GMDL use_given_sec_key set to true to enable replay data to play without copying md and keys table

* Unifies log message structure for improved readability
* Grants us runtime control over log levels via config

.devcontainer/devcontainer.json

@@ -1,15 +1,10 @@
 {
   "dockerFile": "Dockerfile",
-  // Creates local dir to mount to HOME in docker 
-  "initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
   "hostRequirements": {
-    "memory": "4gb",
-    "storage": "6gb"
+    "memory": "8gb",
+    "storage": "10gb"
   },
-  "postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
   "containerUser": "bts",
-  "workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
-  "workspaceFolder": "/home/bts/spark",
   "updateRemoteUserUID": true,
   "shutdownAction": "none",
   // Note: If running multiple containers on the same host, each must use a
@@ -17,7 +12,7 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "2gb",
+    "8gb",
     "-p",
     "8000:8000",
     "-p",
@@ -29,22 +24,15 @@
     "-p",
     "12345:12345"
   ],
-  "mounts": [
-    "source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
-  ],
   "customizations": {
     "vscode": {
-      "settings": {
-        "clangd.arguments": [
-          "--compile-commands-dir=${workspaceFolder}/build/clang/debug"
-        ]
-      },
       "extensions": [
         "eamodio.gitlens",
         "llvm-vs-code-extensions.vscode-clangd",
         "ms-vscode.cmake-tools",
-        "ms-vscode.cpptools"
+        "ms-vscode.cpptools",
+        "xaver.clang-format"
       ]
     }
   }
-}
+}

.vscode/tasks.json

@@ -699,6 +699,24 @@
         "color": "terminal.ansiGreen",
       },
     },
+    {
+      "label": "Run Sparkd (Skip Build)",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "run"
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "run",
+        "color": "terminal.ansiGreen",
+      },
+    },
     {
       "label": "Run Sparkd Config Query",
       "dependsOn": "Build Sparkd",
@@ -740,6 +758,45 @@
         }
       },
     },
+    {
+      "label": "Test Sparkd",
+      "dependsOn": "Build Sparkd",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "test",
+        "${input:sparkdTest}",
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "coverage",
+        "color": "terminal.ansiYellow",
+      },
+    },
+    {
+      "label": "Test Sparkd (Skip Build)",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "test",
+        "${input:sparkdTest}",
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "coverage",
+        "color": "terminal.ansiYellow",
+      },
+    },
     {
       "label": "View DataStreamQueryAnalyzer Logs (Last Run)",
       "type": "process",
@@ -864,5 +921,10 @@
       "type": "promptString",
       "description": "Test to run",
     },
+    {
+      "id": "sparkdTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
   ]
 }

src/client/spark/AW2/LiveTheoPublisher.cs

@@ -8,6 +8,7 @@ using MathNet.Numerics.Providers.FourierTransform;
 using BCG;
 using System.Windows.Automation;
 using bts.collections;
+using mbts.co2;
 
 namespace mbts.spark {
    // Publishes theos for all options (on the side, also publishes the theos for TC2).
@@ -114,11 +115,53 @@ namespace mbts.spark {
             }
             sym_theos.set_data(k, tp);
          }
+         _override_theos(ref rv);
          foreach (var kv in rv) {
             _bb.post(SparkTags.TC2Tags.LiveTheosTag(kv.Key), kv.Value);
          }
       }
 
+      private void _override_theos(ref Dictionary<(string, Venue), ExpStrikeKeyedData<TheoPoint>> theos) {
+         if (_compute_midmarket) {
+            SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag);
+            foreach (var kv in theos) {
+               string sym = kv.Key.Item1;
+               Venue exchange = kv.Key.Item2;
+               foreach (var t in kv.Value.get_data_linearly()) {
+                  DateTime exp = t.first;
+                  double strike = t.second;
+                  TheoPoint tp = t.third;
+                  var call_sec_md = sc_data.get_option(exchange, sym, exp, strike, PutOrCall.Call);
+                  {
+                     NativePriceSize call_bid, call_ask;
+                     ulong time = 0;
+                     call_sec_md.Value.md.get_bbo(ref time, out call_bid, out call_ask);
+                     double call_mid = (call_bid.price + call_ask.price) / 2;
+                     tp.call = call_mid;
+                  }
+                  {
+                     var put_sec_md = sc_data.get_option(exchange, sym, exp, strike, PutOrCall.Put);
+                     NativePriceSize put_bid, put_ask;
+                     ulong time = 0;
+                     put_sec_md.Value.md.get_bbo(ref time, out put_bid, out put_ask);
+                     double put_mid = (put_bid.price + put_ask.price) / 2;
+                     tp.put = put_mid;
+                  }
+               }
+            }
+            //replace theos with market bid
+            // get it from the bus and override
+         } else {
+            // do nothing, passes unchanged
+         }
+      }
+
+      private bool _compute_midmarket {
+         get {
+            return true;
+         }
+      }
+
 
       private void _interp_and_publish() {
          var timer = Stopwatch.StartNew();

src/client/spark/AW2/Misc/TheoPoint.cs

@@ -281,5 +281,16 @@ namespace mbts.spark {
          else
             return tp.put + (tp.pdelta * driver_diff) + (0.5 * tp.pgamma * driver_diff * driver_diff);
       }
+
+      public static TheoPoint extrapolate(TheoPoint tp, double driver, bool is_call) {
+         TheoPoint rv = tp.Clone() as TheoPoint;
+         double h = driver - tp.driver;
+         if (is_call) {
+            rv.call = tp.call + h * (tp.cdelta);
+         } else {
+            rv.put = tp.put + h * (tp.cdelta);
+         }
+         return rv;
+      }
    }
 }

src/client/spark/Analytics/Pricing/VolSurfaceInterpGreeksProducer.cs

@@ -13,7 +13,7 @@ namespace mbts.analytics {
    // prices (specified in the vs settings).
    // It has public setters that get
    // 1. contracts
-   // 2. vs inout
+   // 2. vs input
    // 3. exp params(drivers, interst rate etc)
    // 4. driver prices
    // 5. vol time

src/client/spark/Daemons/MDDaemon.cs

@@ -133,17 +133,31 @@ namespace bts {
 
             // set 'unit quantity' for each sec
             foreach (var smd in exch_secs.Values) {
-               var meta = _security_metadata.get(smd.security);
-               if (meta.HasValue) {
-                  exch_secs[smd.id] = new(
-                     smd.security,
-                     smd.md,
-                     meta.Value.HasPriceDisplay ? meta.Value.PriceDisplay : null,
-                     meta.Value.HasQuantityDisplay ? meta.Value.QuantityDisplay : null);
-               }
+               var (priceDisplay, qtyDisplay) = GetDisplaySettings(smd.security);
+               exch_secs[smd.id] = new(smd.security, smd.md, priceDisplay, qtyDisplay);
             }
             _bus.post(SparkTags.ServerSecuritiesTag, exch_secs);
          }
+
+         (TickDisplaySettingsImmutable? Price, TickDisplaySettingsImmutable? Quantity) GetDisplaySettings(SecurityImmutable sec) {
+            var meta = _security_metadata.get(sec);
+            var priceDisplay = meta?.PriceDisplay ?? Security.Defaults.price_display_settingsi;
+            var qtyDisplay = meta?.QuantityDisplay ?? Security.Defaults.quantity_display_settingsi;
+            if (sec.HasContractSpec) {
+               var pd = priceDisplay.CloneToMutable();
+               pd.TickFactors = TickUtils.get_tick(sec, 0).to_api_tick_factors();
+               priceDisplay = new(pd);
+               if (sec.ContractSpec.QuantityInfos.TryGetFirst(out var qtyInfo)) {
+                  var qd = qtyDisplay.CloneToMutable();
+                  qd.ShowDecimalPart = qtyInfo.TickBase.is_real_non_zero() && !(qtyInfo.TickUnit / qtyInfo.TickBase).is_int();
+                  qd.TickFactors ??= new();
+                  qd.TickFactors.TickBase = qtyInfo.TickBase;
+                  qd.TickFactors.TickUnit = qtyInfo.TickUnit;
+                  qtyDisplay = new(qd);
+               }
+            }
+            return (priceDisplay, qtyDisplay);
+         }
       }
 
       public void Dispose() =>

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

@@ -12,8 +12,13 @@ namespace bts.shell.market_view {
    class MarketViewFilterStates {
       [ProtoMember(37)]
       public Venue[] venue { get; set; }
+
+      [ProtoMember(38)]
+      public string[] currency { get; set; }
+
       [ProtoMember(1)]
       public string security { get; set; }
+
       [ProtoMember(2)]
       public DoubleMinMaxState bid_price { get; set; }
 
@@ -128,6 +133,7 @@ namespace bts.shell.market_view {
          var pb = new ColumnPredicateBuilder<MarketViewVM.Row>();
          // security
          pb.add_discrete_values(venue, r => r.venue);
+         pb.add_discrete_values(currency, r => r.currency);
          pb.add_regex(security, r => r.security.ToString());
          pb.add_regex(security_key, r => r.security_key.ToString());
 

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

@@ -98,7 +98,14 @@ namespace mbts.spark {
          _sec_meta_store = sec_meta_store;
          _settings_hub = settings_hub;
          security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
-         currency_filter =new RegexFilterVM<Row>(r => r.currency, nameof(Row.currency));
+         currency_filter = DiscreteValuesFilterVM.Create<Row, string>(
+            bus.subscribe(SparkTags.SecuritiesTag)
+               .Sample(TimeSpan.FromSeconds(1))
+               .Select(sec_mds => sec_mds.Values.Select(smd => smd.security.Currency).Distinct().ToList()),
+            r => r.currency,
+            nameof(Row.currency),
+            EqualityComparer<string>.Default,
+            Comparer<string>.Default);
          // rows
          _wrapped_rows = _rows.WrapSelector(r => r.security_md, s => {
             var r = new Row(_bus, s, _orders_model, _position_model);
@@ -124,7 +131,7 @@ namespace mbts.spark {
 
          add_col(ColKey.Venue, r => r.venue.ToString(), nameof(Row.venue), venue_filter, FilterType.DiscreteValues, ColWidth.Exchange);
          add_col(ColKey.Security, r => r.security.ToString(), nameof(Row.security), security_filter, FilterType.Regex, ColWidth.Security);
-         add_col(ColKey.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.Regex, ColWidth.Currency);
+         add_col(ColKey.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.DiscreteValues, ColWidth.Currency);
          add_col(ColKey.Volume, r => r.volume_text, nameof(Row.volume), volume_filter, FilterType.ULongMinMax, ColWidth.Volume);
 
          // last
@@ -391,7 +398,7 @@ namespace mbts.spark {
 
       public IDataGridColumnPersistentFilter<Row, Venue[]> venue_filter { get; } = DiscreteValuesFilterVM.Common.exchange<Row>(r => r.venue, nameof(Row.venue));
       public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
-      public IDataGridColumnPersistentFilter<Row, string> currency_filter { get; }
+      public IDataGridColumnPersistentFilter<Row, string[]> currency_filter { get; }
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.bid_qty_display, nameof(Row.bid_qty_display));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> dbid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.dbid_qty_display, nameof(Row.dbid_qty_display));
@@ -538,6 +545,7 @@ namespace mbts.spark {
       public MarketViewFilterStates get_filter_states() =>
          new() {
             venue = venue_filter.get_state(),
+            currency = currency_filter.get_state(),
             security = security_filter.get_state(),
             bid_price = bid_price_filter.get_state(),
             bid_merged_size = bid_qty_filter.get_state(),
@@ -584,6 +592,7 @@ namespace mbts.spark {
 
          using var _ = rows_view.DeferRefresh();
          venue_filter.load_state(filters.venue);
+         currency_filter.load_state(filters.currency);
          security_filter.load_state(filters.security);
          bid_price_filter.load_state(filters.bid_price);
          bid_qty_filter.load_state(filters.bid_merged_size);

src/client/spark/Modules/Trading/Fills/FillsVM.cs

@@ -237,6 +237,17 @@ namespace mbts.spark {
             DefaultColumnWidths.Qty,
             get_fg: r => r.side == Side.Buy ? BTSColors.MarketData.bid : BTSColors.MarketData.ask);
 
+         add_col(
+            Columns.NotionalValue,
+            DefaultColumnHeaders.NotionalValue,
+            r => _get_row(r).security.spec_or_default().format(r.fill.notional_value()),
+            new DoubleMinMax<FillTuple>(r => r.fill.notional_value()),
+            DataGridFilterKnownTemplates.DoubleMinMax,
+            fs => fs.notional_value,
+            (fs, cf) => fs.notional_value = cf,
+            DefaultColumnWidths.NotionalValue,
+            get_fg: r => r.side == Side.Buy ? BTSColors.MarketData.bid : BTSColors.MarketData.ask);
+
          add_col(
             Columns.Price,
             DefaultColumnHeaders.Price,

src/client/spark/Modules/Trading/Fills/FillsView.xaml.cs

@@ -21,6 +21,7 @@ namespace mbts.ui.spark {
          Side,
          Price,
          Size,
+         NotionalValue,
          FillKind,
          FillStatus,
          FillKey,

src/client/spark/Modules/Trading/Fills/Settings/FillsFilterStates.cs

@@ -61,6 +61,10 @@ namespace bts.shell.fills {
       [DIYGridColumnID(nameof(Columns.Size))]
       public DoubleMinMaxState size { get; set; }
 
+      [ProtoMember(18)]
+      [DIYGridColumnID(nameof(Columns.NotionalValue))]
+      public DoubleMinMaxState notional_value { get; set; }
+
       [ProtoMember(11)]
       [DIYGridColumnID(nameof(Columns.FillKey))]
       public string fill_key { get; set; }
@@ -113,6 +117,7 @@ namespace bts.shell.fills {
          pb.add_discrete_values(fs.fill_status, ft => ft.fill.FillStatus);
          // numeric
          pb.add_numeric(fs.size, ft => ft.fill.LastShares);
+         pb.add_numeric(fs.notional_value, ft => ft.fill.notional_value());
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);
 
          if (fs.exp_date.HasValue) {

src/client/spark/Modules/Trading/Ladder/LadderSettings.cs

@@ -408,18 +408,18 @@ namespace mbts.spark {
 
    [ProtoContract]
    class LadderPanelPricePointSettings : IEquatable<LadderPanelPricePointSettings> {
-      public static LadderPanelPricePointSettings historic_default =>
+      public static LadderPanelPricePointSettings Default =>
          new LadderPanelPricePointSettings {
             day_change = new DaySettings {
                // (neutral)
-               font = _default_font,
-               background_color = Colors.Transparent.to_uint(),
+               font = _default_font.With(font_color: Colors.Black.to_uint()),
+               background_color = Color.FromRgb(113, 201, 69).to_uint(),
                // negative
                negative_font_color = Colors.White.to_uint(),
                negative_background_color = Colors.Red.to_uint(),
                // positive
                positive_font_color = Colors.White.to_uint(),
-               positive_background_color = Colors.Green.to_uint()
+               positive_background_color = Colors.Green.to_uint(),
             },
             session_low = _default_item.With(_default_item.font.With(font_color: BTSColors.MarketData.session_low)),
             session_high = _default_item.With(_default_item.font.With(font_color: BTSColors.MarketData.session_high)),
@@ -431,21 +431,9 @@ namespace mbts.spark {
             theo = _default_item,
             delta = _default_item,
             vega = _default_item,
-            volume = _default_item
+            volume = _default_item,
          };
 
