orders_col(Columns col_key, string header, string text_prop, string sort_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.IntMinMax, working_orders_col_width, foreground, null, h_alignment);
+
+         void add_hl_col(
+            Columns col_key, string header, BindingBase binding, string prop, string command_prop,
+            IDataGridColumnFilter filter, string filter_template, double width, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+         columns.Add(new HyperlinkElementColumn<Row, Columns>(
+            col_key, binding, new Binding(command_prop), filter, filter_template) {
+            // it's necessary to have this id populated for grid settings
+            id = bts.shell.MarketViewWindowFactory.col_id(col_key),
+            Header = header,
+            sort_member_path = prop,
+            font_color_override = foreground,
+            background_color_override = background,
+            Width = DefaultColumnWidths.Price,
+            horizontal_alignment = h_alignment
+         });
+
+         BindingBase price_binding(string prop) {
+            var mb = new MultiBinding { Converter = price_converter };
+            mb.Bindings.Add(new Binding(prop) { Mode = BindingMode.OneWay });
+            mb.Bindings.Add(new Binding($"{nameof(Row.security)}.{nameof(SecurityImmutable.ContractSpec)}") { Mode = BindingMode.OneWay });
+            return mb;
+         }
+         //
+         // make font-color immutable for Side, Size, (the font-color rule is hard-coded: MarketData.bid for Buy orders, MarketData.ask for Sells)
+         var col_settings_flags = new Dictionary<string, GridColumnSettingsFeatureFlags> {
+            { Columns.Bid.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor },
+            { Columns.Ask.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor},
+            { Columns.WorkingAsks.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor },
+            { Columns.WorkingBids.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor }
+         };
+         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, col_settings_flags, row_vms);
+         // this will initialize the immutable properties that correspond to the col_settings_flags above (e.g. Bid/Ask font_color_override, etc.)
+         grid_settings_manager.load_from(settings_manager.current_settings());
+         //
+         _resources.AddRange(
+            state.OnDispatcher().Subscribe(s => {
+               using (rows_view.DeferRefresh()) {
+                  if (s.grid != null) {
+                     // this means we are not using defaults,
+                     // Note: settings_manager in turn notifies grid_settings_manager of this update
+                     _settings_manager.instance_settings = s.grid;
+                  }
+                  if (s.filters is FilterStates filters) {
+                     security_filter.load_state(filters.security);
+                     bid_price_filter.load_state(filters.bid_price);
+                     bid_merged_size_filter.load_state(filters.bid_merged_size);
+                     bid_direct_size_filter.load_state(filters.bid_direct_size);
+                     bid_implied_size_filter.load_state(filters.bid_implied_size);
+                     ask_price_filter.load_state(filters.ask_price);
+                     ask_merged_size_filter.load_state(filters.ask_merged_size);
+                     ask_direct_size_filter.load_state(filters.ask_direct_size);
+                     ask_implied_size_filter.load_state(filters.ask_implied_size);
+                     last_price_filter.load_state(filters.last_price);
+                     last_price_from_spread_filter.load_state(filters.last_price_from_spread);
+                     last_size_filter.load_state(filters.last_size);
+                     day_change_filter.load_state(filters.day_change);
+                     settlement_filter.load_state(filters.settlement);
+                     session_low_filter.load_state(filters.session_low);
+                     session_high_filter.load_state(filters.session_high);
+                     position_filter.load_state(filters.position);
+                     raw_day_position_filter.load_state(filters.raw_day_position);
+                     working_bid_volume_filter.load_state(filters.working_bid_volume);
+                     working_ask_volume_filter.load_state(filters.working_ask_volume);
+                     volume_filter.load_state(filters.volume);
+                     security_key_filter.load_state(filters.security_key);
+                     market_description_filter.load_state(filters.market_description);
+                     cleared_alias_filter.load_state(filters.cleared_alias);
+                     product_description_filter.load_state(filters.product_description);
+                     hub_alias_filter.load_state(filters.hub_alias);
+                     strip_name_filter.load_state(filters.strip_name);
+                     mic_code_filter.load_state(filters.mic_code);
+                  }
+                  rows_view.set_sort_descriptions(s.sorting_criterion, columns);
+               }
+            }), DataGridFilterHelper.hook_filters(rows_view, _filters),
+            settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
+            WorkLoop.Start("MarketView", _refresh)
+         );
+      }
+
+      public ObservableCollection<ColumnBase> columns { get; } = new ObservableCollection<ColumnBase>();
+
+      public SimpleGridSettingsManager<Row> grid_settings_manager { get; }
+
+      public GridSettings get_grid_save_state() {
+         if (_settings_manager.instance_settings == null)
+            return null;
+         else
+            return grid_settings_manager.create();
+      }
+
+      public static IComparer<Row> get_column_comparer(Columns column) {
+         switch (column) {
+            case Columns.Security: return wrap(r => r.security);
+            case Columns.SecurityKey: return wrap(r => r.security.Id);
+            case Columns.Volume: return wrap(r => r.volume);
+            case Columns.Last: return wrap(r => r.last_price);
+            case Columns.LastSize: return wrap(r => r.last_size);
+            case Columns.Position: return wrap(r => r.position);
+            case Columns.WorkingBids: return wrap(r => r.working_bid_volume);
+            case Columns.BidImpliedSize: return wrap(r => r.bid_implied_size);
+            case Columns.BidDirectSize: return wrap(r => r.bid_direct_size);
+            case Columns.BidMergedSize: return wrap(r => r.bid_merged_size);
+            case Columns.Bid: return wrap(r => r.bid_price);
+            case Columns.Ask: return wrap(r => r.ask_price);
+            case Columns.AskMergedSize: return wrap(r => r.ask_merged_size);
+            case Columns.AskDirectSize: return wrap(r => r.ask_direct_size);
+            case Columns.AskImpliedSize: return wrap(r => r.ask_implied_size);
+            case Columns.WorkingAsks: return wrap(r => r.working_ask_volume);
+            case Columns.Settlement: return wrap(r => r.settlement);
+            case Columns.DayChange: return wrap(r => r.day_change);
+            case Columns.SessionLow: return wrap(r => r.session_low);
+            case Columns.SessionHigh: return wrap(r => r.session_high);
+            case Columns.MarketDescription: return wrap(r => r.market_description);
+            case Columns.ClearedAlias: return wrap(r => r.security.cleared_alias());
+            case Columns.ProductDescription: return wrap(r => r.security.product_name());
+            case Columns.HubAlias: return wrap(r => r.security.hub_alias());
+            case Columns.StripName: return wrap(r => r.security.strip_name());
+            case Columns.MicCode: return wrap(r => r.security.mic_code());
+            default: return null;
+         }
+         IComparer<Row> wrap<T>(Func<Row, T> selector) =>
+            Comparer<T>.Default.wrap(selector);
+      }
+
+      #region Filters
+      public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_merged_size, nameof(Row.bid_merged_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_direct_size, nameof(Row.bid_direct_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_implied_size, nameof(Row.bid_implied_size));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> ask_price_filter { get; } = new DoubleMinMax<Row>(r => r.ask_price, nameof(Row.ask_price));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_merged_size, nameof(Row.ask_merged_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_direct_size, nameof(Row.ask_direct_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_implied_size, nameof(Row.ask_implied_size));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> last_price_filter { get; } = new DoubleMinMax<Row>(r => r.last_price, nameof(Row.last_price));
+      public IDataGridColumnPersistentFilter<Row, string> last_price_from_spread_filter { get; } = new RegexFilterVM<Row>(r => r.last_price_from_spread.ToString(), nameof(Row.last_price_from_spread));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> last_size_filter { get; } = new UIntMinMax<Row>(r => r.last_size, nameof(Row.last_size));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> day_change_filter { get; } = new DoubleMinMax<Row>(r => r.day_change, nameof(Row.day_change));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> settlement_filter { get; } = new DoubleMinMax<Row>(r => r.settlement, nameof(Row.settlement));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_low_filter { get; } = new DoubleMinMax<Row>(r => r.session_low, nameof(Row.session_low));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_high_filter { get; } = new DoubleMinMax<Row>(r => r.session_high, nameof(Row.session_high));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> position_filter { get; } = new IntMinMax<Row>(r => r.position, nameof(Row.position));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> raw_day_position_filter { get; } = new DoubleMinMax<Row>(r => r.raw_day_position, nameof(Row.raw_day_position));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_bid_volume_filter { get; } = new IntMinMax<Row>(r => r.working_bid_volume, nameof(Row.working_bid_volume));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_ask_volume_filter { get; } = new IntMinMax<Row>(r => r.working_ask_volume, nameof(Row.working_ask_volume));
+      public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
+      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
+      
+      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.market_description, nameof(Row.market_description));
+      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.cleared_alias, nameof(Row.cleared_alias));
+      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.product_description, nameof(Row.product_description));
+      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.hub_alias, nameof(Row.hub_alias));
+      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.strip_name, nameof(Row.strip_name));
+      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.mic_code, nameof(Row.mic_code));
+
+      IEnumerable<IDataGridColumnFilter<Row>> _filters =>
+         _filter_getters.Select(fn => fn(this));
+
+      public FilterStates get_filter_states() {
+         return new FilterStates {
+            security = security_filter.get_state(),
+            bid_price = bid_price_filter.get_state(),
+            bid_merged_size = bid_merged_size_filter.get_state(),
+            bid_direct_size = bid_direct_size_filter.get_state(),
+            bid_implied_size = bid_implied_size_filter.get_state(),
+            ask_price = ask_price_filter.get_state(),
+            ask_merged_size = ask_merged_size_filter.get_state(),
+            ask_direct_size = ask_direct_size_filter.get_state(),
+            ask_implied_size = ask_implied_size_filter.get_state(),
+            last_price = last_price_filter.get_state(),
+            last_price_from_spread = last_price_from_spread_filter.get_state(),
+            last_size = last_size_filter.get_state(),
+            day_change = day_change_filter.get_state(),
+            settlement = settlement_filter.get_state(),
+            session_low = session_low_filter.get_state(),
+            session_high = session_high_filter.get_state(),
+            position = position_filter.get_state(),
+            raw_day_position = raw_day_position_filter.get_state(),
+            working_bid_volume = working_bid_volume_filter.get_state(),
+            working_ask_volume = working_ask_volume_filter.get_state(),
+            volume = volume_filter.get_state(),
+            security_key = security_key_filter.get_state(),
+            market_description = market_description_filter.get_state(),
+            cleared_alias = cleared_alias_filter.get_state(),
+            product_description = product_description_filter.get_state(),
+            hub_alias = hub_alias_filter.get_state(),
+            strip_name = strip_name_filter.get_state(),
+            mic_code = mic_code_filter.get_state(),
+         };
+      }
+      #endregion
+
+      protected override Row row_factory(SecurityMD smd) => new Row(_bus, smd, _orders_model);
+      protected override void on_row_removed(Row row) => row.Dispose();
+      protected override IEnumerable<SortingCriteria> get_default_sorting() { yield return new SortingCriteria(nameof(Row.security), true); }
+
+      void _refresh() {
+         foreach (var r in _row_vms) r.refresh();
+      }
+   }
+}

src/client/spark/Modules/Spreader/ExecutionStrategyEditor.xaml

@@ -549,24 +549,48 @@
               </u:BindingUpdateGroupCollection>
             </u:Behavior.BindingUpdateGroups>
           </TextBox>
-          <TextBlock
+          <StackPanel
             x:Name="PART_TickFactors_Label"
             Grid.Column="2"
-            VerticalAlignment="Center"
-            Margin="{StaticResource Margin.LHeaderPanelItem}"
-            Text="Ticks"
             IsEnabled="True"
+            Orientation="Horizontal"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-          />
-          <c:TickFactorsPicker
+           >
+            <TextBlock
+              VerticalAlignment="Center"
+              Margin="{StaticResource Margin.LHeaderPanelItem}"
+              Text="Ticks ("
+            />
+            <CheckBox
+              Margin="1,0,0,0"
+              IsChecked="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}}"
+              VerticalAlignment="Center"
+              VerticalContentAlignment="Center"
+              Padding="0"
+            >
+              fractional
+            </CheckBox>
+            <TextBlock VerticalAlignment="Center" Margin="1,0,0,0">)</TextBlock>
+          </StackPanel>
+          <Grid
             x:Name="PART_TickFactors_Picker"
             Grid.Column="3"
-            Margin="{StaticResource Margin.LHeaderPanelItem}"
-            HorizontalAlignment="Stretch"
             IsEnabled="True"
-            SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-          />
+          >
+            <c:TickFactorsPicker
+              HorizontalAlignment="Stretch"
+              SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
+              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={x:Static cv:BooleanToVisibilityConverter.HiddenInstance}}"
+            />
+            <c:TickUpDownInt
+              HorizontalAlignment="Stretch"
+              Minimum="1"
+              Value="{Binding IntegerTickSize, RelativeSource={RelativeSource TemplatedParent}}"
+              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource FalseVisibilityConverter}}"
+            />
+          </Grid>
           <TextBlock
             x:Name="PART_Pricing_Label"
             Grid.Column="4"

src/client/spark/Modules/Spreader/ExecutionStrategyEditor.xaml.cs

@@ -52,6 +52,26 @@ namespace mbts.ui.spark {
       public TickFactors TickFactors { get => GetValue(TickFactorsProperty) as TickFactors; set => SetValue(TickFactorsProperty, value); }
       #endregion
 
+      #region UseFractionalTicks
+      public static readonly DependencyProperty UseFractionalTicksProperty = WPFHelper.create_dp<bool, ExecutionStrategyEditor>(
+         nameof(UseFractionalTicks), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, true);
+
+      public bool UseFractionalTicks {
+         get => (bool)GetValue(UseFractionalTicksProperty);
+         set => SetValue(UseFractionalTicksProperty, value);
+      }
+      #endregion
+
+      #region IntegerTickSize
+      public static readonly DependencyProperty IntegerTickSizeProperty = WPFHelper.create_dp<int, ExecutionStrategyEditor>(
+         nameof(IntegerTickSize), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, 1);
+
+      public int IntegerTickSize {
+         get => (int)GetValue(IntegerTickSizeProperty);
+         set => SetValue(IntegerTickSizeProperty, value);
+      }
+      #endregion
+
       #region IsNew
       public static readonly DependencyProperty IsNewProperty =
          DependencyProperty.Register(

src/client/spark/Modules/Spreader/SyntheticEditorView.xaml

@@ -36,6 +36,8 @@
       ContractPickerModel="{Binding contract_picker_model}"
       HedgePricing="{Binding hedge_pricing}"
       HedgePricingItemsSource="{Binding hedge_pricing_options}"
+      UseFractionalTicks="{Binding use_fractional_ticks}"
+      IntegerTickSize="{Binding integer_tick_size}"
     />
     <c:DialogSkirtOKCancel Grid.Row="1" OKCommand="{Binding commit}" CloseOnOK="False"/>
   </Grid>

src/client/spark/Modules/Spreader/VM/SyntheticEditorVM.cs

@@ -2,7 +2,6 @@
 using bts.collections;
 using bts.shell;
 using bts.spark;
-using bts.utils;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.ui.spark;
@@ -30,8 +29,16 @@ namespace mbts.spark {
       readonly Property<bool> _has_working_orders, _can_add_leg;
 
       Security _synthetic;
-      bool _set_name_automatically, _set_ticks_automatically, _set_quantities_automatically, _set_price_mults_automatically, _is_setting_quantities, _is_setting_price_mults;
+      bool
+         _set_name_automatically,
+         _set_ticks_automatically,
+         _set_quantities_automatically,
+         _set_price_mults_automatically,
+         _is_setting_quantities,
+         _is_setting_price_mults,
+         _use_fractional_ticks = true;
       TickFactors _tick_factors;
+      int _integer_tick_size = 1;
       ExecutionStrategyImmutable _strategy;
       HedgePricing _hedge_pricing;
 
@@ -44,6 +51,10 @@ namespace mbts.spark {
          : this(synthetic, strategy, false) {
          ExceptionAssert.InvalidOperation.That(synthetic.Id != 0, "This constructor may only be used for already-existing synthetic securities (id must be non-zero).");
          _tick_factors = TickUtils.get_regional_ticks(synthetic.ContractSpec).low_tick;
+         if (TickUtils.is_integer_tick(synthetic.ContractSpec)) {
+            _use_fractional_ticks = false;
+            _integer_tick_size = DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0;
+         }
          title = $"Edit '{synthetic.Synthetic.Name}'";
          icon = Icons.ModifySynthetic;
          _has_working_orders = backing(nameof(has_working_orders), security_has_working_orders.OnDispatcher());
@@ -131,14 +142,14 @@ namespace mbts.spark {
                flash_error_msg("Name already taken", SparkUtils.UI.MessageFlashDuration, nameof(name)).ignore();
                valid = false;
             }
-            if (_tick_factors == null || !_tick_factors.is_valid()) {
-               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, nameof(tick_factors)).ignore();
+            if (use_fractional_ticks ? (_tick_factors == null || !_tick_factors.is_valid()) : integer_tick_size == 0) {
+               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, use_fractional_ticks ? nameof(tick_factors) : nameof(integer_tick_size)).ignore();
                valid = false;
             }
             if (valid) {
                _synthetic.Synthetic.Legs.SetItems(leg_tuples.Select(l => l.leg));
                _synthetic.Symbol = _deduce_symbol(_synthetic);
-               _synthetic.ContractSpec = _tick_factors.to_spec();
+               _synthetic.ContractSpec = use_fractional_ticks ? _tick_factors.to_spec() : TickUtils.create_integer_tick_spec(integer_tick_size);
                uint? id = await model.create_synthetic(new SecurityImmutable(_synthetic));
                if (id.HasValue && id != 0) {
                   if (await model.save_strategy(id.Value, get_strategy())) {
@@ -295,6 +306,20 @@ namespace mbts.spark {
       public bool has_working_orders => _has_working_orders.Value;
       public bool is_new { get; }
       public bool is_new_leg_popup_open { get; set; }
+      public bool use_fractional_ticks {
+         get => _use_fractional_ticks;
+         set {
+            if (Set(ref _use_fractional_ticks, value))
+               _set_ticks_automatically = false;
+         }
+      }
+      public int integer_tick_size {
+         get => _integer_tick_size;
+         set {
+            if (Set(ref _integer_tick_size, value))
+               _set_ticks_automatically = false;
+         }
+      }
       public bool can_add_leg => _can_add_leg.Value;
       public SyntheticContract.Types.PriceCalc price_calc { get => _synthetic.Synthetic.PriceCalc; set => _synthetic.Synthetic.PriceCalc = value; }
       public ObservableCollection<LegSpreaderParamsTuple> leg_tuples { get; } = new ObservableCollection<LegSpreaderParamsTuple>();
@@ -323,6 +348,16 @@ namespace mbts.spark {
          _strategy = strategy;
          hedge_pricing = strategy.HedgePricing;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
+         if (synthetic.HasContractSpec) {
+            /// assign the fields <see cref="_use_fractional_ticks"/> and <see cref="_integer_tick_size"/>,
+            /// rather than the properties <see cref="use_fractional_ticks"/> and <see cref="integer_tick_size"/>
+            /// because the setters of the former flip <see cref="_set_ticks_automatically"/> to false if the value changes.
+            /// This behavior causes the ticks to be automatically deduced as legs are added/removed,
+            /// until the user explicitly enters a different value (as the properties are bound to tick input controls in the view).
+            Set(ref _use_fractional_ticks, !TickUtils.is_integer_tick(synthetic.ContractSpec), nameof(use_fractional_ticks));
+            if (!use_fractional_ticks)
+               Set(ref _integer_tick_size, DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0, nameof(integer_tick_size));
+         }
          RaisePropertyChanged(nameof(name), nameof(tick_factors));
       }
 

src/client/spark/Modules/Trading/Ladder/View/LadderGridHost.cs

@@ -534,13 +534,44 @@ namespace mbts.spark {
          _size_from_row(row, _price_list, _asks, _vm.security.ContractSpec);
 
       uint _volume_from_row(int row) {
-         if (_price_list.SafeTryGetAt(row, out var price)) {
-            var vapls = _volume_container.read_new_value();
-            if (vapls != null) {
-               return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
-            } 
+         const int max_tries = 3;
+         var errors = new List<string>(0);
+         int num_tries = 0;
+         for (; num_tries < max_tries; num_tries++) {
+            try {
+               var rv = impl();
+               if (num_tries > 0) {
+                  log_errors(true);
+               }
+               return rv;
+            } catch (Exception ex) {
+               errors.Add(ex.ToString());
+            }
+         }
+         log_errors(false);
+         return 0;
+
+         void log_errors(bool succeeded) {
+            // Only log distinct errors to avoid useless noise.
+            // It's likely that the exception will always be the same (IndexOutOfRange),
+            // however, this bug is not fully understood, so assume nothing.
+            var error_msg = string.Join("; ", errors.Distinct());
+            if (succeeded) {
+               Log.Ui.error($"Ladder '{security}' got volume for row at index '{row}' after {num_tries + 1} attempts (price_list array length is {_price_list.Length}).  The following exceptions were observed: {error_msg}");
+            } else {
+               Log.Ui.error($"Ladder '{security}' failed to get volume for row at index '{row}' after {max_tries} attempts (price_list array length is {_price_list.Length}): {error_msg}");
+            }
+         }
+
+         uint impl() {
+            if (_price_list.SafeTryGetAt(row, out var price)) {
+               var vapls = _volume_container.read_new_value();
+               if (vapls != null) {
+                  return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
+               }
+            }
+            return 0u;
          }
-         return 0u;
       }
 
 

src/client/spark/Modules/Trading/OrderBook/OrderBookVM.cs

@@ -51,6 +51,7 @@ namespace mbts.spark {
       readonly OrderParamsAggregator _selected_params_mon;
       readonly CommonValueMonitor<SecurityImmutable?> _selected_security_mon = new CommonValueMonitor<SecurityImmutable?>();
       readonly RightPanelModel _right_panel = new RightPanelModel();
+      readonly CustomStateSynchronizer _custom_state_sync;
       OrderBookFillsGridSettings _cached_fills_settings = OrderBookStartupData.DefaultFillsGrid;
       double
          _raw_right_panel_width = OrderBookStartupData.Default.right_panel_width,
@@ -124,6 +125,8 @@ namespace mbts.spark {
          _row_collection.CollectionChanged += _row_collection_CollectionChanged;
          _current_row = backing<OrderBookRowVM>(nameof(current_row));
          _columns.filter_changed += _on_filter_changed;
+         _custom_state_sync = new CustomStateSynchronizer(this);
+         // commands
          collapse_all_rows_command = new DelegateCommand(_row_collection.collapse_all);
          expand_all_rows_command = new DelegateCommand(_row_collection.expand_all);
          var modify_selected_orders_async_cmd = new AsyncCommand(_modify_selected_orders_async, () => _selected_params_mon.all_active && order_mod_vm.is_dirty);
@@ -188,56 +191,7 @@ namespace mbts.spark {
                security_plurality = p;
                RaisePropertyChanged(nameof(security_plurality));
             }),
-            Observable.Create<OrderBookRowVM>(o => {
-               OrderBookRowVM last_fired = null;
-               selected_order_changed += on_selected_order_changed;
-               var sub = _current_row.Subscribe(ch => notify());
-               return Disposable.Create(dispose);
-               // local methods
-               void on_selected_order_changed(OrderRecordImmutable? _) =>
-                  notify();
-
-               void notify() {
-                  var cr = current_row_if_distinct_root_selected();
-                  if (!cr.safe_equals(last_fired))
-                     o.OnNext(last_fired = cr);
-               }
-
-               void dispose() {
-                  Disposable.dispose(ref sub);
-                  selected_order_changed -= on_selected_order_changed;
-               }
-            })
-            .SubscribeEach(r => {
-               if (r == null) {
-                  current_algo_custom_state.Clear();
-                  return Disposable.empty;
-               }
-               r.updated += on_updated;
-               refresh_custom_state();
-               return Disposable.Create(() => r.updated -= on_updated);
-               void on_updated((OrderSecurityRootPair oldval, OrderSecurityRootPair newval) _) =>
-                  refresh_custom_state();
-
-               void refresh_custom_state() {
-                  current_algo_custom_state.Clear();
-                  var dcs = r.order.dynamic_custom_state();
-                  // while dcs is not expected to be null, best to play it safe and double check.
-                  if (dcs.is_null_or_empty()) {
-                     var child_rows = _row_collection.get_descendent_rows(r.order_key);
-                     if (_row_collection.filter != null) {
-                        child_rows = child_rows.Where(cr => _row_collection.filter(cr.order_tuple));
-                     }
-                     foreach (var dr in child_rows) {
-                        dcs = dr.order.dynamic_custom_state();
-                        if (!dcs.is_null_or_empty())
-                           break;
-                     }
-                  }
-                  foreach (var p in dcs.empty_if_null().OrderBy(kv => kv.Key))
-                     current_algo_custom_state.Add(new NamedValueVM(p.Key, DynamicOrderHelper.fmt_param(p.Value)));
-               }
-            }),
+            _current_row.Subscribe(_ => _custom_state_sync.sync()),
             orders_source.OnDispatcher().Subscribe(t => {
                if (_selected_rows.Count == 0) {
                   _cached_orders = t.state;
@@ -257,6 +211,8 @@ namespace mbts.spark {
                      }
                   }
                }
+               _custom_state_sync.sync(true);
+               orders_changed?.Invoke();
             }),
             model.on_orders_can_attach.OnDispatcher().Subscribe(table => {
                _cached_attachable = new MappedDictionary<uint, KeyValuePair<uint, bool>, bool>(table.state, kv => kv.Value);
@@ -402,15 +358,6 @@ namespace mbts.spark {
          }
          void on_end_attaching() => Disposable.dispose(ref attach_vm_hooks);
 
-         // the output grid (custom state) in the right panel
-         // will only display info for the 'current_row'
-         // if all selected rows are of the same root order.
-         OrderBookRowVM current_row_if_distinct_root_selected() =>
-            current_row != null &&
-            selected_rows.Select(r => r.order_tuple.root.order.Key).Distinct().TryGetSingle(out uint droot) &&
-            current_row.order_tuple.root.order.Key == droot ?
-            current_row : null;
-
          IDisposable connect_order_mod_vm() =>
             Disposable.Create(
                _selected_params_mon.subscribe_algos().OnDispatcher().Subscribe(order_mod_vm.algo_vm.load_many),
@@ -434,7 +381,7 @@ namespace mbts.spark {
       }
 
       public event Action<OrderRecordImmutable?> selected_order_changed;
-      public event Action begin_attaching, end_attaching;
+      public event Action begin_attaching, end_attaching, orders_changed;
       public event Action<(IEnumerable, bool)> request_selection;
 
       public ObservableAppendCollection<DIYGrid.ColumnBase> columns { get; }
@@ -534,6 +481,28 @@ namespace mbts.spark {
       public IObservable<bool> subscribe_show_fills() => _show_fills.observe_current(true);
       public IObservable<bool> subscribe_show_ladder() => _show_ladder.observe_current(true);
       public IObservable<bool> subscribe_show_order_params() => _show_order_params.observe_current(true);
+      public IObservable<OrderSecurityAlgo?> subscribe_single_selected_order() =>
+         Observable.Create<OrderSecurityAlgo?>(o => {
+            OrderSecurityAlgo? last_fired = null;
+            orders_changed += notify;
+            _current_row.Changed += on_current_row_changed;
+            notify();
+            return Disposable.Create(dispose);
+            // local methods
+            void notify() {
+               var next = current_row == null ? (OrderSecurityAlgo?)null : current_row.order_tuple.order;
+               if (next != last_fired)
+                  o.OnNext(last_fired = next);
+            }
+
+            void on_current_row_changed(OrderBookRowVM oldval, OrderBookRowVM newval) =>
+               notify();
+
+            void dispose() {
+               orders_changed -= notify;
+               _current_row.Changed -= on_current_row_changed;
+            }
+         });
 
       public void row_selection_changed(SelectionChangedEventArgs e) {
          try {
@@ -563,6 +532,7 @@ namespace mbts.spark {
             _can_attach_selected_orders.refresh();
             _can_detach_selected_orders.refresh();
             selected_order_changed?.Invoke(current_order);
+            _custom_state_sync.sync();
          } catch (Exception ex) {
             // [John]I observed a strange null-reference exception in this callback when the launcher was shutting down (see https://bluetradesys.atlassian.net/browse/SPARK-2089)
             Log.Ui.error($"[{nameof(OrderBookVM)}] Error handling selection change: {ex}");
@@ -783,6 +753,45 @@ namespace mbts.spark {
          }
       }
 
+      class CustomStateSynchronizer {
+         readonly OrderBookVM _vm;
+         OrderBookRowVM _synced_row;
+
+         public CustomStateSynchronizer(OrderBookVM vm) =>
+            _vm = vm;
+
+         public void sync(bool force_refresh = false) {
+            var row = _vm.current_row != null &&
+               _vm.selected_rows.Select(r => r.order_tuple.root.order.Key).Distinct().TryGetSingle(out uint droot) &&
+               _vm.current_row.order_tuple.root.order.Key == droot ?
+                  _vm.current_row : null;
+            if (force_refresh || row != _synced_row) {
+               _synced_row = row;
+               _refresh();
+            }
+         }
+
+         void _refresh() {
+            _vm.current_algo_custom_state.Clear();
+            if (_synced_row == null)
+               return;
+            var dcs = _synced_row.order.dynamic_custom_state();
+            // while dcs is not expected to be null, best to play it safe and double check.
+            if (dcs.is_null_or_empty()) {
+               var descendent_rows = _vm._row_collection.get_descendent_rows(_synced_row.order_key);
+               if (_vm._row_collection.filter != null)
+                  descendent_rows = descendent_rows.Where(child => _vm._row_collection.filter(child.order_tuple));
+               foreach (var dr in descendent_rows) {
+                  dcs = dr.order.dynamic_custom_state();
+                  if (!dcs.is_null_or_empty())
+                     break;
+               }
+            }
+            foreach (var p in dcs.empty_if_null().OrderBy(kv => kv.Key))
+               _vm.current_algo_custom_state.Add(new NamedValueVM(p.Key, DynamicOrderHelper.fmt_param(p.Value)));
+         }
+      }
+
       public class OrderParamsVM : DisposableViewModelBase {
          readonly SelectorProperty<AccountTuple, AccountTuple?> _accounts;
          readonly OrderBookVM _owner;

src/client/spark/Modules/Trading/OrderBook/OrderBookWindow.cs

@@ -1,4 +1,5 @@
-using bts.api;
+using bts;
+using bts.api;
 using bts.api.orderman;
 using bts.shell;
 using bts.shell.fills;
@@ -6,9 +7,11 @@ using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
 using mbts.persist;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.extensions;
 using mbts.ui.spark;
+using mbts.ui.utilities;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
@@ -24,7 +27,10 @@ namespace mbts.spark {
       const string _window_type = "OrderBook", _default_title = "Order Book";
       readonly INotificationService _notification_service;
       readonly IWindowSettingsManager<OrderBookGridSettings> _settings_manager;
+      readonly bool _can_edit_specific_algo_params;
       IDisposable _attachment_exit_sub;
+      // initialized in thread_init
+      List<IDisposable> _thread_init_resources;
       OrderBookStartupData _state;
       OrdersModel _model;
       OrderBookVM _vm;
@@ -34,13 +40,14 @@ namespace mbts.spark {
       SparkCommand[] _commands;
 
       public OrderBookWindow(OrdersModel model, OrderBookWindowFactory factory, IBus bus, INotificationService notification_service,
-         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager)
+         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager, bool can_edit_specific_algo_params)
          : base(_default_title, bus, factory, SparkCommands.ShowOrders.icon) {
          _model = model;
          _factory = factory;
          _notification_service = notification_service;
          _state = state;
          _settings_manager = settings_manager;
+         _can_edit_specific_algo_params = can_edit_specific_algo_params;
          thread_id = config.Configuration.get<bts.config.MultiThreadedWindows>().order_book ? "OrderBook" : null;
       }
 
@@ -64,12 +71,14 @@ namespace mbts.spark {
       public string thread_id { get; }
 
       public override void Dispose() {
-         _commands.OfType<IDisposable>().DisposeAll();
+         Disposable.dispose(_thread_init_resources);
          Disposable.dispose(ref _attachment_exit_sub);
          Disposable.dispose(ref _vm);
       }
 
       public void thread_init() {
+         Log.assert(_thread_init_resources == null, $"{nameof(_thread_init_resources)} must be initialized in thread_init.");
+         _thread_init_resources = new List<IDisposable>();
          _menu_display_vm = new SparkMenuDisplayVM();
          if (_state != null)
             _menu_display_vm.load_from(_state.menu_display);
@@ -147,6 +156,15 @@ namespace mbts.spark {
             can_execute: () => _vm.selected_orders.Any(x => passes_recreate_search_criteria(x))
          );
          recreate_selected_orders_command.group = CommandGroups.Modify;
+         ICommand edit_algo_params_cmd;
+         if (_can_edit_specific_algo_params) {
+            _thread_init_resources.Add(CommandHelper.bind_param_source(
+               new DialogCommand<OrderSecurityAlgo?, Window>(mk_algo_params_dialog, has_algo_params),
+               _vm.subscribe_single_selected_order(),
+               out edit_algo_params_cmd, true));
+         } else {
+            edit_algo_params_cmd = DelegateCommand.empty;
+         }
 
          var attach_selected_orders_command = new SparkCommandCommand(
             "Attach To Selected",
@@ -194,14 +212,22 @@ namespace mbts.spark {
          show_grid_settings_command.group = CommandGroups.Auxiliary;
 
