added a 'detach on toward' boolean to Lean, reasonable in it's own right, but so K. Loftus can race us against Chalupa.

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

@@ -24,13 +24,15 @@ namespace mbts.spark
             this.child_order_types = new InlineUserProperty<IReadOnlyCollection<CustomOneofCase>>(child_order_types, true);
             cross_threshold = new InlineUserProperty<bts.spark.QuantityMeasure>(
                               new bts.spark.QuantityMeasure() { Ratio = 1.0, Absolute = 1}, false);
-            max_chase_ticks = new InlineUserProperty<uint>(10, false);
+            max_chase_ticks = new InlineUserProperty<uint>(2, false);
+            detach_on_toward = new InlineUserProperty<bool>(true, false);
          }
          public readonly InlineUserProperty<CustomOneofCase> selected_child_order_type;
          public readonly InlineUserProperty<IReadOnlyCollection<CustomOneofCase>> child_order_types;
          
          public readonly InlineUserProperty<bts.spark.QuantityMeasure> cross_threshold;
          public readonly InlineUserProperty<uint> max_chase_ticks;
+         public readonly InlineUserProperty<bool> detach_on_toward;
       }
 
       class LeanOrderVM : OrderTypeVMBase<LeanOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable 
@@ -44,7 +46,8 @@ namespace mbts.spark
          IDisposable _dispose, _child_order_errors_sub;
          
          public bts.spark.QuantityMeasure cross_threshold { get; set; } = new bts.spark.QuantityMeasure() { Ratio = 1.0, Absolute = 1 };
-         public uint max_chase_ticks { get; set; } = 10;
+         public uint max_chase_ticks { get; set; } = 2;
+         public bool detach_on_toward { get; set; } = true;
 
          public LeanOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
             : this(model, security_md_source, security_md_source.Select(smd =>
@@ -77,6 +80,11 @@ namespace mbts.spark
                      max_chase_ticks = p.max_chase_ticks.value;
                      RaisePropertyChanged(nameof(max_chase_ticks));
                   }
+                  if (p.detach_on_toward.force_override)
+                  {
+                     detach_on_toward = p.detach_on_toward.value;
+                     RaisePropertyChanged(nameof(detach_on_toward));
+                  }
                   _inline_props = p;
                   _validate();
                })
@@ -94,6 +102,7 @@ namespace mbts.spark
                var i = factory.lean_order();
                i.CrossThreshold = cross_threshold;
                i.MaxChaseTicks = max_chase_ticks;
+               i.DetachOnToward = detach_on_toward;
                child_order.assign_to(i.Child);
                value.Lean = i;
             }

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

@@ -222,6 +222,8 @@
                           <RowDefinition Height="4" />
                           <RowDefinition Height="Auto"/>
                           <RowDefinition Height="4" />
+                          <RowDefinition Height="Auto"/>
+                          <RowDefinition Height="4" />                          
                           <RowDefinition/>
                         </Grid.RowDefinitions>
                         <Grid.ColumnDefinitions>
@@ -233,9 +235,10 @@
                         <uag:QuantityMeasureControl Grid.Row="1" Grid.Column="2" QuantityMeasure="{Binding cross_threshold}"/>
                         <TextBlock Grid.Row="3" VerticalAlignment="Center">Max Chase Ticks</TextBlock>
                         <c:TickUpDownUInt Grid.Row="3" Grid.Column="2" Value="{Binding max_chase_ticks}"/>
-                        <TextBlock Grid.Row="5">Child</TextBlock>
+                        <CheckBox Grid.Row="5" Grid.Column="2" VerticalAlignment="Center" Margin="0,0,0,0" IsChecked="{Binding detach_on_toward}">Detach on Toward</CheckBox>
+                        <TextBlock Grid.Row="7">Child</TextBlock>
                         <uag:OrderDetailsPopupControl
-                          Grid.Row="5" Grid.Column="2"
+                          Grid.Row="7" Grid.Column="2"
                           IsOpen="{Binding child_order.editable_properties_open, FallbackValue=False}"
                           ItemsSource="{Binding child_order_types}"
                           SelectedItem="{Binding child_order}"