-      public static LadderPanelPricePointSettings tt_default {
-         get {
-            var rv = historic_default;
-            rv.day_change.background_color = Color.FromRgb(113, 201, 69).to_uint();
-            rv.day_change.font.font_color = Colors.Black.to_uint();
-            return rv;
-         }
-      }
-
-      public static LadderPanelPricePointSettings Default => LadderSettings.mimic_tt ?
-         tt_default : historic_default;
-
       [ProtoMember(1)]
       public DaySettings day_change { get; set; }
       [ProtoMember(2)]
@@ -607,11 +595,6 @@ namespace mbts.spark {
       uint _ticks_per_row;
       List<FairValueLine> _fair_value_lines;
 
-      static LadderSettings() {
-         var knobs = config.Configuration.get<bts.config.LadderKnobs>();
-         mimic_tt = knobs.MimicTt;
-      }
-
       // Default proto constructor
       // Added this so that when clients upgrade to a version with new settings,
       // the default values are applied correctly; thx to John for this tip
@@ -643,9 +626,7 @@ namespace mbts.spark {
          status_message_visible = true;
       }
 
-      public static bool mimic_tt { get; }
-
-      public static LadderSettings historic_default {
+      public static LadderSettings Default {
          get {
             LadderColumnSettings
                orders_column = LadderColumnSettings.default_orders,
@@ -713,11 +694,6 @@ namespace mbts.spark {
          }
       }
 
-      public static LadderSettings tt_default => historic_default;
-
-      public static LadderSettings Default => mimic_tt ?
-         tt_default : historic_default;
-
       public enum BadgeStyle { Normal, Alternate }
 
       // TODO: rename to PriceDisplayFormat (today is merge monday, since this isn't a functional change, it is not worth the potential merge headaches right now)
@@ -1039,7 +1015,6 @@ namespace mbts.spark {
          a.ladder_order_limits.safe_equals(b.ladder_order_limits) &&
          a._ticks_per_row == b._ticks_per_row &&
          a.panel_price_point_settings.safe_equals(b.panel_price_point_settings) &&
-         a._ticks_per_row == b._ticks_per_row &&
          EqualityComparer.safe_sequence_equals(a.fair_value_lines, b.fair_value_lines);
 
       public bool Equals(LadderSettings other) =>

src/client/spark/Modules/Trading/Ladder/VM/LadderVM.cs

@@ -107,6 +107,7 @@ namespace mbts.spark {
       ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata> _favorite_algo_metadata_map =
          ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata>.Empty;
       RegionalTickFactors? _spec;
+      IReadOnlyDictionary<uint, SecurityMD> _securities = new Dictionary<uint, SecurityMD>(0);
 
       LadderVM(
          IBus bus,
@@ -329,7 +330,8 @@ namespace mbts.spark {
             }),
             WorkLoop.Start($"Ladder '{security}'", _tick),
             ObservableAutoWrapper.dispose_on_removed(orders, true),
-            Disposable.Create(() => _on_disposed_impl?.Invoke(true)));
+            Disposable.Create(() => _on_disposed_impl?.Invoke(true)),
+            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(secs => _securities = secs));
 
          PropertyAutoWrapper<LadderSettings, bool> bool_prop(
             string name, Func<LadderSettings, bool> get_bool) =>
@@ -405,7 +407,9 @@ namespace mbts.spark {
       event Action<bool>? _on_disposed_impl;
 
       public IMDConsumerHandle md => _model.md;
+      public SecurityMD security_md => _model.security_md;
       public IBus bus => _bus;
+      public IReadOnlyDictionary<uint, SecurityMD> securities => _securities;
 
       // we return only entries who have piqs and whose piqs are not uint.Max
       // uint.Max happens when the server is restarted but the client is still up

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

@@ -17,7 +17,6 @@ using Spark.Core.Disposables;
 using Spark.Core.Math;
 
 using System;
-using System.Collections;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
@@ -38,9 +37,6 @@ namespace mbts.spark {
    partial class LadderGridHost : Control {
       static readonly int _initial_row_count;
       static readonly bool _show_scrollbar;
-      static readonly bool _lighten_market_cells;
-      static readonly Color? _bid_market_cell_background;
-      static readonly Color? _ask_market_cell_background;
 
       readonly VisualHost _visual_host = new();
       readonly LadderOrdersHost _ordershost;
@@ -84,6 +80,7 @@ namespace mbts.spark {
       LadderTactileAdorner _tactile_adorner;
       ulong _prices_updated;
       NativePriceSize[] _bids = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH], _asks = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
+      SecurityMDExtensions.Book _depth = SecurityMDExtensions.Book.Empty;
       bool _price_dirty = false, _piq_dirty = false;
       LadderPriceList _price_list = new() {
          length = _initial_row_count,
@@ -96,6 +93,8 @@ namespace mbts.spark {
       Func<NativePriceSize, string> _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(
          MarketSizeDisplay.get_default(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
       Func<double, double, string> _fmt_mkt_quantity_impl = (v, p) => v.ToString();
+      Func<LadderPriceLevel, string> _fmt_price_level_impl = MDDisplayHelper.get_formatter_lpl(
+         MarketSizeDisplay.get_default(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
       int _old_tooltip_row = int.MaxValue;
       NativePriceSize? _old_last_trade;
       string _direction_arrow = string.Empty;
@@ -107,17 +106,7 @@ namespace mbts.spark {
       static LadderGridHost() {
          var knobs = config.Configuration.get<bts.config.LadderKnobs>();
          _show_scrollbar = knobs.ShowScrollbar;
-         _lighten_market_cells = knobs.LightenMarketCells;
          _initial_row_count = (int)knobs.ScrollableTickWindowSize;
-         // For market cell backgrounds, 0 means null.  Note that the full
-         // range of colors can still be expressed, as zero is merely one of
-         // 2^24 possible representations of 'transparent.'
-         if (knobs.BidMarketCellBackground != 0) {
-            _bid_market_cell_background = BTSColors.Ladder.bid_column_background;
-         }
-         if (knobs.AskMarketCellBackground != 0) {
-            _ask_market_cell_background = BTSColors.Ladder.ask_column_background;
-         }
       }
 
       public LadderGridHost() {
@@ -872,13 +861,13 @@ namespace mbts.spark {
             switch (column.column_type) {
                case ColumnType.Order: _ordershost.set_col_width(column.settings.width); break;
                case ColumnType.Bid:
-                  render_market_col(_bids, _bid_market_cell_background);
+                  render_market_col(_depth.Bids);
                   break;
                case ColumnType.Price:
                   _refresh_prices(column);
                   break;
                case ColumnType.Ask:
-                  render_market_col(_asks, _ask_market_cell_background);
+                  render_market_col(_depth.Asks);
                   break;
                case ColumnType.Volume:
                   _volume_container.mark_dirty();
@@ -891,9 +880,9 @@ namespace mbts.spark {
                if (_mkt_break_lines.high_render_index.HasValue)
                   _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index.Value, _settings.session_high_line.color);
             }
-            void render_market_col(NativePriceSize[] depth, Color? market_cell_background) {
+            void render_market_col(IEnumerable<(double Price, double Volume, double NotionalValue)> depth) {
                var mid = LadderRender.index_of(_price_list, _last_origin_price, _price_comparer);
-               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, _spec, column.settings, _fmt_mkt_depth_item, _lighten_market_cells, market_cell_background);
+               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, _spec, column.settings, _fmt_price_level);
             }
          }
          _apply_column_visual_offset();
@@ -939,6 +928,7 @@ namespace mbts.spark {
             // **use local vm to protect against re-assignment,
             // so the events are unhooked from the same instance to which they were added
             // when the subs are disposed.
+            Disposable.dispose(ref _vm_sub);
             var local_vm = _vm;
             local_vm.on_tick += _tick;
             local_vm.request_recenter += on_request_recenter;
@@ -1110,6 +1100,7 @@ namespace mbts.spark {
             ulong unused = 0;
             bool last_trade_changed = _vm.md.get_last_trade(ref unused, out _last_trade, out DateTime _, out ulong __);
             bool depth_changed = _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks, NativePriceHelpers.COCONUT_MAX_DEPTH);
+            _depth = _vm.security_md.Depth(_bids, _asks, _vm.securities);
             _mkt_break_lines.refresh();
             if (_price_list is null) {
                Log.assert(_price_dirty);
@@ -1322,8 +1313,8 @@ namespace mbts.spark {
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, _spec, _settings.bid_column, _fmt_mkt_depth_item, _lighten_market_cells, _bid_market_cell_background);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, _spec, _settings.ask_column, _fmt_mkt_depth_item, _lighten_market_cells, _ask_market_cell_background);
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _depth.Bids, _settings.row_height, _spec, _settings.bid_column, _fmt_price_level);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _depth.Asks, _settings.row_height, _spec, _settings.ask_column, _fmt_price_level);
       }
 
       /// <summary>
@@ -1506,11 +1497,13 @@ namespace mbts.spark {
          static GlyphContext glyph_context(LadderColumnSettings cs) =>
             GlyphContext.create(cs.font_family, cs.font_weight);
 
-         var price_display = _spec.tick_factors(0).to_api_tick_display_settingsi();
+         var price_display = security.regional_ticks().tick_factors(0).to_api_tick_display_settingsi();
          _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(
             _settings.size_display, _qty_display, price_display);
          _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(
             _settings.size_display, _qty_display, price_display);
+         _fmt_price_level_impl = MDDisplayHelper.get_formatter_lpl(
+            _settings.size_display, _qty_display, price_display);
          _set_columns();
          _apply_column_visual_offset();
          if (prev_row_height != _settings.row_height)
@@ -1520,18 +1513,16 @@ namespace mbts.spark {
          _mkt_break_lines.fair_value_line_views.Clear();
          // Clear and re-add the columns to the viewer to ensure offset/visibility is correct
          _visual_host.Clear();
-         if (LadderSettings.mimic_tt) {
-            // The session_range_vis sits beneath the grid backgrounds (on the
-            // z-axis) to avoid obfuscating the font color (dj wants it to be
-            // pure white).  Historically, it sat atop the price column, with a
-            // low opacity to slightly darken the range of prices inside of the
-            // session range (i.e., the price-band of the day's trades).  In
-            // conjuction with this change, the price column's background
-            // opacity is made slightly less than 1 (in the default settings),
-            // while the font color remains fully opaque, so this layer will
-            // darken the background without affecting the font color.
-            _visual_host.AddVisualChild(_session_range_vis);
-         }
+         // The session_range_vis sits beneath the grid backgrounds (on the
+         // z-axis) to avoid obfuscating the font color (dj wants it to be
+         // pure white).  Historically, it sat atop the price column, with a
+         // low opacity to slightly darken the range of prices inside of the
+         // session range (i.e., the price-band of the day's trades).  In
+         // conjuction with this change, the price column's background
+         // opacity is made slightly less than 1 (in the default settings),
+         // while the font color remains fully opaque, so this layer will
+         // darken the background without affecting the font color.
+         _visual_host.AddVisualChild(_session_range_vis);
          // Renders the grid lines and column backgrounds
          _visual_host.AddVisualChild(_gridvis);
          // Orders column
@@ -1571,8 +1562,6 @@ namespace mbts.spark {
             with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
          _visual_host.AddVisualChild(_session_low_vis);
          _visual_host.AddVisualChild(_session_high_vis);
-         if (!LadderSettings.mimic_tt)
-            _visual_host.AddVisualChild(_session_range_vis);
          _render_grid_background();
          _init_tactile_adorner();
          // this effectively sets the background of the "Last" column //deleted to fix color
@@ -1594,6 +1583,16 @@ namespace mbts.spark {
          return impl(value);
       }
 
+      // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
+      string _fmt_price_level(LadderPriceLevel value) {
+         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
+         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
+         var impl = _fmt_price_level_impl;
+         impl ??= MDDisplayHelper.get_formatter_lpl(
+            MarketSizeDisplay.get_default(), _qty_display, security.regional_ticks().tick_factors(0).to_api_tick_display_settingsi());
+         return impl(value);
+      }
+
       // This is designed to be a redundant null check for _fmt_mkt_quantity_impl.
       string _fmt_mkt_quantity(double value, double price) {
          // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.

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

@@ -0,0 +1,98 @@
+namespace mbts.spark;
+
+using bts;
+using bts.utils;
+
+using System;
+using System.Collections.Generic;
+using System.Diagnostics.CodeAnalysis;
+using System.Linq;
+
+readonly struct LadderPriceLevel : IEquatable<LadderPriceLevel> {
+   public LadderPriceLevel(double price = double.NaN, double volume = 0, double notionalValue = double.NaN) {
+      Price = price;
+      Volume = volume;
+      NotionalValue = notionalValue.is_nan() ? volume * price : notionalValue;
+   }
+
+   public static LadderPriceLevel Empty => new();
+
+   public double Price { get; }
+   public double Volume { get; }
+   public double NotionalValue { get; }
+
+   public LadderPriceLevel Add(double price, double volume) {
+      if (!(volume > 0)) {
+         return this;
+      }
+      if (!(Volume > 0)) {
+         return new(price, volume);
+      }
+      Log.assert(Price.is_real());
+      Log.assert(price.is_real());
+      var newVolume = Volume + volume;
+      var newPrice = (Price * Volume + price * volume) / newVolume;
+      return new(newPrice, newVolume);
+   }
+
+   public LadderPriceLevel Add(IEnumerable<(double Price, double Volume)> items) {
+      var (totalPrice, totalVolume) = items.Sum();
+      return totalVolume > 0
+         ? Add(totalPrice / totalVolume, totalVolume)
+         : this;
+   }
+
+   public Builder ToBuilder() =>
+      new() { Cost = Price, Volume = Volume };
+
+   public LadderPriceLevel With(double price = double.NaN, double volume = double.NaN, double notionalValue = double.NaN) =>
+      new(price.if_nan(Price), volume.if_nan(Volume), notionalValue.if_nan(NotionalValue));
+
+   public bool Equals(LadderPriceLevel other) =>
+      MathUtils.epsilon_eq_comparer.Equals(Price, other.Price)
+      && MathUtils.epsilon_eq_comparer.Equals(Volume, other.Volume);
+
+   public override bool Equals([NotNullWhen(true)] object obj) =>
+      obj is LadderPriceLevel other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(
+         MathUtils.epsilon_eq_comparer.GetHashCode(Price),
+         MathUtils.epsilon_eq_comparer.GetHashCode(Volume));
+
+   public class Builder {
+      double notionalValue = double.NaN;
+
+      public double Cost { get; set; } = double.NaN;
+      public double Volume { get; set; } = 0;
+      public double NotionalValue => notionalValue.is_nan() ? Volume * Cost : notionalValue;
+
+      public void Add(double price, double volume) {
+         if (!(volume > 0)) {
+            return;
+         }
+         Log.assert(price.is_real());
+         Cost += price * volume;
+         Volume += volume;
+      }
+
+      public void Add(double price, double volume, double notionalValue) {
+         if (!(volume > 0)) {
+            return;
+         }
+         Log.assert(price.is_real());
+         Cost += price * volume;
+         Volume += volume;
+         if (this.notionalValue.is_nan()) {
+            this.notionalValue = notionalValue;
+         } else{
+            this.notionalValue += notionalValue;
+         }
+      }
+
+      public LadderPriceLevel ToImmutable() =>
+         Volume > 0
+            ? new(Cost / Volume, Volume, NotionalValue)
+            : Empty;
+   }
+}