          _commands = new SparkCommand[] {
+            // modify commands
             toggle_show_right_panel_command,
             attach_selected_orders_command,
             detach_selected_orders_command,
             recreate_selected_orders_command,
+            new SparkCommandCommand("Algo Params...", Icons.Algo, edit_algo_params_cmd) {
+               group = CommandGroups.Modify,
+               show_in_toolbar = false,
+               show_in_context_menu = _can_edit_specific_algo_params
+            },
+            // cancel commands
             cancel_selected_orders_command,
             cancel_buy_orders_command,
             cancel_sell_orders_command,
             cancel_all_orders_command,
+
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
@@ -210,9 +236,12 @@ namespace mbts.spark {
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),
             _menu_display_vm.spark_cmd
          };
-         _vm.as_demuxer().subscribe<bool>(nameof(OrderBookVM.show_right_panel))
-            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title());
+         _thread_init_resources.AddRange(_commands.OfType<IDisposable>());
+         _thread_init_resources.Add(_vm.as_demuxer()
+            .subscribe<bool>(nameof(OrderBookVM.show_right_panel))
+            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title()));
          _vm.selected_order_changed += vm_selected_order_changed;
+         _thread_init_resources.Add(Disposable.Create(() => _vm.selected_order_changed -= vm_selected_order_changed));
          // local methods
          string get_toggle_show_right_panel_cmd_title() =>
             _vm.show_right_panel ? OrderBookView.CommandDescriptions.HideRightPanel : OrderBookView.CommandDescriptions.ShowRightPanel;
@@ -234,6 +263,36 @@ namespace mbts.spark {
             attach_selected_orders_command.raiseCanExecuteChanged();
             detach_selected_orders_command.raiseCanExecuteChanged();
          }
+
+         bool has_algo_params(OrderSecurityAlgo? order) =>
+            order.HasValue && !OrderDataHelper.get_metadata(order.Value.algo.value.CustomCase).NoProps;
+
+         Window mk_algo_params_dialog(OrderSecurityAlgo? order) {
+            if (!has_algo_params(order))
+               return null;
+            var algo_def = AlgoDefinitionVM.create(_model, order.Value.algo, editing_permissions: AlgoEditingPermissions.AllowEditValues);
+            var algo_params_vm = new OrderBookAlgoParamsVM(algo_def, order.Value.order.is_non_terminal());
+            var dialog = new OrderBookAlgoParamsDialog {
+               Content = algo_params_vm
+            };
+            ui.WindowStyle.SetTitleContent(dialog, algo_def);
+            dialog.Closed += (s, e) => {
+               Disposable.dispose(ref algo_params_vm);
+               dialog = null;
+            };
+            algo_params_vm.RequestCommit += commit;
+            algo_params_vm.RequestClose += (s, e) => close_dialog();
+            return dialog;
+
+            void close_dialog() {
+               dialog?.Close();
+               dialog = null;
+            }
+            void commit(CustomOrderDefinitionImmutable value) {
+               _model.update_order(order.Value.order, new_algo: value).ignore();
+               close_dialog();
+            }
+         }
       }
 
       protected override void OnParentViewCreated(SparkWindowView parent_view) {

src/client/spark/Modules/Trading/OrderBook/OrderBookWindowFactory.cs

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.shell.orderbook;
 using bts.spark;
+using mbts.config;
 using mbts.persist;
 using mbts.spark;
 using mbts.ui;
@@ -15,8 +16,11 @@ namespace bts.shell {
       readonly INotificationServiceDataCache _notification_service_data_cache;
       readonly OrdersModel _model;
       readonly UserSettingsHub _settings_hub;
+      readonly OrderBookConfig _config;
 
       public OrderBookWindowFactory(IShellModule owner, IBus bus, INotificationService notification_service, INotificationServiceDataCache notification_service_data_cache, OrdersModel model, UserSettingsHub settings_hub) : base(owner, "SparkOrderBookWindow") {
+         var raw_config = Configuration.get<bts.config.OrderBookOptions>();
+         _config = new OrderBookConfig(raw_config.can_edit_specific_algo_params);
          _bus = bus;
          _notification_service = notification_service;
          _notification_service_data_cache = notification_service_data_cache;
@@ -29,7 +33,8 @@ namespace bts.shell {
          var settings_manager = new WindowSettingsManager<OrderBookGridSettings>(_settings_hub, state.grid_settings_wrapper(),
             us => us.order_book_grid ?? OrderBookStartupData.DefaultGrid,
             (us, s) => us.with(order_book_grid: s));
-         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state, SparkCommands.ShowOrders.icon, settings_manager.as_non_shared());
+         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state,
+            SparkCommands.ShowOrders.icon, settings_manager.as_non_shared(), _config.can_edit_specific_algo_params);
          return Task.FromResult<IShellWindow>(w);
       }
 
@@ -37,5 +42,12 @@ namespace bts.shell {
          var w = await load(startup_data);
          _bus.post(SparkTags.ShowWindow, w);
       }
+
+      readonly struct OrderBookConfig {
+         public readonly bool can_edit_specific_algo_params;
+
+         public OrderBookConfig(bool can_edit_specific_algo_params) =>
+            this.can_edit_specific_algo_params = can_edit_specific_algo_params;
+      }
    }
 }

src/client/spark/Modules/Trading/OrderBook/View/OrderBookAlgoParamsDialog.xaml

@@ -0,0 +1,40 @@
+<Window
+  x:Class="bts.shell.orderbook.OrderBookAlgoParamsDialog"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:sp="clr-namespace:mbts.spark"
+  xmlns:ob="clr-namespace:bts.shell.orderbook"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  Margin="0"
+  Padding="0"
+  Style="{StaticResource BTSWindowTitleTemplate}"
+>
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate DataType="{x:Type sp:AlgoDefinitionVM}">
+      <StackPanel HorizontalAlignment="Left" Orientation="Horizontal">
+        <usp:OrderTypeItem Margin="4,0" DisplayName="{Binding name, StringFormat='{}{0} Params'}" BadgeFill="{Binding badge_fill}"/>
+      </StackPanel>
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+  <Window.ContentTemplate>
+    <DataTemplate DataType="{x:Type ob:OrderBookAlgoParamsVM}">
+      <Grid>
+        <Grid.RowDefinitions>
+          <RowDefinition Height="*"/>
+          <RowDefinition Height="Auto"/>
+        </Grid.RowDefinitions>
+        <usp:AlgoEditorGridView
+          Width="390"
+          Margin="5"
+          AlgoParamRows="{Binding param_rows}"
+          CanUserChangeAlgoRoot="False"
+        />
+        <c:DialogSkirt Grid.Row="1" RightItems="{Binding dialog_skirt}"/>
+      </Grid>
+    </DataTemplate>
+  </Window.ContentTemplate>
+</Window>

src/client/spark/Modules/Trading/OrderBook/View/OrderBookAlgoParamsDialog.xaml.cs

@@ -0,0 +1,49 @@
+using bts.api.orderman;
+using bts.collections;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.shell;
+using System;
+using System.Collections.Generic;
+using System.Windows;
+
+namespace bts.shell.orderbook {
+   /// <summary>
+   /// Interaction logic for OrderBookAlgoParamsDialog.xaml
+   /// </summary>
+   partial class OrderBookAlgoParamsDialog : Window {
+      public OrderBookAlgoParamsDialog() =>
+         InitializeComponent();
+   }
+
+   class OrderBookAlgoParamsVM : DisposableViewModelBase, IRequestViewClose {
+      readonly ObservableAggregateCollection<AlgoParamRowVM> _param_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
+      readonly DialogSkirtItem _commit, _cancel;
+
+      public OrderBookAlgoParamsVM(AlgoDefinitionVM algo_definition, bool can_user_edit) {
+         this.algo_definition = algo_definition;
+         _dispose = AlgoParamRowsHelper.connect(algo_definition, _param_rows, false);
+         _commit = new DialogSkirtItem("OK", new DelegateCommand(commit, () => can_user_edit)) { is_default = true };
+         _cancel = new DialogSkirtItem("Cancel", new DelegateCommand(close)) { is_cancel = true };
+         // local methods
+         void commit() {
+            RequestCommit?.Invoke(new CustomOrderDefinitionImmutable(algo_definition.algo_root.created_assigned()));
+            close();
+         }
+         void close() => RequestClose?.Invoke(this, EventArgs.Empty);
+      }
+
+      public event EventHandler RequestClose;
+      public event Action<CustomOrderDefinitionImmutable> RequestCommit;
+
+      public AlgoDefinitionVM algo_definition { get; }
+      public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows => _param_rows;
+      public IEnumerable<DialogSkirtItem> dialog_skirt {
+         get {
+            yield return _commit;
+            yield return _cancel;
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/PNL/VM/PNLRowVM.cs

@@ -31,7 +31,7 @@ namespace bts.shell.pnl {
          security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
          exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
          symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.security?.Symbol ?? string.Empty);
-         security_cell = _cell_map.add(ColumnKeys.Security, d => d.security, null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
+         security_cell = _cell_map.add(ColumnKeys.Security, d => (d.security), null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
          security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
          cpp = _cell_map.add(ColumnKeys.CPP, d => d.cpp);
          // sod

src/client/spark/Orders/OrderTypeVMs/GenericOrderHelper.cs

@@ -33,7 +33,7 @@ namespace mbts.spark
          {
             return;
          } 
-         var ev = fd.EnumType.Values.First(x => x.Name == value)?.Number;
+         var ev = fd.EnumType.Values.FirstOrDefault(x => x.Name == value)?.Number;
          if(ev.HasValue)
             fd.Accessor.SetValue(message, ev.Value);
       }

src/client/spark/Orders/OrderTypeVMs/GenericOrderVM.cs

@@ -2,7 +2,6 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
-using bts.spark;
 using Google.Protobuf;
 using Google.Protobuf.Reflection;
 using mbts.collections;
@@ -15,21 +14,19 @@ using System.Collections.ObjectModel;
 using System.ComponentModel;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Reflection;
 using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
 
 namespace mbts.spark {
-   static partial class OrderTypeVMFactory 
-   {
-      internal class GenericOrderFactory
-      {
-         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
-         {
+   static partial class OrderTypeVMFactory {
+      internal class GenericOrderFactory {
+         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions) {
             var prop = typeof(CustomOrderDefinition).GetProperty(algo_type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rt = prop.PropertyType;
 
             var propi = typeof(CustomOrderDefinitionImmutable).GetProperty(algo_type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rti = propi.PropertyType;
 
             var vmt = typeof(GenericOrderVM<,>);
@@ -38,38 +35,33 @@ namespace mbts.spark {
             object vm = Activator.CreateInstance(makevm, key, algo_type, display_name, editing_permissions);
             return (IAlgoVM)vm;
          }
-         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type)
-         {
+         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type) {
             var prop = typeof(CustomOrderDefinition).GetProperty(type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rt = prop.PropertyType;
             var rtt = Activator.CreateInstance(rt);
-            
+
             var ci = rt.GetProperties().Where(x => x.PropertyType == typeof(CustomOrderDefinition));
-            foreach(var cid in ci)
+            foreach (var cid in ci)
                cid.SetValue(rtt, new CustomOrderDefinition { Limit = new LimitOrderDefinition() });
             prop.SetValue(custom, rtt);
          }
-      }      
-      
+      }
+
       class GenericOrderVM<TMutable, TImmutable> : OrderTypeVMBase<TMutable, TImmutable>
-         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage
-      {         
+         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage {
          readonly ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string> _parameters =
             new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
          readonly AlgoType _algo_type;
 
          public GenericOrderVM(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
-            : base(key, display_name, editing_permissions) 
-         {
+            : base(key, display_name, editing_permissions) {
             _algo_type = algo_type;
             _parameters = new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
             _resources.AddRange(
-               ObservableAutoWrapper.connect_item_hooks(_parameters, p =>
-               {
+               ObservableAutoWrapper.connect_item_hooks(_parameters, p => {
                   p.PropertyChanged += on_param_prop_changed;
-                  return Disposable.Create(() => 
-                  {
+                  return Disposable.Create(() => {
                      p.PropertyChanged -= on_param_prop_changed;
                      remove_property(p.descriptor.Name);
                      p.Dispose();
@@ -80,84 +72,74 @@ namespace mbts.spark {
          }
 
          public string algo_type => _algo_type.ToString();
-         public override string abbreviation => 
+         public override string abbreviation =>
             model == null ? display_name : model.factory.abbreviate_algo(new OneOf<CustomOrderDefinition.CustomOneofCase, string>(_algo_type));
          public override AlgoDisplayGroup group => AlgoDisplayGroup.API;
          public ObservableCollection<GenericOrderParamVM<TMutable>> parameters => _parameters;
 
-         protected override void on_model_internal() 
-         {
+         protected override void on_model_internal() =>
             _sync_generic_params();
-         }
 
-         void _sync_generic_params()
-         {
-            if (model != null)
-            {               
-               Google.Protobuf.Reflection.MessageDescriptor desc = new TMutable().Descriptor;               
+         void _sync_generic_params() {
+            if (model != null) {
+               MessageDescriptor desc = new TMutable().Descriptor;
                _parameters.SyncWithDictionary(
                   desc.Fields.InDeclarationOrder().Where(_is_value_param_desc).ToDictionary(p => p.Name), _mk_param_vm);
             }
          }
-         static bool _is_value_param_desc(FieldDescriptor desc)
-         {
-            return (desc.FieldType != Google.Protobuf.Reflection.FieldType.Message || 
+
+         static bool _is_value_param_desc(FieldDescriptor desc) =>
+            (desc.FieldType != FieldType.Message ||
                _is_quantity_measure_desc(desc));
-         }
 
-         static bool _is_quantity_measure_desc(FieldDescriptor desc)
-         {
-            return desc.FieldType == Google.Protobuf.Reflection.FieldType.Message &&
+         static bool _is_quantity_measure_desc(FieldDescriptor desc) =>
+            desc.FieldType == FieldType.Message &&
                desc.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName;
-         }
 
-         protected override IEnumerable<ChildAlgoData> get_selector_data() 
-         {
-            var v = OrderDataHelper.get_child_algo_data(_algo_type);
-            return v;
-         }
+         protected override IEnumerable<ChildAlgoData> get_selector_data() =>
+            OrderDataHelper.get_child_algo_data(_algo_type);
 
-         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor) 
-         {
+         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor) {
             ExceptionAssert.Argument.NotNull(descriptor, nameof(descriptor));
-
-            if (descriptor.FieldType == FieldType.Message && 
-                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName)
-            {
+            if (descriptor.FieldType == FieldType.Message &&
+                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName) {
                var qm = new GenericOrderQuantityVM<TMutable>(descriptor);
                return attached(qm, GenericOrderHelper.get_quantity_value, GenericOrderHelper.set_quantity_value);
-            }
-            else if(descriptor.FieldType == FieldType.Enum)
-            {
-               var pvm = new GenericOrderEnumeratedVM<TMutable>(descriptor);
-               attached(pvm, GenericOrderHelper.get_enumerated_value, GenericOrderHelper.set_enumerated_value);
-               return pvm;
-            }
-            else if (descriptor.FieldType == FieldType.Bool)
+            } else if (descriptor.FieldType == FieldType.Enum) {
+               return EnumParamFactory.create(this, descriptor);
+            } else if (descriptor.FieldType == FieldType.Bool) {
                return mk<bool?, bool>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float)
+            } else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float) {
                return mk<double, double>(descriptor, v => v, v => v, double.NaN);
-            else if (descriptor.FieldType == FieldType.Int32)
+            } else if (descriptor.FieldType == FieldType.Int32) {
                return mk<int?, int>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.UInt32)
+            } else if (descriptor.FieldType == FieldType.UInt32) {
                return mk<uint?, uint>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.String)
+            } else if (descriptor.FieldType == FieldType.String) {
                return mk<string, string>(descriptor, v => v, v => v);
-            else
-               return null;
+            } else return null;
          }
-         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(FieldDescriptor fdesc, Func<TModel, TView> convert, Func<TView, TModel> convert_back, TView default_value = default)
-         {
-            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back);
-            return attached<TView, GenericOrderParamVM<TMutable, TView, TModel>>(pvm, get_from_param, assign_to_param, default_value);
 
+         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(
+            FieldDescriptor fdesc,
+            Func<TModel, TView> convert,
+            Func<TView, TModel> convert_back,
+            TView default_value = default) {
+            //
+            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back);
+            return attached(pvm, get_from_param, assign_to_param, default_value);
             TView get_from_param(IMessage param, FieldDescriptor fd) => convert(ConvertUtils.try_convert<TModel>(fdesc.Accessor.GetValue(param)));
             void assign_to_param(IMessage param, FieldDescriptor fd, TView value) => fdesc.Accessor.SetValue(param, convert_back(value));
          }
 
-         TParam attached<T, TParam>(TParam pvm, Func<IMessage, FieldDescriptor, T> selector, Action<IMessage, FieldDescriptor, T> assign_to_param, T default_value = default) where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T>
-         {
-            add_property<T>(
+         TParam attached<T, TParam>(
+            TParam pvm,
+            Func<IMessage, FieldDescriptor, T>
+            selector, Action<IMessage, FieldDescriptor, T> assign_to_param,
+            T default_value = default)
+            where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T> {
+            //
+            add_property(
                pvm.descriptor.Name,
                mdef => mdef != null ? selector(mdef, pvm.descriptor) : default_value,
                (mdef, v) => assign_to_param(mdef, pvm.descriptor, v),
@@ -166,7 +148,37 @@ namespace mbts.spark {
                pvm.subscribe_value(),
                default_value);
             return pvm;
-         }         
+         }
+
+         static class EnumParamFactory {
+            [ThreadStatic]
+            static Dictionary<Type, IFactory> _factories_backing;
+            static Dictionary<Type, IFactory> _factories =>
+               _factories_backing ?? (_factories_backing = new Dictionary<Type, IFactory>());
+
+            public static GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) {
+               if (descriptor.FieldType != FieldType.Enum)
+                  throw ExceptionBuilder.Argument.unexpected_case(descriptor.FieldType, $"{nameof(descriptor)}.{nameof(FieldDescriptor.FieldType)}");
+               if (!_factories.TryGetValue(descriptor.EnumType.ClrType, out var f)) {
+                  // Impl<T> is a nested type, so parent class's generic type args must be included.
+                  _factories[descriptor.EnumType.ClrType] = f = (IFactory)Activator.CreateInstance(typeof(Impl<>)
+                     .MakeGenericType(typeof(TMutable), typeof(TImmutable), descriptor.EnumType.ClrType));
+               }
+               return f.create(owner, descriptor);
+            }
+
+            interface IFactory {
+               GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor);
+            }
+
+            class Impl<T> : IFactory where T : struct {
+               static readonly Func<T, T?> _convert = v => v;
+               static readonly Func<T?, T> _convert_back = v => v ?? default;
+
+               public GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) =>
+                  owner.mk(descriptor, _convert, _convert_back, default);
+            }
+         }
       }
    }
-}
+}

src/client/spark/Spark.csproj

@@ -12,6 +12,7 @@
     <RuntimeIdentifiers>win7-x64</RuntimeIdentifiers>
     <PlatformTarget>AnyCPU</PlatformTarget>
     <LanguageTargets>$(MSBuildExtensionsPath)\$(VisualStudioVersion)\Bin\Microsoft.CSharp.targets</LanguageTargets>
+    <LanguageTargets Condition="'$(VisualStudioVersion)'=='16.0'">$(MSBuildToolsPath)\Microsoft.CSharp.targets</LanguageTargets>
     <ApplicationIcon>logo.ico</ApplicationIcon>
     <OutputType>WinExe</OutputType>
     <StartupObject>mbts.ui.shell.App</StartupObject>

src/client/spark/core/GlobalExtensions/DoubleHelper.cs

@@ -63,5 +63,20 @@ namespace mbts {
 
       public static double? nan_nullable(double value) =>
          double.IsNaN(value) ? (double?)null : value;
+
+      public static int? to_optional_int32(double value) {
+         if (double.IsNaN(value) || double.IsInfinity(value))
+            return null;
+         if (value > 0) {
+            value = Math.Floor(value);
+            if (value <= int.MaxValue)
+               return (int)value;
+         } else if (value < 0) {
+            value = Math.Ceiling(value);
+            if (value >= int.MinValue)
+               return (int)value;
+         }
+         return null;
+      }
    }
 }

src/client/spark/view/Controls/DataGridEx/Filters/VM/RegexFilterVM.cs

@@ -1,39 +1,43 @@
-using System;
-using System.Text.RegularExpressions;
+using System;
+using System.Text.RegularExpressions;
+
+namespace mbts.spark.filters {
+   static class RegexFilterUtils {
+      public static Regex build_regex(string str) {
+         if (str == null)
+            return null;
+         str = str.Trim();
+         if (str == string.Empty)
+            return null;
+         return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
+      }
+   }
+   class RegexFilterVM<TRow> : FilterVMBase<TRow, string, string> {
+      string _text = string.Empty;
+      Regex _regex;
+
+      public RegexFilterVM(Func<TRow, string> get_row_val, string prop_name = null) : base(get_row_val, prop_name) { }
+
+      public string text {
+         get => _text;
+         set => _regex = RegexFilterUtils.build_regex(_text = (value ?? string.Empty));
+      }
+
+      public override string get_state() => _text ?? string.Empty;
+
+      protected override bool _get_active() => _regex != null;
+      protected override bool _filter(string value) =>
+         _regex != null && (
+            _regex.IsMatch(value) ||
+            (!string.IsNullOrEmpty(value) && _regex.IsMatch(value.Replace(" ", ""))));
 
-namespace mbts.spark.filters {
-   static class RegexFilterUtils {
-      public static Regex build_regex(string str) {
-         if (str == null)
-            return null;
-         str = str.Trim();
-         if (str == string.Empty)
-            return null;
-         return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
-      }
-   }
-   class RegexFilterVM<TRow> : FilterVMBase<TRow, string, string> {
-      string _text = string.Empty;
-      Regex _regex;
-
-      public RegexFilterVM(Func<TRow, string> get_row_val, string prop_name = null) : base(get_row_val, prop_name) { }
-
-      public string text {
-         get => _text;
-         set => _regex = RegexFilterUtils.build_regex(_text = (value ?? string.Empty));
-      }
-
-      public override string get_state() => _text ?? string.Empty;
-
-      protected override bool _get_active() => _regex != null;
-      protected override bool _filter(string value) => _regex != null && _regex.IsMatch(value);
-      protected override void _load_state_internal(string state) => text = state;
-      protected override void _clear() {
-         _close();
-         _text = string.Empty;
-         _regex = null;
-         RaisePropertyChanged(nameof(text));
-         _raise_filter_changed();
-      }
-   }
+      protected override void _load_state_internal(string state) => text = state;
+      protected override void _clear() {
+         _close();
+         _text = string.Empty;
+         _regex = null;
+         RaisePropertyChanged(nameof(text));
+         _raise_filter_changed();
+      }
+   }
 }

src/client/spark/view/Controls/Order/AlgoContentTemplateSelector.xaml

@@ -1005,6 +1005,8 @@
             ContractPickerModel="{Binding contract_picker_model}"
             HedgePricing="{Binding hedge_pricing}"
             HedgePricingItemsSource="{Binding hedge_pricing_options}"
+            UseFractionalTicks="{Binding use_fractional_ticks}"
+            IntegerTickSize="{Binding integer_tick_size}"
           />
           <c:DialogSkirt Grid.Row="1" Margin="-4" VerticalAlignment="Top" RightItems="{Binding skirt_items}"/>
         </Grid>

src/client/spark/view/Converters/BooleanToVisibilityConverter.cs

@@ -12,6 +12,9 @@ namespace mbts.ui.converters
       public Visibility VisibilityForFalse { get { return _visfalse; } set { _visfalse = value; } }
 
       public static BooleanToVisibilityConverter Instance => new BooleanToVisibilityConverter();
+      public static BooleanToVisibilityConverter HiddenInstance => new BooleanToVisibilityConverter {
+         VisibilityForFalse = Visibility.Hidden
+      };
 
       public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
          bool flag = false;

src/client/spark/view/Spark/Core/TickUtils.cs

@@ -49,6 +49,28 @@ namespace mbts.spark {
       public static double parse(this ContractSpecificationImmutable? spec, string text, double display_multiplier, string nan_text) =>
          spec.spec_or_default().parse(text, display_multiplier, nan_text);
 
+      public static bool is_integer_tick(ContractSpecificationImmutable spec) =>
+         spec.MainFraction == 0 &&
+         spec.PriceDisplayFormat == 0 &&
+         spec.LowTick > 0 &&
+         MathUtils.is_int(spec.LowTick) &&
+         spec.HighTick > 0 &&
+         MathUtils.is_int(spec.HighTick);
+
+      public static ContractSpecification create_integer_tick_spec(int low_tick) =>
+         create_integer_tick_spec(low_tick, low_tick);
+
+      public static ContractSpecification create_integer_tick_spec(int low_tick, int high_tick) {
+         var rv = SecurityDataHelper.Defaults.ContractSpecification;
+         rv.MainFraction = 0;
+         rv.SubFraction = 0;
+         rv.PriceDisplayFormat = 0;
+         rv.PriceBreak = 0;
+         rv.LowTick = low_tick;
+         rv.HighTick = high_tick;
+         return rv;
+      }
+
       public static double low_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
          double low = bids[bids.Length - 1].price;
          if (double.IsNaN(low))
@@ -326,7 +348,7 @@ namespace mbts.spark {
          }
 
          static bool _check_tick_size(double tick_size) =>
-            (tick_size > 0 && tick_size <= 0.5) || tick_size == 1;
+            tick_size > 0 && (tick_size <= 0.5 || MathUtils.is_int(tick_size));
 
          struct SpecKey : IEquatable<SpecKey> {
             public readonly uint denominator, display_digits;

src/client/spark/view/Utility/CommandHelper.cs

@@ -1,5 +1,7 @@
 using mbts.ui.converters;
+using System;
 using System.Globalization;
+using System.Reactive.Linq;
 using System.Windows;
 using System.Windows.Data;
 using System.Windows.Input;
@@ -12,6 +14,31 @@ namespace mbts.ui.utilities {
       public static string fmt(string title, KeyGesture key_gesture) =>
          key_gesture == null ? title : $"{title} ({key_gesture.GetDisplayStringForCulture(CultureInfo.CurrentCulture)})";
 
+      public static IDisposable bind_param_source<T>(ICommand command, IObservable<T> param_source, out ICommand bound_cmd, bool dispose_command_on_dispose = false) {
+         bool initialized = false;
+         bool can_execute = false;
+         T param = default;
+         var bcmd = new DelegateCommand(() => command.Execute(param), () => can_execute);
+         bound_cmd = bcmd;
+         var sub = param_source.Subscribe(p => {
+            param = p;
+            if (!initialized) {
+               initialized = true;
+               can_execute = command.CanExecute(p);
+               bcmd.RaiseCanExecuteChanged();
+            } else if (can_execute != command.CanExecute(p)) {
+               can_execute = !can_execute;
+               bcmd.RaiseCanExecuteChanged();
+            }
+         });
+         return dispose_command_on_dispose ?
+            Disposable.Create(() => {
+               Disposable.dispose(ref sub);
+               (command as IDisposable)?.Dispose();
+               command = null;
+            }) : sub;
+      }
+
       #region Paraphrased from https://referencesource.microsoft.com/#PresentationFramework/src/Framework/MS/Internal/Commands/CommandHelpers.cs
 
       public static bool CanExecuteCommandSource(ICommandSource commandSource) {

src/client/spark_api/security/SecurityFormatter.cs

@@ -39,13 +39,18 @@ namespace bts.api {
 
       static string _format(SecurityImmutable? security) {
          switch (security?.ContractCase) {
-            case ContractOneofCase.Future: return format_future(security?.Symbol, security?.security_desc(), security.Value.Future);
+            case ContractOneofCase.Future:
+               if(security?.HasIce == true)
+                  return _format_ICE(security);
+               return format_future(security?.Symbol, security?.security_desc(), security.Value.Future);
             case ContractOneofCase.Spread:
                if (security?.HasGlbx == true) {
                   // In case we ever bring it back, pretty printed spread names can be found here:
                   // GlbxSecurityFormatter.FormatSpread(security, out string result)
                   return security?.Glbx.SecurityDesc;
                }
+               else if(security?.HasIce == true)
+                  return _format_ICE(security);
                return string.Join("", _format_future_legs(SecurityHelper.get_flat_future_legs(security?.Spread.Legs)));
             case ContractOneofCase.Synthetic: return security?.Synthetic.Name;
             default: return "Unknown-security";
@@ -79,5 +84,26 @@ namespace bts.api {
             default: return $"{fl.quantity:+0;-0}{sym_exp_name}";
          }
       }
+
+      static string _format_ICE (SecurityImmutable? security){
+         string symbol = security?.Symbol,
+                strip = security?.Ice.StripName,
+                md_desc = security?.Ice.MarketDescription,
+                type_append = "";
+  
+         if(md_desc.Contains("25k ICE Lots")){
+            if(md_desc.Contains("TAS"))
+               type_append = "TAS";
+         }
+         else if(md_desc.Contains("ICE Lots")){
+            if(md_desc.Contains("TAS"))
+               type_append = "ICE Lots TAS";
+            else
+               type_append = "ICE Lots";
+         }
+         type_append = string.IsNullOrEmpty(type_append) ? 
+                                                " " : $" {type_append} ";
+         return $"{symbol}{type_append}{strip}";
+      }
    }
 }

src/data_files/files/onixs_ice/ConnectivityConfiguration.APITest.xml

@@ -15,7 +15,7 @@
         <server name="default">
             <ip>63.247.113.163</ip>
             <port>3000</port>
-            <userName>bluetrd-ps</userName>
+            <userName>katas2f-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
             <strategyPreference>New</strategyPreference>
@@ -24,8 +24,8 @@
         <server name="endex">
             <ip>63.247.113.77</ip>
             <port>3000</port>
-            <userName>Value from ICE Support</userName>
-            <password>Value from ICE Support</password>
+            <userName>katas2f-ps</userName>
+            <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
             <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>

src/lib/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/Product.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/service/MarketDataServiceServer.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metricsLine truncated
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/Product.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/service/MarketDataServiceServer.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metricsLine truncated

src/lib/api/services/OrderService.proto

@@ -104,6 +104,7 @@ message CustomOrderDefinition
     SplitterOrderDefinition   splitter = 29;
     ScratchOrderDefinition scratch = 31;
     ProRataOrderDefinition prorata = 32;
+    DeleteAndCoverDefinition delete_and_cover = 34;
     
     DynamicOrderDefinition dynamic = 1000;
   }
@@ -144,6 +145,13 @@ message TickOrderDefinition {
   bool detach_on_toward = 5;
   CustomOrderDefinition child = 6;
 }
+enum LeanOnToward
+{
+   NO_CHANGE = 0; //continue to lean on initial inside market
+   CANCEL = 1; //cancel algo and order
+   DETACH = 2; //cancel algo but leave order working
+   REPRICE = 3; //lean on new inside market
+}
 message LeanOrderDefinition {
   spark.QuantityMeasure cross_threshold = 1;
   uint32 max_chase_ticks = 2;
@@ -179,6 +187,21 @@ message CoverOrderDefinition {
   CustomOrderDefinition child = 3;
   bool cancel_on_external_hedge_cancel = 4;
   bool cancel_hedges_on_cancel = 5;
+  bool detach_hedges = 6;
+}
+message DeleteAndCoverDefinition{
+  // cover
+  uint32 hedge_ticks = 1;
+  bool cancel_on_external_hedge_cancel = 2;
+  bool cancel_hedges_on_cancel = 3;
+  bool detach_hedges = 4;
+  // main child = top
+  spark.QuantityMeasure top_threshold = 10;
+  uint32 ticks_off = 11;
+  // hedge child = Lean
+  spark.QuantityMeasure cross_threshold = 20;
+  uint32 max_chase_ticks = 21;
+  LeanOnToward trade_toward_behavior = 22;
 }
 message OffsetOrderDefinition {
   uint32 tick_offset_on_deploy = 1;

src/lib/api/services/PositionService.proto

@@ -105,14 +105,35 @@ message BasePositionBatch {
   google.protobuf.Timestamp current_as_of = 10;  // UTC
 }
 