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/services/AdminService.proto;api/services/ApiUnitTestService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MarketDataRelay.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/services/UserService.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/Executor.conf;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cpp_config.conf;config/defaults/dynamic_orders.conf;config/defaults/edge.conf;config/defaults/expiration_display_offset.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.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/cpp_config.proto;config/protos/dynamic_orders.proto;config/protos/environment.proto;config/protos/expiration_display_offset.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/orders_fills_cleanup.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.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/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/MDPriceLantencyTester.cpp;md/Diag/ShmDumper.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MDRecoverableConsumer.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;mercury/actors/Actor.cpp;mercury/broker/AsyncEventBroker.cpp;mercury/broker/CoreEventBroker.cpp;mercury/broker/IEventBroker.cpp;mercury/events/TimerEvent.cpp;mercury/mercury_utils/Executor.cpp;mercury/mercury_utils/IPollableActor.cpp;mercury/mercury_utils/mercury_common.cpp;mercury/synopsis/SynopsisBuilder.cpp;mercury/topics/ITopic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/OrderStore.cpp;orderman/actors/SODPosition.cpp;orderman/actors/SecuritySrc.cpp;orderman/actors/ServiceBridge.cpp;orderman/actors/order_manager/OrderBuilder.cpp;orderman/actors/order_manager/OrderManager.cpp;orderman/actors/order_manager/OrderServicesData.cpp;orderman/events/CancelRejectEvent.cpp;orderman/events/NewExecutionReportEvent.cpp;orderman/limiter/LimitStore.cpp;orderman/limiter/Limiter.cpp;orderman/limiter/ProductLimitNode.cpp;orderman/limiter/ProductLimitTree.cpp;orderman/limiter/SecurityLimitNode.cpp;orderman/limiter/SecurityLimitTree.cpp;orderman/limiter/tests/limit_tests.cpp;orderman/order_factory/OrLine 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/services/AdminService.proto;api/services/ApiUnitTestService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MarketDataRelay.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/services/UserService.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/Executor.conf;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cpp_config.conf;config/defaults/dynamic_orders.conf;config/defaults/edge.conf;config/defaults/expiration_display_offset.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.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/cpp_config.proto;config/protos/dynamic_orders.proto;config/protos/environment.proto;config/protos/expiration_display_offset.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/orders_fills_cleanup.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.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/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPriceLantencyTester.cpp;md/Diag/ShmDumper.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MDRecoverableConsumer.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/Dispatcher.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp)

src/lib/api/services/OrderService.proto

@@ -109,6 +109,7 @@ message TickOrderDefinition {
 message LeanOrderDefinition {
   spark.QuantityMeasure cross_threshold = 1;
   uint32 max_chase_ticks = 2;
+  bool detach_on_toward = 4;
   CustomOrderDefinition child = 3;
 }
 message JoinOrderDefinition {

src/lib/md/Diag/ShmDumper.cpp

@@ -76,8 +76,7 @@ string dump_security(const FixedSecurity& security) {
    res << "'main_frac': " << (int)security.cme_main_fraction << ", ";
    res << "'sub_fract': " << (int)security.cme_sub_fraction << ", ";
    res << "'price_format': " << (int)security.cme_price_display_format << ", ";
-
-   res << "'market_segment': " << security.cme_market_segment_id << ", ";
+   res << "'market_segment': " << (int)security.cme_market_segment_id << ", ";
 
    res << "'price_break': " << security.price_break << ", ";
    res << "'low_tick': " << security.low_tick << ", ";

src/lib/orderman/orders/book_algos/BookAlgo.cpp

@@ -408,14 +408,14 @@ void BookAlgo::report_state()
    me->services->report_state(merged_state);
 }
 
-void BookAlgo::payup(const md::PriceSize& opposite, uint32_t cross_ticks)
+void BookAlgo::payup(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks)
 {
    double new_price = opposite.price() + me->tick_size * cross_ticks;
    me->child.update(Price(new_price), Quantity(this_state().quantity()));
    report_state();
 }
 
-void BookAlgo::paydown(const md::PriceSize& opposite, uint32_t cross_ticks)
+void BookAlgo::paydown(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks)
 {
    double new_price = opposite.price() - me->tick_size * cross_ticks;
    me->child.update(Price(new_price), Quantity(this_state().quantity()));

src/lib/orderman/orders/book_algos/BookAlgo.h

@@ -42,8 +42,8 @@ protected:
    virtual void transition(api::orderman::OrderStatus new_state, std::string = "");
    virtual void report_state();    
    