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

@@ -57,8 +57,7 @@ namespace mbts.spark {
    static class LadderRender {
       // Note: the orders-column has a separate "row_padding" value: Badge.DefaultMargin
       // (see how it is incorporated in measure_row_height() below)
-      public static Thickness row_padding => LadderSettings.mimic_tt ?
-         new Thickness(4, 2, 4, 2) : new Thickness(6);
+      public static Thickness row_padding => new Thickness(4, 2, 4, 2);
 
       const string tick_separator_period = ".";
       const string tick_separator_dash = "-";
@@ -214,70 +213,78 @@ namespace mbts.spark {
          }
       }
 
+      public static void RenderSizes(
+         DrawingVisual dv,
+         GlyphContext glyphContext,
+         int originIndex,
+         IList<double> prices,
+         IEnumerable<LadderPriceLevel> levels,
+         double rowHeight,
+         RegionalTickFactors spec,
+         LadderColumnSettings settings,
+         Func<LadderPriceLevel, string> fmt) {
+         var bg = settings.background.rgb_color().blend((BTSColor)0x2AFFFFFF).to_brush();
+         using (var dc = dv.RenderOpen())
+         using (_draw_with_clip(dc, settings, rowHeight, prices.Count))
+         using (var levelsEn = (levels ?? Enumerable.Empty<LadderPriceLevel>()).GetEnumerator()) {
+            var fg = settings.foreground.rgb_brush();
+            var currIdx = originIndex;
+            var currPrice = prices[currIdx];
+            while (levelsEn.MoveNext()) {
+               var level = levelsEn.Current;
+               var ticks = spec.count_ticks(level.Price);
+               var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : level.Price;
+               // prices are in descending order, so get diff from curr_price - price
+               var tickDiff = spec.tickdiff(currPrice, price).assert_value();
+               if (!MathUtils.try_increment(ref currIdx, tickDiff) || currIdx < 0 || currIdx >= prices.Count) {
+                  continue;
+               }
+               currPrice = price;
+               if (bg is not null) {
+                  var y = currIdx * rowHeight + GRID_LINE_HEIGHT;
+                  var height = rowHeight - GRID_LINE_HEIGHT;
+                  dc.DrawRectangle(bg, null, new Rect(0, y, settings.width, height));
+               }
+               var gr = format_text(fmt(level), currIdx, rowHeight, settings, glyphContext);
+               dc.DrawGlyphRun(fg, gr);
+            }
+         }
+      }
+
+      public static IEnumerable<LadderPriceLevel> GetLevels(IEnumerable<(double Price, double Volume, double NotionalValue)> depth, RegionalTickFactors spec) =>
+          depth.TakeWhile(nps => nps.Volume > 0 && nps.Price.is_real())
+            .AggregateConsecutiveGroups(
+               LadderPriceLevel.Empty.ToBuilder,
+               (bd, rung) => {
+                  bd.Add(rung.Price, rung.Volume, rung.NotionalValue);
+                  return bd;
+               },
+               rung => {
+                  var ticks = spec.count_ticks(rung.Price);
+                  return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.Price;
+               })
+            .Select(bd => bd.ToImmutable());
+
       public static void render_sizes(
          DrawingVisual dv,
          GlyphContext glyph_context,
          int origin_index,
          IList<double> prices,
-         NativePriceSize[] rungs,
+         IEnumerable<(double Price, double Volume, double NotionalValue)> rungs,
          double row_height,
          RegionalTickFactors spec,
          LadderColumnSettings settings,
-         Func<NativePriceSize, string> fmt,
-         bool lighten_market_cells,
-         Color? market_cell_background) {
-         //var background = new SolidColorBrush(settings.background.rgb_color());
-         Brush market_cell_background_brush;
-         if (market_cell_background.HasValue) {
-            market_cell_background_brush = new SolidColorBrush(market_cell_background.Value);
-         } else if (lighten_market_cells) {
-            market_cell_background_brush = settings.background.rgb_color()
-            .blend((BTSColor)0x2AFFFFFF)
-            .to_brush();
-         } else {
-            market_cell_background_brush = null;
-         }
-         // market_cell_background_brush = settings.background.rgb_color().blend((BTSColor)0xFF000000).to_brush();
-         using (var dc = dv.RenderOpen())
-         using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
-            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, prices.Count * row_height));
-            if (rungs.is_null_or_empty()) {
-               return;
-            }
-            var foreground = settings.foreground.rgb_brush();
-            int curr_index = origin_index;
-            double curr_price = prices[curr_index];
-            NativePriceSize curr_size = NativePriceSize.NO_MARKET;
-            var row_tick_groups = rungs
-               .TakeWhile(nps => !nps.is_nan)
-               .AggregateConsecutiveGroups(() => NativePriceSize.NO_MARKET,
-                  (aggr, rung) => rung.with(
-                     direct_size: aggr.direct_size + rung.direct_size,
-                     implied_size: aggr.implied_size + rung.implied_size),
-                  rung => {
-                     var ticks = spec.count_ticks(rung.price);
-                     return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
-                  });
-            foreach (var rung in row_tick_groups) {
-               //double price = spec.round_to_tick(rung.price);
-               var ticks = spec.count_ticks(rung.price);
-               var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
-               // prices are in descending order, so get diff from curr_price - price
-               var tick_diff = spec.tickdiff(curr_price, price).assert_value();
-               if (!MathUtils.try_increment(ref curr_index, tick_diff)) {
-                  continue;
-               }
-               curr_price = price;
-               if (curr_index >= 0 && curr_index < prices.Count) {
-                  if (market_cell_background_brush != null)
-                     dc.DrawRectangle(market_cell_background_brush, null,
-                        new Rect(0, curr_index * row_height + GRID_LINE_HEIGHT,
-                           settings.width, row_height - GRID_LINE_HEIGHT));
-                  var gr = format_text(fmt(rung), curr_index, row_height, settings, glyph_context);
-                  dc.DrawGlyphRun(foreground, gr);
-               } else break;
-            }
-         }
+         Func<LadderPriceLevel, string> fmt) {
+         RenderSizes(
+            dv,
+            glyph_context,
+            origin_index,
+            prices,
+            GetLevels(rungs, spec),
+            row_height,
+            spec,
+            settings,
+            fmt);
       }
 
       public static void render_volumes(

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml

@@ -182,7 +182,7 @@
       </Style>
 
       <Style x:Key="CancelAll" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Grid.Row" Value="2" />
+        <Setter Property="Grid.Row" Value="0"/>
         <Setter Property="Content">
           <Setter.Value>
             <TextBlock VerticalAlignment="Center">Cancel All</TextBlock>
@@ -220,10 +220,7 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="TT_CancelAll" TargetType="Button" BasedOn="{StaticResource CancelAll}">
-        <Setter Property="Grid.Row" Value="0"/>
-      </Style>
-      <Style x:Key="TT_CancelBuys" TargetType="Button" BasedOn="{StaticResource CancelAll}">
+      <Style x:Key="CancelBuys" TargetType="Button" BasedOn="{StaticResource CancelAll}">
         <Setter Property="Grid.Row" Value="1" />
         <Setter Property="Content">
           <Setter.Value>
@@ -231,7 +228,7 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="TT_CancelSells" TargetType="Button" BasedOn="{StaticResource CancelAll}">
+      <Style x:Key="CancelSells" TargetType="Button" BasedOn="{StaticResource CancelAll}">
         <Setter Property="Grid.Row" Value="2" />
         <Setter Property="Content">
           <Setter.Value>
@@ -239,83 +236,6 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="CancelBuys" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Grid.Row" Value="0" />
-        <Setter Property="Content">
-          <Setter.Value>
-            <TextBlock VerticalAlignment="Center" Foreground="{Binding bid_foreground}">
-              Cancel Buys
-            </TextBlock>
-          </Setter.Value>
-        </Setter>
-        <Setter Property="Template">
-          <Setter.Value>
-            <ControlTemplate TargetType="Button">
-              <Border
-                x:Name="Border"
-                BorderThickness="{TemplateBinding BorderThickness}"
-                BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                Background="{Binding bid_background}"
-                Padding="{TemplateBinding Padding}"
-                SnapsToDevicePixels="True">
-                <ContentPresenter
-                  HorizontalAlignment="Center"
-                  VerticalAlignment="Center"
-                  RecognizesAccessKey="True"
-                  Name="button_content" />
-              </Border>
-              <ControlTemplate.Triggers>
-                <Trigger Property="IsMouseOver" Value="True">
-                  <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
-                  <Setter
-                    TargetName="Border"
-                    Property="BorderBrush"
-                    Value="{u:BTSColor UI.Button.mouseover_border}" />
-                </Trigger>
-              </ControlTemplate.Triggers>
-            </ControlTemplate>
-          </Setter.Value>
-        </Setter>
-      </Style>
-      <Style x:Key="CancelSells" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Background" Value="{u:BTSColor MarketData.ask}" />
-        <Setter Property="Grid.Row" Value="1" />
-        <Setter Property="Content">
-          <Setter.Value>
-            <TextBlock VerticalAlignment="Center" Foreground="{Binding ask_foreground}">
-              Cancel Sells
-            </TextBlock>
-          </Setter.Value>
-        </Setter>
-        <Setter Property="Template">
-          <Setter.Value>
-            <ControlTemplate TargetType="Button">
-              <Border
-                x:Name="Border"
-                BorderThickness="{TemplateBinding BorderThickness}"
-                BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                Background="{Binding ask_background}"
-                Padding="{TemplateBinding Padding}"
-                SnapsToDevicePixels="True" >
-                <ContentPresenter
-                  HorizontalAlignment="Center"
-                  VerticalAlignment="Center"
-                  RecognizesAccessKey="True"
-                  Name="button_content" />
-              </Border>
-              <ControlTemplate.Triggers>
-                <Trigger Property="IsMouseOver" Value="True">
-                  <Setter TargetName="Border" Property="Background" Value="#99c00000" />
-                  <Setter
-                    TargetName="Border"
-                    Property="BorderBrush"
-                    Value="{u:BTSColor UI.Button.mouseover_border}" />
-                </Trigger>
-              </ControlTemplate.Triggers>
-            </ControlTemplate>
-          </Setter.Value>
-        </Setter>
-      </Style>
       <Style x:Key="SettingsButton" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
         <Setter Property="Content">
           <Setter.Value>
@@ -1177,19 +1097,19 @@
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="Bids"
-                Style="{StaticResource {x:Static sp:LadderView.CancelBuysButtonStyleKey}}"
+                Style="{StaticResource CancelBuys}"
                 Visibility="{Binding
                   show_cancel_buys, Converter={StaticResource BooleanToVisibilityConverter}}" />
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="Asks"
-                Style="{StaticResource {x:Static sp:LadderView.CancelSellsButtonStyleKey}}"
+                Style="{StaticResource CancelSells}"
                 Visibility="{Binding
                   show_cancel_sells, Converter={StaticResource BooleanToVisibilityConverter}}" />
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="All"
-                Style="{StaticResource {x:Static sp:LadderView.CancelAllButtonStyleKey}}"
+                Style="{StaticResource CancelAll}"
                 Visibility="{Binding
                   show_cancel_all, Converter={StaticResource BooleanToVisibilityConverter}}" />
             </Grid>

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml.cs

@@ -27,22 +27,6 @@ namespace mbts.spark {
          MinZoomFactor = 0.5,
          MaxZoomFactor = 1.5;
 
-      static LadderView() {
-         var knobs = config.Configuration.get<bts.config.LadderKnobs>();
-         MimicTT = knobs.MimicTt;
-      }
-
-      public static bool MimicTT { get; }
-
-      public static string CancelBuysButtonStyleKey =>
-         MimicTT ? "TT_CancelBuys" : "CancelBuys";
-
-      public static string CancelSellsButtonStyleKey =>
-         MimicTT ? "TT_CancelSells" : "CancelSells";
-
-      public static string CancelAllButtonStyleKey =>
-         MimicTT ? "TT_CancelAll" : "CancelAll";
-
       public static IMultiValueConverter PositionToolTipConverter =
          ValueConverter.create<AccountTuple?, bool, bool, bool, string>((account, show_day_pos, show_raw_day_pos, show_total_pos) => {
             const string day_pos_text = "day", raw_day_pos_text = "raw day", total_pos_text = "total";

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
@@ -223,6 +223,10 @@ namespace mbts.spark {
             Add(qty_column = new SizeColumn(
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.quantity(), nameof(OrderBookRowVM.quantity))));
+            // notional value
+            Add(notional_value_column = new NotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.notional_value, nameof(OrderBookRowVM.notional_value))));
             // edit quantity column
             // not usually part of the main order book, but it's useful to add it
             // rather than debugging the popup window
@@ -232,6 +236,10 @@ namespace mbts.spark {
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.filled_quantity(),
                   nameof(OrderBookRowVM.filled_quantity))));
+            // filled notional value
+            Add(filled_notional_value_column = new FilledNotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.filled_notional_value, nameof(OrderBookRowVM.filled_notional_value))));
             // price
             Add(price_column = new SimpleTextColumn<DoubleMinMaxState>(
                Columns.Price,
@@ -363,9 +371,11 @@ namespace mbts.spark {
          public SimpleTextColumn<OrderSubType[]> sub_type_column { get; }
          public SideColumn side_column { get; }
          public SizeColumn qty_column { get; }
+         public NotionalValueColumn notional_value_column { get; }
          public EditableQtyColumn edit_qty_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> price_column { get; }
          public FilledColumn filled_qty_column { get; }
+         public FilledNotionalValueColumn filled_notional_value_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> last_price_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> avg_price_column { get; }
          public SimpleTextColumn<OrderStatus[]> status_column { get; }
@@ -391,8 +401,10 @@ namespace mbts.spark {
                order_sub_types = sub_type_column.filter.get_state(),
                sides = side_column.filter.get_state(),
                qty = qty_column.filter.get_state(),
+               notional_value = notional_value_column.filter.get_state(),
                price = price_column.filter.get_state(),
                qty_filled = filled_qty_column.filter.get_state(),
+               filled_notional_value = filled_notional_value_column.filter.get_state(),
                avg_price = avg_price_column.filter.get_state(),
                last_price = last_price_column.filter.get_state(),
                statuses = status_column.filter.get_state(),
@@ -415,7 +427,9 @@ namespace mbts.spark {
                account_column.filter.load_state(fs.accounts);
                price_column.filter.load_state(fs.price);
                qty_column.filter.load_state(fs.qty);
+               notional_value_column.filter.load_state(fs.notional_value);
                filled_qty_column.filter.load_state(fs.qty_filled);
+               filled_notional_value_column.filter.load_state(fs.filled_notional_value);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
                root_algo_type_column.filter.load_state(fs.root_algo_types);
@@ -645,6 +659,32 @@ namespace mbts.spark {
                DefaultCellPadding);
       }
 