+// security overrides /////////////////////////////////////
+message CppOverride{
+   double value = 1;
+}
+
+message SecurityParameters{
+  uint32 security_key = 1;
+  CppOverride cpp_override = 2;
+  // other overrides
+}
+
+message SecurityParametersBatchOp{
+  repeated SecurityParameters op_params = 1;
+}
+
+message SecurityParametersBatchOpResponse {
+  bool ok = 1;
+  string msg = 2;
+}
+
 service PositionService {
   option (bts.api.service_description) = "Provides Position and PNL, per security, per account";
   
   rpc create_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
   rpc update_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
   rpc remove_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
-  rpc set_base_position (BasePositionBatch) returns (SetBasePositionResponse);
-  
+  rpc set_base_position (BasePositionBatch) returns (SetBasePositionResponse);  
+  rpc update_security_parameters (SecurityParametersBatchOp) returns (SecurityParametersBatchOpResponse);
+
   // subscription
   rpc manual_fills(bts.api.VoidMessage) returns (stream ManualFill);
   rpc position_data(bts.api.VoidMessage) returns (stream PositionUnit);

src/lib/config/defaults/MarketData.conf

@@ -1,136 +1,130 @@
-#
-# Common Market data options
-#
-
-MarketDataConfig {
-   rule: "DeploymentType.type == 'PROD'"
-   value {
-      use_sim: false
-   }
-}
-
-PublisherOptions {
-    rule: "DeploymentType.type == 'dev'"
-    value {
-        disable_heartbeat: true
-    }
-}
-
-PlatformMap {
-    value {
-        glbx_platform: "PLATFORM_MDP3ONIXS"
-        ice_platform: "PLATFORM_ICEONIXS"
-    }
-}
-
-PublisherNamespace {
-	value {
-		shared_memory_namespace: @System.os_user
-	}
-}
-
-CMEOptions {
-    value {
-        feed_engine {
-            name: "mdp3feed"
-            # udp_socket_buffer_size: 425984
-            # channels_per_thread: 1
-            spin_time: 0
-        }
-        channel {
-            id: "*"
-            feed_engine: "mdp3feed"
-            use_tcp_replay: false
-        }
-    }
-}
-
-ICEPublisherOptions {
-   value { 
-      network_interface: "eth1"
-   }
-}
-
-#to make this work in dev clone the operations repo
-#go here: c:\\code\\bts\\operations\\ice\\ICE_iMpactMulticastFeed_GettingStarted-1_1_36\\bin\\easyTunnel>
-#modify the easyTunnelProxy.properties file to replace 
-#tunnel.multicast.interface=10.96.18.37 with your local ip
-#run easyTunnelProxy.bat BRENT-FI for Brent Full implied
-#you should see ice data
-
-ICEOptions {
-   value {
-      channel {
-         name: "oil" #these names are arbitrary and are for debugging
-         market_type: 3 
-         uds_market_type: 3
-         market_type: 4 #ICE IPE Gas Oil Futures
-         uds_market_type: 4         
-         market_type: 5 #ICE Futures Brent, IPE Brent Futures
-         uds_market_type: 5
-         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
-         uds_market_type: 9
-         market_type: 13 #ICE Heating Oil Futures         
-         uds_market_type: 13
-         market_type: 15 #ICE NYH (RBOB) Gasoline Futures
-         uds_market_type: 15
-         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
-         ##uds_market_type: 21
-         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
-         ##uds_market_type: 23               
-         
-         ##market_type: 26 #ICE Futures US Financials DX
-         ##uds_market_type: 26
-         
-         uds_market_type: 11 #ICE WTI-Brent spreads
-         uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
-         uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
-         uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
-         uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
-         uds_market_type: 66 #ICE NYH (RBOB) Gasoline/Heating Oil Spread
-         uds_market_type: 70 #ICE Heating Oil/LS Gasoil Futures Spread
-         uds_market_type: 71 #ICE LS Gasoil/Brent Futures Crack
-         uds_market_type: 72 #ICE NYH (RBOB) Gasoline/LS Gasoil Futures Spread         
-         
-         #onixs_log_mode: Debug
-      }
-      # channel {
-      #    name: "juice"
-      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
-      # }
-      ice_config_file: "ConnectivityConfiguration.APITest.xml"      
-      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
-   }
-}
-
-MDBootDelayWindow {
-    rule: "DeploymentType.type == 'dev'"
-    value {
-        delay_seconds: 0
-    }
-}
-
-MDBootDelayWindow {
-    value {
-        delay_seconds: 120
-        standard {
-            start: "16:30"
-            end: "16:40"
-        }
-        sunday {
-            start: "14:00"
-            end: "14:10"
-        }
-    }
-}
-
-DisplayFactorOverride {
-    value {
-        override {
-            symbol: "SOM"
-            exchange: "GLBX"
-            type: "SPREAD"
-            price_multiplier: 1
-        }
-    }
-}
+#
+# Common Market data options
+#
+
+MarketDataConfig {
+   rule: "DeploymentType.type == 'PROD'"
+   value {
+      use_sim: false
+   }
+}
+
+PublisherOptions {
+    rule: "DeploymentType.type == 'dev'"
+    value {
+        disable_heartbeat: true
+    }
+}
+
+PlatformMap {
+    value {
+        glbx_platform: "PLATFORM_MDP3ONIXS"
+        ice_platform: "PLATFORM_ICEONIXS"
+    }
+}
+
+PublisherNamespace {
+	value {
+		shared_memory_namespace: @System.os_user
+	}
+}
+
+CMEOptions {
+    value {
+        feed_engine {
+            name: "mdp3feed"
+            # udp_socket_buffer_size: 425984
+            # channels_per_thread: 1
+            spin_time: 0
+        }
+        channel {
+            id: "*"
+            feed_engine: "mdp3feed"
+            use_tcp_replay: false
+        }
+    }
+}
+
+#to make this work in dev clone the operations repo
+#go here: c:\\code\\bts\\operations\\ice\\ICE_iMpactMulticastFeed_GettingStarted-1_1_36\\bin\\easyTunnel>
+#modify the easyTunnelProxy.properties file to replace 
+#tunnel.multicast.interface=10.96.18.37 with your local ip
+#run easyTunnelProxy.bat BRENT-FI for Brent Full implied
+#you should see ice data
+
+ICEOptions {
+   value {
+      channel {
+         name: "oil" #these names are arbitrary and are for debugging
+         market_type: 3 
+         uds_market_type: 3
+         market_type: 4 #ICE IPE Gas Oil Futures
+         uds_market_type: 4         
+         market_type: 5 #ICE Futures Brent, IPE Brent Futures
+         uds_market_type: 5
+         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
+         uds_market_type: 9
+         market_type: 13 #ICE Heating Oil Futures         
+         uds_market_type: 13
+         market_type: 15 #ICE NYH (RBOB) Gasoline Futures
+         uds_market_type: 15
+         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
+         ##uds_market_type: 21
+         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
+         ##uds_market_type: 23               
+         
+         ##market_type: 26 #ICE Futures US Financials DX
+         ##uds_market_type: 26
+         
+         uds_market_type: 11 #ICE WTI-Brent spreads
+         uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
+         uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
+         uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
+         uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
+         uds_market_type: 66 #ICE NYH (RBOB) Gasoline/Heating Oil Spread
+         uds_market_type: 70 #ICE Heating Oil/LS Gasoil Futures Spread
+         uds_market_type: 71 #ICE LS Gasoil/Brent Futures Crack
+         uds_market_type: 72 #ICE NYH (RBOB) Gasoline/LS Gasoil Futures Spread         
+         
+         #onixs_log_mode: Debug
+      }
+      # channel {
+      #    name: "juice"
+      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
+      # }
+      ice_config_file: "ConnectivityConfiguration.APITest.xml"      
+      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
+   }
+}
+
+MDBootDelayWindow {
+    rule: "DeploymentType.type == 'dev'"
+    value {
+        delay_seconds: 0
+    }
+}
+
+MDBootDelayWindow {
+    value {
+        delay_seconds: 120
+        standard {
+            start: "16:30"
+            end: "16:40"
+        }
+        sunday {
+            start: "14:00"
+            end: "14:10"
+        }
+    }
+}
+
+DisplayFactorOverride {
+    value {
+        override {
+            symbol: "SOM"
+            exchange: "GLBX"
+            type: "SPREAD"
+            price_multiplier: 1
+        }
+    }
+}

src/lib/config/protos/UI.proto

@@ -76,6 +76,7 @@ message LadderKnobs {
 message OrderBookOptions {
    optional bool animate_child_order_rows = 1 [default = false];
    optional double status_color_opacity_when_selected = 2 [default = 0.35];
+   optional bool can_edit_specific_algo_params = 3 [default = false];
 }
 
 message OrderTicketOptions {

src/lib/config/protos/toggles.proto

@@ -59,6 +59,10 @@ message EnsureOnScreenWithWorkAreaRect {
    optional bool enabled = 1 [default = false];
 }
 
+message CustomFormatIceSecurities{
+   optional bool enabled = 1 [default = true];
+}
+
 message IgnoreNansInDayPnL {
    optional bool enabled = 1 [default = true];
 }
@@ -68,4 +72,5 @@ message DynamicAlgos{
    optional bool enable_pyramid = 2 [default = false];
    optional bool enable_tas = 3 [default = false];
    optional bool enable_tascounter = 4 [default = false];
+   optional bool enable_limit_cover = 5 [default = false];
 }

src/lib/domain_model/Security.h

@@ -41,16 +41,16 @@ inline api::Side other_side(api::Side side) {
    }
 }
 
-inline double market_epislon() { return 1e-10; }
+inline double market_epsilon() { return 1e-10; }
 
 // better == p1 more aggressive than p1 ie for a buy order p1 is higher
 // than p2, and for a sell order p1 is lower than p2
 inline bool is_better(api::Side side, Price p1, Price p2) {
    switch (side) {
    case api::SIDE_BUY:
-      return p1.value() - p2.value() > market_epislon();
+      return p1.value() - p2.value() > market_epsilon();
    case api::SIDE_SELL:
-      return p2.value() - p1.value() > market_epislon();
+      return p2.value() - p1.value() > market_epsilon();
    default:
       return false;
    }
@@ -76,7 +76,7 @@ inline Price worsen_price(api::Side side, Price p, Price offset) {
 }
 
 inline bool is_same(Price p1, Price p2) {
-   return std::abs(p1.value() - p2.value()) < market_epislon();
+   return std::abs(p1.value() - p2.value()) < market_epsilon();
 }
 
 inline bool is_equal_or_better(api::Side side, Price p1, Price p2) {
@@ -212,5 +212,5 @@ inline bool gr_than(double p1, double p2, double tick_size) {
           !test_price_equality(p1, p2, tick_size);
 }
 
-
-}}
+} // namespace securities
+} // namespace bts

src/lib/orderman/order_factory/OrderFactory.cpp

@@ -24,6 +24,7 @@
 #include "lib/orderman/orders/algo/algo_orders/OffsetAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ScratchAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ProRataAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.h"
 #include "lib/orderman/orders/book_algos/OCOOrder.h"
 #include "lib/orderman/orders/book_algos/PricerOrder.h"
 #include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
@@ -242,6 +243,10 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
       order_ptr.reset(
          new orderman::AlgoWrapperOrder(std::make_unique<splitter::SplitterAlgo>()));
       break;
+   case CustomOrderDefinition::kDeleteAndCover:
+      order_ptr.reset(
+         new orderman::AlgoWrapperOrder(std::make_unique<DeleteAndCoverAlgo>()));
+      break;
    case CustomOrderDefinition::CUSTOM_NOT_SET:
       bts_assert_msg(false, "Cannot create order with unknown type");
       break;

src/lib/orderman/orderman_utils/BookUtils.cpp

@@ -0,0 +1,26 @@
+#include "BookUtils.h"
+
+namespace bts {
+namespace orderman {
+using Size = bts::md::Size;
+using Side = bts::api::Side;
+
+Size BookUtils::volume_at_or_better(const Book& book, Side side, Price price) {
+   return volume_at_or_better(book, side, price.value());
+}
+Size BookUtils::volume_at_or_better(const Book& book, Side side, double price) {
+   Size volume = 0;
+   SidePriceComp spc(side);
+   for (const auto& plevel : book.side(side)) {
+      if (spc(price, plevel.price()))
+         break;
+      volume += plevel.size();
+   }
+   return volume;
+}
+
+SidePriceComp BookUtils::price_comp(Side side) {
+   return SidePriceComp(side);
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/BookUtils.h

@@ -0,0 +1,18 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/domain_model/common.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/PriceComp.h"
+
+namespace bts {
+namespace orderman {
+
+struct BookUtils {
+   static md::Size volume_at_or_better(const Book& book, api::Side side, Price price);
+   static md::Size volume_at_or_better(const Book& book, api::Side side, double price);
+   static SidePriceComp price_comp(api::Side side);
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/Formatter.h

@@ -0,0 +1,283 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/common.h"
+#include "lib/md/PriceSize.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+#include "lib/utils/PBUtils.h"
+#include <functional>
+#include <iostream>
+#include <map>
+#include <sstream>
+#include <fmt/format.h>
+
+namespace bts {
+namespace orderman {
+struct Formatter {
+   using Side = bts::api::Side;
+   // this is a placeholder for other book formats down the road.
+   enum class BookFormat { BBO = 1 };
+   enum class Tense {
+      Present,
+      Preterite
+   };
+
+   template<typename T>
+   inline static void concat(std::ostream& ostr, const T& v) {
+      ostr << v;
+   }
+
+   template<typename T, typename... Args>
+   inline static void concat(std::ostream& ostr, const T& first, Args... args) {
+      ostr << first;
+      (concat(ostr, args), ...);
+   }
+
+   template<typename T>
+   inline static std::string fmt(const T& curr) {
+      std::stringstream str;
+      str << curr;
+      return str.str();
+   }
+
+   template<typename T, typename... Args>
+   inline static std::string fmt(const T& curr, Args... next) {
+      std::stringstream str;
+      concat(str, curr, next...);
+      return str.str();
+   }
+
+   template <class TKey, class TValue>
+   static std::string fmt_values(const std::map<TKey, TValue>& map) {
+      if (map.empty())
+         return "None";
+      std::stringstream str;
+      auto it = map.begin();
+      str << it->second;
+      while (++it != map.end()) {
+         str << ", " << it->second;
+      }
+      return str.str();
+   }
+
+   template <class T>
+   static std::string fmt_values(const std::vector<T>& values) {
+      if (values.empty())
+         return "None";
+      std::stringstream str;
+      auto it = values.begin();
+      str << *it;
+      while (++it != values.end()) {
+         str << ", " << *it;
+      }
+      return str.str();
+   }
+
+   static std::string fmt_fill(Side side, uint32_t qty, double price) {
+      std::stringstream ostr;
+      ostr << to_string(side, Tense::Preterite) << " " << qty << " @ " << price;
+      return ostr.str();
+   }
+
+   static std::string fmt_order(Side side, uint32_t qty, double price) {
+      std::stringstream ostr;
+      ostr << to_string(side) << " " << qty << " @ " << price;
+      return ostr.str();
+   }
+
+   static std::string fmt_order(OrderKey key, uint32_t qty, double price, const api::orderman::OrderDefinition& def) {
+      std::stringstream ostr;
+      ostr << key << " " << to_string(def.side()) << " " << qty << " @ "
+           << price << std::endl << "[Def]" << utils::pb::to_string(def);
+      return ostr.str();
+   }
+
+   static std::string fmt_order(OrderKey key, Side side, uint32_t qty, double price, ChildState state) {
+      std::stringstream ostr;
+      ostr << key << " " << to_string(side) << " " << qty << " @ " << price
+           << " " << to_string(state);
+      return ostr.str();
+   }
+
+private:
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream&, const std::string&) { }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream&, std::function<std::string()>) { }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, const std::string& separator, const T& curr) {
+      str << separator << curr;
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, std::function<std::string()> get_separator, const T& curr) {
+      str << get_separator() << curr;
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, const std::string& separator, const T& curr, Args... next) {
+      str << separator << curr;
+      (join_next(str, separator, next), ...);
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, std::function<std::string()> get_separator, const T& curr, Args... next) {
+      str << get_separator() << curr;
+      (join_next(str, get_separator, next), ...);
+   }
+
+public:
+   template<typename T, typename... Next>
+   inline static std::string join(const std::string&, const T& curr) {
+      std::stringstream str;
+      str << curr;
+      return str.str();
+   }
+
+   template<typename T, typename... Next>
+   inline static std::string join(const std::string& separator, const T& curr, Next... next) {
+      std::stringstream str;
+      str << curr;
+      join_next(str, separator, next...);
+      return str.str();
+   }
+
+   template<typename T, typename... Next>
+   inline static std::string join(std::function<std::string()> get_separator, const T& curr, Next... next) {
+      std::stringstream str;
+      str << curr;
+      join_next(str, get_separator, next...);
+      return str.str();
+   }
+
+   template <class T>
+   static std::string to_string(const T& value) {
+      std::stringstream str;
+      str << value;
+      return str.str();
+   }
+
+   static std::string to_string(bool value) {
+      return value ? "true" : "false";
+   }
+
+   static std::string to_string(Side side, Tense tense = Tense::Present) {
+      switch (side) {
+      case bts::api::SIDE_BUY:
+         switch (tense) {
+         case Tense::Preterite:
+            return "Bought";
+         case Tense::Present:
+         default:
+            return "Buy";
+         }
+      case bts::api::SIDE_SELL:
+         switch (tense) {
+         case Tense::Preterite:
+            return "Sold";
+         case Tense::Present:
+         default:
+            return "Sell";
+         }
+      default:
+         return fmt("Side_", static_cast<int>(side));
+      }
+   }
+
+   static std::string to_string(ChildStatus value) {
+      switch (value) {
+      case ChildStatus::WORKING: return "Working";
+      case ChildStatus::COMPLETED: return "Completed";
+      case ChildStatus::CANCELED: return "Canceled";
+      default: return fmt("ChildStatus_", static_cast<int>(value));
+      }
+   }
+
+   static std::string to_string(ChildState value) {
+      std::stringstream ostr;
+      ostr << "[" << to_string(value.status) << "] "
+           << value.quantity.value() << " @ " << value.price.value()
+           << "(total filled " << value.total_fills.value() << " @[avg] "
+           << value.avg_price.value() << ", last filled "
+           << value.last_fills.value() << " @ "
+           << value.last_price.value() << ")";
+      return ostr.str();
+   }
+
+   static std::string to_string(const Book &book) {
+      return to_string(book, BookFormat::BBO);
+   }
+
+   static std::string to_string(const Book &book, BookFormat format) {
+      // add other impls as needed
+      std::stringstream ostr;
+      switch (format) {
+      case BookFormat::BBO:
+         if (book.bid().size() > 0 && !book.bid().at(0).is_nan()) {
+            auto best_bid = book.bid().at(0);
+            ostr << best_bid.size() << "@" << best_bid.price();
+         } else {
+            ostr << "N/A";
+         }
+         ostr << " <> ";
+         if (book.ask().size() > 0 && !book.ask().at(0).is_nan()) {
+            auto best_ask = book.ask().at(0);
+            ostr << best_ask.size() << "@" << best_ask.price();
+         } else {
+            ostr << "N/A";
+         }
+         break;
+      default:
+         break;
+      }
+      return ostr.str();
+   }
+
+   static std::string to_string(api::orderman::OrderError error) {
+      return api::orderman::OrderError_Name(error);
+   }
+
+   static std::string to_string(api::orderman::CustomOrderDefinition::CustomCase algo_type) {
+      switch (algo_type) {
+      case api::orderman::CustomOrderDefinition::CustomCase::kLimit: return "Limit";
+      case api::orderman::CustomOrderDefinition::CustomCase::kOffset: return "Offset";
+      case api::orderman::CustomOrderDefinition::CustomCase::kCover: return "Cover";
+      case api::orderman::CustomOrderDefinition::CustomCase::kIceberg: return "Iceberg";
+      default: return fmt("AlgoType_", static_cast<int>(algo_type));
+      }
+   }
+};
+
+// << operators
+inline std::ostream &operator<<(std::ostream &ostr, const api::Side &side) {
+   ostr << Formatter::to_string(side);
+   return ostr;
+}
+
+inline std::ostream &operator<<(std::ostream &ostr, const ChildStatus &child_status) {
+   ostr << Formatter::to_string(child_status);
+   return ostr;
+}
+
+inline std::ostream &operator<<(std::ostream &ostr, const ChildState &child_state) {
+   ostr << "[" << child_state.status << "] " << child_state.quantity.value()
+        << " @ " << child_state.price.value() << "(filled "
+        << child_state.total_fills.value() << " @avg "
+        << child_state.avg_price.value() << ")";
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const bts::Price& price) {
+   ostr << price.value();
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const bts::Quantity& quantity) {
+   ostr << quantity.value();
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/PriceComp.h

@@ -0,0 +1,32 @@
+#pragma once
+#include "lib/domain_model/Security.h"
+
+namespace bts {
+namespace orderman {
+struct PriceComp {
+   bool operator()(const Price& lhs, const Price& rhs) { return lhs.value() > rhs.value(); }
+   bool operator()(const double& lhs, const double& rhs) { return lhs > rhs; }
+};
+
+struct ReversePriceComp {
+   bool operator()(const Price& lhs, const Price& rhs) { return lhs.value() < rhs.value(); }
+   bool operator()(const double& lhs, const double& rhs) { return lhs < rhs; }
+};
+
+struct SidePriceComp {
+   SidePriceComp(api::Side side) : _side(side) {}
+
+   api::Side side() const { return _side; }
+
+   bool operator()(const Price& lhs, const Price& rhs) {
+      return _side == api::SIDE_SELL ? lhs.value() < rhs.value() : lhs.value() > rhs.value();
+   }
+
+   bool operator()(const double& lhs, const double& rhs) {
+      return _side == api::SIDE_SELL ? lhs < rhs : lhs > rhs;
+   }
+private:
+   api::Side _side;
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/orderman_utils.h

@@ -1,3 +1,4 @@
+#pragma once
 #include "lib/api/services/OrderService.pb.h"
 #include <optional>
 #include <variant>

src/lib/orderman/orders/GLBXNativeOrder.cpp

@@ -170,7 +170,7 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
    me->sec = serv.sec_db.resolve(SecurityKey(def.security_key()));
    me->previous_working_position = Quantity(0);
 
-   auto const &native_state = get_native_state(me->state);
+   auto &native_state = get_native_state(me->state);
    switch (me->state.status()) {
 
    case ORDER_STATUS_WORKING:
@@ -190,21 +190,20 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
          return;
       }
 
-      // bail if the session we used for the order is no longer valid
-      auto const &session = native_state.routing_record().session();
-      if (!serv.order_router.is_valid_session(session)) {
-         LOG(OrderMan, Error,
-             "Unknown JetFIX session {} referenced by recovered "
-             "order {}. This is a serious "
-             "problem which has to be corrected manually. ",
-             session, rec.key());
+      auto rq = serv.order_router.get_routing_record(
+         UserID(def.user_id()), AccountID(def.account_id()), *me->sec);
+      if (!rq.has_route) {
+         auto msg = fmt::format("Could not route order: {}", rq.error_msg);
+         LOG(OrderMan, Error, "Unable to route order {} recovered from disk. Message: {}",
+             rec.key(), msg);
          transition_to_error(NativeOrderState::SUB_ERROR_UNKNOWN_FIX_SESSION,
-                             fmt::format("Unknown FIX session: {}", session));
+                             "Could not route order");
          return;
       }
-
       // if we made it this far we are good.
-      me->routing_record = native_state.routing_record();
+      me->routing_record = rq.routing_record; 
+      *native_state.mutable_routing_record() = rq.routing_record;
+      
       if (me->state.status() != ORDER_STATUS_PENDING_WORKING)
          me->exchange_order_id = native_state.exchange_order_id();
       init_fix();

src/lib/orderman/orders/ICENativeOrder.cpp

@@ -215,13 +215,6 @@ api::orderman::OrderDefinition
 ICENativeOrder::on_init_from_exe_report(const ExecutionReport& er, const PreActivationOrderServices& os) 
 {
    auto k = er.order_key;
-   auto nextid = me->services->gen_id();
-   if(k.value() < nextid)
-   {
-      k = OrderKey(nextid);
-      LOG(OrderMan, Error, "Updating recovered order id with newly generated id {}", k.value());
-   }
-
    OrderRecord orecord;
    orecord.set_key(k.value());
    orecord.set_parent_key(null_order_key().value());

src/lib/orderman/orders/algo/algo_orders/CoverAlgo.cpp

@@ -18,6 +18,7 @@ struct CoverAlgo::PImpl {
    Price price_improvement_delta;
    bool cancel_on_external_hedge_cancel = false;
    bool cancel_hedges_on_cancel = false;
+   bool detach_hedges = false;
    ChildTemplate *child_template = nullptr;
    ChildTemplate *hedge_template = nullptr;
    Quantity hedged_fills = Quantity(0);
@@ -101,8 +102,12 @@ void CoverAlgo::on_covered_change(ChildState const &st) {
              me->price_improvement_delta);
 
          auto hedge =
-             algo().launch_child(*me->hedge_template, hedge_price, hedge_qty);
-         me->hedges.push_back(hedge);
+            algo().launch_child(*me->hedge_template, hedge_price, hedge_qty,
+                                !me->detach_hedges);
+         if (me->detach_hedges) 
+            algo().detach_child(hedge);
+         else
+            me->hedges.push_back(hedge);
 
          me->hedged_fills =
              Quantity(hedge_qty.value() + me->hedged_fills.value());
@@ -247,6 +252,7 @@ void CoverAlgo::update_definition(
    me->price_improvement_delta = Price(
        securities::tick_size(serv.security()).value() * cover.hedge_ticks());
    me->cancel_hedges_on_cancel = cover.cancel_hedges_on_cancel();
+   me->detach_hedges = cover.detach_hedges();
    me->cancel_on_external_hedge_cancel =
        cover.cancel_on_external_hedge_cancel();
 }

src/lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.cpp

@@ -0,0 +1,148 @@
+#include "lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.h"
+
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/utils/PBUtils.h"
+
+namespace bts {
+namespace orderman {
+
+using namespace api::orderman;
+
+struct DeleteAndCoverAlgo::PImpl{
+   IAlgoServices* algo_services = nullptr;
+   OrderDefinition order_def;
+   ChildTemplate* child_template = nullptr;
+   OrderKey child_key;
+};
+
+void copy_lean (LeanOrderDefinition& lean,
+                const DeleteAndCoverDefinition& dc){
+   lean.mutable_cross_threshold()->CopyFrom(dc.cross_threshold());
+   lean.set_max_chase_ticks(dc.max_chase_ticks());
+   switch(dc.trade_toward_behavior()){
+      case LeanOnToward::NO_CHANGE:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::NO_CHANGE);
+         break;
+      case LeanOnToward::CANCEL:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::CANCEL);
+         break;
+      case LeanOnToward::DETACH:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::DETACH);
+         break;
+      case LeanOnToward::REPRICE:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::REPRICE);
+         break;
+      default:
+         bts_assert(false);
+         break;
+   }
+}
+
+void copy_top(TopOrderDefinition& top,
+              const DeleteAndCoverDefinition& dc){
+   top.mutable_top_threshold()->CopyFrom(dc.top_threshold());
+   top.set_ticks_off(dc.ticks_off());
+}
+
+void copy_cover(CoverOrderDefinition& cover,
+                const DeleteAndCoverDefinition& dc){
+   cover.set_detach_hedges(true);
+   cover.set_hedge_ticks(dc.hedge_ticks());
+   cover.set_cancel_on_external_hedge_cancel(dc.cancel_on_external_hedge_cancel());
+   cover.set_cancel_hedges_on_cancel(dc.cancel_hedges_on_cancel());
+}
+
+DeleteAndCoverAlgo::DeleteAndCoverAlgo() : me(new PImpl()) {}
+DeleteAndCoverAlgo::~DeleteAndCoverAlgo() {}
+IAlgoServices &DeleteAndCoverAlgo::algo() const { return *me->algo_services; }
+
+// initialization /////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+OrderOpResult DeleteAndCoverAlgo::do_before_launch(IBeforeLaunchAlgoServices& serv) {
+   auto &def = serv.definition();
+   if(def.has_custom_def() && def.custom_def().has_delete_and_cover()){
+      const auto& dc = def.custom_def().delete_and_cover();
+      LOG(OrderMan, Info, "DeleteAndCoverAlgo do_before_launch args: {}",
+         utils::pb::to_string(dc));
+      // init child temp
+      me->order_def = serv.definition();
+      me->order_def.set_attach_target_order_key(null_order_key().value());
+      // Lean
+      LeanOrderDefinition lean;
+      copy_lean(lean,dc);      
+      lean.mutable_child()->mutable_limit()->MergeFrom (
+                                          LimitOrderDefinition());
+      // Top
+      TopOrderDefinition top;
+      copy_top(top,dc);
+      top.mutable_child()->mutable_limit()->MergeFrom (
+                                          LimitOrderDefinition());
+      // Cover
+      CoverOrderDefinition cover;
+      copy_cover(cover,dc);      
+      cover.mutable_child()->mutable_top()->MergeFrom (top);
+      cover.mutable_hedge()->mutable_lean()->CopyFrom(lean);
+      // put it all together
+      me->order_def.mutable_custom_def()->mutable_cover()->MergeFrom (cover);
+      me->child_template = &(serv.make_child_template(me->order_def));
+      return {};
+   }
+   else
+      return {OrderError::ORDER_ERROR_INVALID_PARAMETER,
+              std::string("Parameters are not well formed")};
+}
+void DeleteAndCoverAlgo::do_launch(IAlgoServices& algo) {
+   me->algo_services = &algo;
+   bts_assert(me->child_template);
+   me->child_key = algo.launch_child(*me->child_template, algo.price(), algo.quantity());   
+}
+void DeleteAndCoverAlgo::do_launch_attached(IAlgoServices& algo, 
+                                            OrderKey k, 
+                                            ChildState st) {
+   me->algo_services = &algo;
+   me->child_key = k;
+   on_child_change(k, st);
+}
+// updates ////////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+void DeleteAndCoverAlgo::do_update(const api::orderman::Update& u) {
+   LOG(OrderMan, Info, "DeleteAndCoverAlgo order {} receiving update: {}",
+       algo().order_key().value(), utils::pb::to_string(u));
+   if (u.has_custom() && u.custom().has_delete_and_cover()){
+      const auto& dc = u.custom().delete_and_cover();
+      copy_cover(*me->order_def.mutable_custom_def()->mutable_cover(),dc);
+      copy_lean(*me->order_def.mutable_custom_def()->mutable_cover()->mutable_hedge()->mutable_lean(),dc);
+      copy_top(*me->order_def.mutable_custom_def()->mutable_cover()->mutable_child()->mutable_top(),dc);
+      Update child_u = u;      
+      child_u.mutable_custom()->CopyFrom(me->order_def.custom_def());
+      child_u.set_order_key (me->child_key.value());// is this needed?
+      algo().update_child(me->child_key,child_u); 
+   }
+   else
+      LOG(OrderMan, Error, "DeleteAndCoverAlgo order {} Invalid update: {}",
+          algo().order_key().value(), utils::pb::to_string(u));
+}
+// callbacks //////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+
+void DeleteAndCoverAlgo::on_child_change(OrderKey, const ChildState &st) {
+   algo().update_fill_state(st.total_fills,st.last_price);
+   switch (st.status){
+      case ChildStatus::WORKING:
+         break;
+      case ChildStatus::CANCELED:         
+         algo().cancel();
+         break;
+      case ChildStatus::COMPLETED:
+         algo().complete();
+         break;
+   }
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.h

@@ -0,0 +1,28 @@
+#pragma once
+
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+
+namespace bts {
+namespace orderman {
+
+class ChildTemplate;
+
+class DeleteAndCoverAlgo : public IAlgoOrder {
+public:
+   DeleteAndCoverAlgo();
+   ~DeleteAndCoverAlgo();
+public:
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_launch_attached(IAlgoServices&, OrderKey, ChildState) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+private:
+   IAlgoServices &algo() const ;
+private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.cpp