-   virtual void payup(const md::PriceSize&, uint32_t cross_ticks = 0);
-   virtual void paydown(const md::PriceSize&, uint32_t cross_ticks = 0);
+   virtual void payup(const md::PriceSize&, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks = 0);
+   virtual void paydown(const md::PriceSize&, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks = 0);
    void detach(bts::api::orderman::OrderStatus status_after_detach = bts::api::orderman::ORDER_STATUS_CANCELED);       
 private:
    struct PImpl;

src/lib/orderman/orders/book_algos/LeanOrder.cpp

@@ -12,12 +12,15 @@ using namespace api::orderman;
 
 struct LeanOrder::PImpl 
 {
-   PImpl() {}
+   PImpl() : cross_threshold(), max_chase_ticks(0), detach_on_toward(false), opposite_at_inception(), num_chases(0)
+   {}
    
    spark::QuantityMeasure cross_threshold;    
    uint32_t max_chase_ticks; 
+   bool detach_on_toward;
   
    md::PriceSize opposite_at_inception;   
+   uint32_t num_chases;
 };
 
 
@@ -34,25 +37,40 @@ void LeanOrder::setup_child(const api::orderman::OrderDefinition& this_def, cons
    
    me->cross_threshold = lean_def.cross_threshold();
    me->max_chase_ticks = lean_def.max_chase_ticks();      
+   me->detach_on_toward = lean_def.detach_on_toward();      
 }
 
-void LeanOrder::payup(const md::PriceSize& opposite, uint32_t cross_ticks)
+void LeanOrder::payup(const md::PriceSize&, const bts::orderman::BookUpdateEvent& book, uint32_t cross_ticks /*= 0*/)
 {
-   double new_price = opposite.price() + tick_size() * cross_ticks;
+   double new_price = me->opposite_at_inception.price() + tick_size() * cross_ticks; 
    double limit = me->opposite_at_inception.price() + tick_size() * me->max_chase_ticks;    
    if(new_price <= limit)
       update_child(Price(new_price), Quantity(this_state().quantity()));
    else 
    {
-      update_child(Price(limit), Quantity(this_state().quantity()));
+      update_child(Price(limit), Quantity(this_state().quantity()));      
       detach();
-   }
+      return;
+   }            
+         
+   const bts::orderman::BookSide& sellbook = book.book.side(api::Side::SIDE_SELL);
+   for(const auto& i : sellbook)
+   {
+      me->opposite_at_inception = i;
+      if(me->opposite_at_inception.price() > new_price)
+         break;
+   }        
+   if(me->opposite_at_inception.price() <= new_price)
+      detach();            
+   me->num_chases += cross_ticks+1;       
+   if(me->num_chases >= me->max_chase_ticks)
+      detach();   
    report_state();
 }
 
-void LeanOrder::paydown(const md::PriceSize& opposite, uint32_t cross_ticks)
+void LeanOrder::paydown(const md::PriceSize&, const bts::orderman::BookUpdateEvent& book, uint32_t cross_ticks /*= 0*/)
 {
-   double new_price = opposite.price() - tick_size() * cross_ticks;
+   double new_price = me->opposite_at_inception.price() - tick_size() * cross_ticks; 
    double limit = me->opposite_at_inception.price() - tick_size() * me->max_chase_ticks;    
    if(new_price >= limit)
       update_child(Price(new_price), Quantity(this_state().quantity()));
@@ -60,11 +78,24 @@ void LeanOrder::paydown(const md::PriceSize& opposite, uint32_t cross_ticks)
    {
       update_child(Price(limit), Quantity(this_state().quantity()));      
       detach();
-   }
+      return;
+   }            
+   
+   const bts::orderman::BookSide& buybook = book.book.side(api::Side::SIDE_BUY);
+   for(const auto& i : buybook)
+   {
+      me->opposite_at_inception = i;
+      if(me->opposite_at_inception.price() < new_price)
+         break;
+   }               
+   if(me->opposite_at_inception.price() >= new_price)
+      detach();               
+   me->num_chases += cross_ticks+1;       
+   if(me->num_chases >= me->max_chase_ticks)
+      detach();   
    report_state();
 }
 