+      public class NotionalValueColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
+         public NotionalValueColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
+            : base(
+                 Columns.NotionalValue,
+                 DefaultColumnHeaders.NotionalValue,
+                 r => r.notional_value_text,
+                 DefaultColumnWidths.NotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.notional_value)) { }
+
+         public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
+            CellRender.draw_text(
+               dc,
+               _get_glyph_context(row),
+               font_size,
+               row.notional_value_text,
+               position,
+               row_height,
+               RenderUtils.get_side_brush(row),
+               background_brush,
+               horizontal_alignment,
+               VerticalAlignment.Center,
+               DefaultCellPadding);
+      }
+
       public class FilledColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public FilledColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
             : base(Columns.Filled, "Filled Qty", r => r.display_filled_quantity.ToString(), DefaultColumnWidths.Qty, filter, DataGridFilterKnownTemplates.DoubleMinMax, _wrap_comparer(r => r.filled_quantity)) { }
@@ -664,6 +704,32 @@ namespace mbts.spark {
                DefaultCellPadding);
       }
 
+      public class FilledNotionalValueColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
+         public FilledNotionalValueColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
+            : base(
+                 Columns.FilledNotionalValue,
+                 DefaultColumnHeaders.FilledNotionalValue,
+                 r => r.filled_notional_value_text,
+                 DefaultColumnWidths.FilledNotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.filled_notional_value)) { }
+
+         public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
+            CellRender.draw_text(
+               dc,
+               _get_glyph_context(row),
+               font_size,
+               row.filled_notional_value_text,
+               position,
+               row_height,
+               RenderUtils.get_side_brush(row),
+               background_brush,
+               horizontal_alignment,
+               VerticalAlignment.Center,
+               DefaultCellPadding);
+      }
+
       public class OrderBookOrderTypeColumn : OrderTypeColumn<Columns>, ICVOrderBookColumn {
          readonly BindingBase _foreground_binding;
          ListSortDirection? _cached_sort_direction;

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
@@ -108,6 +108,8 @@ namespace mbts.spark {
       public double display_quantity => quantity.safe_divide(_display_qty_divisor);
       public string display_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_quantity);
+      public double notional_value => order_tuple.notional_value;
+      public string notional_value_text => _fmt_price(notional_value);
       public TickDisplaySettingsImmutable quantity_display_settings {
          get => _quantity_display_settings;
          set {
@@ -128,6 +130,8 @@ namespace mbts.spark {
          filled_quantity.safe_divide(_display_qty_divisor);
       public string display_filled_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_filled_quantity);
+      public double filled_notional_value => order_tuple.filled_notional_value;
+      public string filled_notional_value_text => _fmt_price(filled_notional_value);
       public string last_msg => order.last_msg();
       // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
@@ -355,9 +359,15 @@ namespace mbts.spark {
             if (_prospective_qty_translator_backing != null)
                _prospective_qty_translator_backing.actual_value = quantity;
          }
+         if ((Columns.NotionalValue & dirty) == Columns.NotionalValue) {
+            RaisePropertyChanged(nameof(notional_value), nameof(notional_value_text));
+         }
          if ((Columns.Filled & dirty) != 0) {
             RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
          }
+         if ((Columns.FilledNotionalValue & dirty) == Columns.FilledNotionalValue) {
+            RaisePropertyChanged(nameof(filled_notional_value), nameof(filled_notional_value_text));
+         }
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -521,6 +531,12 @@ namespace mbts.spark {
             if (oldval.order.piq != newval.order.piq) {
                dirty |= Columns.Piq;
             }
+            if (oldval.notional_value != newval.notional_value) {
+               dirty |= Columns.NotionalValue;
+            }
+            if (oldval.filled_notional_value != newval.filled_notional_value) {
+               dirty |= Columns.FilledNotionalValue;
+            }
             return dirty;
          }
       }

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookFilterStates.cs

@@ -1,160 +1,170 @@
-using bts.api;
-using bts.api.orderman;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.spark.filters;
-using mbts.ui;
-using mbts.ui.utility;
-
-using ProtoBuf;
-
-using Spark.Api.Orders;
-
-using System;
-
-namespace bts.shell.orderbook {
-   [ProtoContract]
-   class FilterStates : IEquatable<FilterStates> {
-      [ProtoMember(1)]
-      public SecurityCriteria security_criteria;
-      [ProtoMember(2)]
-      public string order_key_regex;
-      [ProtoMember(3)]
-      public TimeFilterTuple time_created;
-      [ProtoMember(4)]
-      public string[] users;
-      [ProtoMember(5)]
-      public string[] accounts;
-      [ProtoMember(6)]
-      public Venue[] exchanges;
-      [ProtoMember(7)]
-      public TimeInForce[] tifs;
-      //[ProtoMember(8)]
-      //public CustomOrderDefinition.CustomOneofCase[] order_types;
-      [ProtoMember(23)]
-      public AlgoID[] order_types;
-      [ProtoMember(24)]
-      public AlgoID[] root_algo_types;
-      [ProtoMember(9)]
-      public Side[] sides;
-      [ProtoMember(10)]
-      public DoubleMinMaxState qty;
-      [ProtoMember(11)]
-      public DoubleMinMaxState price;
-      [ProtoMember(12)]
-      public DoubleMinMaxState qty_filled;
-      [ProtoMember(13)]
-      public DoubleMinMaxState avg_price;
-      [ProtoMember(14)]
-      public DoubleMinMaxState last_price;
-      [ProtoMember(15)]
-      public OrderStatus[] statuses;
-      [ProtoMember(16)]
-      public string exchange_message_regex;
-      [ProtoMember(17)]
-      public TimeFilterTuple last_change;
-      //[ProtoMember(18)]
-      //public string security_regex;
-      [ProtoMember(19)]
-      public api.orderman.OrderSubType[] order_sub_types;
-      [ProtoMember(20)]
-      public string[] symbols;
-      [ProtoMember(21)]
-      public string parent_key_regex;
-      [ProtoMember(22)]
-      public string attached_target_order_key_regex;
-      [ProtoMember(25)]
-      public UIntMinMaxState piq;
-
-      public bool Equals(FilterStates other) =>
-         other != null &&
-         security_criteria.safe_equals(other.security_criteria) &&
-         order_key_regex == other.order_key_regex &&
-         parent_key_regex == other.parent_key_regex &&
-         attached_target_order_key_regex == other.attached_target_order_key_regex &&
-         time_created.Equals(other.time_created) &&
-         EqualityComparer.safe_sequence_equals(users, other.users) &&
-         EqualityComparer.safe_sequence_equals(accounts, other.accounts) &&
-         EqualityComparer.safe_sequence_equals(exchanges, other.exchanges) &&
-         EqualityComparer.safe_sequence_equals(tifs, other.tifs) &&
-         EqualityComparer.safe_sequence_equals(order_types, other.order_types) &&
-         EqualityComparer.safe_sequence_equals(root_algo_types, other.root_algo_types) &&
-         EqualityComparer.safe_sequence_equals(sides, other.sides) &&
-         qty.safe_equals(other.qty) &&
-         price.safe_equals(other.price) &&
-         qty_filled.safe_equals(other.qty_filled) &&
-         avg_price.safe_equals(other.avg_price) &&
-         last_price.safe_equals(other.last_price) &&
-         EqualityComparer.safe_sequence_equals(statuses, other.statuses) &&
-         exchange_message_regex == other.exchange_message_regex &&
-         last_change.Equals(other.last_change) &&
-         EqualityComparer.safe_sequence_equals(order_sub_types, other.order_sub_types) &&
-         EqualityComparer.safe_sequence_equals(symbols, other.symbols) &&
-         piq.safe_equals(other.piq);
-
-      public override bool Equals(object obj) => Equals(obj as FilterStates);
-
-      public override int GetHashCode() =>
-         EqualityComparer.aggregate_hash(
-            security_criteria?.GetHashCode() ?? 0,
-            order_key_regex?.GetHashCode() ?? 0,
-            parent_key_regex?.GetHashCode() ?? 0,
-            attached_target_order_key_regex?.GetHashCode() ?? 0,
-            time_created.GetHashCode(),
-            EqualityComparer.safe_aggregate_hash(users),
-            EqualityComparer.safe_aggregate_hash(accounts),
-            EqualityComparer.safe_aggregate_hash(exchanges),
-            EqualityComparer.safe_aggregate_hash(tifs),
-            EqualityComparer.safe_aggregate_hash(order_types),
-            EqualityComparer.safe_aggregate_hash(root_algo_types),
-            EqualityComparer.safe_aggregate_hash(sides),
-            qty?.GetHashCode() ?? 0,
-            price?.GetHashCode() ?? 0,
-            qty_filled?.GetHashCode() ?? 0,
-            avg_price?.GetHashCode() ?? 0,
-            last_price?.GetHashCode() ?? 0,
-            EqualityComparer.safe_aggregate_hash(statuses),
-            exchange_message_regex?.GetHashCode() ?? 0,
-            last_change.GetHashCode(),
-            EqualityComparer.safe_aggregate_hash(order_sub_types),
-            EqualityComparer.safe_aggregate_hash(symbols),
-            piq?.GetHashCode() ?? 0);
-   }
-
-   static class FilterStatesExtensions {
-      public static Func<OrderRecordTupleWithRoot, bool> build_predicate(this FilterStates fs) {
-         var pb = new ColumnPredicateBuilder<OrderRecordTupleWithRoot>();
-         // security
-         pb.add_security_criteria(fs.security_criteria, o => o.order.security);
-         // regex
-         pb.add_regex(fs.order_key_regex, o => o.order.order.Key.ToString());
-         pb.add_regex(fs.exchange_message_regex, o => o.order.order.State.LastMsg);
-         pb.add_regex(fs.attached_target_order_key_regex, o => o.order.order.attached_target_order_key().ToString());
-         pb.add_regex(fs.parent_key_regex, o => o.order.order.ParentKey.ToString());
-         // time
-         pb.add_time_filter(fs.time_created, o => o.order.order.created());
-         pb.add_time_filter(fs.last_change, o => o.order.order.last_change());
-         // discrete values
-         pb.add_discrete_values(fs.users, o => o.order.order.user());
-         pb.add_discrete_values(fs.accounts, o => o.order.order.account());
-         pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
-         pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
-         pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
-         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
-         pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
-         pb.add_discrete_values(fs.sides, o => o.order.order.side());
-         pb.add_discrete_values(fs.statuses, o => o.order.order.status());
-         pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
-         // numeric
-         pb.add_numeric(fs.qty, o => o.order.order.quantity());
-         pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
-         pb.add_numeric(fs.qty_filled, o => o.order.order.filled_quantity());
-         pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());
-         pb.add_numeric(fs.last_price, o => o.order.order.last_price());
-         pb.add_numeric(fs.piq, o => o.order.piq ?? uint.MaxValue);
-         return pb.to_predicate();
-      }
-   }
-}
+using bts.api;
+using bts.api.orderman;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.utility;
+
+using ProtoBuf;
+
+using Spark.Api.Orders;
+
+using System;
+
+namespace bts.shell.orderbook {
+   [ProtoContract]
+   class FilterStates : IEquatable<FilterStates> {
+      [ProtoMember(1)]
+      public SecurityCriteria security_criteria;
+      [ProtoMember(2)]
+      public string order_key_regex;
+      [ProtoMember(3)]
+      public TimeFilterTuple time_created;
+      [ProtoMember(4)]
+      public string[] users;
+      [ProtoMember(5)]
+      public string[] accounts;
+      [ProtoMember(6)]
+      public Venue[] exchanges;
+      [ProtoMember(7)]
+      public TimeInForce[] tifs;
+      //[ProtoMember(8)]
+      //public CustomOrderDefinition.CustomOneofCase[] order_types;
+      [ProtoMember(23)]
+      public AlgoID[] order_types;
+      [ProtoMember(24)]
+      public AlgoID[] root_algo_types;
+      [ProtoMember(9)]
+      public Side[] sides;
+      [ProtoMember(10)]
+      public DoubleMinMaxState qty;
+      [ProtoMember(26)]
+      public DoubleMinMaxState notional_value;
+      [ProtoMember(11)]
+      public DoubleMinMaxState price;
+      [ProtoMember(12)]
+      public DoubleMinMaxState qty_filled;
+      [ProtoMember(27)]
+      public DoubleMinMaxState filled_notional_value;
+      [ProtoMember(13)]
+      public DoubleMinMaxState avg_price;
+      [ProtoMember(14)]
+      public DoubleMinMaxState last_price;
+      [ProtoMember(15)]
+      public OrderStatus[] statuses;
+      [ProtoMember(16)]
+      public string exchange_message_regex;
+      [ProtoMember(17)]
+      public TimeFilterTuple last_change;
+      //[ProtoMember(18)]
+      //public string security_regex;
+      [ProtoMember(19)]
+      public api.orderman.OrderSubType[] order_sub_types;
+      [ProtoMember(20)]
+      public string[] symbols;
+      [ProtoMember(21)]
+      public string parent_key_regex;
+      [ProtoMember(22)]
+      public string attached_target_order_key_regex;
+      [ProtoMember(25)]
+      public UIntMinMaxState piq;
+
+      public bool Equals(FilterStates other) =>
+         other != null &&
+         security_criteria.safe_equals(other.security_criteria) &&
+         order_key_regex == other.order_key_regex &&
+         parent_key_regex == other.parent_key_regex &&
+         attached_target_order_key_regex == other.attached_target_order_key_regex &&
+         time_created.Equals(other.time_created) &&
+         EqualityComparer.safe_sequence_equals(users, other.users) &&
+         EqualityComparer.safe_sequence_equals(accounts, other.accounts) &&
+         EqualityComparer.safe_sequence_equals(exchanges, other.exchanges) &&
+         EqualityComparer.safe_sequence_equals(tifs, other.tifs) &&
+         EqualityComparer.safe_sequence_equals(order_types, other.order_types) &&
+         EqualityComparer.safe_sequence_equals(root_algo_types, other.root_algo_types) &&
+         EqualityComparer.safe_sequence_equals(sides, other.sides) &&
+         qty.safe_equals(other.qty) &&
+         notional_value.safe_equals(other.notional_value) &&
+         price.safe_equals(other.price) &&
+         qty_filled.safe_equals(other.qty_filled) &&
+         filled_notional_value.safe_equals(other.filled_notional_value) &&
+         avg_price.safe_equals(other.avg_price) &&
+         last_price.safe_equals(other.last_price) &&
+         EqualityComparer.safe_sequence_equals(statuses, other.statuses) &&
+         exchange_message_regex == other.exchange_message_regex &&
+         last_change.Equals(other.last_change) &&
+         EqualityComparer.safe_sequence_equals(order_sub_types, other.order_sub_types) &&
+         EqualityComparer.safe_sequence_equals(symbols, other.symbols) &&
+         piq.safe_equals(other.piq);
+
+      public override bool Equals(object obj) => Equals(obj as FilterStates);
+
+      public override int GetHashCode() =>
+         EqualityComparer.aggregate_hash(
+            security_criteria?.GetHashCode() ?? 0,
+            order_key_regex?.GetHashCode() ?? 0,
+            parent_key_regex?.GetHashCode() ?? 0,
+            attached_target_order_key_regex?.GetHashCode() ?? 0,
+            time_created.GetHashCode(),
+            EqualityComparer.safe_aggregate_hash(users),
+            EqualityComparer.safe_aggregate_hash(accounts),
+            EqualityComparer.safe_aggregate_hash(exchanges),
+            EqualityComparer.safe_aggregate_hash(tifs),
+            EqualityComparer.safe_aggregate_hash(order_types),
+            EqualityComparer.safe_aggregate_hash(root_algo_types),
+            EqualityComparer.safe_aggregate_hash(sides),
+            qty?.GetHashCode() ?? 0,
+            notional_value?.GetHashCode() ?? 0,
+            price?.GetHashCode() ?? 0,
+            qty_filled?.GetHashCode() ?? 0,
+            filled_notional_value?.GetHashCode() ?? 0,
+            avg_price?.GetHashCode() ?? 0,
+            last_price?.GetHashCode() ?? 0,
+            EqualityComparer.safe_aggregate_hash(statuses),
+            exchange_message_regex?.GetHashCode() ?? 0,
+            last_change.GetHashCode(),
+            EqualityComparer.safe_aggregate_hash(order_sub_types),
+            EqualityComparer.safe_aggregate_hash(symbols),
+            piq?.GetHashCode() ?? 0);
+   }
+
+   static class FilterStatesExtensions {
+      public static Func<OrderRecordTupleWithRoot, bool> build_predicate(this FilterStates fs) {
+         var pb = new ColumnPredicateBuilder<OrderRecordTupleWithRoot>();
+         // security
+         pb.add_security_criteria(fs.security_criteria, o => o.order.security);
+         // regex
+         pb.add_regex(fs.order_key_regex, o => o.order.order.Key.ToString());
+         pb.add_regex(fs.exchange_message_regex, o => o.order.order.State.LastMsg);
+         pb.add_regex(fs.attached_target_order_key_regex, o => o.order.order.attached_target_order_key().ToString());
+         pb.add_regex(fs.parent_key_regex, o => o.order.order.ParentKey.ToString());
+         // time
+         pb.add_time_filter(fs.time_created, o => o.order.order.created());
+         pb.add_time_filter(fs.last_change, o => o.order.order.last_change());
+         // discrete values
+         pb.add_discrete_values(fs.users, o => o.order.order.user());
+         pb.add_discrete_values(fs.accounts, o => o.order.order.account());
+         pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
+         pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
+         pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
+         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
+         pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
+         pb.add_discrete_values(fs.sides, o => o.order.order.side());
+         pb.add_discrete_values(fs.statuses, o => o.order.order.status());
+         pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
+         // numeric
+         pb.add_numeric(fs.qty, o => o.order.order.quantity());
+         pb.add_numeric(fs.notional_value, o => o.notional_value);
+         pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
+         pb.add_numeric(fs.qty_filled, o => o.order.order.filled_quantity());
+         pb.add_numeric(fs.filled_notional_value, o => o.filled_notional_value);
+         pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());
+         pb.add_numeric(fs.last_price, o => o.order.order.last_price());
+         pb.add_numeric(fs.piq, o => o.order.piq ?? uint.MaxValue);
+         return pb.to_predicate();
+      }
+   }
+}