@@ -0,0 +1,401 @@
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/utils/PBUtils.h"
+#include "lib/orderman/orders/algo/utils/DynamicOrderAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include <map>
+#include <limits>
+#include <iostream>
+#include <sstream>
+
+#define DEFAULT_LOG_LEVEL Info
+
+#define SUMMARIZE_TRANSACTION_BEGIN(id, type, ...) Summary __LOG_TRANS(this, id, Formatter::fmt(__VA_ARGS__), type, DEFAULT_LOG_LEVEL)
+
+#define SUMMARIZE_TRANSACTION(id, type) Summary __LOG_TRANS(this, id, "", type, DEFAULT_LOG_LEVEL)
+#define SUMMARIZE SUMMARIZE_TRANSACTION(__FUNCTION__, SummaryType::StatusChange)
+
+// define 'PRINT_SUMMARIES' to print all logs to the console
+// (assuming logs are made with the MSG/MSG_LEVEL macros)
+#ifdef PRINT_SUMMARIES
+#define _PRINT_MSG(x) std::cout << x << std::endl;
+#else
+#define _PRINT_MSG(x)
+#endif
+
+#define _MSG(level, msg)                                                    \
+   _PRINT_MSG(msg);                                                         \
+   LOG(OrderMan, level, "{}", msg)
+
+#define MSG_LEVEL(level, ...) _MSG(level, (Formatter::fmt(__VA_ARGS__)))
+// these automatically prepend log_header() to the args
+#define MSG(...) MSG_LEVEL(DEFAULT_LOG_LEVEL, log_header(), " ", __VA_ARGS__)
+#define DIAG(...) MSG_LEVEL(Diag, log_header(), " ", __VA_ARGS__)
+#define INFO(...) MSG_LEVEL(Info, log_header(), " ", __VA_ARGS__)
+#define WARN(...) MSG_LEVEL(Warn, log_header(), " ", __VA_ARGS__)
+#define ERROR(...) MSG_LEVEL(Error, log_header(), " ", __VA_ARGS__)
+
+namespace bts {
+namespace orderman {
+using namespace api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+using Adapter = bts::orderman::LimitCoverAdapter;
+
+namespace limit_cover {
+namespace utils {
+void init_delete_and_cover(OrderDefinition& target, const DeleteAndCoverDefinition& def) {
+   if (!target.has_custom_def())
+      *target.mutable_custom_def() = CustomOrderDefinition();
+   init_delete_and_cover(*target.mutable_custom_def(), def);
+}
+
+void init_delete_and_cover(CustomOrderDefinition& target, const DeleteAndCoverDefinition& def) {
+   if (!target.has_delete_and_cover()) {
+      *target.mutable_delete_and_cover() = DeleteAndCoverDefinition(def);
+   } else {
+      target.mutable_delete_and_cover()->CopyFrom(def);
+   }
+}
+
+void init_child_update(Update& target, uint32_t qty, double price, const DeleteAndCoverDefinition& def) {
+   target.set_quantity(qty);
+   target.set_price(price);
+   init_delete_and_cover(*target.mutable_custom(), def);
+}
+
+#define INVALID_DEF(x) OrderOpResult(api::orderman::ORDER_ERROR_INVALID_ORDER_DEFINITON, x)
+
+OrderOpResult validate_custom_def(const CustomOrderDefinition& custom_def) {
+   if (!custom_def.has_dynamic())
+      return INVALID_DEF("DynamicOrderDefinition is undefined");
+   return Adapter::validate_proto(custom_def.dynamic());
+}
+OrderOpResult validate_def(const OrderDefinition& def) {
+   if (def.attach_target_order_key() != 0) {
+      return INVALID_DEF("Attach not supported.");
+   } else if (def.has_custom_def()) {
+      return validate_custom_def(def.custom_def());
+   } else {
+      return INVALID_DEF("CustomOrderDefinition is undefined.");
+   }
+}
+
+OrderOpResult validate_update(const Update& upd) {
+   return upd.has_custom() ?
+      validate_custom_def(upd.custom()) : OrderOpResult();
+}
+} // namespace utils
+} // namespace limit_cover
+
+struct LimitCoverAlgo::PImpl {
+   IAlgoServices *algo = nullptr;
+   Status status = Status::WAITING_TO_DEPLOY;
+   OrderKey child_key = null_order_key();
+   double child_price = os::nan();
+   uint32_t child_qty = 0;
+   Book book;
+   uint32_t limit_volume = 0;
+   std::map<uint32_t, LimitCoverGate> gates;
+   double settlement = os::nan();
+   double price_offset_from_settle = 0;
+   double limit_price = os::nan();
+};
+
+struct LimitCoverAlgo::Summary {
+   Summary(LimitCoverAlgo* owner, std::string transaction_id, std::string begin_tag = {}, SummaryType type = SummaryType::StatusChange, log::Level level = DEFAULT_LOG_LEVEL)
+   : _owner(owner), _transaction_id(transaction_id), _original_status(owner->me->status), _type(type), _level(level) {
+      if (_owner != nullptr && !_transaction_id.empty()) {
+         std::stringstream str;
+         str << owner->log_header() << " begin " << transaction_id << ".";
+         if (!begin_tag.empty()) {
+            str << "  " << begin_tag << ".";
+         }
+         if (type == SummaryType::FullState) {
+            str << "  Algo State: " << _owner->fmt_state() << ".";
+         }
+         MSG_LEVEL(level, str.str());
+      }
+   }
+
+   ~Summary() {
+      std::stringstream msg_str;
+      if (!_transaction_id.empty()) {
+         msg_str << " end " << _transaction_id << ".";
+      }
+      switch (_type) {
+      case SummaryType::StatusChange:
+         if (_owner->me->status != _original_status)
+            msg_str << " Status changed from " << _original_status << " to " << _owner->me->status << ".";
+         break;
+      case SummaryType::FullState:
+         msg_str << "  Algo State: " << _owner->fmt_state() << ".";
+         break;
+      }
+      auto msg = msg_str.str();
+      if (!msg.empty()) {
+         MSG_LEVEL(_level, _owner->log_header(), msg);
+      }
+   }
+
+ private:
+   LimitCoverAlgo *_owner;
+   std::string _transaction_id;
+   Status _original_status;
+   SummaryType _type;
+   log::Level _level;
+};
+
+LimitCoverAlgo::LimitCoverAlgo() : me(new PImpl()) {}
+LimitCoverAlgo::~LimitCoverAlgo() {}
+
+OrderOpResult
+LimitCoverAlgo::do_before_launch(IBeforeLaunchAlgoServices &balgo) {
+   SUMMARIZE;
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   bts_assert(me->gates.empty());
+   auto vd = validate_def(balgo.definition());
+   if (vd.ok()) {
+      auto lcdef = Adapter::from_proto(balgo.definition());
+      me->price_offset_from_settle = lcdef.price_offset();
+      me->gates = lcdef.normal_gates();
+   }
+   return vd;
+}
+
+void LimitCoverAlgo::do_launch(IAlgoServices& algo) {
+   SUMMARIZE;
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   me->algo = &algo;
+   me->child_qty = algo.quantity().value();
+   algo.subscribe_book(SecurityKey(algo.security().id()));
+   algo.subscribe_settlement(SecurityKey(algo.security().id()));
+}
+
+void LimitCoverAlgo::do_update(Update const &upd) {
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::StatusChange, utils::pb::to_string(upd));
+   auto vup = validate_update(upd);
+   if (!vup.ok()) {
+      me->status = Status::DONE;
+      algo().terminate_error(Formatter::fmt("Invalid update: ", vup.error_msg, "."));
+      return;
+   }
+   if (upd.has_custom()) {
+      auto lcdef = Adapter::from_proto(upd.custom());
+      if (me->status == Status::WAITING_TO_DEPLOY) {
+         me->price_offset_from_settle = lcdef.price_offset();
+         recompute_limit_price();
+         recompute_limit_volume();
+      }
+      me->gates = lcdef.normal_gates();
+      if (me->status == Status::WORKING)
+         recompute_gate();
+   }
+   switch (me->status) {
+   case Status::WAITING_TO_DEPLOY:
+      try_deploy();
+      break;
+   case Status::WORKING: {
+      // don't change the child price; the price param is irrelevant to this algo.
+      if (upd.has_custom() || me->child_qty != upd.quantity())
+         update_child(upd.quantity());
+      break;
+   }
+   default:
+      break;
+   }
+}
+
+void LimitCoverAlgo::on_book(SecurityKey, Book const &b) {
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::StatusChange, "BBO: ", Formatter::to_string(b));
+   me->book = b;
+   recompute_limit_volume();
+   switch (me->status) {
+   case Status::WAITING_TO_DEPLOY:
+      try_deploy();
+      break;
+   case Status::WORKING: {
+      if (recompute_gate())
+         update_child(me->child_qty);
+      break;
+   }
+   default:
+      break;
+   }
+}
+
+void LimitCoverAlgo::update_child(uint32_t qty) {
+   bts_assert(me->algo != nullptr);
+   bts_assert(me->status == Status::WORKING);
+   me->child_qty = qty;
+   Update upd;
+   init_child_update(upd, qty, me->child_price, curr_gate().definition());
+   MSG("updating algo child: ", utils::pb::to_string(upd));
+   me->algo->update_child(me->child_key, upd);
+}
+
+void LimitCoverAlgo::on_child_change(OrderKey key, ChildState const& state) {
+   bts_assert(key == me->child_key);
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::FullState, "Child State: ", Formatter::to_string(state));
+   algo().update_fill_state(state.total_fills, state.last_price);
+   me->child_price = state.price.value();
+   switch (me->status) {
+   case Status::WORKING:
+      switch (state.status) {
+      case ChildStatus::WORKING:
+         break;
+      case ChildStatus::CANCELED: {
+         auto msg = Formatter::fmt("main child (", key, ") canceled unexpectedly.");
+         MSG(msg, ".  ", fmt_state());
+         me->status = Status::DONE;
+         algo().terminate_error(msg);
+         break;
+      }
+      case ChildStatus::COMPLETED:
+         me->status = Status::DONE;
+         algo().complete();
+         break;
+      }
+      break;
+   case Status::DONE:
+      break;
+   default:
+      bts_assert_msg(false, Formatter::fmt(log_header(), " unexpected status: ", me->status));
+      break;
+   }
+}
+
+void LimitCoverAlgo::on_settlement(SecurityKey, Price settlement) {
+   if (me->status == Status::WAITING_TO_DEPLOY) {
+      MSG("updating settlement from ", me->settlement, " to ", settlement);
+      me->settlement = settlement.value();
+      DIAG("recomputing limit price...");
+      recompute_limit_price();
+      DIAG("limit price is ", me->limit_price);
+      DIAG("recomputing limit volume...");
+      recompute_limit_volume();
+      DIAG("limit volume is ", me->limit_volume);
+      try_deploy();
+   } else {
+      MSG("ignored settlement update to ", settlement,
+         ": settlement updates are only processed while the algo is ", Status::WAITING_TO_DEPLOY,
+         ".  Settlement at time of deploy was ", me->settlement);
+   }
+}
+
+void LimitCoverAlgo::try_deploy() {
+   MSG("trying to deploy.  ", fmt_state());
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   bts_assert(me->algo != nullptr);
+   // this is probably redundant (better safe than sorry tho). 
+   bts_assert(me->child_key == null_order_key());
+   if (os::is_nan(me->settlement)) {
+      MSG("still waiting for settle.");
+   } else if (me->limit_volume < activation_threshold()) {
+      MSG("still waiting for limit volume (", me->limit_volume, ") to breech activation threshold (", activation_threshold(), ").");
+   } else {
+      bts_assert(!os::is_nan(me->limit_price));
+      recompute_gate();
+      OrderDefinition child_def;
+      bts_assert(!me->gates.empty());
+      child_def.CopyFrom(algo().definition());
+      init_delete_and_cover(child_def, curr_gate().definition());
+      bts_assert(child_def.custom_def().has_delete_and_cover());
+      MSG("deploying child order: ", utils::pb::to_string(child_def));
+      me->child_key = algo().launch_child(child_def, Price(me->limit_price), algo().quantity());
+      me->status = Status::WORKING;
+      algo().set_ladder_visibility(false);
+   }
+}
+
+template<class T>
+bool did_change(T& backing, T new_value) {
+   if (backing == new_value)
+      return false;
+   backing = new_value;
+   return true;
+}
+
+bool LimitCoverAlgo::recompute_gate() {
+   if (me->gates.empty())
+      return false;
+   auto orig_sz = me->gates.size();
+   auto it = me->gates.lower_bound(me->limit_volume);
+   if (it == me->gates.end() || (it != me->gates.begin() && it->first > me->limit_volume))
+      it--;
+   me->gates.erase(me->gates.begin(), it);
+   return me->gates.size() < orig_sz;
+}
+
+// limit price
+double LimitCoverAlgo::compute_limit_price() const {
+   return os::is_nan(me->settlement) ? os::nan() :
+      securities::improve_price(side(), Price(me->settlement), Price(me->price_offset_from_settle))
+      .value();
+}
+bool LimitCoverAlgo::recompute_limit_price() {
+   return did_change(me->limit_price, compute_limit_price());
+}
+
+// limit volume
+uint32_t LimitCoverAlgo::compute_limit_volume() const {
+   return me->algo == nullptr ? 0 :
+      BookUtils::volume_at_or_better(me->book, side(), me->limit_price);
+}
+bool LimitCoverAlgo::recompute_limit_volume() {
+   return did_change(me->limit_volume, compute_limit_volume());
+}
+
+// pseudo properties (const state accessors)
+IAlgoServices &LimitCoverAlgo::algo() const { return *me->algo; }
+
+api::Side LimitCoverAlgo::side() const {
+   return me->algo == nullptr ? api::SIDE_UNDEFINED : me->algo->definition().side();
+}
+
+const LimitCoverGate& LimitCoverAlgo::curr_gate() const {
+   bts_assert(!me->gates.empty());
+   return me->gates.begin()->second;
+}
+
+uint32_t LimitCoverAlgo::activation_threshold() const {
+   return me->gates.empty() ? std::numeric_limits<uint32_t>::max() : me->gates.begin()->first;
+}
+
+std::string LimitCoverAlgo::log_header() const {
+   std::stringstream ostr;
+   ostr << "LimitCoverAlgo";
+   if (me->algo != nullptr) {
+      ostr << "(" << me->algo->order_key().value() << ")";
+   }
+   ostr << "[" << fmt_status(me->status) << "]";
+   return ostr.str();
+}
+
+std::string LimitCoverAlgo::fmt_state() const {
+   std::stringstream ostr;
+   if (me->algo != nullptr) {
+      ostr << " [" << fmt_status(me->status) << "]"
+         << Formatter::to_string(side()) << " " << me->algo->quantity().value()
+         << " @ " << me->algo->price().value()
+         << " (" << me->price_offset_from_settle
+         << " away from settle).";
+      if (me->child_key != null_order_key()) {
+         ostr << "  Main child key: " << me->child_key << ", ";
+      }
+      ostr << " Settle: " << me->settlement
+         << ", Limit Price: " << me->limit_price
+         << ", BBO: " << Formatter::to_string(me->book);
+   } else {
+      ostr << "(initializing)";
+   }
+   return ostr.str();
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h

@@ -0,0 +1,94 @@
+#pragma once
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h"
+#include <map>
+
+namespace bts {
+namespace orderman {
+class LimitCoverAlgo : public IAlgoOrder {
+ public:
+   LimitCoverAlgo();
+   ~LimitCoverAlgo();
+
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_book(SecurityKey, Book const &) override;
+   void on_settlement(SecurityKey, Price settlement) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+
+   enum class Status {
+      WAITING_TO_DEPLOY,
+      WORKING,
+      DONE
+   };
+   using Status = bts::orderman::LimitCoverAlgo::Status;
+
+   enum SummaryType {
+      StatusChange,
+      FullState
+   };
+
+ private:
+   struct PImpl;
+   struct Summary;
+   std::unique_ptr<PImpl> me;
+
+   IAlgoServices &algo() const;
+   api::Side side() const;
+   std::string log_header() const;
+   std::string fmt_state() const;
+   // returns the first gate in gates (asserts that gates isn't empty).
+   // Note: after the child is deployed, gates with lower thresholds are
+   // removed when the limit volume passes the next gates' thresh.
+   const LimitCoverGate& curr_gate() const;
+   /// On the compute/recompute methods:
+   ///   compute_blah just returns the result (doesn't mutate any state),
+   ///   while recompute_blah assigns the result to the appropriate field,
+   ///   and returns a bool indicating whether or not the value changed.
+   // limit price
+   double compute_limit_price() const;
+   bool recompute_limit_price();
+   // limit volume
+   uint32_t compute_limit_volume() const;
+   bool recompute_limit_volume();
+   // recomputes the current gate (i.e., the one with the
+   // highest activation thresh that is still less than
+   // the limit volume) then removes all gates with lower threshs.
+   bool recompute_gate();
+   uint32_t activation_threshold() const;
+   //
+   void try_deploy();
+   void update_child(uint32_t qty);
+};
+
+namespace limit_cover {
+namespace utils {
+inline std::string fmt_status(LimitCoverAlgo::Status status) {
+   switch (status) {
+   case LimitCoverAlgo::Status::WAITING_TO_DEPLOY: return "WAITING_TO_DEPLOY";
+   case LimitCoverAlgo::Status::WORKING: return "WORKING";
+   case LimitCoverAlgo::Status::DONE: return "DONE";
+   default: return Formatter::fmt("STATUS_", static_cast<int>(status));
+   }
+}
+void init_delete_and_cover(api::orderman::OrderDefinition& target, const api::orderman::DeleteAndCoverDefinition& def);
+void init_delete_and_cover(api::orderman::CustomOrderDefinition& target, const api::orderman::DeleteAndCoverDefinition& def);
+void init_child_update(api::orderman::Update& target, uint32_t qty, double price, const api::orderman::DeleteAndCoverDefinition& def);
+OrderOpResult validate_def(const api::orderman::OrderDefinition&);
+OrderOpResult validate_custom_def(const api::orderman::CustomOrderDefinition&);
+OrderOpResult validate_update(const api::orderman::Update&);
+} // namespace utils
+} // namespace limit_cover
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverAlgo::Status& status) {
+   ostr << limit_cover::utils::fmt_status(status);
+   return ostr;
+}
+
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/RegisterDorman.cpp

@@ -3,6 +3,8 @@
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/logging/logging.h"
 #include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
 #include "lib/config/protos/toggles.pb.h"
 #include "lib/config/config.h"
 #include "DormanAlgo.h"
@@ -203,6 +205,13 @@ extern "C" void init_tas_plugin(bts::SparkServices& srv) {
    srv.register_dynamic_algo_order(tas_desc, []() { return std::make_unique<orderman::TASAlgo>(); });
 }
 
+extern "C" void init_limit_cover(bts::SparkServices & srv) {
+   DynamicOrderDescriptor lc_desc;
+   lc_desc.set_dynamic_order_type("LimitCover");
+   LimitCoverAdapter::define_proto(lc_desc);
+   srv.register_dynamic_algo_order(lc_desc, []() { return std::make_unique<orderman::LimitCoverAlgo>(); });
+}
+
 extern "C" void init_spark_plugin(bts::SparkServices &srv) {
    auto& dyn_algo_config = config::get<config::toggles::DynamicAlgos>();
    if(dyn_algo_config.enable_dorman())
@@ -213,6 +222,8 @@ extern "C" void init_spark_plugin(bts::SparkServices &srv) {
       init_tas_plugin(srv);
    if(dyn_algo_config.enable_tascounter())
       init_tascounter_plugin(srv);
+   if (dyn_algo_config.enable_limit_cover())
+      init_limit_cover(srv);
 }
 
-}}}
+}}}

src/lib/orderman/orders/algo/algo_orders/TASCounterAlgo.cpp

@@ -1,16 +1,4 @@
-// TODO
-// put settle time data in the input (X)
-// better names (X)
-// at end of settle, order should dettach and complete (X)
-// order going out logic (X)
-// settlement compute logic (X)
-// actual publish (X)
-// no PTime
-// check settle calc (X)
-// check order shooting logic
-
 #include "lib/orderman/orders/algo/algo_orders/TASCounterAlgo.h"
-
 #include "lib/domain_model/Security.h"
 #include "lib/orderman/order_factory/IOrderFactory.h"
 #include "lib/orderman/orderman_utils/Book.h"

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.cpp

@@ -0,0 +1,152 @@
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/OrderOpResult.h"
+#include "lib/orderman/orders/algo/utils/DynamicOrderAdapter.h"
+#include <utility>
+
+namespace bts {
+namespace orderman {
+template<typename T>
+using Param = bts::orderman::dynamic_adapter::ParamKey<bts::orderman::LimitCoverDefinition, T>;
+using DynamicOrderEnumerated = bts::api::orderman::DynamicOrderEnumerated;
+using OnToward = bts::api::orderman::LeanOnToward;
+using LimitCoverDefinition = bts::orderman::LimitCoverDefinition;
+using namespace bts::api::orderman;
+#define ON_TOWARD_NAME_PAIR(x) std::make_pair(x, #x)
+
+template<uint32_t gate_num>
+std::string gate_param_name(std::string name) {
+   return Formatter::fmt("Gate ", gate_num, " ", name);
+}
+
+template<>
+std::string gate_param_name<0>(std::string name) {
+   return Formatter::fmt("Initial ", name);
+}
+
+struct PriceOffset : public Param<double> {
+   PriceOffset() : Param<double>(std::string("Limit"),
+      [](const LimitCoverDefinition& def) { return def.price_offset(); },
+      [](LimitCoverDefinition& def, double v) { def.price_offset(v); }) {}
+};
+
+template<uint32_t gate_num>
+struct ActivationThreshold : public Param<uint32_t> {
+   ActivationThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Activation Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).activation_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).activation_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct CoverThreshold : public Param<uint32_t> {
+   CoverThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Cover Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).cover_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).cover_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct DeleteThreshold : public Param<uint32_t> {
+   DeleteThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Delete Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).delete_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).delete_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct HedgeTicks : public Param<uint32_t> {
+   HedgeTicks() : Param<uint32_t>(gate_param_name<gate_num>("Hedge Ticks"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).hedge_ticks(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).hedge_ticks(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct TopTicksOff : public Param<uint32_t> {
+   TopTicksOff() : Param<uint32_t>(gate_param_name<gate_num>("Top Ticks Offset"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).top_ticks_offset(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).top_ticks_offset(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct MaxChaseTicks : public Param<uint32_t> {
+   MaxChaseTicks() : Param<uint32_t>(gate_param_name<gate_num>("Max Chase Ticks"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).max_chase_ticks(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).max_chase_ticks(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct TradeTowardBehavior : public dynamic_adapter::EnumParamKey<LimitCoverDefinition, OnToward> {
+   TradeTowardBehavior() : EnumParamKey<LimitCoverDefinition, OnToward>(
+      gate_param_name<gate_num>("Trade Toward Behavior"), {
+         ON_TOWARD_NAME_PAIR(NO_CHANGE),
+         ON_TOWARD_NAME_PAIR(CANCEL),
+         ON_TOWARD_NAME_PAIR(DETACH),
+         ON_TOWARD_NAME_PAIR(REPRICE)
+      },
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).on_toward(); },
+      [](LimitCoverDefinition& def, OnToward v) { def.mgate(gate_num).on_toward(v); })
+    {}
+};
+
+template<>
+struct ActivationThreshold<0> : public Param<uint32_t> {
+   ActivationThreshold() : Param<uint32_t>(std::string("Entry Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(0).activation_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) {
+         auto& g = def.mgate(0);
+         g.activation_threshold(v);
+         g.cover_threshold(v);
+         g.delete_threshold(v);
+      }) {}
+};
+
+using Adapter = dynamic_adapter::DynamicOrderAdapter<LimitCoverDefinition,
+   PriceOffset,
+   // [gate 0]
+   ActivationThreshold<0>,
+   HedgeTicks<0>,
+   TopTicksOff<0>,
+   MaxChaseTicks<0>,
+   TradeTowardBehavior<0>,
+   // gate 1
+   ActivationThreshold<1>,
+   CoverThreshold<1>,
+   DeleteThreshold<1>,
+   HedgeTicks<1>,
+   TopTicksOff<1>,
+   MaxChaseTicks<1>,
+   TradeTowardBehavior<1>,
+   // gate 2
+   ActivationThreshold<2>,
+   CoverThreshold<2>,
+   DeleteThreshold<2>,
+   HedgeTicks<2>,
+   TopTicksOff<2>,
+   MaxChaseTicks<2>,
+   TradeTowardBehavior<2>>;
+
+LimitCoverDefinition LimitCoverAdapter::from_proto(const api::orderman::OrderDefinition& order) {
+   if (order.has_custom_def())
+      return from_proto(order.custom_def());
+   return LimitCoverDefinition();
+}
+LimitCoverDefinition LimitCoverAdapter::from_proto(const api::orderman::CustomOrderDefinition& custom_def) {
+   LimitCoverDefinition rv;
+   if (custom_def.has_dynamic())
+      Adapter().from_proto(custom_def.dynamic(), rv);
+   return rv;
+}
+
+#define INVALID_DEF(x) OrderOpResult(api::orderman::ORDER_ERROR_INVALID_ORDER_DEFINITON, x)
+
+OrderOpResult LimitCoverAdapter::validate_proto(const api::orderman::DynamicOrderDefinition& dyn) {
+   return Adapter().validate_proto(dyn) ?
+      OrderOpResult() :
+      INVALID_DEF("One or more dynamic parameters are missing or invalid.");
+}
+void LimitCoverAdapter::init_proto(const LimitCoverDefinition& def, api::orderman::DynamicOrderDefinition& dyn) {
+   Adapter().to_proto(dyn, def);
+}
+
+void LimitCoverAdapter::define_proto(api::orderman::DynamicOrderDescriptor& desc) {
+   Adapter().define_proto(desc);
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h

@@ -0,0 +1,15 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+
+namespace bts {
+namespace orderman {
+struct LimitCoverAdapter {
+   static LimitCoverDefinition from_proto(const api::orderman::OrderDefinition& order);
+   static LimitCoverDefinition from_proto(const api::orderman::CustomOrderDefinition& custom_def);
+   static OrderOpResult validate_proto(const api::orderman::DynamicOrderDefinition& order);
+   static void init_proto(const LimitCoverDefinition& def, api::orderman::DynamicOrderDefinition& dyn);
+   static void define_proto(api::orderman::DynamicOrderDescriptor& desc);
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h

@@ -0,0 +1,71 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include <ostream>
+#include <map>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace limit_cover {
+// The exclusive maximum number of gates.
+// Note: the limit cover spec called for 3 gates (2 gates explicitly,
+// plus an initial activation threshold, which is treated as another gate).
+const uint32_t max_num_gates = 4;
+}
+struct LimitCoverDefinition {
+   // price offset
+   double price_offset() const {
+      return _price_offset;
+   }
+   void price_offset(double value) {
+      _price_offset = value;
+   }
+
+   LimitCoverGate gate(uint32_t index) const {
+      return _gate_or_default(index);
+   }
+   LimitCoverGate& mgate(uint32_t index) {
+      return _ensure_gate(index);
+   }
+   void gate(uint32_t index, LimitCoverGate value) {
+      _ensure_gate(index) = value;
+   }
+
+   // The original LimitAlgo spec called for an initial activation thresh, and 2 gates
+   // (fyi a gate has 3 members: activation thresh, cover thresh, and delete thresh).
+   // The initial activation thresh serves as the initial cover, and delete threshes as well.
+   // In this sense, the activation threshold can be considered as an 'initial gate' itself.
+   // 'normal_gates' does just that: returns a map of both gates plus the 'initial gate.'
+   std::map<uint32_t, LimitCoverGate> normal_gates() const {
+      std::map<uint32_t, LimitCoverGate> m;
+      for (auto g : _gates)
+         m.insert(std::make_pair(g.activation_threshold(), g));
+      return m;
+   }
+private:
+   double _price_offset;
+   std::vector<LimitCoverGate> _gates;
+
+   LimitCoverGate& _ensure_gate(uint32_t index) {
+      bts_assert(index < limit_cover::max_num_gates);
+      while (_gates.size() <= index)
+         _gates.push_back(LimitCoverGate());
+      return _gates[index];
+   }
+
+   LimitCoverGate _gate_or_default(uint32_t index) const {
+      return _gates.size() > index ? _gates[index] : LimitCoverGate();
+   }
+};
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverDefinition& lcd) {
+   auto ngates = lcd.normal_gates();
+   ostr << "Price Offset: " << lcd.price_offset()
+        << ", Activation Thresh: " << lcd.gate(0).activation_threshold()
+        << ", Gates: " << Formatter::fmt_values(ngates);
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h

@@ -0,0 +1,87 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/utils/PBUtils.h"
+#include <ostream>
+
+namespace bts {
+namespace orderman {
+struct LimitCoverGate {
+   LimitCoverGate() : LimitCoverGate(0, 0, 0) {}
+
+   LimitCoverGate(const LimitCoverGate& other)
+      : _activation_threshold(other._activation_threshold), _definition(other._definition) {}
+
+   LimitCoverGate(uint32_t activation_thresh, uint32_t cover_thresh, uint32_t delete_thresh)
+      : _activation_threshold(activation_thresh), _definition() {
+      cover_threshold(cover_thresh);
+      delete_threshold(delete_thresh);
+   }
+
+   // activation threshold
+   uint32_t activation_threshold() const { return _activation_threshold; }
+   void activation_threshold(uint32_t value) { _activation_threshold = value; }
+
+   // cover threshold
+   uint32_t cover_threshold() const {
+      return _definition.has_cross_threshold() ? _get_absolute(_definition.cross_threshold()) : 0;
+   }
+   void cover_threshold(uint32_t value) {
+      if (!_definition.has_cross_threshold()) {
+         *_definition.mutable_cross_threshold() = bts::spark::QuantityMeasure();
+      }
+      _definition.mutable_cross_threshold()->set_absolute(value);
+   }
+
+   // delete threshold
+   uint32_t delete_threshold() const {
+      return _definition.has_top_threshold() ? _get_absolute(_definition.top_threshold()) : 0;
+   }
+   void delete_threshold(uint32_t value) {
+      if (!_definition.has_top_threshold()) {
+         *_definition.mutable_top_threshold() = bts::spark::QuantityMeasure();
+      }
+      _definition.mutable_top_threshold()->set_absolute(value);
+   }
+   
+   // hedge ticks
+   uint32_t hedge_ticks() const { return _definition.hedge_ticks(); }
+   void hedge_ticks(uint32_t value) { _definition.set_hedge_ticks(value); }
+   // top ticks offset
+   uint32_t top_ticks_offset() const { return _definition.ticks_off(); }
+   void top_ticks_offset(uint32_t value) { _definition.set_ticks_off(value); }
+   // max chase ticks
+   uint32_t max_chase_ticks() const { return _definition.max_chase_ticks(); }
+   void max_chase_ticks(uint32_t value) { _definition.set_max_chase_ticks(value); }
+   // on toward
+   api::orderman::LeanOnToward on_toward() const { return _definition.trade_toward_behavior(); }
+   void on_toward(api::orderman::LeanOnToward value) { _definition.set_trade_toward_behavior(value); }
+   // definition
+   const api::orderman::DeleteAndCoverDefinition& definition() const { return _definition; }
+   api::orderman::DeleteAndCoverDefinition& mdefinition() { return _definition; }
+   void definition(api::orderman::DeleteAndCoverDefinition value) { _definition = value; }
+
+   api::orderman::CustomOrderDefinition custom_def() const {
+      api::orderman::CustomOrderDefinition cod;
+      *(cod.mutable_delete_and_cover()) = definition();
+      return cod;
+   }
+   void custom_def(const api::orderman::CustomOrderDefinition &cod) {
+      if (cod.has_delete_and_cover())
+         definition(cod.delete_and_cover());
+   }
+private:
+   uint32_t _activation_threshold;
+   api::orderman::DeleteAndCoverDefinition _definition;
+
+   static inline uint32_t _get_absolute(spark::QuantityMeasure qty_measure, uint32_t fallback_value = 0) {
+      return qty_measure.quantity_case() == spark::QuantityMeasure::kAbsolute ? qty_measure.absolute() : fallback_value;
+   }
+};
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverGate& g) {
+   ostr << "Activation Thresh: " << g.activation_threshold() << ", Definition: " << utils::pb::to_string(g.custom_def());
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.cpp

@@ -71,9 +71,11 @@ struct AlgoTestDriverBase::Impl : public RecursionCounter {
    bool sub_position = false;
 
    // Callbacks
-   std::vector<std::function<void(OrderKey)>> on_child_launching;
+   std::vector<std::function<void(OrderKey, Quantity, Price)>> on_child_launching;
    std::vector<std::function<void(const ChildOrder&)>> on_child_changing;
    std::vector<std::function<void(const ChildOrder&, const ChildOrder&)>> on_child_changed;
+   // runs after the child change has been forwarded to the underlying algo.
+   std::vector<std::function<void(const ChildOrder&, const ChildOrder&)>> after_child_changed;
    bool allow_overfill = false;
 
    Impl(IAlgoOrder& o) : algo(o) {}
@@ -206,6 +208,20 @@ const std::vector<ChildOrder>& AlgoTestDriverBase::child_orders() const {
    return me->orders;
 }
 
+// This method asserts that the child exists.  If the need arises for an
+// optional return, leave this method as is, and add a 'try_find_child' method.
+// These are tests, so it's reasonable to assume the caller is certain about
+// the existence of the child it seeks.
+const ChildOrder& AlgoTestDriverBase::find_child(OrderKey key) const {
+   for (auto& c : me->orders) {
+      if (c.key == key)
+         return c;
+   }
+   REQUIRE(false);
+   bts_assert(false);
+   return me->orders.front();
+}
+
 const std::vector<ChildOrder>& AlgoTestDriverBase::detached_orders() const {
    return me->detached_orders;
 }
@@ -237,6 +253,7 @@ void AlgoTestDriverBase::fill(OrderKey k, Price price, Quantity qty) {
          for (const auto& cb : me->on_child_changed) cb(old, child);
          // No defer because this is called from outside
          if (child.subscribed)  me->algo.on_child_change(k, child.cstate);
+         for (const auto& cb : me->after_child_changed) cb(old, child);
          break;
       }
    }
@@ -273,7 +290,7 @@ void AlgoTestDriverBase::fill(Price p, Quantity q) {
    }
 }
 
-void AlgoTestDriverBase::on_child_launching(std::function<void(OrderKey)>&& cb) {
+void AlgoTestDriverBase::on_child_launching(std::function<void(OrderKey, Quantity, Price)>&& cb) {
    me->on_child_launching.push_back(cb);
 }
 void AlgoTestDriverBase::on_child_changing(std::function<void(const ChildOrder&)>&& cb) {
@@ -282,18 +299,21 @@ void AlgoTestDriverBase::on_child_changing(std::function<void(const ChildOrder&)
 void AlgoTestDriverBase::on_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&& cb) {
    me->on_child_changed.push_back(cb);
 }
-   
+void AlgoTestDriverBase::after_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&& cb) {
+   me->after_child_changed.push_back(cb);
+}
 bool AlgoTestDriverBase::allow_overfill() const { return me->allow_overfill; }
 void AlgoTestDriverBase::allow_overfill(bool value) { me->allow_overfill = value; }
 