-
 void LeanOrder::on_book_update(const bts::orderman::BookUpdateEvent& book)
 {
    switch (this_state().status()) 
@@ -91,26 +122,36 @@ void LeanOrder::on_book_update(const bts::orderman::BookUpdateEvent& book)
             {
                const auto& opposite = book.book.side(api::Side::SIDE_SELL)[0];
                if(opposite.price() < me->opposite_at_inception.price())
-                  me->opposite_at_inception = opposite; //your lucky day, try to get luckier
+               {
+                  if(me->detach_on_toward)
+                     detach();
+                  else
+                     me->opposite_at_inception = opposite; //we don't want to detach so look at next level
+               }
                else if(opposite.price() > me->opposite_at_inception.price())
-                  payup(opposite); //you missed, payup
+                  payup(opposite, book); //you missed, payup/join
                else
                {
                   if(opposite.size() <= thresh.value())
-                     payup(opposite);
+                     payup(opposite, book);
                }
             }
             else
             {
                const auto& opposite = book.book.side(api::Side::SIDE_BUY)[0];
                if(opposite.price() > me->opposite_at_inception.price())
-                  me->opposite_at_inception = opposite; 
+               {
+                  if(me->detach_on_toward)
+                     detach();
+                  else
+                     me->opposite_at_inception = opposite;                         
+               }
                else if(opposite.price() < me->opposite_at_inception.price())
-                  paydown(opposite);
+                  paydown(opposite, book);
                else
                {
                   if(opposite.size() <= thresh.value())
-                     paydown(opposite);
+                     paydown(opposite, book);
                }
             }
          }               

src/lib/orderman/orders/book_algos/LeanOrder.h

@@ -24,8 +24,8 @@ protected:
                     api::orderman::OrderState&, api::orderman::OrderDefinition*) override;
    void on_book_update(const bts::orderman::BookUpdateEvent&) override;   
 private: 
-   void payup(const md::PriceSize& opposite, uint32_t cross_ticks = 0) override;
-   void paydown(const md::PriceSize& opposite, uint32_t cross_ticks = 0) override;
+   void payup(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks = 0) override;
+   void paydown(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks = 0) override;
    
 private:   
    struct PImpl;

src/lib/orderman/orders/book_algos/TickOrder.cpp

@@ -43,7 +43,7 @@ void TickOrder::setup_child(const api::orderman::OrderDefinition& this_def, cons
    me->detach_on_toward = tick_def.detach_on_toward();   
 }
 
-void TickOrder::payup(const md::PriceSize& opposite, uint32_t cross_ticks)
+void TickOrder::payup(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks)
 {
    double new_price = opposite.price() + tick_size() * cross_ticks;
    double limit = me->opposite_at_inception.price() + tick_size() * me->max_chase_ticks;    
@@ -57,7 +57,7 @@ void TickOrder::payup(const md::PriceSize& opposite, uint32_t cross_ticks)
    report_state();
 }
 
-void TickOrder::paydown(const md::PriceSize& opposite, uint32_t cross_ticks)
+void TickOrder::paydown(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks)
 {
    double new_price = opposite.price() - tick_size() * cross_ticks;
    double limit = me->opposite_at_inception.price() - tick_size() * me->max_chase_ticks;    
@@ -127,11 +127,11 @@ void TickOrder::on_book_update(const bts::orderman::BookUpdateEvent& book)
                      me->opposite_at_inception = opposite;                     
                }
                else if(opposite.price() > me->opposite_at_inception.price())
-                  payup(opposite, me->cross_ticks);
+                  payup(opposite, book, me->cross_ticks);
                else
                {
                   if(opposite.size() <= thresh.value())
-                     payup(opposite, me->cross_ticks);
+                     payup(opposite, book, me->cross_ticks);
                }
             }
             else
@@ -145,11 +145,11 @@ void TickOrder::on_book_update(const bts::orderman::BookUpdateEvent& book)
                      me->opposite_at_inception = opposite;
                }
                else if(opposite.price() < me->opposite_at_inception.price())
-                  paydown(opposite, me->cross_ticks);
+                  paydown(opposite, book, me->cross_ticks);
                else
                {
                   if(opposite.size() <= thresh.value())
-                     paydown(opposite, me->cross_ticks);
+                     paydown(opposite, book, me->cross_ticks);
                }
             }
          }               

src/lib/orderman/orders/book_algos/TickOrder.h

@@ -24,8 +24,8 @@ protected:
                     api::orderman::OrderState&, api::orderman::OrderDefinition*) override;
    void on_book_update(const bts::orderman::BookUpdateEvent&) override;   
 private:
-   void payup(const md::PriceSize& opposite, uint32_t cross_ticks) override;
-   void paydown(const md::PriceSize& opposite, uint32_t cross_ticks) override;
+   void payup(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks) override;
+   void paydown(const md::PriceSize& opposite, const bts::orderman::BookUpdateEvent&, uint32_t cross_ticks) override;
    
 private:   
    struct PImpl;