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookGridSettingsManager.cs

@@ -29,7 +29,7 @@ namespace bts.shell.orderbook {
       static OrderBookGridSettingsManager() {
          // make font-weight immutable for all columns (the font-weight rule is hard-coded: Regular for root-orders, Light for all others)
          // TODO: Remove the immutable font-weight flags when cell animation is ready
-         var col_settings_flags = EnumHelper.get_values<Columns>().ToDictionary(
+         var col_settings_flags = Enum.GetValuesAsUnderlyingType<Columns>().Cast<Columns>().ToDictionary(
             c => c.ToString(), c => GridColumnSettingsFeatureFlags.ImmutableFontWeight);
          // make font-color immutable for Side, Size, and Filled columns (the font-color rule is hard-coded: MarketData.bid for Buy orders, MarketData.ask for Sells)
          // TODO: Remove the immutable font-color flags when cell animation is ready

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookSettings.cs

@@ -1,270 +1,277 @@
-using bts.api.orderman;
-using bts.shell.fills;
-
-using mbts;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.settings;
-
-using ProtoBuf;
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Windows;
-
-using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
-using GridSettings = mbts.ui.settings.GridSettings;
-
-namespace bts.shell.orderbook {
-   using ColHeader = mbts.ui.controls.DIYGrid.DefaultColumnHeaders;
-   using ColWidth = mbts.ui.controls.DIYGrid.DefaultColumnWidths;
-
-   [ProtoContract]
-   class OrderBookStartupData {
-      const bool
-         _default_show_right_panel = true,
-         _default_show_order_params = true;
-      const double
-         _default_right_panel_width = 400,
-         _default_order_params_height = 250,
-         _default_fills_height = 300,
-         _default_ladder_height = 350;
-      [ProtoMember(16)]
-      OrderBookRightPanelSettings _right_panel;
-      // ALREADY USED TAGS
-      // [ProtoMember(5)]
-      // public readonly List<SortingCriteria> sort_criteria;
-
-      public OrderBookRightPanelSettings right_panel => _right_panel ?? (_right_panel = new OrderBookRightPanelSettings());
-      /// TODO: remove properties below, and redirect callers to <see cref="right_panel"/>
-      // right panel (host)
-      public bool show_right_panel { get => right_panel.show; set => right_panel.show = value; }
-      public double right_panel_width { get => right_panel.width; set => right_panel.width = value; }
-      // order params
-      public bool show_order_params { get => right_panel.stack.show_order_params; set => right_panel.stack.show_order_params = value; }
-      public double order_params_height { get; set; }
-      // ladder
-      public bool show_ladder { get; set; }
-      public double ladder_height { get => right_panel.stack.ladder_height; set => right_panel.stack.ladder_height = value; }
-      // fills
-      public bool show_fills { get => right_panel.stack.show_fills; set => right_panel.stack.show_fills = value; }
-      public double fills_height { get => right_panel.stack.fills_height; set => right_panel.stack.fills_height = value; }
-
-      // filters
-      [ProtoMember(10)]
-      public FilterStates filters;
-      // grid
-      [ProtoMember(15)]
-      [Obsolete]
-      public GridSettings grid { get; set; }
-      // orderbook grid
-      [ProtoMember(17)]
-      public OrderBookGridSettings orderbook_grid { get; set; }
-      // fills settings
-      [ProtoMember(26)]
-      public OrderBookFillsGridSettings fills_settings { get; set; }
-      // predicate animations
-      [ProtoMember(20)]
-      [Obsolete]
-      List<OrderRecordTuplePredicateAnimations> _predicate_animations;
-      // use defaults
-      [ProtoMember(25)]
-      public bool use_defaults;
-      // menu display
-      [ProtoMember(27)]
-      public SparkMenuDisplaySettings menu_display { get; set; }
-
-      /// <summary>
-      /// Please use <see cref="Default"/> to get a new instance (the only reason the default constructor still exists is for ProtoBuf deserialization).
-      /// </summary>
-      [Obsolete]
-      public OrderBookStartupData() {
-         show_right_panel = _default_show_right_panel;
-         show_order_params = _default_show_order_params;
-         right_panel_width = _default_right_panel_width;
-         order_params_height = _default_order_params_height;
-         fills_height = _default_fills_height;
-         ladder_height = _default_ladder_height;
-      }
-
-      public OrderBookStartupData(FilterStates filters, OrderBookGridSettings orderbook_grid = default, bool show_right_panel = false, double right_panel_width = 0, double fills_height = 0, bool show_fills = false, bool use_defaults = false) {
-         this.filters = filters;
-         this.use_defaults = use_defaults;
-         this.show_right_panel = show_right_panel;
-         this.right_panel_width = right_panel_width;
-         this.fills_height = fills_height;
-         this.show_fills = show_fills;
-         this.orderbook_grid = orderbook_grid;
-#pragma warning disable CS0612 // Type or member is obsolete
-         _predicate_animations = new List<OrderRecordTuplePredicateAnimations>();
-         if (predicate_animations != null)
-            _predicate_animations.AddRange(predicate_animations);
-#pragma warning restore CS0612 // Type or member is obsolete
-      }
-
-#pragma warning disable CS0612 // Type or member is obsolete
-      [Obsolete]
-      public IReadOnlyList<OrderRecordTuplePredicateAnimations> predicate_animations => _predicate_animations ?? (_predicate_animations = new List<OrderRecordTuplePredicateAnimations>());
-      public OrderBookGridSettings grid_settings_wrapper() {
-         if (use_defaults)
-            return null;
-         if (orderbook_grid == null) {
-            if (grid == null)
-               grid = _default_general_grid;
-            orderbook_grid = new OrderBookGridSettings(grid.Clone(), _predicate_animations);
-         }
-         return orderbook_grid;
-      }
-#pragma warning restore CS0612 // Type or member is obsolete
-
-      public static OrderBookStartupData Default =>
-        new OrderBookStartupData(
-           new FilterStates { statuses = new[] { OrderStatus.Working } },
-           DefaultGrid,
-           _default_show_right_panel,
-           _default_right_panel_width,
-           _default_fills_height,
-           use_defaults: true) {
-           show_order_params = _default_show_order_params,
-           order_params_height = _default_order_params_height,
-           fills_settings = DefaultFillsGrid
-        };
-
-      public static OrderBookGridSettings DefaultGrid => new OrderBookGridSettings(_default_general_grid) {
-         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
-      };
-
-      public static OrderBookFillsGridSettings DefaultFillsGrid {
-         get {
-            var default_fills = FillsSettings.Default();
-            var rv = new OrderBookFillsGridSettings {
-               sorting_criteria = default_fills.sorting_criteria.ToList(),
-               filters = default_fills.filters,
-               general = FillsSettings.MiniGridSettings
-            };
-            return rv;
-         }
-      }
-      static GridSettings _default_general_grid => GridSettings.Default.with(DefaultColumns.standard, DefaultColumns.sorting_criteria);
-      public static OrderBookGridSettings default_mini_grid => new OrderBookGridSettings(GridSettings.Default.with(DefaultColumns.mini, DefaultColumns.sorting_criteria)) {
-         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
-      };
-
-      static class DefaultColumns {
-         // standard
-         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.ToString(), DIYGrid.DefaultColumnHeaders.Security, width: DIYGrid.DefaultColumnWidths.Security);
-         public static GridColumnSettings symbol => new GridColumnSettings(Columns.Symbol.ToString(), DIYGrid.DefaultColumnHeaders.Symbol, width: DIYGrid.DefaultColumnWidths.Symbol, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings time_created => new GridColumnSettings(Columns.Time.ToString(), "Time", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings last_change => new GridColumnSettings(Columns.LastChange.ToString(), "Last Change", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings user => new GridColumnSettings(Columns.User.ToString(), DIYGrid.DefaultColumnHeaders.User, width: DIYGrid.DefaultColumnWidths.User, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings account => new GridColumnSettings(Columns.Account.ToString(), DIYGrid.DefaultColumnHeaders.Account, width: DIYGrid.DefaultColumnWidths.Account, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings exchange => new GridColumnSettings(Columns.Exchange.ToString(), DIYGrid.DefaultColumnHeaders.Exchange, width: DIYGrid.DefaultColumnWidths.Exchange, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings time_in_force => new GridColumnSettings(Columns.TimeInForce.ToString(), DIYGrid.DefaultColumnHeaders.TimeInForce, width: DIYGrid.DefaultColumnWidths.TimeInForce);
-         public static GridColumnSettings order_type => new GridColumnSettings(Columns.OrderType.ToString(), DIYGrid.DefaultColumnHeaders.OrderType, width: DIYGrid.DefaultColumnWidths.OrderType);
-         public static GridColumnSettings root_algo_type => new GridColumnSettings(Columns.RootAlgoType.ToString(), DIYGrid.DefaultColumnHeaders.RootAlgoType, width: DIYGrid.DefaultColumnWidths.OrderType);
-         public static GridColumnSettings sub_type => new GridColumnSettings(Columns.SubType.ToString(), "Sub Type", width: 80, horizontal_alignment: HorizontalAlignment.Left);
-
-         public static GridColumnSettings side => new(
-            Columns.Side.ToString(), ColHeader.Side,
-            width: ColWidth.Side,
-            horizontal_alignment: HorizontalAlignment.Left);
-
-         public static GridColumnSettings quantity => new GridColumnSettings(Columns.Size.ToString(), "Qty", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
-         public static GridColumnSettings price => new GridColumnSettings(Columns.Price.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.Price, horizontal_alignment: HorizontalAlignment.Right);
-
-         public static GridColumnSettings filled_quantity => new(
-            Columns.Filled.ToString(),
-            ColHeader.FilledQuantity,
-            width: ColWidth.Filled,
-            horizontal_alignment: HorizontalAlignment.Right);
-
-         public static GridColumnSettings avg_price => new(
-            Columns.AvgFilled.ToString(),
-            ColHeader.AvgFilled,
-            width: ColWidth.AveragePrice,
-            horizontal_alignment: HorizontalAlignment.Right);
-
-         public static GridColumnSettings last_price => new GridColumnSettings(Columns.LastPrice.ToString(), "Last Filled", width: DIYGrid.DefaultColumnWidths.LastPrice, horizontal_alignment: HorizontalAlignment.Right);
-         public static GridColumnSettings status => new GridColumnSettings(Columns.Status.ToString(), "Status", width: 80, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings last_message => new GridColumnSettings(Columns.LastMessage.ToString(), "Last Message", width: DIYGrid.DefaultColumnWidths.LastMessage, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.ToString(), DIYGrid.DefaultColumnHeaders.SecurityKey, is_visible: false, width: DIYGrid.DefaultColumnWidths.SecurityKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings order_key => new GridColumnSettings(Columns.OrderKey.ToString(), DIYGrid.DefaultColumnHeaders.OrderKey, width: DIYGrid.DefaultColumnWidths.OrderKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings parent_key => new GridColumnSettings(Columns.ParentKey.ToString(), "Parent Key", width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings attached_target_order_key => new GridColumnSettings(Columns.AttachedTargetOrderKey.ToString(), DIYGrid.DefaultColumnHeaders.AttachedTargetOrderKey, width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings piq => new GridColumnSettings(Columns.Piq.ToString(), "PIQ", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
-         // editable
-         public static GridColumnSettings cancel => new GridColumnSettings(Columns.Cancel.ToString(), DIYGrid.DefaultColumnHeaders.Cancel, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Cancel);
-         public static GridColumnSettings attach_detach => new GridColumnSettings(Columns.Attach.ToString(), DIYGrid.DefaultColumnHeaders.AttachDetach, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.AttachDetach);
-         public static GridColumnSettings update => new GridColumnSettings(Columns.Update.ToString(), DIYGrid.DefaultColumnHeaders.Update, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Update);
-         public static GridColumnSettings edit_quantity => new GridColumnSettings(Columns.EditableQty.ToString(), DIYGrid.DefaultColumnHeaders.Qty, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditableSize);
-         public static GridColumnSettings edit_price => new GridColumnSettings(Columns.EditablePrice.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditablePrice);
-         public static GridColumnSettings commit => new GridColumnSettings(Columns.Commit.ToString(), width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Commit);
-
-         public static IEnumerable<SortingCriteria> sorting_criteria {
-            get {
-               yield return new SortingCriteria(time_created.id, false);
-            }
-         }
-
-         public static IEnumerable<GridColumnSettings> standard {
-            get {
-               yield return security;
-               yield return symbol;
-               yield return time_created;
-               yield return last_change;
-               yield return user;
-               yield return account;
-               yield return exchange;
-               yield return time_in_force;
-               yield return order_type;
-               yield return root_algo_type;
-               yield return sub_type;
-               yield return side;
-               yield return quantity;
-               yield return price;
-               yield return piq;
-               yield return filled_quantity;
-               yield return avg_price;
-               yield return last_price;
-               yield return status;
-               yield return last_message;
-               yield return security_key;
-               yield return order_key;
-               yield return parent_key;
-               yield return attached_target_order_key;
-            }
-         }
-
-         public static IEnumerable<GridColumnSettings> editable {
-            get {
-               yield return cancel;
-               yield return update;
-               yield return edit_quantity;
-               yield return edit_price;
-               yield return commit;
-               yield return attach_detach;
-            }
-         }
-
-         private static HashSet<GridColumnSettings> _mini_mode_columns_to_hide = new HashSet<GridColumnSettings> {
-               symbol, last_change, exchange, sub_type, quantity, price, avg_price, last_price, status, last_message, security_key, order_key, parent_key, attached_target_order_key
-            };
-
-         public static IEnumerable<GridColumnSettings> mini {
-            get {
-               foreach (var col_setting in editable)