 //
 // Utility
 
-ChildOrder mkchild(OrderKey key, Price price, Quantity qty, bool sub) {
+ChildOrder mkchild(OrderKey key, Price price, Quantity qty, bool sub, ChildStatus status = ChildStatus::WORKING) {
    ChildOrder result = {};
    result.key = key;
    result.cstate.price = price;
    result.cstate.quantity = qty;
+   result.cstate.status = status;
    result.subscribed = sub;
    return result;
 }
@@ -407,7 +427,7 @@ OrderKey AlgoTestDriverBase::launch_child(ChildTemplate&, Price price, Quantity
    OrderKey key = me->next_order();
    me->orders.push_back(
       mkchild(key, price, qty, sub));
-   for(const auto& cb : me->on_child_launching) cb(key);
+   for(const auto& cb : me->on_child_launching) cb(key, qty, price);
    return key;
 }
 OrderKey AlgoTestDriverBase::launch_child(api::orderman::OrderDefinition const & def, Price price, Quantity qty, bool sub) {
@@ -415,7 +435,7 @@ OrderKey AlgoTestDriverBase::launch_child(api::orderman::OrderDefinition const &
    me->orders.push_back(
       mkchild(key, price, qty, sub));
    me->orders.back().def = {def};
-   for(const auto& cb : me->on_child_launching) cb(key);
+   for(const auto& cb : me->on_child_launching) cb(key, qty, price);
    return key;
 }
 void AlgoTestDriverBase::update_child(OrderKey key, api::orderman::Update const & update) {

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h

@@ -61,6 +61,8 @@ class AlgoTestDriverBase : private IAlgoServices {
    Quantity total_fills() const override;
    bool is_shutting_down() const override;
    std::vector<PositionUpdate> const & current_positions() const override;
+   void update_child(OrderKey , api::orderman::Update const &) override; 
+   void cancel_child(OrderKey) override; 
    //
    // Change state
 
@@ -79,6 +81,7 @@ class AlgoTestDriverBase : private IAlgoServices {
    //
    // Inspection methods
    const std::vector<ChildOrder>& child_orders() const;
+   const ChildOrder& find_child(OrderKey) const;
    const std::vector<ChildOrder>& detached_orders() const;
    AlgoState state() const;
 
@@ -87,10 +90,11 @@ class AlgoTestDriverBase : private IAlgoServices {
    // Fill this quantity, start with the largest child order
    void fill(Price, Quantity);
 
-   void on_child_launching(std::function<void(OrderKey)>&&);
+   void on_child_launching(std::function<void(OrderKey, Quantity, Price)>&&);
    void on_child_changing(std::function<void(const ChildOrder&)>&&);
    void on_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&&);
-   
+   void after_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&&);
+
    //
    // Tweak internal REQUIRE 
    bool allow_overfill() const;
@@ -130,8 +134,6 @@ private:
    OrderKey launch_child(ChildTemplate &, Price, Quantity, bool) override;
    OrderKey launch_child(api::orderman::OrderDefinition const &, Price,
                          Quantity, bool) override;
-   void update_child(OrderKey , api::orderman::Update const &) override; 
-   void cancel_child(OrderKey) override; 
    void detach_child(OrderKey) override;
    void detach_all_children() override;
 
@@ -157,4 +159,17 @@ struct AlgoTestDriver : public AlgoTestDriverBase
    const Algo& algo() const { return _algo; }
 };
 
+inline std::ostream& operator <<(std::ostream& ostr, const AlgoState& state) {
+   switch (state) {
+   case AlgoState::CREATED: ostr << "CREATED"; break;
+   case AlgoState::READY: ostr << "READY"; break;
+   case AlgoState::RUNNING: ostr << "RUNNING"; break;
+   case AlgoState::CANCELED: ostr << "CANCELED"; break;
+   case AlgoState::TERMINATED: ostr << "TERMINATED"; break;
+   case AlgoState::COMPLETED: ostr << "COMPLETED"; break;
+   default: ostr << "AlgoState_" << static_cast<int>(state); break;
+   }
+   return ostr;
+}
+
 }}}//namespace

src/lib/orderman/orders/algo/algo_orders/tests/LimitCoverTests.cpp

@@ -0,0 +1,196 @@
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h"
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orderman_utils/PriceComp.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/utils/PBUtils.h"
+#include <iostream>
+#include <functional>
+#include <optional>
+#include <array>
+#include <random>
+#include <variant>
+#include <cmath>
+
+// for some reason, intellisense poops its pants without 'using namespace std.'
+// std::optional<T>, and std::unordered_map<T>, in particular, break intellisense for the whole document.
+using namespace std;
+using namespace bts::api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+//#define PRINT_SUMMARIES
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+// Glossary:
+//   * limit-price:
+//       The price at which the main child is deployed (computed as a tick offset from the settlement).
+//   * limit-volume:
+//       The same-side market volume at or better than the limit price.
+//       This is recomputed whenever the book changes (obviously).
+//   * volume-gate:
+//      * volume-gate: a simple struct with 3 fields:
+//          1) activation_threshold (uint)
+//          2) cover_threshold (uint) must be <= activation_thresh
+//          3) delete_threshold (uint) must be <= activation_thresh
+//      * current-volume-gate:
+//          The volume gate with the highest activation threshold that is still
+//          <= the limit-volume. This is recomputed whenever the book changes
+//          (obviously).
+//      * volume-gates:
+//          A series of volume gates, sorted by 'activation_threshold.'
+//          Initially, the current-volume-gate is one with the lowest activation threshold.
+//          The main child is not deployed until the limit-volume reaches that threshold.
+//          After that, the algo continues to observe the limit-volume, removing gates with lower
+//          thresholds when the volume breeches the next gate's thresh.
+
+// Test Assertions:
+//   * child is not launched until the limit-volume reaches the initial activation threshold.
+//   * limit-volume is always correct (verify whenever the book changes).
+//   * current-volume-gate is always correct (verify whenever the book changes).
+
+// Test Design:
+//    * expectations of the limit cover algo's state are stored in an instance of 'LimitCoverState.'
+//      The actual LimitCoverAlgo does not use this class; the tests just use it as a means
+//      to validate the actual LimitCoverAlgo's state, and to wrap calls to the LimitCoverAlgo
+//      with validation checks.
+
+//    * each test implementation should be executed 6 times:
+//      2 x 3 = test both sides, with each of the following termination steps:
+//         1) Fill to completion
+//         2) Cancel the algo
+//         3) Cancel the child
+
+//    * Restrictions on the parameters:
+//        - the spec explicitly called for 3 volume gates, and specified that the 3 thresholds
+//          (activation, cover, and delete) be the same for the first gate
+//          (technically, the spec described 2 gates and an 'entry threshold').
+//        - the algo should immediately cancel itself if these parameters are not the case.
+//          while it would most likely not cause a problem, these assumptions allow the tests to focus
+//          on a narrow range of inputs (and of course, such restrictions naturally decrease the
+//          chance of a bug slipping through).
+
+LimitCoverState init_state(
+   OrderDefinition& mdef,
+   Side side,
+   uint32_t quantity,
+   double price,
+   double price_offset,
+   std::vector<LimitCoverGate> gates,
+   bool cancel_hedges_on_cancel = true,
+   bool cancel_on_external_hedge_cancel = false) {
+   //
+   REQUIRE(!gates.empty());
+   for (auto& g : gates) {
+      g.mdefinition().set_cancel_hedges_on_cancel(cancel_hedges_on_cancel);
+      g.mdefinition().set_cancel_on_external_hedge_cancel(cancel_on_external_hedge_cancel);
+   }
+   LimitCoverDefinition lc_def;
+   lc_def.price_offset(price_offset);
+   uint32_t gate_pos = 0;
+   for (auto g : gates) {
+      lc_def.gate(gate_pos++, g);
+   }
+   DynamicOrderDefinition dyn_def;
+   LimitCoverAdapter::init_proto(lc_def, dyn_def);
+   *(mdef.mutable_custom_def()->mutable_dynamic()) = dyn_def;
+   mdef.set_side(side);
+   return LimitCoverState(mdef, quantity, price);
+}
+
+template<typename... Steps>
+inline void test_impl(Side side, uint32_t qty, double price_offset, double settle, std::vector<LimitCoverGate> gates, Steps... steps) {
+   std::cout << std::endl << std::endl;
+   std::cout << "*************************************************************************************************************************" << std::endl;
+   std::cout << "=========================================================================================================================" << std::endl;
+   int step_count = 1;
+   std::cout << "Test " << "[" << Formatter::to_string(side) << " Order]" << std::endl << "\t1. "
+             << Formatter::join([&]() {
+                   return Formatter::fmt("\n\t", ++step_count, ". ");
+                }, steps...)
+             << std::endl;
+   std::cout << "=========================================================================================================================" << std::endl;
+   std::cout << "*************************************************************************************************************************" << std::endl;
+   std::cout << std::endl;
+   OrderDefinition def;
+   // price is irrelevant
+   auto state = init_state(def, side, qty, -99999, price_offset, gates);
+   state.settlement(settle);
+   (steps.execute(state), ...);
+}
+
+template<typename... Steps>
+inline void test_permutations(
+   uint32_t qty,
+   double settle,
+   std::vector<LimitCoverGate> gates,
+   Steps... steps) {
+   std::vector<double> price_offsets { 0.0, 0.75, 1.25, -0.75, -1.25 };
+   for (auto po : price_offsets) {
+      // complete
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::Complete());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::Complete());
+      // cancel child
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::CancelChild());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::CancelChild());
+      // cancel algo
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::CancelAlgo());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::CancelAlgo());
+   }
+}
+
+TEST_CASE("test_activation_thresholds.", "[algo][limit_cover]") {
+   SECTION("Activate 1st gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh());
+   }
+   SECTION("Activate 1st then 2nd gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh(),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 8); }),
+         test_steps::BreechActivationThresh(),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 2); }),
+         test_steps::BreechActivationThresh());
+   }
+   SECTION("Activate 2nd gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh(1, 1),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 8); }));
+   }
+}
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.cpp

@@ -0,0 +1,199 @@
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include "catch/catch.hpp"
+#include "lib/domain_model/Security.h"
+#include "lib/md/IntPrice.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+
+#define VALIDATE Validation __VALIDATION(this)
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+using namespace std;
+using namespace bts::api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+using Size = bts::md::Size;
+using Side = bts::api::Side;
+
+   LimitCoverState::LimitCoverState(
+      const OrderDefinition& def,
+      uint32_t quantity,
+      double price)
+      : driver(def, int_price(price), Quantity(quantity)), _definition(def), _gates(), _book(SecurityKey(security().id())) {
+      auto ngs = limit_cover().normal_gates();
+      _gates.insert(ngs.begin(), ngs.end());
+      // attach callbacks
+      driver.on_child_launching([&](OrderKey key, Quantity child_qty, Price child_price) {
+         // should never deploy twice
+         REQUIRE(_child == null_order_key());
+         REQUIRE(key != null_order_key());
+         _child = key;
+         // qty should match the algo's, but price must be the limit price
+         // (the algo's price is irrelevant)
+         REQUIRE(child_qty.value() == driver.quantity().value());
+         REQUIRE(child_price.value() == limit_price());
+         // todo: verify delete and cover def matches the current gate
+         //REQUIRE(child_def.custom_def().delete_and_cover())
+         REQUIRE(limit_volume() >= activation_threshold());
+      });
+      driver.on_child_changed([&](const ChildOrder&, const ChildOrder& new_state) {
+         REQUIRE(new_state.key == _child);
+         REQUIRE(new_state.def.has_value());
+         REQUIRE(new_state.def.value().has_custom_def());
+         REQUIRE(new_state.def.value().custom_def().has_delete_and_cover());
+      });
+      driver.after_child_changed([&](const ChildOrder&, const ChildOrder& new_state) {
+         REQUIRE(driver.total_fills().value() == new_state.cstate.total_fills.value());
+      });
+   }
+
+   uint32_t LimitCoverState::quantity() const {
+      return driver.quantity().value();
+   }
+   double LimitCoverState::price() const {
+      return driver.price().value();
+   }
+   const api::Security& LimitCoverState::security() const {
+      return driver.security();
+   }
+   const bts::api::orderman::OrderDefinition& LimitCoverState::def() const {
+      return _definition;
+   }
+   LimitCoverDefinition LimitCoverState::limit_cover() const {
+      return LimitCoverAdapter::from_proto(def());
+   }
+   uint32_t LimitCoverState::limit_volume() const {
+      return _limit_volume;
+   }
+   double LimitCoverState::limit_price() const {
+      return _limit_price;
+   }
+   OrderKey LimitCoverState::child() const {
+      return _child;
+   }
+   optional<ChildOrder> LimitCoverState::child_state() const {
+      if (has_been_deployed()) {
+         return ChildOrder(*driver.child_orders().begin());
+      }
+      return {};
+   }
+   void LimitCoverState::update_child(const Update& u) {
+      driver.update_child(child(), u);
+   }
+   bool LimitCoverState::has_been_deployed() const {
+      return _child != null_order_key();
+   }
+   bool LimitCoverState::is_terminated() const {
+      switch (driver.state()) {
+      case AlgoState::CANCELED:
+      case AlgoState::TERMINATED:
+         return true;
+      default:
+         return false;
+      }
+   }
+   const std::map<uint32_t, LimitCoverGate>& LimitCoverState::gates() const {
+      return _gates;
+   }
+   const LimitCoverGate& LimitCoverState::curr_gate() const {
+      REQUIRE(!gates().empty());
+      return gates().begin()->second;
+   }
+   uint32_t LimitCoverState::activation_threshold() const {
+      return gates().empty() ? std::numeric_limits<uint32_t>::max() : gates().begin()->first;
+   }
+   // settlement
+   double LimitCoverState::settlement() const { return _settlement; }
+   void LimitCoverState::settlement(double value) {
+      VALIDATE;
+      // the algo is not supposed to disregard settlement changes
+      // after the child has been deployed
+      if (!has_been_deployed()) {
+         _settlement = value;
+         recompute_all();
+      }
+      driver.update_settlement(SecurityKey(security().id()), Price(value));
+   }
+
+   // book
+   const Book& LimitCoverState::book() const { return _book; }
+   void LimitCoverState::book(Book value) {
+      VALIDATE;
+      _book = value;
+      recompute_all();
+      driver.update_book(value);
+   }
+
+   OrderOpResult LimitCoverState::before_launch() {
+      _gates.clear();
+      auto ngs = limit_cover().normal_gates();
+      _gates.insert(ngs.begin(), ngs.end());
+      return driver.before_launch();
+   }
+   void LimitCoverState::launch() {
+      VALIDATE;
+      _is_initialized = true;
+      recompute_all();
+      driver.launch();
+   }
+   void LimitCoverState::do_update(const Update& upd) {
+      REQUIRE(!is_terminated());
+      // updates should not affect the child's price (after it has been launched).
+      // this is bc the literal 'price' parameter is irrelevant to this algo,
+      // for all intents and purposes, its price is the tick offset from settlement. 
+      auto upd_valid = validate_update(upd);
+      // keep definition in sync with update
+      if (upd.has_custom() && upd_valid.ok()) {
+         *(_definition.mutable_custom_def()) = upd.custom();
+      }
+      driver.do_update(upd);
+      if (upd_valid.ok()) {
+         recompute_all();
+      } else {
+         REQUIRE(driver.state() == AlgoState::TERMINATED);
+      }
+   }
+
+   void LimitCoverState::recompute_limit_price() {
+      _limit_price = os::is_nan(settlement()) ? os::nan() :
+         securities::improve_price(side(), Price(settlement()), Price(limit_cover().price_offset()))
+         .value();
+   }
+
+   void LimitCoverState::recompute_limit_volume() {
+      _limit_volume = os::is_nan(settlement()) ? os::nan() :
+         BookUtils::volume_at_or_better(_book, side(), limit_price());
+   }
+
+   void LimitCoverState::recompute_all() {
+      recompute_limit_price();
+      recompute_limit_volume();
+      if (_is_initialized)
+         recompute_gate();
+   }
+
+   void LimitCoverState::recompute_gate() {
+      if (gates().empty())
+         return;
+      auto it = _gates.lower_bound(limit_volume());
+      if (it->first > limit_volume() && it != _gates.begin())
+         it--;
+      _gates.erase(_gates.begin(), it);
+   }
+
+   LimitCoverState::ValidateDeployment::ValidateDeployment(LimitCoverState* state) :
+      _state(state), _had_been_deployed(state->has_been_deployed()) { }
+
+   LimitCoverState::ValidateDeployment::~ValidateDeployment() {
+      if (!_had_been_deployed && _state->limit_volume() >= _state->activation_threshold())
+         REQUIRE(_state->has_been_deployed());
+   }
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h

@@ -0,0 +1,121 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include <iostream>
+#include <map>
+#include <optional>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+struct LimitCoverState {
+   AlgoTestDriver<LimitCoverAlgo> driver;
+
+   LimitCoverState(
+      const api::orderman::OrderDefinition& def,
+      uint32_t quantity,
+      double price);
+
+   const api::orderman::OrderDefinition& def() const;
+   uint32_t quantity() const;
+   double price() const;
+   const api::Security& security() const;
+   LimitCoverDefinition limit_cover() const;
+   api::Side side() const { return def().side(); }
+   uint32_t activation_threshold() const;
+   // main child
+   OrderKey child() const;
+   std::optional<ChildOrder> child_state() const;
+   // gates/curr gate
+   const std::map<uint32_t, LimitCoverGate>& gates() const;
+   const LimitCoverGate& curr_gate() const;
+   // book
+   const Book& book() const;
+   void book(Book new_book);
+   //
+   bool has_been_deployed() const;
+   // settle
+   double settlement() const;
+   void settlement(double value);
+   // limit price
+   double limit_price() const;
+   // limit volume
+   uint32_t limit_volume() const;
+   bool is_terminated() const;
+   OrderOpResult before_launch();
+   void launch();
+   void do_update(const api::orderman::Update&);
+   void update_child(const api::orderman::Update&);
+
+private:
+   api::orderman::OrderDefinition _definition;
+   uint32_t _limit_volume = 0;
+   OrderKey _child;
+   double _limit_price = os::nan();
+   double _settlement = os::nan();
+   bool _is_initialized = false;
+   std::map<uint32_t, LimitCoverGate> _gates;
+   Book _book;
+
+   void recompute_limit_price();
+   void recompute_limit_volume();
+   void recompute_all();
+   void recompute_gate();
+
+   struct ValidateDeployment {
+      ValidateDeployment(LimitCoverState* state);
+      ~ValidateDeployment();
+
+   private:
+      LimitCoverState* _state;
+      bool _had_been_deployed;
+   };
+
+   struct Validation : public ValidateDeployment {
+      Validation(LimitCoverState* state)
+         : ValidateDeployment(state) {}
+
+      ~Validation() {}
+   };
+};
+
+// custom formatting uses 1 line (unlike pb::to_string).
+inline std::ostream& operator<<(std::ostream& ostr, const bts::spark::QuantityMeasure& qm) {
+   switch (qm.quantity_case()) {
+   case bts::spark::QuantityMeasure::kAbsolute:
+      ostr << "[absolute] " << qm.absolute();
+      break;
+   case bts::spark::QuantityMeasure::kRatio:
+      ostr << "[ratio] " << qm.ratio();
+      break;
+   default:
+      ostr << "[quantity_case_" << static_cast<int>(qm.quantity_case()) << "]";
+      break;
+   }
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverState& lcs) {
+   ostr << "qty: " << lcs.quantity() << std::endl;
+   ostr << "limit price: " << lcs.limit_price() << std::endl;
+   ostr << "limit volume: " << lcs.limit_volume() << std::endl;
+   ostr << "activation/curr gate thresh: " << lcs.activation_threshold() << std::endl;
+   ostr << "settlement: " << lcs.settlement() << std::endl;
+   ostr << "bbo: " << Formatter::to_string(lcs.book()) << std::endl;
+   ostr << "has been deployed: " << lcs.has_been_deployed() << std::endl;
+   ostr << "status: " << lcs.driver.state() << std::endl;
+   ostr << "child: " << lcs.child() << std::endl;
+   ostr << "child qty: " << (lcs.child_state().has_value() ? lcs.child_state().value().cstate.quantity.value() : 0) << std::endl;
+   ostr << "filled qty: " << lcs.driver.total_fills().value() << std::endl;
+   return ostr;
+}
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h

@@ -0,0 +1,44 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/md/IntPrice.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include <iostream>
+
+#define SUMMARIZE(...) Summary __summary__ (Formatter::fmt(__VA_ARGS__)) 
+
+using Side = bts::api::Side;
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+using namespace std;
+inline bts::md::IntPrice int_price(double value) {
+   return bts::md::IntPrice_from_double<8>(value);
+}
+inline bts::md::PriceSize price_size(double price, uint32_t size) {
+   return bts::md::PriceSize(int_price(price), size);
+}
+inline bts::spark::QuantityMeasure qty_measure(uint32_t abs) {
+   bts::spark::QuantityMeasure qm;
+   qm.set_absolute(abs);
+   return qm;
+}
+
+struct Summary {
+   Summary(std::string header)
+      : _header(header) {
+      std::cout << "Begin " << header << std::endl;
+   }
+   ~Summary() {
+      std::cout << "End " << _header << std::endl;
+   }
+private:
+   std::string _header;
+};
+
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.cpp

@@ -0,0 +1,221 @@
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h"
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+#include <functional>
+#include <iostream>
+#include <optional>
+#include <string>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+
+std::string ITestStep::name() const { return "step with no name"; }
+void ITestStep::execute(LimitCoverState &state) const {
+   SUMMARIZE(name());
+   assert_pre_conditions(state);
+   _execute(state);
+   assert_post_conditions(state);
+}
+void ITestStep::assert_pre_conditions_core(const LimitCoverState &) const {}
+void ITestStep::execute_core(LimitCoverState &) const { bts_assert(false); }
+void ITestStep::assert_post_conditions_core(const LimitCoverState &) const {}
+void ITestStep::assert_pre_conditions(const LimitCoverState &state) const {
+   // SUMMARIZE("Asserting Pre-conditions (", name(), ")...");
+   assert_pre_conditions_core(state);
+}
+void ITestStep::assert_post_conditions(const LimitCoverState &state) const {
+   // SUMMARIZE("Asserting Post-conditions (", name(), ")...");
+   assert_post_conditions_core(state);
+}
+void ITestStep::_execute(LimitCoverState &state) const {
+   // SUMMARIZE("Executing (", name(), ")...");
+   execute_core(state);
+}
+
+std::ostream& operator<<(std::ostream& ostr, const ITestStep& ts) {
+   ostr << ts.name();
+   return ostr;
+}
+
+LimitCoverState& operator<<(LimitCoverState& state, const ITestStep& ts) {
+   SUMMARIZE(ts.name());
+   ts.execute(state);
+   return state;
+}
+
+/////////////////////
+// Test Params
+/////////////////////
+namespace test_params {
+namespace fills {
+Fill child(const LimitCoverState& state, std::optional<uint32_t> qty, std::optional<double> price) {
+   if (!qty.has_value()) {
+      REQUIRE(state.child_state().value().active_qty() > 0);
+   }
+   if (!price.has_value()) {
+      REQUIRE(state.child_state().has_value());
+   }
+   return test_params::Fill(
+      qty.has_value() ? qty.value() : state.child_state().value().active_qty(),
+      price.has_value() ? price.value() : state.child_state().value().cstate.price.value());
+}
+} // namespace fills
+} // namespace test_params
+
+/////////////////////
+// Order Selectors
+/////////////////////
+namespace order_selectors {
+std::vector<OrderKey> child(const LimitCoverState& state) {
+   std::vector<OrderKey> rv;
+   if (state.has_been_deployed()) {
+      rv.push_back(state.child());
+   }
+   return rv;
+}
+std::vector<OrderKey> self(const LimitCoverState&) {
+   std::vector<OrderKey> rv;
+   rv.push_back(null_order_key());
+   return rv;
+}
+} // namespace order_selectors
+
+/////////////////////////
+// Order Ops (step impls)
+/////////////////////////
+namespace ops {
+void begin_launch(LimitCoverState& state) {
+   REQUIRE(state.driver.before_launch().ok());
+}
+
+void launch(LimitCoverState& state) {
+   state.driver.launch();
+}
+
+void breech_activation_thresh(LimitCoverState& state, uint32_t thresh_count, int offset) {
+   auto book = state.book();
+   REQUIRE(!os::is_nan(state.limit_price()));
+   auto gate_it = state.gates().upper_bound(state.limit_volume());
+   REQUIRE(gate_it != state.gates().end());
+   while (thresh_count-- > 0 && gate_it != state.gates().end())
+      gate_it++;
+   auto thresh = gate_it->first + offset;
+   int gi = 1;
+   auto& bs = book.side(state.side());
+   if (bs[0].size() == 0) {
+      bs[0] = price_size(state.limit_price(), thresh);
+   } else if (BookUtils::price_comp(state.side())(state.limit_price(), bs[0].price())) {
+      // shift existing levels down 1 index,
+      // put the limit volume at the top
+      for (int i = bs.size() - 1; i > 0; i--) {
+         bs[i] = bs[i - 1];
+      }
+      bs[0] = price_size(state.limit_price(), thresh);
+   } else {
+      // add the difference to the qty for the best price
+      bs[0] = price_size(bs[0].price(), bs[0].size() + thresh - state.limit_volume());
+   }
+   state.book(book);
+}
+
+void fill_child(LimitCoverState& state, uint32_t qty, double price, bool allow_overfill) {
+   SUMMARIZE("filling child: ", Formatter::fmt_order(state.side(), qty, price));
+   bts_assert(os::is_finite(price));
+   bts_assert(qty > 0);
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   uint32_t orig_filled_qty = state.driver.total_fills().value();
+   if (state.child_state().has_value()) {
+      auto cs = state.child_state().value();
+      REQUIRE(((cs.cstate.total_fills.value() - cs.cstate.fills_at_attach_time.value()) == orig_filled_qty));
+      if (!allow_overfill) {
+         REQUIRE(cs.active_qty() >= qty);
+      }
+   } else {
+      REQUIRE(orig_filled_qty == 0);
+   }
+   state.driver.fill(state.child(), Price(price), Quantity(qty));
+}
+
+void fill_child(LimitCoverState& lcs, uint32_t qty, bool allow_overfill) {
+   fill_child(lcs, qty, lcs.limit_price(), allow_overfill);
+}
+
+void cancel_child(LimitCoverState& state) {
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   state.driver.cancel_child(state.child());
+   REQUIRE(state.driver.state() == AlgoState::TERMINATED);
+}
+
+void complete(LimitCoverState& state) {
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   REQUIRE(state.driver.quantity().value() > state.driver.total_fills().value());
+   fill_child(state, state.driver.quantity().value() - state.driver.total_fills().value());
+   REQUIRE(state.driver.state() == AlgoState::COMPLETED);
+}
+} // namespace ops
+
+/////////////////////
+// Test Steps
+/////////////////////
+namespace test_steps {
+// Begin Launch
+std::string BeginLaunch::name() const { return "Begin Launch"; }
+void BeginLaunch::execute_core(LimitCoverState &state) const { ops::begin_launch(state); }
+
+// Launch
+std::string Launch::name() const { return "Launch"; }
+void Launch::execute_core(LimitCoverState &state) const { ops::launch(state); } 
+
+// Breech Activation Threshold
+std::string BreechActivationThresh::name() const {
+   std::stringstream title;
+   title << "Breech Activation Threshold " << (thresh_count + 1);
+   if (offset > 0) {
+      title << " (+" << offset << ")";
+   } else if (offset < 0) {
+      title << " (" << offset << ")";
+   }
+   return title.str();
+}
+void BreechActivationThresh::execute_core(LimitCoverState &state) const {
+   ops::breech_activation_thresh(state, thresh_count, offset);
+}
+
+// Fill
+std::string Fill::name() const { return "Fill"; }
+void Fill::execute_core(LimitCoverState &state) const {
+   auto p = get_params(state);
+   ops::fill_child(state, p.quantity, p.price);
+}
+
+// Complete
+std::string Complete::name() const { return "Complete"; }
+void Complete::execute_core(LimitCoverState &state) const {
+   ops::complete(state);
+}
+
+// Cancel Child
+std::string CancelChild::name() const { return "Cancel Child"; }
+void CancelChild::execute_core(LimitCoverState& state) const {
+   ops::cancel_child(state);
+}
+
+// Cancel Algo
+std::string CancelAlgo::name() const { return "Cancel Algo"; }
+void CancelAlgo::execute_core(LimitCoverState& state) const {
+   state.driver.cancel();
+   REQUIRE(state.driver.state() == AlgoState::CANCELED);
+}
+} // namespace test_steps
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h

@@ -0,0 +1,126 @@
+#pragma once
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include <functional>
+#include <iostream>
+#include <optional>
+#include <string>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+// In Visual Studio, intellisense and syntax highlighting don't work (at all)
+// when <optional> is included, unless 'using namespace std;' is specified.
+using namespace std;
+
+struct ITestStep {
+   virtual std::string name() const;
+   void execute(LimitCoverState& state) const;
+protected:
+   virtual void assert_pre_conditions_core(const LimitCoverState&) const;
+   virtual void execute_core(LimitCoverState&) const;
+   virtual void assert_post_conditions_core(const LimitCoverState&) const;
+private:
+   void assert_pre_conditions(const LimitCoverState& state) const;
+   void assert_post_conditions(const LimitCoverState& state) const;
+   void _execute(LimitCoverState& state) const;
+};
+
+std::ostream& operator<<(std::ostream& ostr, const ITestStep& ts);
+LimitCoverState& operator<<(LimitCoverState& state, const ITestStep& ts);
+
+namespace order_selectors {
+std::vector<OrderKey> child(const LimitCoverState &lcs);
+std::vector<OrderKey> self(const LimitCoverState &);
+} // namespace order_selectors
+
+namespace ops {
+void begin_launch(LimitCoverState& lcs);
+void launch(LimitCoverState& lcs);
+void breech_activation_thresh(LimitCoverState& lcs, uint32_t thresh_count = 0, int offset = 0);
+
+void fill_child(LimitCoverState& lcs, uint32_t qty, double price, bool allow_overfill = false);
+void fill_child(LimitCoverState& lcs, uint32_t qty, bool allow_overfill = false);
+
+void cancel_child(LimitCoverState& state);
+void complete(LimitCoverState& lcs);
+}
+
+namespace test_params {
+struct Fill {
+   uint32_t quantity;
+   double price;
+
+   Fill(uint32_t quantity, double price)
+      : quantity(quantity), price(price) {}
+};
+
+namespace fills {
+Fill child(const LimitCoverState& state, optional<uint32_t> qty = {}, optional<double> price = {});
+} // namespace fills
+} // namespace test_params
+namespace test_steps {
+struct BeginLaunch : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Launch : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct BreechActivationThresh : public ITestStep {
+   uint32_t thresh_count;
+   int offset;
+
+   BreechActivationThresh(uint32_t thresh_count = 0, int offset = 0)
+      : thresh_count(thresh_count), offset(offset) { }
+
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Fill : public ITestStep {
+   std::function<test_params::Fill(const LimitCoverState&)> get_params;
+
+   Fill(std::function<test_params::Fill(const LimitCoverState&)> get_params)
+      : get_params(get_params) {}
+
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Complete : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct CancelChild : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct CancelAlgo : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Custom : public ITestStep {
+   Custom(std::string name, std::function<void(LimitCoverState&)> impl)
+      : _name(name), _impl(impl) { }
+
+   std::string name() const override { return _name; }
+   void execute_core(LimitCoverState& state) const override { _impl(state); }
+private:
+   std::string _name;
+   std::function<void(LimitCoverState&)> _impl;
+};
+} // namespace test_steps
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/splitter_tests.cpp

@@ -577,7 +577,7 @@ TEST_CASE("Increase then decrease", "[algo][splitter]") {
 
    // Set up some instant fills
    bool applied_second_update = false;
-   state.on_child_launching([&, update](const auto &) mutable {
+   state.on_child_launching([&, update](const auto &, auto, auto) mutable {
       if (!applied_second_update) {
          applied_second_update = true;
          update.mutable_custom()->mutable_splitter()->set_exposed_qty(350);

src/lib/orderman/orders/algo/utils/DynamicOrderAdapter.h

@@ -0,0 +1,215 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/plugin/SparkServices.h"
+#include "lib/utils/bts_assert.h"
+#include <functional>
+#include <map>
+#include <cstdarg>
+#include <utility>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace dynamic_adapter {
+#define NOT_IMPLEMENTED bts_assert_msg(false, "Not implemented.")
+#define _CONCAT_(x,y) x##y
+#define VALUE_CASE(x) bts::api::orderman::DynamicOrderParam::_CONCAT_(kAs,x)
+
+#define VALIDATE_PROTO(x,y)\
+template<> inline bool validate_proto<x>(const bts::api::orderman::DynamicOrderParam& p) { return p.value_case() == VALUE_CASE(y); }
+
+#define _ASSIGN_TO_PROTO_(x,y)\
+template<> inline void assign_to_proto<x>(bts::api::orderman::DynamicOrderParam& param, x value) { param.y(value); }
+#define ASSIGN_TO_PROTO(x,y) _ASSIGN_TO_PROTO_(x,_CONCAT_(set_as_,y))
+
+#define _GET_FROM_PROTO_(x,y)\
+template<> inline x get_from_proto<x>(const bts::api::orderman::DynamicOrderParam& param) { return param.y(); }
+#define GET_FROM_PROTO(x,y) _GET_FROM_PROTO_(x,_CONCAT_(as_,y))
+
+#define _DEFINE_PARAM_(x,y)\
+template<> inline void define_param<x>(bts::api::orderman::DynamicOrderDescriptor& desc, std::string name) {\
+   *desc.add_param_desc() = y(name);\
+}
+#define DEFINE_PARAM(x,y) _DEFINE_PARAM_(x,_CONCAT_(param_,y))
+
+#define PRIMITIVE_PROTO_IMPL(x,y,z)\
+VALIDATE_PROTO(x,z)\
+ASSIGN_TO_PROTO(x,y)\
+GET_FROM_PROTO(x,y)\
+DEFINE_PARAM(x,y)
+
+using CustomOrderDefinition = bts::api::orderman::CustomOrderDefinition;
+using DynamicOrderParam = bts::api::orderman::DynamicOrderParam;
+using DynamicOrderEnumerated = bts::api::orderman::DynamicOrderEnumerated;
+
+template<class T> inline bool validate_proto(const DynamicOrderParam&) { NOT_IMPLEMENTED; return false; }
+template<class T> inline void assign_to_proto(DynamicOrderParam&, T) { NOT_IMPLEMENTED; }
+template<class T> inline T get_from_proto(const api::orderman::DynamicOrderParam&) { NOT_IMPLEMENTED; return T(); }
+template<class T> inline void define_param(bts::api::orderman::DynamicOrderDescriptor&, std::string) { NOT_IMPLEMENTED; }
+
+// primitives
+PRIMITIVE_PROTO_IMPL(int, int32, Int32)
+PRIMITIVE_PROTO_IMPL(uint32_t, uint32, Uint32)
+PRIMITIVE_PROTO_IMPL(double, double, Double)
+PRIMITIVE_PROTO_IMPL(bool, bool, Bool)
+
+// order def
+VALIDATE_PROTO(bts::api::orderman::CustomOrderDefinition, OrderDef)
+GET_FROM_PROTO(bts::api::orderman::CustomOrderDefinition, order_def)
+template<> inline void assign_to_proto<CustomOrderDefinition>(DynamicOrderParam& param, CustomOrderDefinition value) {
+   *(param.mutable_as_order_def()) = value;
+}
+template<> inline void define_param<CustomOrderDefinition>(api::orderman::DynamicOrderDescriptor& desc, std::string name) {
+   *desc.add_param_desc() = param_order(name);
+}
+
+// enumerated
+VALIDATE_PROTO(bts::api::orderman::DynamicOrderEnumerated, Enumerated)
+GET_FROM_PROTO(bts::api::orderman::DynamicOrderEnumerated, enumerated)
+template<> inline void assign_to_proto<DynamicOrderEnumerated>(DynamicOrderParam& param, DynamicOrderEnumerated value) {
+   *(param.mutable_as_enumerated()) = value;
+}
+
+template<class TDef, class TValue>
+struct ParamKey {
+   ParamKey(std::string name, std::function<TValue(const TDef&)> get, std::function<void(TDef&, TValue)> set)
+      : _name(name), _get(get), _set(set) { }
+
+   const std::string& name() const { return _name; }
+   virtual void assign_to_def(const api::orderman::DynamicOrderParam& param, TDef& def) {
+      if (dynamic_adapter::validate_proto<TValue>(param))
+         _set(def, get_from_proto<TValue>(param));
+   }
+   virtual void assign_to_proto(const TDef& def, api::orderman::DynamicOrderParam& param) {
+      dynamic_adapter::assign_to_proto<TValue>(param, _get(def));
+   }
+   virtual void assign_to_proto(const TDef& def, api::orderman::DynamicOrderDefinition& dyn) {
+      api::orderman::DynamicOrderParam dop;
+      assign_to_proto(def, dop);
+      (*dyn.mutable_order_params())[name()] = dop;
+   }
+   virtual void define_param(api::orderman::DynamicOrderDescriptor& desc) {
+      dynamic_adapter::define_param<TValue>(desc, name());
+   }
+   virtual bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) {
+      auto it = dyn.order_params().find(name());
+      return it != dyn.order_params().end() && dynamic_adapter::validate_proto<TValue>(it->second);
+   }
+
+private:
+   std::string _name;
+   std::function<TValue(const TDef&)> _get;
+   std::function<void(TDef&, TValue)> _set;
+};
+
+template<class TDef, class TValue>
+struct EnumParamKey : public ParamKey<TDef, TValue> {
+   EnumParamKey(std::string name, std::vector<std::pair<TValue, std::string>> named_values, std::function<TValue(const TDef&)> get, std::function<void(TDef&, TValue)> set)
+      : ParamKey<TDef, TValue>(name, get, set), _name(name), _named_values(named_values), _get(get), _set(set) {
+   }
+
+   void assign_to_def(const api::orderman::DynamicOrderParam& param, TDef& def) override {
+      if (dynamic_adapter::validate_proto<DynamicOrderEnumerated>(param))
+         _set(def, _from_proto(param.as_enumerated()));
+   }
+
+   void assign_to_proto(const TDef& def, api::orderman::DynamicOrderParam& param) override {
+      dynamic_adapter::assign_to_proto(param, _to_proto(_get(def)));
+   }
+
+   void assign_to_proto(const TDef& def, api::orderman::DynamicOrderDefinition& dyn) override {
+      api::orderman::DynamicOrderParam param;
+      assign_to_proto(def, param);
+      (*dyn.mutable_order_params())[_name] = param;
+   }
+
+   void define_param(api::orderman::DynamicOrderDescriptor& order_desc) override {
+      // enum desc
+      api::orderman::DynamicOrderEnumeratedDescriptor enum_desc;
+      for (auto& p : _named_values) {
+         enum_desc.add_element(p.second);
+      }
+      // param type desc
+      api::orderman::DynamicOrderTypeDescriptor param_type_desc;
+      *param_type_desc.mutable_enumerated() = enum_desc;
+      // param desc
+      api::orderman::DynamicOrderParamDescriptor param_desc;
+      param_desc.set_param_name(_name);
+      *param_desc.mutable_param_type() = param_type_desc;
+      // order desc
+      *order_desc.add_param_desc() = param_desc;
+   }
+
+   bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) override {
+      auto it = dyn.order_params().find(_name);
+      return it != dyn.order_params().end() && it->second.value_case() == VALUE_CASE(Enumerated);
+   }
+
+private:
+   std::string _name;
+   std::vector<std::pair<TValue, std::string>> _named_values;
+
+   DynamicOrderEnumerated _to_proto(TValue v) {
+      DynamicOrderEnumerated deo;
+      for (auto p : _named_values) {
+         if (p.first == v) {
+            deo.set_enum_value(p.second);
+            break;
+         }
+      }
+      return deo;
+   }
+
+   TValue _from_proto(const std::string& enum_name) {
+      for (auto p : _named_values) {
+         if (p.second == enum_name)
+            return p.first;
+      }
+      bts_assert_msg(false, "Failed to match enum name to enum value.");
+      return TValue();
+   }
+   TValue _from_proto(DynamicOrderEnumerated deo) {
+      return _from_proto(deo.enum_value());
+   }
+
+   std::function<TValue(const TDef&)> _get;
+   std::function<void(TDef&, TValue)> _set;
+};
+
+template<class TParam, class... TNextParam>
+inline void define_proto(api::orderman::DynamicOrderDescriptor& desc, TParam param, TNextParam... next_param) {
+   param.define_param(desc);
+   (define_proto(desc, next_param), ...);
+}
+
+template<class TDef, class TParam, class... TNextParam>
+inline void from_proto(const google::protobuf::Map<std::string, api::orderman::DynamicOrderParam>& map, TDef& def, TParam param, TNextParam... next_param) {
+   auto pit = map.find(param.name());
+   if (pit != map.end()) {
+      param.assign_to_def(pit->second, def);
+   }
+   (from_proto(map, def, next_param), ...);
+}
+
+template<class TDef, class TParam, class... TNextParam>
+inline void to_proto(api::orderman::DynamicOrderDefinition& dyn, const TDef& def, TParam param_key, TNextParam... next_param) {
+   param_key.assign_to_proto(def, dyn);
+   (to_proto(dyn, def, next_param), ...);
+}
+
+template<class TParam, class... TNextParam>
+inline bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn, TParam param, TNextParam... next_param) {
+   return param.validate_proto(dyn) && validate_proto(dyn, next_param...);
+}
+
+template<typename TDef, typename... T>
+struct DynamicOrderAdapter {
+   void define_proto(api::orderman::DynamicOrderDescriptor& desc) { (dynamic_adapter::define_proto(desc, T()), ...); }
+   void from_proto(const api::orderman::DynamicOrderDefinition& dyn, TDef& def) { (dynamic_adapter::from_proto(dyn.order_params(), def, T()), ...); }
+   void to_proto(api::orderman::DynamicOrderDefinition& dyn, const TDef& def) { (dynamic_adapter::to_proto(dyn, def, T()), ...); }
+   bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) { return (T().validate_proto(dyn), ...); }
+};
+} // namespace dynamic_adapter
+} // namespace orderman
+} // namespace bts

src/sdk/disable_onixs.py

@@ -2,7 +2,7 @@
 
 import sys
 f = open(sys.argv[1], 'rb+')
-license = '5E50A1DACD94D7C1BECD316EEAE5AB02'
+license = '1C9210495AA3C9C884B7A37A4C7AD8F9'
 data = f.read()
 match =  data.find(license)
 if match > 0:

src/sdk/examples/client_sdk/bts.api.csharp/Directory.Build.Props

@@ -0,0 +1,14 @@
+<Project>
+  <PropertyGroup>
+    <CSharpAPIRoot>$(MSBuildThisFileDirectory)</CSharpAPIRoot>
+    <Configuration Condition="'$(configuration)'==''">Debug</Configuration>
+  </PropertyGroup>
+  
+  <PropertyGroup Label="Output">
+    <BaseOutputPath>$(CSharpAPIRoot)\build\$(Configuration)</BaseOutputPath>
+    <OutputPath>$(BaseOutputPath)\bin</OutputPath>
+    <BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
+    <IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
+    <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
+  </PropertyGroup>
+</Project>

src/sdk/examples/client_sdk/bts.api.csharp/bts.api.csharp.sln

@@ -0,0 +1,25 @@
+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio Version 16
+VisualStudioVersion = 16.0.30104.148
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "bts.api.csharp", "src/bts.api.csharp.csproj", "{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {FC6CE0CA-B0CB-44E3-8176-1D759D05AAD4}
+	EndGlobalSection
+EndGlobal

src/sdk/examples/client_sdk/bts.api.csharp/src/bts.api.csharp.csproj

@@ -0,0 +1,15 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+  <PropertyGroup>
+    <TargetFrameworks>netcoreapp2.1;netcoreapp3.1</TargetFrameworks>
+    <OutputType>Exe</OutputType>
+  </PropertyGroup>
+
+  <ItemGroup>
+    <PackageReference Include="CommandLineParser" Version="2.8.0" />
+    <PackageReference Include="spark_sdk" Version="2.15.10" />
+    <PackageReference Include="System.Reactive" Version="4.4.1" />
+    <PackageReference Include="System.Reactive.Core" Version="4.4.1" />
+    <PackageReference Include="System.Reactive.Linq" Version="4.4.1" />
+  </ItemGroup>
+</Project>

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/NameIDPair.cs

@@ -0,0 +1,23 @@
+using System;
+
+namespace bts.api.csharp {
+   readonly struct NameIDPair {
+      public NameIDPair(string name, uint id) {
+         this.name = name ?? throw new ArgumentNullException(nameof(name));
+         this.id = id;
+      }
+
+      public string name { get; }
+      public uint id { get; }
+   }
+
+   static class Users {
+      public static NameIDPair Default =>
+         new NameIDPair("bts", 1);
+   }
+
+   static class Accounts {
+      public static NameIDPair Default =>
+         new NameIDPair("TEST", 1);
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/Program.cs

@@ -0,0 +1,74 @@
+using bts.api.core;
+using bts.api.csharp.examples;
+using bts.api.orderman;
+using bts.api.position;
+using CommandLine;
+using System;
+using System.Collections.Generic;
+using System.Threading;
+
+namespace bts.api.csharp {
+   class Program {
+      static void Main(string[] args) =>
+         Parser.Default.ParseArguments<Options>(args).WithParsed(_run);
+
+      static void _run(Options options) {
+         var exit_event = new ManualResetEvent(false);
+         SynchronizationContext.SetSynchronizationContext(new SynchronizationContext());
+         var service_context = new ServiceContext();
+         var login = service_context.login("bts", "");
+         login.Wait();
+         var examples = new List<IDisposable>();
+         if (options.subscribe_securities ||! options.any_enabled) {
+            examples.Add(new SecurityExample(service_context.locate<MarketDataService>()));
+         }
+         if (options.subscribe_positions || !options.any_enabled) {
+            examples.Add(new PositionExample(service_context.locate<PositionService>()));
+         }
+         if (options.subscribe_orders || !options.any_enabled) {
+            examples.Add(new OrderExample(service_context.locate<OrderService>()));
+         }
+         if (options.subscribe_book || !options.any_enabled) {
+            examples.Add(new BookExample(service_context.locate<MarketDataService>()));
+         }
+         if (options.send_orders || !options.any_enabled) {
+            examples.Add(SendOrderLoop.init_loop(service_context.locate<OrderService>(), service_context.locate<MarketDataService>()));
+         }
+         Console.CancelKeyPress += on_cancel_key_press;
+         exit_event.WaitOne();
+         foreach (var ex in examples)
+            ex.Dispose();
+         //
+         void on_cancel_key_press(object sender, ConsoleCancelEventArgs e) {
+            exit_event.Set();
+            e.Cancel = true;
+         }
+      }
+
+      class Options {
+         [Option("subscribe-securities", Required = false, HelpText = "run security-subscription example.")]
+         public bool subscribe_securities { get; set; }
+
+         [Option("subscribe-orders", Required = false, HelpText = "run order-subscription example.")]
+         public bool subscribe_orders { get; set; }
+
+         [Option("subscribe-positions", Required = false, HelpText = "run position-subscription example.")]
+         public bool subscribe_positions { get; set; }
+
+         [Option("subscribe-books", Required = false, HelpText = "run book-subscription example.")]
+         public bool subscribe_book { get; set; }
+
+         [Option("send-orders", Required = false, HelpText = "run send-orders example.")]
+         public bool send_orders { get; set; }
+
+         // if none are enabled, all options will be flipped on,
+         // so the user need not specify a single argument to see the examples run.
+         public bool any_enabled =>
+            subscribe_securities ||
+            subscribe_orders ||
+            subscribe_positions ||
+            subscribe_book ||
+            send_orders;
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/BookExample.cs

@@ -0,0 +1,60 @@
+using bts.api.core;
+using bts.api.csharp.utils;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+using SecurityKey = System.UInt32;
+
+namespace bts.api.csharp.examples {
+   /// <summary>
+   /// Uses the <see cref="MarketDataService"/> api to observe book updates
+   /// for security in the system, and organize them into a Dictionary.
+   /// </summary>
+   class BookExample : IDisposable {
+      readonly Dictionary<SecurityKey, BookEntryImmutable> _books = new Dictionary<SecurityKey, BookEntryImmutable>();
+      readonly IDisposable _subscription;
+
+      public BookExample(MarketDataService market_data_service) {
+         _subscription = market_data_service.subscribei_book()
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_book_update);
+      }
+
+      public void Dispose() {
+         _subscription.Dispose();
+      }
+
+      void _on_book_update(Update<BookEntryImmutable, uint> update) {
+         foreach (var new_book in update.added) {
+            // of course, we shouldn't have entries for any books in update.added yet
+            Debug.Assert(!_books.ContainsKey(new_book.Key));
+            // display bbo in the console window
+            _print_book_info(new_book.Key, $"book received for the first time, bbo is: {BookUtils.fmt_bbo(new_book)}");
+            // add the new book to our map
+            _books.Add(new_book.Key, new_book);
+         }
+         foreach (var change in update.changes) {
+            // of course, the security key shouldn't change
+            Debug.Assert(change.Old.Key == change.New.Key);
+            // our book entry for this security should be identitical to change.Old
+            Debug.Assert(change.Old.Bid.SequenceEqual(_books[change.Old.Key].Bid));
+            Debug.Assert(change.Old.Ask.SequenceEqual(_books[change.Old.Key].Ask));
+            // display the current book in the console window
+            _print_book_info(change.New.Key, $"book changed, now bbo is: {BookUtils.fmt_bbo(change.New)}");
+            // update our map with the changed book
+            _books[change.New.Key] = change.New;
+         }
+         foreach (var old_book in update.removed) {
+            // of course, we should have entries for all books in update.removed
+            Debug.Assert(_books.Remove(old_book.Key));
+         }
+      }
+
+      static void _print_book_info(SecurityKey key, string message) {
+         Console.WriteLine($"Security {key}: {message}.");
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/OrderExample.cs

@@ -0,0 +1,139 @@
+using bts.api.core;
+using bts.api.orderman;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+using AccountKey = System.UInt32;
+using OrderKey = System.UInt32;
+
+namespace bts.api.csharp.examples {
+   /// <summary>
+   /// Uses the <see cref="OrderService"/> to observe order updates,
+   /// and group them by account.
+   /// </summary>
+   class OrderExample : IDisposable {
+      readonly Dictionary<AccountKey, Dictionary<OrderKey, OrderRecordImmutable>> _data = new Dictionary<AccountKey, Dictionary<AccountKey, OrderRecordImmutable>>();
+      IDisposable _subscription;
+
+      public OrderExample(OrderService order_service) {
+         /// 'OrderService' has 2 methods which can be used to subscribe to order updates.
+         ///  -------------------------------------------------------------------------------------
+         /// 1) <see cref="OrderService.subscribe_orders(string)"/>.
+         /// 2) <see cref="OrderService.subscribei_orders(string)"/>.
+         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
+         /// --------------------------------------------------------------------------------------
+         _subscription = order_service.subscribei_orders()
+            // the 'ObserveOn' call below ensures that the
+            // callback will be invoked this thread.
+            // Be sure to do this if you don't want to worry
+            // about multi-threading issues (locking, etc).
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_update);
+
+      }
+
+      public event Action<AccountKey> account_orders_changed;
+
+      public void Dispose() {
+         _subscription.Dispose();
+      }
+
+      public IEnumerable<OrderRecordImmutable> get_account_orders(AccountKey account) {
+         if (_data.TryGetValue(account, out var account_orders)) {
+            return account_orders.Values;
+         }
+         return Enumerable.Empty<OrderRecordImmutable>();
+      }
+
+      void _on_order_added(OrderRecordImmutable new_order) {
+         if (!_data.TryGetValue(new_order.Def.AccountId, out var account_orders)) {
+            // this is the first order for this account.
+            // initialize the account orders dictionary, and add it to our data.
+            account_orders = new Dictionary<AccountKey, OrderRecordImmutable>();
+            _data.Add(new_order.Def.AccountId, account_orders);
+         }
+         // now add the order to account_orders
+         account_orders.Add(new_order.Key, new_order);
+      }
+
+      void _on_order_changed(Change<OrderRecordImmutable> change) {
+         // ch.New and ch.Old have the same key.
+         Debug.Assert(change.New.Key == change.Old.Key);
+         var key = change.New.Key;
+         // react to a changed order
+         if (change.New.State.FilledQuantity != change.Old.State.FilledQuantity) {
+            // Display new fills in the console window.
+            var num_new_fills = change.New.State.FilledQuantity - change.Old.State.FilledQuantity;
+            _print_order_info(key, $"received {num_new_fills} new fills.");
+            // Be mindful that orders can be overfilled.
+            if (change.New.State.FilledQuantity > change.New.State.Quantity) {
+               // Display overfills in the console window.
+               var num_over_fills = change.New.State.FilledQuantity - change.New.State.Quantity;
+               _print_order_info(key, $"overfilled by {num_over_fills}");
+            } else {
+               // Display working qty in the console window.
+               var working_qty = change.New.State.Quantity - change.New.State.FilledQuantity;
+               _print_order_info(key, $"still working {working_qty}.");
+            }
+         }
+         // Display order status changes in the console window.
+         if (change.New.State.Status != change.Old.State.Status) {
+            _print_order_info(key, $"status changed from {change.Old.State.Status} to {change.New.State.Status}.");
+         }
+         // Account will not change, so our dictionary will definitely have a key for this account.
+         Debug.Assert(_data.ContainsKey(change.New.Def.AccountId));
+         var account_orders = _data[change.New.Def.AccountId];
+         // The value for this key in account_orders should equal ch.Old.
+         Debug.Assert(account_orders[key].Equals(change.Old));
+         // update account orders with the changed order. 
+         account_orders[key] = change.New;
+      }
+
+      void _on_order_removed(OrderRecordImmutable old_val) {
+         // An entry for this order should be present in our data,
+         // as it is in the 'removed' items.
+         // Assert this is the case to illustrate the point.
+         Debug.Assert(_data.ContainsKey(old_val.Def.AccountId));
+         var account_orders = _data[old_val.Def.AccountId];
+         // the removed value should match the one currently in our data.
+         // Assert this is the case, then remove the order.
+         Debug.Assert(account_orders[old_val.Key].Equals(old_val));
+         account_orders.Remove(old_val.Key);
+         _print_order_info(old_val.Key, "has been removed.");
+      }
+
+      void _on_update(Update<OrderRecordImmutable, OrderKey> update) {
+         // record which accounts experienced an order update, then
+         // at the end of this method, fire the account_orders_changed event for each 
+         var accounts_with_order_updates = new HashSet<AccountKey>();
+         foreach (OrderRecordImmutable new_order in update.added) {
+            _on_order_added(new_order);
+            accounts_with_order_updates.Add(new_order.Def.AccountId);
+         }
+         foreach (Change<OrderRecordImmutable> change in update.changes) {
+            _on_order_changed(change);
+            accounts_with_order_updates.Add(change.New.Def.AccountId);
+         }
+         foreach (OrderRecordImmutable old_order in update.removed) {
+            _on_order_removed(old_order);
+            accounts_with_order_updates.Add(old_order.Def.AccountId);
+         }
+         // display all accounts with order updates in the Console window.
+         Console.WriteLine("The following accounts experienced order changes: ");
+         foreach (var account in accounts_with_order_updates) {
+            Console.WriteLine("\n\t" + account);
+         }
+         // lastly, fire the account_orders_changed event for each account experienced an order update.
+         foreach (var account in accounts_with_order_updates) {
+            account_orders_changed?.Invoke(account);
+         }
+      }
+
+      void _print_order_info(OrderKey order_key, string message) {
+         Console.WriteLine($"Order {order_key}: {message}.");
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/PositionExample.cs

@@ -0,0 +1,125 @@
+using bts.api.core;
+using bts.api.position;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Reactive.Linq;
+using System.Threading;
+
+namespace bts.api.csharp.examples {
+   /// <summary>
+   /// A pair of security, and account id,
+   /// which uniquely identifies each PositionUnit.
+   /// </summary>
+   readonly struct PositionKey {
+      public PositionKey(uint security_id, uint account_id) {
+         this.security_id = security_id;
+         this.account_id = account_id;
+      }
+
+      public uint security_id { get; }
+      public uint account_id { get; }
+
+      public static PositionKey from_position(PositionUnitImmutable p) =>
+         new PositionKey(p.SecurityId, p.AccountId);
+
+      public override string ToString() =>
+         $"Sec {security_id}, Acc {account_id}";
+   }
+
+   /// <summary>
+   /// Uses the <see cref="PositionService"/> api to monitor positions
+   /// for every account/security pair, and organize them into a Dictionary.
+   /// </summary>
+   class PositionExample : IDisposable {
+      readonly Dictionary<PositionKey, PositionUnitImmutable> _data = new Dictionary<PositionKey, PositionUnitImmutable>();
+      IDisposable _subscription;
+
+      public PositionExample(PositionService position_service) {
+         /// 'PositionService' has 2 methods which can be used to subscribe to position updates.
+         ///  -------------------------------------------------------------------------------------
+         /// 1) <see cref="PositionService.subscribe_position_data(string)"/>.
+         /// 2) <see cref="PositionService.subscribei_position_data(string)"/>.
+         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
+         /// --------------------------------------------------------------------------------------
+         _subscription = position_service.subscribei_position_data()
+            // the 'ObserveOn' call below ensures that the
+            // callback will be invoked this thread.
+            // Be sure to do this if you don't want to worry
+            // about multi-threading issues (locking, etc).
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_update);
+      }
+
+      public event Action data_changed;
+
+      public IReadOnlyDictionary<PositionKey, PositionUnitImmutable> data => _data;
+
+      public void Dispose() =>
+         _subscription.Dispose();
+
+      void _on_position_added(PositionUnitImmutable new_val) {
+         var k = PositionKey.from_position(new_val);
+         // this entry should NOT be present in our _data, as it is in the 'added' items.
+         // Assert this is the case to illustrate the point.
+         Debug.Assert(!_data.ContainsKey(k));
+         _print_position_info(k, $"initial position received.  Day: Long {new_val.DayLongPos}, Short {new_val.DayShortPos}, Net {new_val.DayLongPos - new_val.DayShortPos}.");
+         // add the new position unit to _data
+         _data.Add(k, new_val);
+      }
+
+      void _on_position_changed(Change<PositionUnitImmutable> change) {
+         var k = PositionKey.from_position(change.New);
+         // ch.New and ch.Old have the same key (i.e., the Account/Security pair),
+         Debug.Assert(change.New.AccountId == change.Old.AccountId);
+         Debug.Assert(change.New.SecurityId == change.Old.SecurityId);
+         // of course, the value for this key in our dictionary should equal ch.Old.
+         Debug.Assert(_data[k].Equals(change.Old));
+         // Display changes to the day position in the console window.
+         // 1) check if the day long changed
+         if (change.New.DayLongPos != change.Old.DayLongPos) {
+            Console.WriteLine($"[{k}] day long changed from {change.Old.DayLongPos} to {change.New.DayLongPos}.");
+         }
+         // 2) check if day short changed
+         if (change.New.DayShortPos != change.Old.DayShortPos) {
+            Console.WriteLine($"[{k}] day short changed from {change.Old.DayShortPos} to {change.New.DayShortPos}.");
+         }
+         // 3) check if net day position changed
+         var new_net_day_pos = change.New.DayLongPos - change.New.DayShortPos;
+         var old_net_day_pos = change.Old.DayLongPos - change.Old.DayShortPos;
+         if (new_net_day_pos != old_net_day_pos) {
+            Console.WriteLine($"[{k}] day net changed from {old_net_day_pos} to {new_net_day_pos}.");
+         }
+         // update _data with the changed position.
+         _data[k] = change.New;
+      }
+
+      void _on_position_removed(PositionUnitImmutable old_val) {
+         var k = PositionKey.from_position(old_val);
+         // this entry should be present in our _data, as it is in the 'removed' items.
+         // Assert this is the case to illustrate the point.
+         Debug.Assert(_data.ContainsKey(k));
+         // this should match our data.  Assert this is the case.
+         Debug.Assert(_data[k].Equals(old_val));
+         _data.Remove(k);
+         Console.WriteLine($"[{k}] position has been removed.");
+      }
+
+      void _on_update(Update<PositionUnitImmutable, int> update) {
+         foreach (PositionUnitImmutable p in update.added) {
+            _on_position_added(p);
+         }
+         foreach (Change<PositionUnitImmutable> ch in update.changes) {
+            _on_position_changed(ch);
+         }
+         foreach (PositionUnitImmutable p in update.removed) {
+            _on_position_removed(p);
+         }
+         data_changed?.Invoke();
+      }
+
+      void _print_position_info(PositionKey position_key, string message) {
+         Console.WriteLine($"Position {position_key}: {message}.");
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SecurityExample.cs

@@ -0,0 +1,48 @@
+using bts.api.core;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+using SecurityKey = System.UInt32;
+
+namespace bts.api.csharp.examples {
+   /// <summary>
+   /// Uses the <see cref="MarketDataService"/> api to observe the
+   /// state of securities in the system.
+   /// </summary>
+   class SecurityExample : IDisposable {
+      readonly IDisposable _subscription;
+      readonly Dictionary<SecurityKey, SecurityImmutable> _securities = new Dictionary<SecurityKey, SecurityImmutable>();
+
+      public SecurityExample(MarketDataService market_data_service) {
+         _subscription = market_data_service.subscribei_securities()
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_securities_update);
+      }
+
+      public void Dispose() {
+         _subscription.Dispose();
+      }
+
+      void _on_securities_update(Update<SecurityImmutable, uint> update) {
+         foreach (var new_security in update.added) {
+            // of course, we shouldn't have entries for any books in update.added yet
+            Debug.Assert(!_securities.ContainsKey(new_security.Id));
+            // display bbo in the console window
+            Console.WriteLine($"received new security: {new_security}.");
+            // add the new security to our map
+            _securities.Add(new_security.Id, new_security);
+         }
+         // As you may have noticed, all of the subcribe methods in the api
+         // return an IObservable<Update<T>>.  It is worth noting that for security updates,
+         // 'changes' will always be empty.
+         Debug.Assert(!update.changes.Any());
+         foreach (var old_security in update.removed) {
+            // of course, we should have entries for all books in update.removed
+            Debug.Assert(_securities.Remove(old_security.Id));
+         }
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SendOrderModel.cs

@@ -0,0 +1,110 @@
+using bts.api.csharp.utils;
+using bts.api.orderman;
+using System;
+using System.Threading.Tasks;
+
+namespace bts.api.csharp.examples {
+   static class OrderTemplates {
+      public static CustomOrderDefinition limit() => new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
+      public static CustomOrderDefinition market() => new CustomOrderDefinition { Market = new MarketOrderDefinition() };
+      public static CustomOrderDefinition iceberg(double show_quantity) => iceberg(show_quantity, limit());
+      public static CustomOrderDefinition iceberg(double show_quantity, CustomOrderDefinition child) =>
+         new CustomOrderDefinition {
+            Iceberg = new IcebergOrderDefinition {
+               ShowQuantity = show_quantity,
+               Child = child
+            }
+         };
+   }
+
+   /// <summary>
+   /// Exemplifies how the <see cref="OrderService"/> api may be used to
+   /// send several common order types (limit, market, and iceberg).
+   /// </summary>
+   class SendOrderModel {
+      readonly OrderService _service;
+
+      public SendOrderModel(OrderService service) {
+         _service = service;
+      }
+
+      public OrderDefinition create_order_definition(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_def) {
+         return new OrderDefinition {
+            Account = account.name,
+            AccountId = account.id,
+            User = user.name,
+            UserId = user.id,
+            SecurityKey = security_key,
+            CustomDef = custom_def
+         };
+      }
+
+      /// <summary>
+      /// Sends a limit order (asynchronous).
+      /// </summary>
+      /// <returns>The order id if the submission was successful, otherwise null.</returns>
+      public Task<uint?> send_limit_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity, double price) {
+         return send_order_async(user, account, security_key, OrderTemplates.limit(), quantity, price);
+      }
+
+      /// <summary>
+      /// Sends a market order (asynchronous).  Note no price parameter is required for market orders.
+      /// </summary>
+      /// <returns>The order id if the submission was successful, otherwise null.</returns>
+      public Task<uint?> send_market_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity) {
+         return send_order_async(user, account, security_key, OrderTemplates.market(), quantity, 0.0);
+      }
+
+      /// <summary>
+      /// Sends an iceberg of limit orders (asynchronous).
+      /// </summary>
+      /// <returns>The order id if the submission was successful, otherwise null.</returns>
+      public Task<uint?> send_iceberg_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity, double price, double show_quantity) {
+         return send_order_async(user, account, security_key, OrderTemplates.iceberg(show_quantity), quantity, price);
+      }
+
+      /// <summary>
+      /// Sends an order of the type specified by <paramref name="custom_order_definition"/> (asynchronous).
+      /// </summary>
+      /// <returns>The order id if the submission was successful, otherwise null.</returns>
+      public async Task<uint?> send_order_async(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_order_definition, uint quantity, double price) {
+         Console.WriteLine($"submitting order for user ({user}), account ({account}): {OrderUtils.fmt_order(quantity, price, custom_order_definition)}.");
+         var reply = await _service.create_order_async(new Create {
+            Quantity = quantity,
+            Price = price,
+            NewOrder = create_order_definition(user, account, security_key, custom_order_definition)
+         });
+         if (reply.success) {
+            Console.WriteLine($"received ack that order has been submitted.  Order id is {reply.value.OrderKey}.");
+            return reply.value.OrderKey;
+         } else {
+            Console.WriteLine($"order submission was unsuccessful: [{reply.value.ErrorCode}] {reply.value.Msg}.");
+            return null;
+         }
+      }
+
+      public void send_order(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_order_definition, uint quantity, double price) {
+         /// Note, the thread will be blocked until a response is received from the server.
+         /// For this reason, <see cref="OrderService.create_order_async(Create)"/> is usually preferred.
+         /// An example of how to use that method is provided in <see cref="send_order_async(NameIDPair, NameIDPair, CustomOrderDefinition, uint, double)"/>.
+         Console.WriteLine($"Creating order {OrderUtils.fmt_order(quantity, price, custom_order_definition)}");
+         var response = _service.create_order(new Create {
+            Quantity = quantity,
+            Price = price,
+            NewOrder = create_order_definition(user, account, security_key, custom_order_definition)
+         });
+         switch (response.ErrorCode) {
+            case OrderError.Ok:
+               _print_order_info(response.OrderKey, "successfully created.");
+               break;
+            default:
+               Console.WriteLine($"Failed to create order: [{response.ErrorCode}] {response.Msg}.");
+               break;
+         }
+      }
+
+      static void _print_order_info(uint order_key, string message) {
+         Console.WriteLine($"Order {order_key}: {message}.");
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SendOrdersContinously.cs