-                  yield return col_setting;
-               foreach (var col_setting in standard) {
-                  if (_mini_mode_columns_to_hide.Contains(col_setting)) {
-                     yield return col_setting.with(is_visible: false);
-                  } else {
-                     yield return col_setting;
-                  }
-               }
-            }
-         }
-      }
-   }
-}
+using bts.api.orderman;
+using bts.shell.fills;
+
+using mbts;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.settings;
+
+using ProtoBuf;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows;
+
+using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
+using GridSettings = mbts.ui.settings.GridSettings;
+
+namespace bts.shell.orderbook {
+   using ColHeader = mbts.ui.controls.DIYGrid.DefaultColumnHeaders;
+   using ColWidth = mbts.ui.controls.DIYGrid.DefaultColumnWidths;
+
+   [ProtoContract]
+   class OrderBookStartupData {
+      const bool
+         _default_show_right_panel = true,
+         _default_show_order_params = true;
+      const double
+         _default_right_panel_width = 400,
+         _default_order_params_height = 250,
+         _default_fills_height = 300,
+         _default_ladder_height = 350;
+      [ProtoMember(16)]
+      OrderBookRightPanelSettings _right_panel;
+      // ALREADY USED TAGS
+      // [ProtoMember(5)]
+      // public readonly List<SortingCriteria> sort_criteria;
+
+      public OrderBookRightPanelSettings right_panel => _right_panel ?? (_right_panel = new OrderBookRightPanelSettings());
+      /// TODO: remove properties below, and redirect callers to <see cref="right_panel"/>
+      // right panel (host)
+      public bool show_right_panel { get => right_panel.show; set => right_panel.show = value; }
+      public double right_panel_width { get => right_panel.width; set => right_panel.width = value; }
+      // order params
+      public bool show_order_params { get => right_panel.stack.show_order_params; set => right_panel.stack.show_order_params = value; }
+      public double order_params_height { get; set; }
+      // ladder
+      public bool show_ladder { get; set; }
+      public double ladder_height { get => right_panel.stack.ladder_height; set => right_panel.stack.ladder_height = value; }
+      // fills
+      public bool show_fills { get => right_panel.stack.show_fills; set => right_panel.stack.show_fills = value; }
+      public double fills_height { get => right_panel.stack.fills_height; set => right_panel.stack.fills_height = value; }
+
+      // filters
+      [ProtoMember(10)]
+      public FilterStates filters;
+      // grid
+      [ProtoMember(15)]
+      [Obsolete]
+      public GridSettings grid { get; set; }
+      // orderbook grid
+      [ProtoMember(17)]
+      public OrderBookGridSettings orderbook_grid { get; set; }
+      // fills settings
+      [ProtoMember(26)]
+      public OrderBookFillsGridSettings fills_settings { get; set; }
+      // predicate animations
+      [ProtoMember(20)]
+      [Obsolete]
+      List<OrderRecordTuplePredicateAnimations> _predicate_animations;
+      // use defaults
+      [ProtoMember(25)]
+      public bool use_defaults;
+      // menu display
+      [ProtoMember(27)]
+      public SparkMenuDisplaySettings menu_display { get; set; }
+
+      /// <summary>
+      /// Please use <see cref="Default"/> to get a new instance (the only reason the default constructor still exists is for ProtoBuf deserialization).
+      /// </summary>
+      [Obsolete]
+      public OrderBookStartupData() {
+         show_right_panel = _default_show_right_panel;
+         show_order_params = _default_show_order_params;
+         right_panel_width = _default_right_panel_width;
+         order_params_height = _default_order_params_height;
+         fills_height = _default_fills_height;
+         ladder_height = _default_ladder_height;
+      }
+
+      public OrderBookStartupData(FilterStates filters, OrderBookGridSettings orderbook_grid = default, bool show_right_panel = false, double right_panel_width = 0, double fills_height = 0, bool show_fills = false, bool use_defaults = false) {
+         this.filters = filters;
+         this.use_defaults = use_defaults;
+         this.show_right_panel = show_right_panel;
+         this.right_panel_width = right_panel_width;
+         this.fills_height = fills_height;
+         this.show_fills = show_fills;
+         this.orderbook_grid = orderbook_grid;
+#pragma warning disable CS0612 // Type or member is obsolete
+         _predicate_animations = new List<OrderRecordTuplePredicateAnimations>();
+         if (predicate_animations != null)
+            _predicate_animations.AddRange(predicate_animations);
+#pragma warning restore CS0612 // Type or member is obsolete
+      }
+
+#pragma warning disable CS0612 // Type or member is obsolete
+      [Obsolete]
+      public IReadOnlyList<OrderRecordTuplePredicateAnimations> predicate_animations => _predicate_animations ?? (_predicate_animations = new List<OrderRecordTuplePredicateAnimations>());
+      public OrderBookGridSettings grid_settings_wrapper() {
+         if (use_defaults)
+            return null;
+         if (orderbook_grid == null) {
+            if (grid == null)
+               grid = _default_general_grid;
+            orderbook_grid = new OrderBookGridSettings(grid.Clone(), _predicate_animations);
+         }
+         return orderbook_grid;
+      }
+#pragma warning restore CS0612 // Type or member is obsolete
+
+      public static OrderBookStartupData Default =>
+        new OrderBookStartupData(
+           new FilterStates { statuses = new[] { OrderStatus.Working } },
+           DefaultGrid,
+           _default_show_right_panel,
+           _default_right_panel_width,
+           _default_fills_height,
+           use_defaults: true) {
+           show_order_params = _default_show_order_params,
+           order_params_height = _default_order_params_height,
+           fills_settings = DefaultFillsGrid
+        };
+
+      public static OrderBookGridSettings DefaultGrid => new OrderBookGridSettings(_default_general_grid) {
+         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
+      };
+
+      public static OrderBookFillsGridSettings DefaultFillsGrid {
+         get {
+            var default_fills = FillsSettings.Default();
+            var rv = new OrderBookFillsGridSettings {
+               sorting_criteria = default_fills.sorting_criteria.ToList(),
+               filters = default_fills.filters,
+               general = FillsSettings.MiniGridSettings
+            };
+            return rv;
+         }
+      }
+      static GridSettings _default_general_grid => GridSettings.Default.with(DefaultColumns.standard, DefaultColumns.sorting_criteria);
+      public static OrderBookGridSettings default_mini_grid => new OrderBookGridSettings(GridSettings.Default.with(DefaultColumns.mini, DefaultColumns.sorting_criteria)) {
+         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
+      };
+
+      static class DefaultColumns {
+         // standard
+         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.ToString(), DIYGrid.DefaultColumnHeaders.Security, width: DIYGrid.DefaultColumnWidths.Security);
+         public static GridColumnSettings symbol => new GridColumnSettings(Columns.Symbol.ToString(), DIYGrid.DefaultColumnHeaders.Symbol, width: DIYGrid.DefaultColumnWidths.Symbol, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings time_created => new GridColumnSettings(Columns.Time.ToString(), "Time", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings last_change => new GridColumnSettings(Columns.LastChange.ToString(), "Last Change", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings user => new GridColumnSettings(Columns.User.ToString(), DIYGrid.DefaultColumnHeaders.User, width: DIYGrid.DefaultColumnWidths.User, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings account => new GridColumnSettings(Columns.Account.ToString(), DIYGrid.DefaultColumnHeaders.Account, width: DIYGrid.DefaultColumnWidths.Account, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings exchange => new GridColumnSettings(Columns.Exchange.ToString(), DIYGrid.DefaultColumnHeaders.Exchange, width: DIYGrid.DefaultColumnWidths.Exchange, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings time_in_force => new GridColumnSettings(Columns.TimeInForce.ToString(), DIYGrid.DefaultColumnHeaders.TimeInForce, width: DIYGrid.DefaultColumnWidths.TimeInForce);
+         public static GridColumnSettings order_type => new GridColumnSettings(Columns.OrderType.ToString(), DIYGrid.DefaultColumnHeaders.OrderType, width: DIYGrid.DefaultColumnWidths.OrderType);
+         public static GridColumnSettings root_algo_type => new GridColumnSettings(Columns.RootAlgoType.ToString(), DIYGrid.DefaultColumnHeaders.RootAlgoType, width: DIYGrid.DefaultColumnWidths.OrderType);
+         public static GridColumnSettings sub_type => new GridColumnSettings(Columns.SubType.ToString(), "Sub Type", width: 80, horizontal_alignment: HorizontalAlignment.Left);
+
+         public static GridColumnSettings side => new(
+            Columns.Side.ToString(), ColHeader.Side,
+            width: ColWidth.Side,
+            horizontal_alignment: HorizontalAlignment.Left);
+
+         public static GridColumnSettings quantity => new GridColumnSettings(Columns.Size.ToString(), "Qty", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings notional_value => new GridColumnSettings(Columns.NotionalValue.ToString(), DIYGrid.DefaultColumnHeaders.NotionalValue, width: DIYGrid.DefaultColumnWidths.NotionalValue, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings price => new GridColumnSettings(Columns.Price.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.Price, horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings filled_quantity => new(
+            Columns.Filled.ToString(),
+            ColHeader.FilledQuantity,
+            width: ColWidth.Filled,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings filled_notional_value => new(
+            Columns.FilledNotionalValue.ToString(),
+            ColHeader.FilledNotionalValue,
+            width: ColWidth.FilledNotionalValue,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings avg_price => new(
+            Columns.AvgFilled.ToString(),
+            ColHeader.AvgFilled,
+            width: ColWidth.AveragePrice,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings last_price => new GridColumnSettings(Columns.LastPrice.ToString(), "Last Filled", width: DIYGrid.DefaultColumnWidths.LastPrice, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings status => new GridColumnSettings(Columns.Status.ToString(), "Status", width: 80, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings last_message => new GridColumnSettings(Columns.LastMessage.ToString(), "Last Message", width: DIYGrid.DefaultColumnWidths.LastMessage, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.ToString(), DIYGrid.DefaultColumnHeaders.SecurityKey, is_visible: false, width: DIYGrid.DefaultColumnWidths.SecurityKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings order_key => new GridColumnSettings(Columns.OrderKey.ToString(), DIYGrid.DefaultColumnHeaders.OrderKey, width: DIYGrid.DefaultColumnWidths.OrderKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings parent_key => new GridColumnSettings(Columns.ParentKey.ToString(), "Parent Key", width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings attached_target_order_key => new GridColumnSettings(Columns.AttachedTargetOrderKey.ToString(), DIYGrid.DefaultColumnHeaders.AttachedTargetOrderKey, width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings piq => new GridColumnSettings(Columns.Piq.ToString(), "PIQ", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
+         // editable
+         public static GridColumnSettings cancel => new GridColumnSettings(Columns.Cancel.ToString(), DIYGrid.DefaultColumnHeaders.Cancel, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Cancel);
+         public static GridColumnSettings attach_detach => new GridColumnSettings(Columns.Attach.ToString(), DIYGrid.DefaultColumnHeaders.AttachDetach, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.AttachDetach);
+         public static GridColumnSettings update => new GridColumnSettings(Columns.Update.ToString(), DIYGrid.DefaultColumnHeaders.Update, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Update);
+         public static GridColumnSettings edit_quantity => new GridColumnSettings(Columns.EditableQty.ToString(), DIYGrid.DefaultColumnHeaders.Qty, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditableSize);
+         public static GridColumnSettings edit_price => new GridColumnSettings(Columns.EditablePrice.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditablePrice);
+         public static GridColumnSettings commit => new GridColumnSettings(Columns.Commit.ToString(), width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Commit);
+
+         public static IEnumerable<SortingCriteria> sorting_criteria {
+            get {
+               yield return new SortingCriteria(time_created.id, false);
+            }
+         }
+
+         public static IEnumerable<GridColumnSettings> standard {
+            get {
+               yield return security;
+               yield return symbol;
+               yield return time_created;
+               yield return last_change;
+               yield return user;
+               yield return account;
+               yield return exchange;
+               yield return time_in_force;
+               yield return order_type;
+               yield return root_algo_type;
+               yield return sub_type;
+               yield return side;
+               yield return quantity;
+               yield return price;
+               yield return piq;
+               yield return filled_quantity;
+               yield return avg_price;
+               yield return last_price;
+               yield return status;
+               yield return last_message;
+               yield return security_key;
+               yield return order_key;
+               yield return parent_key;
+               yield return attached_target_order_key;
+            }
+         }
+
+         public static IEnumerable<GridColumnSettings> editable {
+            get {
+               yield return cancel;
+               yield return update;
+               yield return edit_quantity;
+               yield return edit_price;
+               yield return commit;
+               yield return attach_detach;
+            }
+         }
+
+         private static HashSet<GridColumnSettings> _mini_mode_columns_to_hide = new HashSet<GridColumnSettings> {
+               symbol, last_change, exchange, sub_type, quantity, price, avg_price, last_price, status, last_message, security_key, order_key, parent_key, attached_target_order_key
+            };
+
+         public static IEnumerable<GridColumnSettings> mini {
+            get {
+               foreach (var col_setting in editable)
+                  yield return col_setting;
+               foreach (var col_setting in standard) {
+                  if (_mini_mode_columns_to_hide.Contains(col_setting)) {
+                     yield return col_setting.with(is_visible: false);
+                  } else {
+                     yield return col_setting;
+                  }
+               }
+            }
+         }
+      }
+   }
+}