@@ -0,0 +1,100 @@
+using bts.api.core;
+using bts.api.orderman;
+using mbts;
+using System;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+using System.Threading.Tasks;
+
+namespace bts.api.csharp.examples {
+   /// <summary>
+   /// The code in this example is a bit more advanced than the others,
+   /// as it is designed to send orders, asynchronously, in a continuous loop.
+   /// For straightforward examples of how to send orders with the api,
+   /// check out <see cref="SendOrderModel"/>.
+   /// </summary>
+   static class SendOrderLoop {
+      /// <summary>
+      /// As a security key is required to send an order, this method
+      /// uses the <see cref="MarketDataService"/> to observe the securities stream,
+      /// then on the first update, initializes the send-order-loop <see cref="LoopImpl"/>
+      /// with one of the newly received security keys.
+      /// </summary>
+      public static IDisposable init_loop(OrderService order_service, MarketDataService market_data_service) {
+         // If you need to familiarize yourself with the IObservable pattern, check out the official docs:
+         // https://docs.microsoft.com/en-us/dotnet/api/system.iobservable-1?view=netcore-3.1
+
+         var single_security_stream = market_data_service.subscribei_securities()
+            .Where(u => u.all.Any())
+            .Take(1)
+            .Select(u => u.all.FirstOrDefault());
+
+         return init_loop(single_security_stream, create_loop);
+         IDisposable create_loop(SecurityImmutable sec) {
+            return new LoopImpl(order_service, sec.Id);
+         }
+      }
+
+      /// <summary>
+      /// Observes the security stream and creates a new send-order-loop
+      /// whenever a new security arrives.  The previous send-order-loop
+      /// is disposed when the next security arrives, so only one send-order-loop
+      /// shall be active at a time.
+      /// </summary>
+      /// <param name="security">The security stream used to initialize send-order-loops.</param>
+      /// <returns>An IDisposable that unsubsribes from the securities stream, and disposes the active send-order-loop.</returns>
+      public static IDisposable init_loop(IObservable<SecurityImmutable> security, Func<SecurityImmutable, IDisposable> factory) {
+         IDisposable active_loop = null;
+         var security_sub = security.Subscribe(s =>
+            Interlocked.Exchange(ref active_loop, factory(s))?.Dispose());
+         return Disposable.Create(dispose);
+         void dispose() {
+            security_sub.Dispose();
+            active_loop?.Dispose();
+         }
+      }
+
+      class LoopImpl : IDisposable {
+         bool _is_disposed;
+
+         public LoopImpl(OrderService service, uint security_key)
+            : this(service, Users.Default, Accounts.Default, security_key, 10, TimeSpan.FromSeconds(3)) { }
+
+         public LoopImpl(OrderService service, NameIDPair user, NameIDPair account, uint security_key, int max_orders, TimeSpan delay_between_orders) {
+            var model = new SendOrderModel(service);
+            send_orders_continuously();
+
+            async void send_orders_continuously() {
+               // Periodically send an order with one of the CustomOrderDefinitions below.
+               // If you are unfamiliar with async/await, this will also serve as a simple example
+               // of how those keywords may be used.  However, there is no substite for the official docs:
+               // https://docs.microsoft.com/en-us/dotnet/csharp/programming-guide/concepts/async/
+               var order_templates = new CustomOrderDefinitionImmutable[] {
+                  new CustomOrderDefinitionImmutable(OrderTemplates.limit()),
+                  new CustomOrderDefinitionImmutable(OrderTemplates.market()),
+                  new CustomOrderDefinitionImmutable(OrderTemplates.iceberg(5))
+               };
+               for (int num_orders_sent = 0; num_orders_sent < max_orders && !_is_disposed; num_orders_sent++) {
+                  int template_index = num_orders_sent % order_templates.Length;
+                  CustomOrderDefinitionImmutable templatei = order_templates[template_index];
+                  // The order templates we created are immutable, however the api uses the mutable form.
+                  // Not to worry tho, there is a nifty method called 'CloneToMutable.'
+                  // Note that all of the non-primitive immutable parameters in the api methods have a 'CloneToMutable' method,
+                  // it is not unique to CustomOrderDefinitionImmutable.
+                  CustomOrderDefinition template = templatei.CloneToMutable();
+                  await model.send_order_async(user, account, security_key, template, 12, 100);
+                  // pause for a moment before sending the next order
+                  await Task.Delay(delay_between_orders);
+               }
+            }
+         }
+
+         public void Dispose() {
+            // flip _is_disposed to true, so the 'send_orders_continuously' loop
+            // knows it's time to stop.
+            _is_disposed = true;
+         }
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/BookUtils.cs

@@ -0,0 +1,52 @@
+using System.Collections.Generic;
+
+namespace bts.api.csharp.utils {
+   static class BookUtils {
+      /// <summary>
+      /// Get a display string of the bbo. 
+      /// </summary>
+      public static string fmt_bbo(BookEntryImmutable book) {
+         return fmt_bbo(get_bbo(book));
+      }
+
+      /// <summary>
+      /// Get a display string of the bbo. 
+      /// </summary>
+      public static string fmt_bbo((PriceEntryImmutable? bid, PriceEntryImmutable? ask) bbo) {
+         return $"{fmt_price_entry(bbo.bid)} <--> {fmt_price_entry(bbo.ask)}";
+      }
+
+      /// <summary>
+      /// Get a display string of a <see cref="PriceEntryImmutable"/>.
+      /// </summary>
+      public static string fmt_price_entry(PriceEntryImmutable? price_entry) {
+         return price_entry.HasValue ? fmt_price_entry(price_entry.Value) : "N/A";
+      }
+
+      /// <summary>
+      /// Get a display string of a <see cref="PriceEntryImmutable"/>.
+      /// </summary>
+      public static string fmt_price_entry(PriceEntryImmutable price_entry) {
+         return $"{price_entry}";
+      }
+
+      /// <summary>
+      /// Get a display string of the bbo.
+      /// </summary>
+      public static (PriceEntryImmutable? best_bid, PriceEntryImmutable? best_ask) get_bbo(BookEntryImmutable book) {
+         return (get_top_of_book(book.Bid), get_top_of_book(book.Ask));
+      }
+
+      /// <summary>
+      /// Returns the first element in <paramref name="depth"/>,
+      /// as this represents the top price level
+      /// of a particular side of the market (bid or ask).
+      /// </summary>
+      public static PriceEntryImmutable? get_top_of_book(IEnumerable<PriceEntryImmutable> depth) {
+         foreach (var d in depth)
+            return d;
+         // there are no elements (the book is empty for this side), so return null.
+         return null;
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/OrderUtils.cs

@@ -0,0 +1,9 @@
+using bts.api.orderman;
+
+namespace bts.api.csharp.utils {
+   static class OrderUtils {
+      public static string fmt_order(uint quantity, double price, CustomOrderDefinition custom_order_definition) {
+         return $"{quantity} @ {price}: {custom_order_definition}";
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/SecurityUtils.cs

@@ -0,0 +1,8 @@
+using System;
+using System.Collections.Generic;
+using System.Text;
+
+namespace bts.api.csharp.utils {
+   static class SecurityUtils {
+   }
+}

src/server/sparkd/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources algo/AlgoDefinitionServiceServer.cpp;cmds/AdminReport.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/FIXSim.cpp;cmds/Help.cpp;cmds/KeyCode.cpp;cmds/Md.cpp;cmds/ParseHistoricalFIX.cpp;cmds/PrintHedgeOrders.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/TestCeloxica.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/MultipartFormDecoder.cpp;http/WebServer.cpp;http/tests/MultiPartFormTests.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/IMDPlatform.cpp;md/platforms/celoxica/CXListener.cpp;md/platforms/celoxica/CXMain.cpp;md/platforms/celoxica/tests/cx_tests.cpp;md/platforms/ice_onixs/ICEListener.cpp;md/platforms/ice_onixs/ICEMain.cpp;md/platforms/ice_onixs/tests/ice_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/MarginServiceServer.cpp;position/PositionAggregator.cpp;position/PositionMap.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/import/BasePositionServiceServer.cpp;position/import/DownloadCommonStateMachine.cpp;position/import/DownloadWindow.cpp;position/import/MoneyFileServiceServer.cpp;position/import/parsing/gmi_parser.cpp;position/import/parsing/money_parser.cpp;position/import/parsing/parser_common.cpp;position/tests/PositionTests.cpp;position/tests/position_tests_internal.cpp;subprocess/SubProcessRunner.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)
+set(sources algo/AlgoDefinitionServiceServer.cpp;cmds/AdminReport.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/FIXSim.cpp;cmds/Help.cpp;cmds/KeyCode.cpp;cmds/Md.cpp;cmds/ParseHistoricalFIX.cpp;cmds/PrintHedgeOrders.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/MultipartFormDecoder.cpp;http/WebServer.cpp;http/tests/MultiPartFormTests.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/IMDPlatform.cpp;md/platforms/ice_onixs/ICEListener.cpp;md/platforms/ice_onixs/ICEMain.cpp;md/platforms/ice_onixs/tests/ice_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/MarginServiceServer.cpp;position/PositionAggregator.cpp;position/PositionMap.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/import/BasePositionServiceServer.cpp;position/import/DownloadCommonStateMachine.cpp;position/import/DownloadWindow.cpp;position/import/MoneyFileServiceServer.cpp;position/import/parsing/gmi_parser.cpp;position/import/parsing/money_parser.cpp;position/import/parsing/parser_common.cpp;position/tests/PositionTests.cpp;position/tests/position_tests_internal.cpp;subprocess/SubProcessRunner.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)

src/server/sparkd/cmds/TestCeloxica.cpp

@@ -1,26 +0,0 @@
-#include "TestCeloxica.h"
-
-#include "server/sparkd/md/platforms/celoxica/CXMain.h"
-#include "server/sparkd/md/platforms/celoxica/CXListener.h"
-
-namespace bts 
-{
-namespace cmd 
-{
-
-int TestCeloxica::execute(const std::vector<std::string>&)
-{
-   bts::md::CXMain main;
-   main.initialize();
-   return 0;
-}
-
-std::string TestCeloxica::help()
-{
-   return "\t test BTS <> Celoxica integration \n";
-} 
-
-}
-}
-
-

src/server/sparkd/cmds/TestCeloxica.h

@@ -1,20 +0,0 @@
-#pragma once
-
-#include "ICmd.h"
-
-namespace bts 
-{
-namespace cmd 
-{
-
-class TestCeloxica : public ICmd
-{
-public:
-   int execute(std::vector<std::string> const &args);
-   std::string help();
-};
-
-}
-}
-
-

src/server/sparkd/main.cpp

@@ -19,7 +19,6 @@
 #include "server/sparkd/cmds/RunSim.h"
 #include "server/sparkd/cmds/Span.h"
 #include "server/sparkd/cmds/Test.h"
-#include "server/sparkd/cmds/TestCeloxica.h"
 #include "server/sparkd/cmds/Web.h"
 
 using namespace bts;
@@ -32,7 +31,6 @@ int main(int argc, char **argv) {
    REGISTER(Help);
    REGISTER(Run);
    REGISTER(Md);
-   REGISTER(TestCeloxica);
    REGISTER(ConfigCheck);
    REGISTER(KeyCode);
    REGISTER(RunSim);

src/server/sparkd/md/platforms/celoxica/CXListener.cpp

@@ -1,88 +0,0 @@
-#include "CXListener.h"
-
-#include "lib/utils/defer.h"
-#include "lib/utils/CallTimer.h"
-#include "lib/utils/helper_macros.h"
-#include <tuple>
-
-namespace celoxica { namespace gmac {} }
-#include "celoxica.h"
-using namespace celoxica::gmac;
-using namespace std;
-
-namespace bts 
-{
-namespace md 
-{
-
-CXListener::CXListener(CXSecurityIndex& index, MDProducer& producer, SecurityIDRecorder& recorder, 
-                       co2::SettlementRecorder& settles, std::vector<MDProducerChannel> channels, 
-                       utils::Dispatcher& disp) :
-    _index(index),
-    _producer(producer),
-    _packet_arrived(),
-    _latest_sequence(0),
-    _security_recorder(recorder),
-    _settlement_recorder(settles),
-    _symbol_filter_storage(),
-    _channels(channels),
-    _background(disp),
-    _security_recorder_input_timer(disp, 900, [&]() { dequeue_securities(); }),
-    _security_recorder_input(),
-    _concurrency_monitor(0),
-    _book_updates()
- {
-    _book_updates.reserve(32);
-    _security_recorder_input_timer.start();
- }
-
-CXListener::~CXListener() 
-{
-   _security_recorder_input_timer.stop();
-}
-
-void CXListener::add_software_filter(const std::string& symbol)
-{
-   _symbol_filter_storage.push_back(symbol);
-   //_symbol_filter.clear();
-   //for (const auto& str : _symbol_filter_storage) {
-   //   _symbol_filter.insert(onixs::StringRef(str));
-   //}
-}
-
-void CXListener::on_GMACMessageOrderDepthV3(const GMACMessageOrderDepthV3*)
-{
-}
-
-
-void CXListener::dequeue_securities()
-{
-}
-
-void CXListener::flush_books() 
-{
-   // This is called at the end of the packet
-   // Write all book updates to shared memory and reset for the next packet
-   //for (auto& entry : _book_updates) {
-   //   // bbo first
-   //   uint16_t sequence = (_latest_sequence & 0xFFFF);
-   //   entry.handle.update_bbo(_packet_arrived, entry.bids[0], entry.asks[0], sequence);
-
-   //   // Perf Note: the remainder of the book update could be done (carefully) with a memcpy
-   //   for (size_t x = 1; x < COCONUT_MAX_DEPTH; ++x) {
-   //      entry.handle.update_bid(_packet_arrived, entry.bids[x], x);
-   //      entry.handle.update_ask(_packet_arrived, entry.asks[x], x);
-   //   }
-   //}
-   //// Reset pending updates
-   //_book_updates.clear();
-}
-
-}
-
-md::CXListener::BookData::BookData(MDProducerHandle & handle) : handle(handle), bids(), asks()
-{ 
-}
-
-}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXListener.h

@@ -1,61 +0,0 @@
-#pragma once
-
-#include "lib/utils/bts_no_copy.h"
-#include "lib/md/coconut2.h"
-#include "lib/utils/Dispatcher.h"
-#include "server/sparkd/md/platforms/celoxica/CXSecurityIndex.h"
-
-#include <tbb/concurrent_queue.h>
-#include <vector>
-#include <atomic>
-
-namespace bts 
-{
-namespace md 
-{
-struct GMACMessageOrderDepthV3;
-
-class CXListener 
-{
-public:
-   CXListener(CXSecurityIndex&, MDProducer&, SecurityIDRecorder&, 
-              co2::SettlementRecorder&, std::vector<MDProducerChannel>, utils::Dispatcher&);
-   ~CXListener();
-
-   void add_software_filter(const std::string& symbol);
-
-   void on_GMACMessageOrderDepthV3(const GMACMessageOrderDepthV3*);
-
-private: 
-   void flush_books();
-   void dequeue_securities();
-
-private:
-   BTS_NO_COPY(CXListener);
-
-   CXSecurityIndex& _index;
-   MDProducer& _producer;
-   utils::TimeStamp _packet_arrived;
-   uint64_t _latest_sequence;
-   SecurityIDRecorder& _security_recorder;
-   co2::SettlementRecorder& _settlement_recorder;
-   std::vector<std::string> _symbol_filter_storage;
-   std::vector<MDProducerChannel> _channels;
-   utils::Dispatcher& _background;
-   utils::DispatcherTimer _security_recorder_input_timer;
-   tbb::concurrent_queue<CXSecurityData*> _security_recorder_input;
-   std::atomic<int> _concurrency_monitor;
-
-   struct BookData {
-      BookData(MDProducerHandle& handle);
-      MDProducerHandle handle;
-      PriceSize bids[10];
-      PriceSize asks[10];
-   };
-
-   std::vector<BookData> _book_updates;   
-};
-
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXMain.cpp

@@ -1,83 +0,0 @@
-#include "CXMain.h"
-
-#include "lib/md/cme/MDP3Utils.h"
-#include "lib/config/config.h"
-#include "lib/md/coconut2.h"
-#include "lib/os/os.h"
-#include "lib/utils/Dispatcher.h"
-#include "lib/utils/proto_helper.h"
-#include "lib/utils/helper_macros.h"
-
-#include "lib/config/protos/MarketData.pb.h"
-#include "lib/config/protos/system.pb.h"
-
-namespace celoxica { namespace gmac {} }
-#include "celoxica.h"
-
-extern "C"
-{
-#define __retcode_start__
-#define __retcode_end__
-}
-
-#include <memory>
-#include <set>
-
-using namespace std;
-using namespace celoxica::gmac;
-
-namespace bts 
-{
-namespace md
-{
-
-void run_cx_server(UserSymbol* psyms, size_t symcount)
-{
-   CXMain main;
-   vector<UserSymbol> symbols;
-   for(size_t x = 0; x < symcount; ++x) {
-      symbols.push_back(psyms[x]);
-   }
-   main.run(symbols);
-}
-
-CXMain::CXMain() :
-   _producer(co2::PLATFORM_CELOXICA),
-   _security_recorder({}),
-   _settlement_recorder(co2::PLATFORM_CELOXICA),
-   _listeners()
-{
-}
-
-CXMain::~CXMain() {}
-
-void CXMain::initialize()
-{
-   //celoxica::gmac::GMACIdentify(stderr);
-   //const auto& options = config::get<CMEOptions>();
-
-}
-
-
-void CXMain::run(std::vector<UserSymbol>& symbols)
-{
-   bts::md::await_cme_config();
-   initialize();
-
-   parse_channels(symbols);
-   // const auto& channels = parse_channels(symbols);
-}
-
-
-
-std::unique_ptr<CXListener> CXMain::prepare_listener(const std::string& channel, const CMEChannel&)
-{
-   UNUSED(channel);
-   return std::unique_ptr<CXListener>();
-}
-
-
-}
-}
-
-

src/server/sparkd/md/platforms/celoxica/CXMain.h

@@ -1,49 +0,0 @@
-#pragma once
-
-#include "lib/utils/bts_no_copy.h"
-#include "lib/md/coconut2.h"
-#include "server/sparkd/md/platforms/celoxica/CXListener.h"
-#include "server/sparkd/md/platforms/celoxica/CXSecurityIndex.h"
-
-#include <memory>
-#include <vector>
-#include <map>
-
-namespace bts 
-{
-namespace md 
-{
-void run_cx_server(UserSymbol* sym, size_t symcount);
-
-struct CMEChannel;
-class CXListener;
-
-/*
- * The CX provider is very simple.  1 CXMain maps to 1 Celoxica Queue, which maps to 1 thread and one bound CPU.
- * Control starts in CXMain which starts the thread, binds to a cpu, provides a (currently unused) list of all the symbols we need 
- * prepare_handler configures an exchange channel to be owned by this queue, and prepare_listener sets up thing that sees 
- * all callbacks which maps the exchange id to the MDProducerHandle and writes to shared mem
- */
-class CXMain
-{
-public:
-   CXMain();
-   ~CXMain();
-
-   void run(std::vector<UserSymbol>&); //call initialize, start the pump
-   void initialize(); //set up channels, etc
-
-   std::unique_ptr<CXListener> prepare_listener(const std::string& channel, const CMEChannel&);
-
-private:
-   BTS_NO_COPY(CXMain);
-
-   CXSecurityIndex _index;
-   MDProducer _producer;
-   SecurityIDRecorder _security_recorder;
-   co2::SettlementRecorder _settlement_recorder;
-   std::vector<std::unique_ptr<CXListener>> _listeners;
-};
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXSecurityIndex.h

@@ -1,21 +0,0 @@
-#pragma once
-
-#include "lib/md/SecurityIndex.h"
-#include <string>
-
-namespace bts 
-{
-namespace md 
-{
-
-struct CXSecurityData 
-{
-   CXSecurityData(uint32_t id, MDProducerHandle& h) : id(id), handle(h) {}
-   uint32_t id; // exchange id
-   MDProducerHandle handle;
-};
-
-using CXSecurityIndex = ConcurrentSecurityIndex<uint32_t, CXSecurityData>;
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/celoxica.h

@@ -1,15 +0,0 @@
-#pragma once
-
-namespace celoxica
-{
-namespace gmac
-{
-
-#include "celoxica/gmac.h"
-#include "celoxica/gmac_template_v3.h"
-#include "celoxica/gmac_info.h"
-
-}
-}
-
-

src/server/sparkd/md/platforms/celoxica/tests/cx_tests.cpp

@@ -1,210 +0,0 @@
-// #include "catch/catch.hpp"
-
-// #include "lib/config/config.h"
-// #include "lib/config/protos/MarketData.pb.h"
-
-// #include <vector>
-// #include <string>
-// #include <functional>
-// #include <stdarg.h>
-
-// #include "../MDP3Utils.h"
-// #include "../onixs.h"
-
-// using namespace bts::md;
-// using namespace std;
-
-
-// namespace bts {
-// namespace md {
-
-// map<string, onixs::FeedEngineSettings> create_feed_engine_settings(const std::vector<CMEChannel>& channels);
-// const CMEOptions::CMEChannel channel_settings_for(const string& id);
-
-// namespace test {
-
-// vector<CMEChannel> test_channels(int count, ...) {
-//    // Doing this the C way because I still haven't updated VS
-//    vector<CMEChannel> result;
-//    va_list ap;
-//    va_start(ap, count);
-//    for (int x = 0; x < count; ++x) {
-//       const char* val = va_arg(ap, char*);
-//       CMEChannel temp;
-//       temp.id = val;
-//       result.push_back(temp);
-//    }
-//    va_end(ap);
-//    return result;
-// }
-   
-
-// TEST_CASE("mdp3_tests","[md]") {
-//    SECTION("test_defaults") {
-//       config::internal::initialize_for_test("CMEOptions {}");
-
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       channels = test_channels(2, "310", "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-
-//       channels = test_channels(4, "310", "311", "400", "412");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       REQUIRE(!channel_settings_for("310").has_feed_engine());
-//       REQUIRE(!channel_settings_for("311").has_feed_engine());
-//       REQUIRE(!channel_settings_for("315").has_feed_engine());
-//    }
-
-//    SECTION("test_segregate_futures") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "    value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'default'\n"
-//          "        }\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        # Futures\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            id: '312'\n"
-//          "            feed_engine: 'futures'\n"
-//          "        }\n"
-//          "        # Options\n"
-//          "        channel {\n"
-//          "            id: '311'\n"
-//          "            id: '313'\n"
-//          "            id: '315'\n"
-//          "            feed_engine: 'default'\n"
-//          "        }\n"
-//          "    }\n"
-//          "}");
-      
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "futures");
-//       REQUIRE(result.begin()->second.threadsCount() == 4);
-      
-//       channels = test_channels(1, "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "default");
-//       REQUIRE(result.begin()->second.threadsCount() == 1);
-      
-//       channels = test_channels(2, "311", "310");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 2);
-//       REQUIRE(result["default"].threadsCount() == 1);
-//       REQUIRE(result["futures"].threadsCount() == 4);
-      
-//       // Test channels not listed in config
-//       channels = test_channels(2, "317", "318");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-//    }
-
-//    SECTION("test_no_default") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "    value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        # any channel not listed will use the default feed engine\n"
-//          "        # Futures\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            id: '312'\n"
-//          "            feed_engine: 'futures'\n"
-//          "        }\n"
-//          "        # Options\n"
-//          "        channel {\n"
-//          "            id: '311'\n"
-//          "            id: '313'\n"
-//          "            id: '315'\n"
-//          "            use_tcp_replay: false\n"
-//          "        }\n"
-//          "    }\n"
-//          "}");
-      
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "futures");
-//       REQUIRE(result.begin()->second.threadsCount() == 4);
-      
-//       channels = test_channels(1, "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       channels = test_channels(2, "311", "310");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result["futures"].threadsCount() == 4);
-      
-      
-//       REQUIRE(channel_settings_for("310").use_tcp_replay() == true);
-//       REQUIRE(channel_settings_for("311").use_tcp_replay() == false);
-//       REQUIRE(channel_settings_for("315").use_tcp_replay() == false);
-//    }
-
-//    SECTION("test_one_thread_each") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "   value {\n"
-//          "      channel {\n"
-//          "         id: '*'\n"
-//          "      }\n"
-//          "   }\n"
-//          "}\n");
-
-//       vector<CMEChannel> channels = test_channels(1, "310", "311");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-
-//       const auto& settings = channel_settings_for("311");
-//       REQUIRE(!settings.has_feed_engine());
-//    }
-
-//    SECTION("test_common_futures_thread") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "   value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            feed_engine: 'futures'\n"
-//          "            udp_socket_buffer_size: 1234\n"
-//          "        }\n"
-//          "        channel {\n"
-//          "           id: '*'\n"
-//          "        }\n"
-//          "  }\n"
-//          "}\n");
-
-//       vector<CMEChannel> channels = test_channels(6, "310", "311", "315", "100", "10", "42");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       result = create_feed_engine_settings(test_channels(1, "315"));
-//       REQUIRE(result.size() == 0);
-
-//       REQUIRE(!channel_settings_for("311").has_feed_engine());
-//       REQUIRE(channel_settings_for("310").has_feed_engine());
-//       REQUIRE(channel_settings_for("310").udp_socket_buffer_size() == 1234);
-//       REQUIRE(channel_settings_for("311").has_udp_socket_buffer_size() == false);
-//    }
-// }
-
-// }}}//namespace