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

@@ -1,107 +1,109 @@
-using bts.api.orderman;
-
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.converters;
-
-using System.Windows;
-using System.Windows.Controls;
-using System.Windows.Data;
-using System.Windows.Media;
-
-namespace mbts.spark {
-   internal partial class OrderBookGridView : DIYGrid {
-      public const string
-         SubTypeFilterTemplateKey = "SubTypeFilterTemplate",
-         ExpandCollapseToggleStyleKey = "ExpandCollapseToggleStyle",
-         RowStyleKey = "RowStyle",
-         RowTemplateKey = "RowTemplateKey",
-         CVRowStyleKey = "CVRowStyle",
-         CVRowTemplateKey = "CVRowTemplateKey";
-
-      // IMPORTANT: these enums are stored as strings in the general-purpose GridColumnSettings proto, and are used to ID THE COLUMNS!
-      // Do NOT RENAME them!  However, if you must, be sure to write an IShellWindowMigrationRule or something to account for backwards compatability.
-      public enum ColumnKeys {
-         Security = 1,
-         Symbol = 1 << 1,
-         Time = 1 << 2,
-         LastChange = 1 << 3,
-         User = 1 << 4,
-         Account = 1 << 5,
-         Exchange = 1 << 6,
-         TimeInForce = 1 << 7,
-         OrderType = 1 << 8,
-         SubType = 1 << 9,
-         Side = 1 << 10,
-         Size = 1 << 11,
-         Price = 1 << 12,
-         Filled = 1 << 13,
-         AvgFilled = 1 << 14,
-         LastPrice = 1 << 15,
-         Status = 1 << 16,
-         LastMessage = 1 << 17,
-         SecurityKey = 1 << 18,
-         OrderKey = 1 << 19,
-         ParentKey = 1 << 20,
-         AttachedTargetOrderKey = 1 << 21,
-         Cancel = 1 << 22,
-         EditableQty = 1 << 23,
-         EditablePrice = 1 << 24,
-         Attach = 1 << 25,
-         Detach = 1 << 26,
-         Update = 1 << 27,
-         Commit = 1 << 28,
-         RootAlgoType = 1 << 29,
-         Piq = 1 << 30,
-         Check = 1 << 31
-      }
-
-      public OrderBookGridView() {
-         InitializeComponent();
-         var row_template_factory = new FrameworkElementFactory(typeof(OrderBookRowView));
-         row_template_factory.SetValue(OrderBookRowView.BackgroundProperty, RowBackgroundHelper.row_background_binding);
-         RowTemplate = new DataTemplate { VisualTree = row_template_factory };
-      }
-
-      static class RowBackgroundHelper {
-         public static readonly BindingBase row_background_binding;
-
-         static RowBackgroundHelper() {
-            var bg_binding = new MultiBinding();
-            bg_binding.Bindings.Add(new Binding(nameof(OrderBookRowVM.status)));
-            bg_binding.Bindings.Add(new Binding(nameof(ListBoxItem.IsSelected)) { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(ListBoxItem), 1) });
-            double overlay_opacity = config.Configuration.get<bts.config.OrderBookOptions>().StatusColorOpacityWhenSelected;
-            if (overlay_opacity > 0.1 && overlay_opacity < 0.9) {
-               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
-                  var color = _status_color(status);
-                  return color.HasValue ? new SolidColorBrush(color.Value) { Opacity = is_selected ? overlay_opacity : 1.0 } : null;
-               });
-            } else {
-               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
-                  if (is_selected)
-                     return null;
-                  var color = _status_color(status);
-                  return color.HasValue ? new SolidColorBrush(color.Value) : null;
-               });
-            }
-            row_background_binding = bg_binding;
-         }
-
-         static Color? _status_color(OrderStatus status) {
-            switch (status) {
-               case OrderStatus.Canceled: return BTSColors.Orders.canceled_order_background;
-               case OrderStatus.Completed: return BTSColors.Orders.completed_order_background;
-               case OrderStatus.Disconnected:
-               case OrderStatus.RejectedBySpark:
-               case OrderStatus.Error:
-                  return BTSColors.Orders.error_order_background;
-               default: return null;
-            }
-         }
-      }
-   }
-
-   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
-      public OrderBookRowView() : base() { }
-   }
-}
+using bts.api.orderman;
+
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.converters;
+
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+using System.Windows.Media;
+
+namespace mbts.spark {
+   internal partial class OrderBookGridView : DIYGrid {
+      public const string
+         SubTypeFilterTemplateKey = "SubTypeFilterTemplate",
+         ExpandCollapseToggleStyleKey = "ExpandCollapseToggleStyle",
+         RowStyleKey = "RowStyle",
+         RowTemplateKey = "RowTemplateKey",
+         CVRowStyleKey = "CVRowStyle",
+         CVRowTemplateKey = "CVRowTemplateKey";
+
+      // IMPORTANT: these enums are stored as strings in the general-purpose GridColumnSettings proto, and are used to ID THE COLUMNS!
+      // Do NOT RENAME them!  However, if you must, be sure to write an IShellWindowMigrationRule or something to account for backwards compatability.
+      public enum ColumnKeys : long {
+         Security = 1,
+         Symbol = 1 << 1,
+         Time = 1 << 2,
+         LastChange = 1 << 3,
+         User = 1 << 4,
+         Account = 1 << 5,
+         Exchange = 1 << 6,
+         TimeInForce = 1 << 7,
+         OrderType = 1 << 8,
+         SubType = 1 << 9,
+         Side = 1 << 10,
+         Size = 1 << 11,
+         Price = 1 << 12,
+         Filled = 1 << 13,
+         AvgFilled = 1 << 14,
+         LastPrice = 1 << 15,
+         Status = 1 << 16,
+         LastMessage = 1 << 17,
+         SecurityKey = 1 << 18,
+         OrderKey = 1 << 19,
+         ParentKey = 1 << 20,
+         AttachedTargetOrderKey = 1 << 21,
+         Cancel = 1 << 22,
+         EditableQty = 1 << 23,
+         EditablePrice = 1 << 24,
+         Attach = 1 << 25,
+         Detach = 1 << 26,
+         Update = 1 << 27,
+         Commit = 1 << 28,
+         RootAlgoType = 1 << 29,
+         Piq = 1 << 30,
+         Check = 1 << 31,
+         NotionalValue = 1L << 32,
+         FilledNotionalValue = 1L << 33,
+      }
+
+      public OrderBookGridView() {
+         InitializeComponent();
+         var row_template_factory = new FrameworkElementFactory(typeof(OrderBookRowView));
+         row_template_factory.SetValue(OrderBookRowView.BackgroundProperty, RowBackgroundHelper.row_background_binding);
+         RowTemplate = new DataTemplate { VisualTree = row_template_factory };
+      }
+
+      static class RowBackgroundHelper {
+         public static readonly BindingBase row_background_binding;
+
+         static RowBackgroundHelper() {
+            var bg_binding = new MultiBinding();
+            bg_binding.Bindings.Add(new Binding(nameof(OrderBookRowVM.status)));
+            bg_binding.Bindings.Add(new Binding(nameof(ListBoxItem.IsSelected)) { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(ListBoxItem), 1) });
+            double overlay_opacity = config.Configuration.get<bts.config.OrderBookOptions>().StatusColorOpacityWhenSelected;
+            if (overlay_opacity > 0.1 && overlay_opacity < 0.9) {
+               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
+                  var color = _status_color(status);
+                  return color.HasValue ? new SolidColorBrush(color.Value) { Opacity = is_selected ? overlay_opacity : 1.0 } : null;
+               });
+            } else {
+               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
+                  if (is_selected)
+                     return null;
+                  var color = _status_color(status);
+                  return color.HasValue ? new SolidColorBrush(color.Value) : null;
+               });
+            }
+            row_background_binding = bg_binding;
+         }
+
+         static Color? _status_color(OrderStatus status) {
+            switch (status) {
+               case OrderStatus.Canceled: return BTSColors.Orders.canceled_order_background;
+               case OrderStatus.Completed: return BTSColors.Orders.completed_order_background;
+               case OrderStatus.Disconnected:
+               case OrderStatus.RejectedBySpark:
+               case OrderStatus.Error:
+                  return BTSColors.Orders.error_order_background;
+               default: return null;
+            }
+         }
+      }
+   }
+
+   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
+      public OrderBookRowView() : base() { }
+   }
+}