src/server/sparkd/md/platforms/ice_onixs/ICEListener.cpp

@@ -1,421 +1,451 @@
-#include "ICEListener.h"
-#include "lib/utils/datetime.h"
-#include <vector>
-#include "lib/utils/helper_macros.h"
-#include "lib/config/protos/MarketData.pb.h"
-#include "lib/md/protos/co2.pb.h"
-
-using namespace std;
-using namespace bts::co2;
-using namespace bts::md::ice;
-
-namespace bts {
-namespace md {
-namespace ice {
-   
-template <>
-double double_of_price<onixs_ice::Rational>(const onixs_ice::Rational& price, int8_t denominator) 
-{
-   UNUSED(denominator);
-   double dbl = price.convertTo<double>();
-   return dbl;
-}   
-
-template<>
-void ICEListener::set_security_specific<onixs_ice::FuturesProductDefinition>(const onixs_ice::FuturesProductDefinition& def, 
-                                                                             FixedSecurity& fsec)
-{
-   //fsec.cash_per_point = double_of_price(def.tickValue, fsec.ice_price_denominator);
-   //fsec.cash_per_point = def.tickValue;   
-   fsec.cash_per_point = def.unitQuantity;
-}
-
-ICEListener::ICEListener(ICESecurityIndex& index, MDProducer& producer, const std::vector<MDProducerChannel> channels) :
-   _index(index),
-   _producer(producer),
-   _symbol_filter(),
-   _channels(channels),
-   _concurrency_monitor(0)
-{
-}
-
-ICEListener::~ICEListener() {}
-
-std::string ICEListener::parse_contract_symbol(const std::string& sym)
-{
-   auto end = sym.find(' ');
-   if(end == std::string::npos)
-      return sym;
-   else
-      return sym.substr(0, end);
-}
-
-//   
-//State change
-void ICEListener::onHandlerStateChange(const onixs_ice::HandlerStateChange&) 
-{
-}
-   
-void ICEListener::onMarketStateChange(const onixs_ice::MarketStateChange& , const onixs_ice::MessageInfo&)
-{
-}
-
-//
-// Warnings/Errors
-void ICEListener::onError(const onixs_ice::Error& error) 
-{
-   std::string error_desc(error.description());
-   LOG(md,Warn, "OnixS ICE Error: {} - {}", error.toString(), error_desc );
-}
-void ICEListener::onFeedError(onixs_ice::FeedId feedid, onixs_ice::ErrorCode code, const std::string& desc)
-{
-   LOG(md,Warn, "OnixS ICE FeedError: {} - {}", feedid, desc, code);   
-}
-void ICEListener::onWarning(const onixs_ice::Warning& warning) 
-{
-   LOG(md,Warn, "OnixS ICE Warn: {} - {}", warning.toString(), std::string(warning.description()) );
-}
-
-//
-// Security discovery
-void ICEListener::onFuturesProductDefinition(const onixs_ice::FuturesProductDefinition& msg, bool& is_interested) 
-{
-   if(msg.isSpread)
-      on_future_strip(msg, is_interested);
-   else
-      on_future(msg, is_interested);
-}
-
-void ICEListener::onNewExpiry(const onixs_ice::NewExpiry& msg, bool& is_interested, const onixs_ice::MessageInfo& ) 
-{   
-   on_future(msg, is_interested);
-}
-
-void ICEListener::onFuturesStrategyDefinition(const onixs_ice::FuturesStrategyDefinition& def, bool& is_interested) 
-{
-    on_uds_future_spread(def, is_interested);
-}
-//This is only for UDS
-void ICEListener::onNewFuturesStrategyDefinition(const onixs_ice::NewFuturesStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& )
-{
-   on_uds_future_spread(msg, is_interested);
-}
-   
-void ICEListener::onOptionsProductDefinition(const onixs_ice::OptionsProductDefinition& msg, bool& is_interested) 
-{ 
-   UNUSED(msg);
-   UNUSED(is_interested);
-}
-void ICEListener::onNewOptionsMarketDefinition(const onixs_ice::NewOptionsMarketDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info)  
-{ 
-   UNUSED(msg);
-   UNUSED(is_interested);
-   UNUSED(msg_info);
-}
-void ICEListener::onOptionsStrategyDefinition(const onixs_ice::OptionsStrategyDefinition& msg, bool& is_interested) 
-{
-   UNUSED(msg);
-   UNUSED(is_interested);
-}
-void ICEListener::onNewOptionsStrategyDefinition(const onixs_ice::NewOptionsStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(is_interested);
-   UNUSED(msg_info);
-}
-
-//
-
-void ICEListener::onMarketSnapshot(const onixs_ice::MarketSnapshot& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg_info);
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      auto settle_denominator = data->handle.security().ice_settle_denominator;
-      if (msg.settlePriceDateTime > 0) {
-         data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(msg.settlePriceDateTime) );
-      }
-      
-      LOG(md,Diag,"OnixSICE Got Market Snap : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
-      
-      auto deal_denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), datetime::today() );
-      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
-      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
-      
-      data->handle.set_last_trade( ts, pricesize_of_price_size(msg.lastTradePrice, deal_denominator, msg.lastTradeQuantity), 
-                                   ll_of_timestamp(msg.lastTradeDateTime), msg.volume );            
-   }        
-}
-
-void ICEListener::onMarketStatistics(const onixs_ice::MarketStatistics& msg, const onixs_ice::MessageInfo& msg_info)
-{
-   UNUSED(msg_info);
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      data->handle.set_total_volume(msg.volume);
-   }   
-}
-
-// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
-void ICEListener::onMarketSnapshotOrder(const onixs_ice::MarketSnapshotOrder& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
-void ICEListener::onMarketSnapshotPriceLevel(const onixs_ice::MarketSnapshotPriceLevel& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-//
-// Book
-void ICEListener::onOrderBookUpdated(const onixs_ice::OrderBook& onixs_book, const onixs_ice::MessageInfo& msg_info) 
-{
-   //tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", (uint32_t)msg_info.sequenceNumber, (uint16_t) msg_info.sequenceNumber, 0);
-      
-   auto data = _index.get_security(onixs_book.marketId());
-   if (data == nullptr) 
-      return;
-   bts_assert(data->id == onixs_book.marketId());
-   auto denominator = data->handle.security().ice_price_denominator;
-
-   // Overwrite all entries every time
-   size_t bids_size = onixs_book.bids().size();
-   size_t asks_size = onixs_book.offers().size();
-   if (!data->handle.has_depth()) 
-   {
-      bids_size = std::min(bids_size, size_t { 1 });
-      asks_size = std::min(asks_size, size_t { 1 });
-   }
-   std::array<PriceSize,COCONUT_MAX_DEPTH> dbids; dbids.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> ibids; ibids.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_DEPTH> dasks; dasks.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> iasks;  iasks.fill(NO_MARKET);
-   for (size_t x = 0; x < bids_size; ++x) 
-   {
-      auto& bid = onixs_book.bids()[x];
-      if(x < COCONUT_MAX_DEPTH)
-         dbids[x] = pricesize_of_price_size(bid.price, denominator, bid.quantity - bid.impliedQuantity);   
-      if(x < COCONUT_MAX_IMPLIED_DEPTH)
-         ibids[x] = pricesize_of_price_size(bid.price, denominator, bid.impliedQuantity);   
-   }      
-   for (size_t x = 0; x < asks_size; ++x) 
-   {
-      auto& ask = onixs_book.offers()[x];
-      if(x < COCONUT_MAX_DEPTH)
-         dasks[x] = pricesize_of_price_size(ask.price, denominator, ask.quantity - ask.impliedQuantity);
-      if(x < COCONUT_MAX_IMPLIED_DEPTH)
-         iasks[x] = pricesize_of_price_size(ask.price, denominator, ask.impliedQuantity);
-   } 
-   data->handle.update_books(TimeStamp::now(), dbids, dasks, ibids, iasks, (uint32_t) msg_info.sequenceNumber);
-} 
-
-
-//
-// Trades
-AggressorSide map_aggressor(onixs_ice::AggressorSide::Enum agside) 
-{
-   switch(agside) {
-      default:
-      case onixs_ice::AggressorSide::NoAggressor:
-         return AGGRESSOR_SIDE_NONE;
-      case onixs_ice::AggressorSide::Buy:
-         return AGGRESSOR_SIDE_BUY;
-      case onixs_ice::AggressorSide::Sell:
-         return AGGRESSOR_SIDE_SELL;
-   }
-}
-
-void on_trade(ICESecurityData* data, const onixs_ice::Price& price, int size, 
-              onixs_ice::AggressorSide::Enum agside, const onixs_ice::DateTime& onixs_date, bool from_spread) 
-{
-   auto ts = utils::TimeStamp::now();
-   PriceSize ps = pricesize_of_price_size(price, data->handle.security().ice_deal_denominator, size);
-   auto date = ll_of_timestamp(onixs_date);
-   data->handle.add_trade(ts, ps, date, map_aggressor(agside), 0u, from_spread);
-}
-
-void ICEListener::onTrade(const onixs_ice::Trade& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != NULL) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto size = msg.quantity;
-      auto price = msg.price;
-      onixs_ice::AggressorSide::Enum agside = msg.aggressorSide;
-      on_trade(data, price, size, agside, msg.transactDateTime, msg.isSystemPricedLeg);
-   }   
-}
-
-//
-// RFQ
-void ICEListener::onRfq(const onixs_ice::Rfq& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      co2::QuoteRequestMessage message;
-      message.set_key(data->handle.key());
-
-      auto time = ll_of_timestamp(msg.messageTimestamp);
-      message.set_time(time);
-
-      long long rfqid = msg.rfqSystemId;
-      message.set_request_id(std::to_string(rfqid));
-
-      //https://ref.onixs.biz/cpp-ice-impact-handler-guide/struct_onix_s_1_1_i_c_e_1_1i_mpact_1_1_market_data_1_1_side.html#a8150b7776c2a1749101acf22e868d091
-      switch(msg.side) 
-      {
-         case ' ':
-            message.set_side(co2::QuoteRequestMessage::UNDEFINED);
-            break;
-         case '1':
-            message.set_side(co2::QuoteRequestMessage::BUY);
-            break;
-         case '2':
-            message.set_side(co2::QuoteRequestMessage::SELL);
-            break;
-      }
-      message.set_size(msg.quantity);
-      data->handle.add_rfq(ts, message);
-   }   
-}
-
-//
-// Misc
-void ICEListener::onSettlementPrice(const onixs_ice::SettlementPrice& msg, const onixs_ice::MessageInfo& ) 
-{   
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      auto price = msg.settlementPrice;
-      auto time = msg.dateTime;
-      auto denominator = data->handle.security().ice_settle_denominator;
-      LOG(md,Diag,"OnixSICE Got Settlement: {} - {}", std::to_string(data->id), std::to_string(price));
-      data->handle.update_settlement(ts, convert_price(price, denominator), date_of_timestamp(time));
-   }   
-}
-
-void ICEListener::onOpenInterest(const onixs_ice::OpenInterest &msg, const onixs_ice::MessageInfo &msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-void ICEListener::onOpenPrice(const onixs_ice::OpenPrice& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::Price price = msg.openPrice;
-      onixs_ice::DateTime time = msg.dateTime;
-      auto denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
-   }   
-}
-
-void ICEListener::onClosePrice(const onixs_ice::ClosePrice& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::Price price = msg.closePrice;
-      onixs_ice::DateTime time = msg.dateTime;
-      auto denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_closing( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
-   }     
-}
-
-void ICEListener::onEndOfDayMarketSummary(const onixs_ice::EndOfDayMarketSummary& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::DateTime time = msg.dateTime;
-      auto ts = utils::TimeStamp::now();
-      auto settle_denominator = data->handle.security().ice_settle_denominator;
-      data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(time) );
-      
-      LOG(md,Warn,"OnixSICE Got EOD Market : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
-      
-      auto deal_denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), date_of_timestamp(time) );
-      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
-      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
-   }        
-}
-
-//
-// Feed
-void ICEListener::onMulticastMessageBlockBegin(onixs_ice::FeedId feedId, const onixs_ice::MessageInfo& ) 
-{
-   UNUSED(feedId);
-}
-
-void ICEListener::onMulticastMessageBlockEnd(onixs_ice::FeedId feedId, const onixs_ice::MarketIds& marketIds) 
-{
-   UNUSED(feedId);
-   UNUSED(marketIds);
-}
-
-void ICEListener::onFeedStarted(onixs_ice::FeedId, const onixs_ice::MarketIds&) 
-{}
-
-void ICEListener::onFeedStopped(onixs_ice::FeedId) 
-{}
-
-void ICEListener::onSessionNumberChange(onixs_ice::FeedId , short , short )
-{}
-
-
-//
-// Non-onixs calls
-void ICEListener::add_filter_symbol(const std::string& symbol) 
-{
-   _symbol_filter.insert(symbol);
-}
-
-void ICEListener::heartbeat() 
-{
-   for (auto& c : _channels) { c.heartbeat(); }
-}
-
-//
-// Private functions
-void ICEListener::add_security(const FixedSecurity& security) 
-{
-   // Set up the shared memory for this security
-   auto handle = _producer.add_security(security);
-   bts_assert(security.numeric_id != 0);
-   // Add it to the index so it can receive messages
-   _index.add_security(security.numeric_id, handle);
-}
-
-void ICEListener::update_all_status(CoconutSecurityStatus status) 
-{
-   _index.walk_security_list([=](ICESecurityData& data) 
-   {
-      data.handle.set_status(status);
-   });
-}
-
-}}} //namespace
-
-
+#include "ICEListener.h"
+#include "lib/utils/datetime.h"
+#include <vector>
+#include "lib/utils/helper_macros.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/md/protos/co2.pb.h"
+
+using namespace std;
+using namespace bts::co2;
+using namespace bts::md::ice;
+
+namespace bts {
+namespace md {
+namespace ice {
+   
+template <>
+double double_of_price<onixs_ice::Rational>(const onixs_ice::Rational& price, int8_t denominator) 
+{
+   UNUSED(denominator);
+   double dbl = price.convertTo<double>();
+   return dbl;
+}   
+
+template<>
+void ICEListener::set_security_specific<onixs_ice::FuturesProductDefinition>(const onixs_ice::FuturesProductDefinition& def, 
+                                                                             FixedSecurity& fsec)
+{
+   //fsec.cash_per_point = double_of_price(def.tickValue, fsec.ice_price_denominator);
+   //fsec.cash_per_point = def.tickValue;   
+   fsec.cash_per_point = def.unitQuantity;
+}
+
+ICEListener::ICEListener(ICESecurityIndex& index, MDProducer& producer, const std::vector<MDProducerChannel> channels) :
+   _index(index),
+   _producer(producer),
+   _symbol_filter(),
+   _channels(channels),
+   _concurrency_monitor(0)
+{
+}
+
+ICEListener::~ICEListener() {}
+
+std::string ICEListener::parse_contract_symbol(const std::string& sym)
+{
+   auto end = sym.find(' ');
+   if(end == std::string::npos)
+      return sym;
+   else
+      return sym.substr(0, end);
+}
+
+//   
+//State change
+void ICEListener::onHandlerStateChange(const onixs_ice::HandlerStateChange&) 
+{
+}
+   
+void ICEListener::onMarketStateChange(const onixs_ice::MarketStateChange& , const onixs_ice::MessageInfo&)
+{
+}
+
+//
+// Warnings/Errors
+void ICEListener::onError(const onixs_ice::Error& error) 
+{
+   std::string error_desc(error.description());
+   LOG(md,Warn, "OnixS ICE Error: {} - {}", error.toString(), error_desc );
+}
+void ICEListener::onFeedError(onixs_ice::FeedId feedid, onixs_ice::ErrorCode code, const std::string& desc)
+{
+   LOG(md,Warn, "OnixS ICE FeedError: {} - {}", feedid, desc, code);   
+}
+void ICEListener::onWarning(const onixs_ice::Warning& warning) 
+{
+   LOG(md,Warn, "OnixS ICE Warn: {} - {}", warning.toString(), std::string(warning.description()) );
+}
+
+//
+// Security discovery
+void ICEListener::onFuturesProductDefinition(const onixs_ice::FuturesProductDefinition& msg, bool& is_interested) 
+{
+   if(msg.isSpread)
+      on_future_strip(msg, is_interested);
+   else
+      on_future(msg, is_interested);
+   LOG(md,Info,"ICE_Future,{},{},{},{},{},{},{},{},{},{},{},{},{}",
+       is_interested,
+       msg.productName,       // NG Swing GDD Futures,
+       msg.hubAlias,          // Henry       
+       msg.marketDesc,        // NG Swing GDD Futures - Henry - 10 Jul 20,
+       msg.stripName,         // 10 Jul 20
+       msg.contractSymbol,    // CGS SDN1020.N1020,
+       msg.productId,
+       msg.marketId,
+       msg.requestMarketType,
+       msg.securitySubType,
+       msg.contractSymbolExtra,       
+       msg.clearedAlias,
+       msg.isSpread);
+}
+
+void ICEListener::onNewExpiry(const onixs_ice::NewExpiry& msg, bool& is_interested, const onixs_ice::MessageInfo& ) 
+{   
+   on_future(msg, is_interested);
+}
+
+void ICEListener::onFuturesStrategyDefinition(const onixs_ice::FuturesStrategyDefinition& msg, bool& is_interested) 
+{
+   on_uds_future_spread(msg, is_interested);
+   LOG(md,Info,"ICE_Strategy,{},{},{},{},{},{},{},{},{},{},{},{},{},{}",
+       is_interested,
+       msg.productName,
+       msg.hubAlias,
+       msg.marketDesc,
+       msg.stripName,
+       msg.contractSymbol,
+       msg.productId,
+       msg.marketId,
+       msg.requestMarketType,
+       msg.securitySubType,
+       log::CharPtrWrapper {""},       
+       msg.clearedAlias,
+       msg.productName,       
+       0);  
+}
+
+void ICEListener::onNewFuturesStrategyDefinition(const onixs_ice::NewFuturesStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& )
+{
+   on_uds_future_spread(msg, is_interested);
+}
+   
+void ICEListener::onOptionsProductDefinition(const onixs_ice::OptionsProductDefinition& msg, bool& is_interested) 
+{ 
+   UNUSED(msg);
+   UNUSED(is_interested);
+}
+void ICEListener::onNewOptionsMarketDefinition(const onixs_ice::NewOptionsMarketDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info)  
+{ 
+   UNUSED(msg);
+   UNUSED(is_interested);
+   UNUSED(msg_info);
+}
+void ICEListener::onOptionsStrategyDefinition(const onixs_ice::OptionsStrategyDefinition& msg, bool& is_interested) 
+{
+   UNUSED(msg);
+   UNUSED(is_interested);
+}
+void ICEListener::onNewOptionsStrategyDefinition(const onixs_ice::NewOptionsStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(is_interested);
+   UNUSED(msg_info);
+}
+
+//
+
+void ICEListener::onMarketSnapshot(const onixs_ice::MarketSnapshot& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg_info);
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      auto settle_denominator = data->handle.security().ice_settle_denominator;
+      if (msg.settlePriceDateTime > 0) {
+         data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(msg.settlePriceDateTime) );
+      }
+      
+      LOG(md,Diag,"OnixSICE Got Market Snap : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
+      
+      auto deal_denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), datetime::today() );
+      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
+      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
+      
+      data->handle.set_last_trade( ts, pricesize_of_price_size(msg.lastTradePrice, deal_denominator, msg.lastTradeQuantity), 
+                                   ll_of_timestamp(msg.lastTradeDateTime), msg.volume );            
+   }        
+}
+
+void ICEListener::onMarketStatistics(const onixs_ice::MarketStatistics& msg, const onixs_ice::MessageInfo& msg_info)
+{
+   UNUSED(msg_info);
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      data->handle.set_total_volume(msg.volume);
+   }   
+}
+
+// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
+void ICEListener::onMarketSnapshotOrder(const onixs_ice::MarketSnapshotOrder& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
+void ICEListener::onMarketSnapshotPriceLevel(const onixs_ice::MarketSnapshotPriceLevel& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+//
+// Book
+void ICEListener::onOrderBookUpdated(const onixs_ice::OrderBook& onixs_book, const onixs_ice::MessageInfo& msg_info) 
+{
+   //tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", (uint32_t)msg_info.sequenceNumber, (uint16_t) msg_info.sequenceNumber, 0);
+      
+   auto data = _index.get_security(onixs_book.marketId());
+   if (data == nullptr) 
+      return;
+   bts_assert(data->id == onixs_book.marketId());
+   auto denominator = data->handle.security().ice_price_denominator;
+
+   // Overwrite all entries every time
+   size_t bids_size = onixs_book.bids().size();
+   size_t asks_size = onixs_book.offers().size();
+   if (!data->handle.has_depth()) 
+   {
+      bids_size = std::min(bids_size, size_t { 1 });
+      asks_size = std::min(asks_size, size_t { 1 });
+   }
+   std::array<PriceSize,COCONUT_MAX_DEPTH> dbids; dbids.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> ibids; ibids.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_DEPTH> dasks; dasks.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> iasks;  iasks.fill(NO_MARKET);
+   for (size_t x = 0; x < bids_size; ++x) 
+   {
+      auto& bid = onixs_book.bids()[x];
+      if(x < COCONUT_MAX_DEPTH)
+         dbids[x] = pricesize_of_price_size(bid.price, denominator, bid.quantity - bid.impliedQuantity);   
+      if(x < COCONUT_MAX_IMPLIED_DEPTH)
+         ibids[x] = pricesize_of_price_size(bid.price, denominator, bid.impliedQuantity);   
+   }      
+   for (size_t x = 0; x < asks_size; ++x) 
+   {
+      auto& ask = onixs_book.offers()[x];
+      if(x < COCONUT_MAX_DEPTH)
+         dasks[x] = pricesize_of_price_size(ask.price, denominator, ask.quantity - ask.impliedQuantity);
+      if(x < COCONUT_MAX_IMPLIED_DEPTH)
+         iasks[x] = pricesize_of_price_size(ask.price, denominator, ask.impliedQuantity);
+   } 
+   data->handle.update_books(TimeStamp::now(), dbids, dasks, ibids, iasks, (uint32_t) msg_info.sequenceNumber);
+} 
+
+
+//
+// Trades
+AggressorSide map_aggressor(onixs_ice::AggressorSide::Enum agside) 
+{
+   switch(agside) {
+      default:
+      case onixs_ice::AggressorSide::NoAggressor:
+         return AGGRESSOR_SIDE_NONE;
+      case onixs_ice::AggressorSide::Buy:
+         return AGGRESSOR_SIDE_BUY;
+      case onixs_ice::AggressorSide::Sell:
+         return AGGRESSOR_SIDE_SELL;
+   }
+}
+
+void on_trade(ICESecurityData* data, const onixs_ice::Price& price, int size, 
+              onixs_ice::AggressorSide::Enum agside, const onixs_ice::DateTime& onixs_date, bool from_spread) 
+{
+   auto ts = utils::TimeStamp::now();
+   PriceSize ps = pricesize_of_price_size(price, data->handle.security().ice_deal_denominator, size);
+   auto date = ll_of_timestamp(onixs_date);
+   data->handle.add_trade(ts, ps, date, map_aggressor(agside), 0u, from_spread);
+}
+
+void ICEListener::onTrade(const onixs_ice::Trade& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != NULL) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto size = msg.quantity;
+      auto price = msg.price;
+      onixs_ice::AggressorSide::Enum agside = msg.aggressorSide;
+      on_trade(data, price, size, agside, msg.transactDateTime, msg.isSystemPricedLeg);
+   }   
+}
+
+//
+// RFQ
+void ICEListener::onRfq(const onixs_ice::Rfq& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      co2::QuoteRequestMessage message;
+      message.set_key(data->handle.key());
+
+      auto time = ll_of_timestamp(msg.messageTimestamp);
+      message.set_time(time);
+
+      long long rfqid = msg.rfqSystemId;
+      message.set_request_id(std::to_string(rfqid));
+
+      //https://ref.onixs.biz/cpp-ice-impact-handler-guide/struct_onix_s_1_1_i_c_e_1_1i_mpact_1_1_market_data_1_1_side.html#a8150b7776c2a1749101acf22e868d091
+      switch(msg.side) 
+      {
+         case ' ':
+            message.set_side(co2::QuoteRequestMessage::UNDEFINED);
+            break;
+         case '1':
+            message.set_side(co2::QuoteRequestMessage::BUY);
+            break;
+         case '2':
+            message.set_side(co2::QuoteRequestMessage::SELL);
+            break;
+      }
+      message.set_size(msg.quantity);
+      data->handle.add_rfq(ts, message);
+   }   
+}
+
+//
+// Misc
+void ICEListener::onSettlementPrice(const onixs_ice::SettlementPrice& msg, const onixs_ice::MessageInfo& ) 
+{   
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      auto price = msg.settlementPrice;
+      auto time = msg.dateTime;
+      auto denominator = data->handle.security().ice_settle_denominator;
+      LOG(md,Diag,"OnixSICE Got Settlement: {} - {}", std::to_string(data->id), std::to_string(price));
+      data->handle.update_settlement(ts, convert_price(price, denominator), date_of_timestamp(time));
+   }   
+}
+
+void ICEListener::onOpenInterest(const onixs_ice::OpenInterest &msg, const onixs_ice::MessageInfo &msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+void ICEListener::onOpenPrice(const onixs_ice::OpenPrice& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::Price price = msg.openPrice;
+      onixs_ice::DateTime time = msg.dateTime;
+      auto denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
+   }   
+}
+
+void ICEListener::onClosePrice(const onixs_ice::ClosePrice& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::Price price = msg.closePrice;
+      onixs_ice::DateTime time = msg.dateTime;
+      auto denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_closing( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
+   }     
+}
+
+void ICEListener::onEndOfDayMarketSummary(const onixs_ice::EndOfDayMarketSummary& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::DateTime time = msg.dateTime;
+      auto ts = utils::TimeStamp::now();
+      auto settle_denominator = data->handle.security().ice_settle_denominator;
+      data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(time) );
+      
+      LOG(md,Warn,"OnixSICE Got EOD Market : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
+      
+      auto deal_denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), date_of_timestamp(time) );
+      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
+      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
+   }        
+}
+
+//
+// Feed
+void ICEListener::onMulticastMessageBlockBegin(onixs_ice::FeedId feedId, const onixs_ice::MessageInfo& ) 
+{
+   UNUSED(feedId);
+}
+
+void ICEListener::onMulticastMessageBlockEnd(onixs_ice::FeedId feedId, const onixs_ice::MarketIds& marketIds) 
+{
+   UNUSED(feedId);
+   UNUSED(marketIds);
+}
+
+void ICEListener::onFeedStarted(onixs_ice::FeedId, const onixs_ice::MarketIds&) 
+{}
+
+void ICEListener::onFeedStopped(onixs_ice::FeedId) 
+{}
+
+void ICEListener::onSessionNumberChange(onixs_ice::FeedId , short , short )
+{}
+
+
+//
+// Non-onixs calls
+void ICEListener::add_filter_symbol(const std::string& symbol) 
+{
+   LOG(md, Info, "ICEListener::add_filter_symbol: adding {}", symbol);
+   _symbol_filter.insert(symbol);
+}
+
+void ICEListener::heartbeat() 
+{
+   for (auto& c : _channels) { c.heartbeat(); }
+}
+
+//
+// Private functions
+void ICEListener::add_security(const FixedSecurity& security) 
+{
+   // Set up the shared memory for this security
+   auto handle = _producer.add_security(security);
+   bts_assert(security.numeric_id != 0);
+   // Add it to the index so it can receive messages
+   _index.add_security(security.numeric_id, handle);
+}
+
+void ICEListener::update_all_status(CoconutSecurityStatus status) 
+{
+   _index.walk_security_list([=](ICESecurityData& data) 
+   {
+      data.handle.set_status(status);
+   });
+}
+
+}}} //namespace
+
+

src/server/sparkd/md/platforms/ice_onixs/ICEListener.h

@@ -119,7 +119,20 @@ private:
    enum SecurityFilterAction { ADD, SKIP, DELETE };
    
    std::string parse_contract_symbol(const std::string& sym);
-      
+   template<typename Definition>
+   std::string get_contract_symbol(const Definition& def){
+      const auto& sym = def.contractSymbol;
+      // TODO : this is only exception right now but for HHD sstrips
+      // def.contractSymbol is empty ! 
+      if (sym.size() == 0 && def.marketDesc.rfind("NG Swing GDD Futures - Henry", 0) == 0)
+         return "HHD";
+      auto end = sym.find(' ');
+      if(end == std::string::npos)
+         return sym;
+      else
+         return sym.substr(0, end);
+   }
+
    template<typename Definition>
    SecurityFilterAction filter_security(int exchange_id, const Definition& def) 
    {
@@ -130,7 +143,7 @@ private:
       }
       if(_symbol_filter.count("*") > 0)
          return ADD;
-      return _symbol_filter.count( parse_contract_symbol(def.contractSymbol) ) > 0 ? ADD : SKIP;
+      return _symbol_filter.count(get_contract_symbol(def)) > 0 ? ADD : SKIP;
    }
    void flush_books();
    void update_all_status(co2::CoconutSecurityStatus status);
@@ -146,7 +159,7 @@ template<typename Definition>
 void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec) 
 {
    fsec.numeric_id = def.marketId;
-   std::string sym = parse_contract_symbol(def.contractSymbol);
+   std::string sym = get_contract_symbol(def);
    if(!sym.empty())
    {
       fsec.symbol( sym );
@@ -165,7 +178,7 @@ void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec
    fsec.ice_settle_denominator = (int8_t)(def.settlePriceDenominator - '0');
    double min_tick = double_of_price(def.incrementPrice, fsec.ice_price_denominator);
    fsec.low_tick = fsec.high_tick = min_tick;
-   fsec.price_break = 0.0;    
+   fsec.price_break = 0.0;
    
    fsec.ice_market_description(def.marketDesc);
    fsec.ice_cleared_alias(def.clearedAlias);
@@ -207,12 +220,12 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
    // auto expiration = date_of_maturity(sec);
    // if (expiration < datetime::today()) return;
 
-   FixedSpreadSecurityL fsec;
+   FixedSpreadSecurityXL fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.strategySymbol);      
    
-   const auto& legs = def.legs;
-   if (legs.size() > 0) {
+   const auto& legs = def.legs;   
+   if (legs.size() > 0 && legs.size() <= 512) {
       fsec.set_leg_count(legs.size());
       for(size_t x = 0; x < fsec.leg_count(); ++x) 
       {
@@ -238,6 +251,8 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
       add_security(fsec);
       is_interested = true;            
    }
+   else
+      LOG(md, Error, "Ignoring security {} with {} legs", def.marketDesc, legs.size());
 }
 
 
@@ -248,7 +263,7 @@ void ICEListener::on_future_strip(const FutureDefinition& def, bool& is_interest
    auto exchange_id = def.marketId;
    if (filter_security(exchange_id, def) != ADD) return;   
 
-   FixedSpreadSecurityXS fsec;
+   FixedSpreadSecurityXL fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.stripName);      
    

src/server/sparkd/md/platforms/ice_onixs/ICEMain.cpp

@@ -73,31 +73,17 @@ onixs_ice::MarketSubscriptions market_subcription_for_channel(const ICEChannel&
    onixs_ice::MarketSubscriptions subs;
    for(const auto& x : chan.market_types)
    {
-      //onixs_ice::MarketSubType::NonImplied
-      if(x == 26)
-      {
-         onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);
-         subs.push_back(futures);
-      }
-      else
-      {
-         onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::FullImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);      
-         subs.push_back(futures);
-      }
+      onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);
+      subs.push_back(futures);
+
+      onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
+      subs.push_back(spreads);
    }
    for(const auto& x : chan.uds_market_types)
    {
-      if(x == 26)
-      {
-         onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
-         subs.push_back(spreads);
-      }
-      else
-      {
-         onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::FullImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
-         subs.push_back(spreads);
-      }
-   }   
+      onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
+      subs.push_back(spreads);      
+   }
    return subs;
 }
 

src/server/sparkd/position/PositionServicePNLHelper.cpp

@@ -138,6 +138,7 @@ struct PositionServicePNLHelper::PImpl {
 void PositionServicePNLHelper::compute_pnl(
       const std::map<int, PositionUnit const*>& in_pos,
       const std::map<std::string,uint32_t>& account_map,
+      const std::map<uint32_t,double>& cpp_override_map,
       std::vector<PNLUnit>& out_pnl,      
       std::vector<AccountPNL>& out_account_pnl){
    out_account_pnl.clear();
@@ -145,6 +146,8 @@ void PositionServicePNLHelper::compute_pnl(
       const PositionUnit& pu = *(p.second);
       uint32_t sec_key = pu.security_id();
       double cpp = me->handle_index.get_cpp(SecurityKey(sec_key));
+      auto it = cpp_override_map.find(sec_key);
+      cpp = (it != cpp_override_map.end()) ? it->second : cpp;
       double bid, ask, last, settle;
       me->handle_index.get_md(SecurityKey(sec_key),bid,ask,last,settle);
       PNLUnit pnlu;

src/server/sparkd/position/PositionServicePNLHelper.h

@@ -17,7 +17,7 @@ private:
    std::unique_ptr<PImpl> me;
 private:
    double _compute_day_pnl (const bts::api::position::PNLUnit&);
-   double _get_cpp (uint32_t);
+   //double _get_cpp (uint32_t);
    // aggregates [sec, account]->pnl tp [account]->pnl
    void _aggregate_account_pnl(
          const std::vector<api::position::PNLUnit>& in_pnl,
@@ -29,6 +29,7 @@ private:
    ~PositionServicePNLHelper();
    void compute_pnl(const std::map<int, bts::api::position::PositionUnit const*>& in_pos,
                      const std::map<std::string,uint32_t>& account_map,
+                     const std::map<uint32_t,double>& cpp_override_map,
                      std::vector<bts::api::position::PNLUnit>& out_pnl,
                      std::vector<bts::api::position::AccountPNL>& out_account_pnl);
 };

src/server/sparkd/position/PositionServiceServer.cpp

@@ -28,6 +28,7 @@ using namespace bts::api::position;
 using namespace bts::md;
 
 static auto const manual_fills_ns = "manual_fills";
+static auto const security_params_ns = "security_parameters";
 
 struct PositionServiceServer::PImpl {
    bts::orderman::PositionMap state;
@@ -37,6 +38,7 @@ struct PositionServiceServer::PImpl {
    int id;
    // manual fills management
    std::unique_ptr<persistence::IStore> manual_fills_store;
+   std::unique_ptr<persistence::IStore> security_params_store;
    PositionServiceBase::Manual_fillsStatefulPublisher manual_fills_publisher;
    // pnl
    PositionServiceBase::Pnl_dataStatefulPublisher pnl_publisher;
@@ -47,6 +49,7 @@ struct PositionServiceServer::PImpl {
    bts::api::admin::AdminService admin_service;
    api::admin::AdminData admin_data;
    std::map<std::string, uint32_t> account_map;
+   std::map<uint32_t, double> cpp_override_map;
 
    PImpl(
        bts::api::ServiceContext &context,
@@ -64,6 +67,8 @@ struct PositionServiceServer::PImpl {
          // manual fills
          manual_fills_store(
              std::make_unique<persistence::SqliteStore>("manual_fills")),
+         security_params_store(
+             std::make_unique<persistence::SqliteStore>("security_parameters")),
          manual_fills_publisher(manual_fills_publisher),
          // pnl
          pnl_publisher(pnl_publisher),
@@ -73,7 +78,9 @@ struct PositionServiceServer::PImpl {
          // admin
          admin_service(context.locate<bts::api::admin::AdminService>()),
          admin_data(),
-         account_map() {}
+         account_map(),
+         cpp_override_map()
+         {}
 };
 
 PositionServiceServer::PositionServiceServer(bts::api::ServiceContext &context,
@@ -196,6 +203,27 @@ void PositionServiceServer::_clear_and_publish_pos(){
       me->pos_publisher.add_or_update(*p.second);   
    me->pos_publisher.flush();
 }
+
+void PositionServiceServer::_load_security_params(){
+   me->cpp_override_map.clear();
+   auto all = me->security_params_store->retrieve_all()[security_params_ns];
+   SecurityParameters rec;
+   for (auto const &kvp : all)
+      if (utils::pb::from_string<SecurityParameters>(kvp.second, &rec)){
+         if(rec.has_cpp_override()){
+            LOG(OrderMan, Info, "Overriding cpp, key:{} cpp:{}", 
+                                                   rec.security_key(),
+                                                   rec.cpp_override().value());
+            me->cpp_override_map[rec.security_key()] = rec.cpp_override().value();
+         }
+      }
+      else {
+         LOG(OrderMan, Error,
+             "Could not recover security parameter for security {} from storage. "
+             "This should be investigated",
+             kvp.first);
+      }
+}
 ///////////////////////////////////////////////////////////////////////////////
 /// Manual Fills API //////////////////////////////////////////////////////////
 void PositionServiceServer::create_manual_fill(
@@ -294,6 +322,30 @@ void PositionServiceServer::set_base_position(
    _clear_and_publish_pos();
 }
 
+void PositionServiceServer::update_security_parameters(
+       const SecurityParametersBatchOp& req,
+       const api::Response<SecurityParametersBatchOpResponse>&){
+   LOG(persist, Info, "PositionServiceServer::update_security_parameters bp count:{}",
+                       req.op_params_size());
+   for (const auto& p : req.op_params()){
+      std::string key_str = std::to_string(p.security_key());
+      auto db_p = me->security_params_store->retrieve_one(security_params_ns, key_str);
+      auto found = db_p.first;
+      if (!found) {
+         me->security_params_store->insert(security_params_ns,
+                                           key_str,
+                                           utils::pb::to_string(p));
+      } 
+      else {
+         me->security_params_store->insert(security_params_ns,
+                                          key_str,
+                                          utils::pb::to_string(p));
+      }
+   }
+   _load_security_params();
+   _compute_pnl_and_publish();
+}
+
 ///////////////////////////////////////////////////////////////////////////////
 /// PNL helpers ///////////////////////////////////////////////////////////////
 void PositionServiceServer::_compute_pnl_and_publish() {
@@ -301,7 +353,8 @@ void PositionServiceServer::_compute_pnl_and_publish() {
    me->state.get_pos(in_pos);   
    std::vector<PNLUnit> pnl;
    std::vector<AccountPNL> account_pnl;
-   me->pnl_helper.compute_pnl(in_pos, me->account_map, pnl, account_pnl);
+   me->pnl_helper.compute_pnl(in_pos, me->account_map, me->cpp_override_map,
+                              pnl, account_pnl);
    for (const auto &u : pnl)
       me->pnl_publisher.add_or_update(u);
    for (const auto &u : account_pnl)

src/server/sparkd/position/PositionServiceServer.h

@@ -52,6 +52,7 @@ class PositionServiceServer : public bts::api::position::PositionServiceBase {
    void _compute_pnl_and_publish();
    void _set_admin_data(const api::admin::AdminData &admin_data);
    void _clear_and_publish_pos();
+   void _load_security_params();
  public:
    PositionServiceServer(bts::api::ServiceContext &context, md::MDClient &);
 
@@ -74,6 +75,11 @@ class PositionServiceServer : public bts::api::position::PositionServiceBase {
        const ::bts::api::position::BasePositionBatch &request,
        const api::Response<::bts::api::position::SetBasePositionResponse>
            &reply) override;
+   
+   void update_security_parameters(
+       const ::bts::api::position::SecurityParametersBatchOp &request,
+       const api::Response<::bts::api::position::SecurityParametersBatchOpResponse>
+           &reply) override;
 
    ~PositionServiceServer();
 };