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

@@ -1,378 +1,380 @@
-using bts.api;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.ui;
-using mbts.ui.shell;
-
-using Spark.Core.Collections;
-using Spark.Core.Data;
-
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.Linq;
-using System.Reactive.Linq;
-
-using ColumnKeys = bts.shell.pnl.PNLView.Columns;
-using PNLKey = bts.AccountSecurityKey;
-
-namespace bts.shell.pnl {
-   class PNLRowVM : DisposableViewModelBase, IEquatable<PNLRowVM> {
-      public static readonly IComparer<PNLRowVM> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowVM>(r => r.key);
-      static readonly Func<bool, string> _fmt_has_day_trades = hdt => hdt ? "Yes" : "No";
-      //
-      readonly PNLCellIndexBuilder<PNLRowData> _cell_map = new PNLCellIndexBuilder<PNLRowData>();
-      readonly PNLCellEmbeddedAnimationModel<PNLRowData> _animator;
-      readonly ISecurityMetadataStore _sec_meta_store;
-      bool _refresh_normalized_data = true, _is_selected;
-      PNLNormalizedData _normalized_data;
-      api.domain.TickDisplaySettingsImmutable? _quantity_display_backing;
-
-      public PNLRowVM(
-         PNLRowData data,
-         ISecurityMetadataStore sec_meta_store,
-         ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances,
-         IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers,
-         Func<double, string> fmt_fill_price,
-         Func<double, string> fmt_market_price) {
-         //
-         this.data = data;
-         _sec_meta_store = sec_meta_store;
-         _animator = new PNLCellEmbeddedAnimationModel<PNLRowData>(default_appearances, triggers);
-         _animator.on_row(data);
-         pnl_price = _cell_map.add_price_double(ColumnKeys.PNLPrice, d => d.pnl_price);
-         account_cell = _cell_map.add(ColumnKeys.Account, d => d.account);
-         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);
-         expiration_cell = _cell_map.add(
-            ColumnKeys.Expiration,
-            d => d.expiration,
-            e => SecurityFormatter.format_expiration(e));
-         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
-         security_cell = _cell_map.add(
-            ColumnKeys.Security,
-            d => d.security,
-            null,
-            EqualityComparer<SecurityImmutable?>.Default,
-            Comparer<SecurityImmutable?>.Default);
-         security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
-         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
-         // sod
-         sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.SODNetPos, d => d.display_sod_net_pos, fmt_qty);
-         sod_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.SODLongPos, d => d.display_sod_long_pos, fmt_qty);
-         sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price);
-         sod_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.SODShortPos, d => d.display_sod_short_pos, fmt_qty);
-         sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price);
-         sod_delta = _cell_map.add_pnl_double(ColumnKeys.SODDelta, d => d.sod_delta, fmt_greek);
-         sod_gamma = _cell_map.add_pnl_double(ColumnKeys.SODGamma, d => d.sod_gamma, fmt_greek);
-         sod_vega = _cell_map.add_pnl_double(ColumnKeys.SODVega, d => d.sod_vega, fmt_greek);
-         sod_theta = _cell_map.add_pnl_double(ColumnKeys.SODTheta, d => d.sod_theta, fmt_greek);
-
-         // day
-         day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.DayNetPos, d => d.display_day_net_pos, fmt_qty);
-         day_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.DayLongPos, d => d.display_day_long_pos, fmt_qty);
-         day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price);
-         day_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.DayShortPos, d => d.display_day_short_pos, fmt_qty);
-         day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price);
-         day_delta = _cell_map.add_pnl_double(ColumnKeys.DayDelta, d => d.day_delta, fmt_greek);
-         day_gamma = _cell_map.add_pnl_double(ColumnKeys.DayGamma, d => d.day_gamma, fmt_greek);
-         day_vega = _cell_map.add_pnl_double(ColumnKeys.DayVega, d => d.day_vega, fmt_greek);
-         day_theta = _cell_map.add_pnl_double(ColumnKeys.DayTheta, d => d.day_theta, fmt_greek);
-         has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
-         // working
-         working_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.WorkingNetPos, d => d.display_working_net_pos, fmt_qty);
-         var qty_display = _sec_meta_store.get_qty_display(security);
-         working_long_pos = _cell_map.add_working_long(
-            ColumnKeys.WorkingLongPos,
-            d => d.working.long_data,
-            d => d.bid_price,
-            qty_display);
-         working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price);
-         working_short_pos = _cell_map.add_working_short(
-            ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price, qty_display);
-         working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price);
-         // total
-         total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
-         total_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.TotalNetPos, d => d.display_total_net_pos, fmt_qty);
-         total_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.TotalLongPos, d => d.display_total_long_pos, fmt_qty);
-         total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price);
-         total_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.TotalShortPos, d => d.display_total_short_pos, fmt_qty);
-         total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price);
-         total_delta = _cell_map.add_pnl_double(
-            ColumnKeys.TotalDelta, d => d.total_delta, fmt_greek);
-         total_gamma = _cell_map.add_pnl_double(
-            ColumnKeys.TotalGamma, d => d.total_gamma, fmt_greek);
-         total_vega = _cell_map.add_pnl_double(ColumnKeys.TotalVega, d => d.total_vega, fmt_greek);
-         total_theta = _cell_map.add_pnl_double(
-            ColumnKeys.TotalTheta, d => d.total_theta, fmt_greek);
-
-         // market
-         bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
-         ask_price = _cell_map.add_price_double(ColumnKeys.AskPrice, d => d.ask_price);
-         mid_price = _cell_map.add_price_double(ColumnKeys.MidPrice, d => d.mid_price);
-         last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
-         settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
-
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
-         _cell_map.on_row(data);
-         _cell_map.set_appearances(_animator.cell_appearances);
-         _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
-            animations = new_animations.Select(kv => new mbts.ui.spark.CellAnimation(kv.Key.column, kv.Key.type, kv.Value.color.to_brush())).ToList();
-            RaisePropertyChanged(nameof(animations));
-         });
-
-         static string fmt_greek(double v) =>
-            v.is_nan() ? "-" : v.ToString("#,0.00");
-
-         string fmt_qty(double v) =>
-            quantity_display.format(v);
-      }
-
-      // events
-      public event Action<PNLNormalizedData> updated;
-      public event Action<bool> is_selected_changed;
-
-      // data
-      public PNLKey key => data.key;
-      public PNLRowData data { get; private set; }
-      public PNLNormalizedData normalized_data {
-         get {
-            if (_refresh_normalized_data) {
-               _refresh_normalized_data = false;
-               // Only count outrights (spread positions should be normalized into outrights)
-               var sec_type = security?.ContractCase ?? Security.ContractOneofCase.None;
-               var (
-                  sod_long,
-                  sod_short,
-                  sod_delta,
-                  sod_gamma,
-                  sod_vega,
-                  sod_theta,
-                  day_long,
-                  day_short,
-                  day_delta,
-                  day_gamma,
-                  day_vega,
-                  day_theta) = sec_type switch {
-                  Security.ContractOneofCase.Future or Security.ContractOneofCase.Option => (
-                     data.sod.long_pos.round_to_decimal(),
-                     data.sod.short_pos.round_to_decimal(),
-                     data.sod.delta.round_to_decimal(),
-                     data.sod.gamma.round_to_decimal(),
-                     data.sod.vega.round_to_decimal(),
-                     data.sod.theta.round_to_decimal(),
-                     data.day.long_pos.round_to_decimal(),
-                     data.day.short_pos.round_to_decimal(),
-                     data.day.delta.round_to_decimal(),
-                     data.day.gamma.round_to_decimal(),
-                     data.day.vega.round_to_decimal(),
-                     data.day.theta.round_to_decimal()),
-                  _ => (0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0)
-               };
-
-               var working_long = data.working_long_pos.round_to_decimal();
-               var working_short = data.working_short_pos.round_to_decimal();
-
-               var nd = new PNLNormalizedData() {
-                  // sod
-                  sod_pnl = sod_pnl.value.round_to_decimal(),
-                  sod_long_pos = sod_long,
-                  sod_short_pos = sod_short,
-                  sod_delta = sod_delta,
-                  sod_gamma = sod_gamma,
-                  sod_vega = sod_vega,
-                  sod_theta = sod_theta,
-                  display_sod_long_pos = sod_long,
-                  display_sod_short_pos = sod_short,
-
-                  // day
-                  day_pnl = day_pnl.value.round_to_decimal(),
-                  day_long_pos = day_long,
-                  day_short_pos = day_short,
-                  day_delta = day_delta,
-                  day_gamma = day_gamma,
-                  day_vega = day_vega,
-                  day_theta = day_theta,
-                  display_day_long_pos = day_long,
-                  display_day_short_pos = day_short,
-
-                  // working
-                  working_long_pos = working_long,
-                  working_short_pos = working_short,
-                  display_working_long_pos = working_long,
-                  display_working_short_pos = working_short
-               };
-               if (_normalized_data != nd) {
-                  _normalized_data = nd;
-                  updated?.Invoke(nd);
-               }
-            }
-            return _normalized_data;
-         }
-      }
-      // security
-      public string account_name => data.account_name;
-      public Venue exchange => security?.Exchange ?? Venue.Unset;
-      public string symbol => security.symbol_or_default();
-      public DateTime expiration => data.expiration;
-      public Security.ContractOneofCase security_type => security?.ContractCase ?? Security.ContractOneofCase.None;
-      public SecurityImmutable? security => data.security;
-      // cells
-      public PNLCellVM<PNLRowData, AccountTuple> account_cell { get; }
-      public PNLCellVM<PNLRowData, Venue> exchange_cell { get; }
-      public PNLCellVM<PNLRowData, DateTime> expiration_cell { get; }
-      public PNLCellVM<PNLRowData, string> symbol_cell { get; }
-      public PNLCellVM<PNLRowData, Security.ContractOneofCase> security_type_cell { get; }
-      public PNLCellVM<PNLRowData, SecurityImmutable?> security_cell { get; }
-      public PNLCellVM<PNLRowData, uint> security_key { get; }
-      public PNLCellVM<PNLRowData, double> cpp { get; }
-      // sod
-      public PNLCellVM<PNLRowData, double> sod_pnl { get; }
-      public PNLCellVM<PNLRowData, double> sod_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> sod_delta { get; }
-      public PNLCellVM<PNLRowData, double> sod_gamma { get; }
-      public PNLCellVM<PNLRowData, double> sod_vega { get; }
-      public PNLCellVM<PNLRowData, double> sod_theta { get; }
-
-      // day
-      public PNLCellVM<PNLRowData, double> day_pnl { get; }
-      public PNLCellVM<PNLRowData, double> day_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> day_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> day_delta { get; }
-      public PNLCellVM<PNLRowData, double> day_gamma { get; }
-      public PNLCellVM<PNLRowData, double> day_vega { get; }
-      public PNLCellVM<PNLRowData, double> day_theta { get; }
-      public PNLCellVM<PNLRowData, bool> has_day_trades { get; }
-      // working
-      public PNLCellVM<PNLRowData, double> working_net_pos { get; }
-      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> working_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> working_short_avg_price { get; }
-      // total
-      public PNLCellVM<PNLRowData, double> total_pnl { get; }
-      public PNLCellVM<PNLRowData, double> total_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> total_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> total_delta { get; }
-      public PNLCellVM<PNLRowData, double> total_gamma { get; }
-      public PNLCellVM<PNLRowData, double> total_vega { get; }
-      public PNLCellVM<PNLRowData, double> total_theta { get; }
-
-      // (market)
-      public PNLCellVM<PNLRowData, double> bid_price { get; }
-      public PNLCellVM<PNLRowData, double> mid_price { get; }
-      public PNLCellVM<PNLRowData, double> ask_price { get; }
-      public PNLCellVM<PNLRowData, double> last_price { get; }
-      public PNLCellVM<PNLRowData, double> settlement_price { get; }
-      public PNLCellVM<PNLRowData, double> pnl_price { get; }
-
-      // display
-      public api.domain.TickDisplaySettingsImmutable quantity_display {
-         get {
-            if (_quantity_display_backing.HasValue) {
-               return _quantity_display_backing.Value;
-            }
-            if (security.HasValue) {
-               _quantity_display_backing = _sec_meta_store.get_qty_display(security.Value);
-            }
-            return _quantity_display_backing ??= Security.Defaults.quantity_display_settingsi;
-         }
-      }
-
-      public IList<mbts.ui.spark.CellAnimation> animations { get; private set; }
-
-      public bool is_selected {
-         get => _is_selected;
-         set {
-            if (Set(ref _is_selected, value))
-               is_selected_changed?.Invoke(value);
-         }
-      }
-
-      IEnumerable<PNLCellVM<PNLRowData, double>> _market_price_cells {
-         get {
-            yield return pnl_price;
-            yield return last_price;
-            yield return bid_price;
-            yield return mid_price;
-            yield return ask_price;
-            yield return settlement_price;
-         }
-      }
-
-      // includes sod, day, total, and working avg price columns
-      IEnumerable<PNLCellVM<PNLRowData, double>> _fill_price_cells {
-         get {
-            // sod
-            yield return sod_long_avg_price;
-            yield return sod_short_avg_price;
-            // day
-            yield return day_long_avg_price;
-            yield return day_short_avg_price;
-            // total
-            yield return total_long_avg_price;
-            yield return total_short_avg_price;
-            // working
-            yield return working_long_avg_price;
-            yield return working_short_avg_price;
-         }
-      }
-
-      public void update(PNLRowData data) {
-         _quantity_display_backing = null;
-         _refresh_normalized_data = true;
-         this.data = data;
-         _cell_map.on_row(data);
-         _animator.on_row(data);
-         _cell_map.set_appearances(_animator.cell_appearances);
-      }
-
-      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
-         _animator.on_settings(defaults, triggers);
-         _cell_map.set_appearances(_animator.cell_appearances);
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
-      }
-
-      public bool Equals(PNLRowVM other) =>
-         other != null && key == other.key;
-
-      public override int GetHashCode() =>
-         key.GetHashCode();
-
-      public override string ToString() =>
-         $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
-
-      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
-         foreach (var cell in _fill_price_cells) {
-            cell.format = fmt_fill_price;
-         }
-         foreach (var cell in _market_price_cells) {
-            cell.format = fmt_market_price;
-         }
-      }
-   }
-}
+using bts.api;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.shell;
+
+using Spark.Core.Collections;
+using Spark.Core.Data;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+using System.Reactive.Linq;
+
+using ColumnKeys = bts.shell.pnl.PNLView.Columns;
+using PNLKey = bts.AccountSecurityKey;
+
+namespace bts.shell.pnl {
+   class PNLRowVM : DisposableViewModelBase, IEquatable<PNLRowVM> {
+      public static readonly IComparer<PNLRowVM> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowVM>(r => r.key);
+      static readonly Func<bool, string> _fmt_has_day_trades = hdt => hdt ? "Yes" : "No";
+      //
+      readonly PNLCellIndexBuilder<PNLRowData> _cell_map = new PNLCellIndexBuilder<PNLRowData>();
+      readonly PNLCellEmbeddedAnimationModel<PNLRowData> _animator;
+      readonly ISecurityMetadataStore _sec_meta_store;
+      bool _refresh_normalized_data = true, _is_selected;
+      PNLNormalizedData _normalized_data;
+      api.domain.TickDisplaySettingsImmutable? _quantity_display_backing;
+
+      public PNLRowVM(
+         PNLRowData data,
+         ISecurityMetadataStore sec_meta_store,
+         ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances,
+         IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers,
+         Func<double, string> fmt_fill_price,
+         Func<double, string> fmt_market_price) {
+         //
+         this.data = data;
+         _sec_meta_store = sec_meta_store;
+         _animator = new PNLCellEmbeddedAnimationModel<PNLRowData>(default_appearances, triggers);
+         _animator.on_row(data);
+         pnl_price = _cell_map.add_price_double(ColumnKeys.PNLPrice, d => d.pnl_price);
+         account_cell = _cell_map.add(ColumnKeys.Account, d => d.account);
+         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);
+         expiration_cell = _cell_map.add(
+            ColumnKeys.Expiration,
+            d => d.expiration,
+            e => e == DateTime.MinValue
+               ? "N/A"
+               : SecurityFormatter.format_expiration(e));
+         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
+         security_cell = _cell_map.add(
+            ColumnKeys.Security,
+            d => d.security,
+            null,
+            EqualityComparer<SecurityImmutable?>.Default,
+            Comparer<SecurityImmutable?>.Default);
+         security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
+         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
+         // sod
+         sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
+         sod_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.SODNetPos, d => d.display_sod_net_pos, fmt_qty);
+         sod_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.SODLongPos, d => d.display_sod_long_pos, fmt_qty);
+         sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price);
+         sod_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.SODShortPos, d => d.display_sod_short_pos, fmt_qty);
+         sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price);
+         sod_delta = _cell_map.add_pnl_double(ColumnKeys.SODDelta, d => d.sod_delta, fmt_greek);
+         sod_gamma = _cell_map.add_pnl_double(ColumnKeys.SODGamma, d => d.sod_gamma, fmt_greek);
+         sod_vega = _cell_map.add_pnl_double(ColumnKeys.SODVega, d => d.sod_vega, fmt_greek);
+         sod_theta = _cell_map.add_pnl_double(ColumnKeys.SODTheta, d => d.sod_theta, fmt_greek);
+
+         // day
+         day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
+         day_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.DayNetPos, d => d.display_day_net_pos, fmt_qty);
+         day_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.DayLongPos, d => d.display_day_long_pos, fmt_qty);
+         day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price);
+         day_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.DayShortPos, d => d.display_day_short_pos, fmt_qty);
+         day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price);
+         day_delta = _cell_map.add_pnl_double(ColumnKeys.DayDelta, d => d.day_delta, fmt_greek);
+         day_gamma = _cell_map.add_pnl_double(ColumnKeys.DayGamma, d => d.day_gamma, fmt_greek);
+         day_vega = _cell_map.add_pnl_double(ColumnKeys.DayVega, d => d.day_vega, fmt_greek);
+         day_theta = _cell_map.add_pnl_double(ColumnKeys.DayTheta, d => d.day_theta, fmt_greek);
+         has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
+         // working
+         working_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.WorkingNetPos, d => d.display_working_net_pos, fmt_qty);
+         var qty_display = _sec_meta_store.get_qty_display(security);
+         working_long_pos = _cell_map.add_working_long(
+            ColumnKeys.WorkingLongPos,
+            d => d.working.long_data,
+            d => d.bid_price,
+            qty_display);
+         working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price);
+         working_short_pos = _cell_map.add_working_short(
+            ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price, qty_display);
+         working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price);
+         // total
+         total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
+         total_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.TotalNetPos, d => d.display_total_net_pos, fmt_qty);
+         total_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.TotalLongPos, d => d.display_total_long_pos, fmt_qty);
+         total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price);
+         total_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.TotalShortPos, d => d.display_total_short_pos, fmt_qty);
+         total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price);
+         total_delta = _cell_map.add_pnl_double(
+            ColumnKeys.TotalDelta, d => d.total_delta, fmt_greek);
+         total_gamma = _cell_map.add_pnl_double(
+            ColumnKeys.TotalGamma, d => d.total_gamma, fmt_greek);
+         total_vega = _cell_map.add_pnl_double(ColumnKeys.TotalVega, d => d.total_vega, fmt_greek);
+         total_theta = _cell_map.add_pnl_double(
+            ColumnKeys.TotalTheta, d => d.total_theta, fmt_greek);
+
+         // market
+         bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
+         ask_price = _cell_map.add_price_double(ColumnKeys.AskPrice, d => d.ask_price);
+         mid_price = _cell_map.add_price_double(ColumnKeys.MidPrice, d => d.mid_price);
+         last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
+         settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
+
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
+         _cell_map.on_row(data);
+         _cell_map.set_appearances(_animator.cell_appearances);
+         _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
+            animations = new_animations.Select(kv => new mbts.ui.spark.CellAnimation(kv.Key.column, kv.Key.type, kv.Value.color.to_brush())).ToList();
+            RaisePropertyChanged(nameof(animations));
+         });
+
+         static string fmt_greek(double v) =>
+            v.is_nan() ? "-" : v.ToString("#,0.00");
+
+         string fmt_qty(double v) =>
+            quantity_display.format(v);
+      }
+
+      // events
+      public event Action<PNLNormalizedData> updated;
+      public event Action<bool> is_selected_changed;
+
+      // data
+      public PNLKey key => data.key;
+      public PNLRowData data { get; private set; }
+      public PNLNormalizedData normalized_data {
+         get {
+            if (_refresh_normalized_data) {
+               _refresh_normalized_data = false;
+               // Only count outrights (spread positions should be normalized into outrights)
+               var sec_type = security?.ContractCase ?? Security.ContractOneofCase.None;
+               var (
+                  sod_long,
+                  sod_short,
+                  sod_delta,
+                  sod_gamma,
+                  sod_vega,
+                  sod_theta,
+                  day_long,
+                  day_short,
+                  day_delta,
+                  day_gamma,
+                  day_vega,
+                  day_theta) = sec_type switch {
+                  Security.ContractOneofCase.Future or Security.ContractOneofCase.Option => (
+                     data.sod.long_pos.round_to_decimal(),
+                     data.sod.short_pos.round_to_decimal(),
+                     data.sod.delta.round_to_decimal(),
+                     data.sod.gamma.round_to_decimal(),
+                     data.sod.vega.round_to_decimal(),
+                     data.sod.theta.round_to_decimal(),
+                     data.day.long_pos.round_to_decimal(),
+                     data.day.short_pos.round_to_decimal(),
+                     data.day.delta.round_to_decimal(),
+                     data.day.gamma.round_to_decimal(),
+                     data.day.vega.round_to_decimal(),
+                     data.day.theta.round_to_decimal()),
+                  _ => (0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0)
+               };
+
+               var working_long = data.working_long_pos.round_to_decimal();
+               var working_short = data.working_short_pos.round_to_decimal();
+
+               var nd = new PNLNormalizedData() {
+                  // sod
+                  sod_pnl = sod_pnl.value.round_to_decimal(),
+                  sod_long_pos = sod_long,
+                  sod_short_pos = sod_short,
+                  sod_delta = sod_delta,
+                  sod_gamma = sod_gamma,
+                  sod_vega = sod_vega,
+                  sod_theta = sod_theta,
+                  display_sod_long_pos = sod_long,
+                  display_sod_short_pos = sod_short,
+
+                  // day
+                  day_pnl = day_pnl.value.round_to_decimal(),
+                  day_long_pos = day_long,
+                  day_short_pos = day_short,
+                  day_delta = day_delta,
+                  day_gamma = day_gamma,
+                  day_vega = day_vega,
+                  day_theta = day_theta,
+                  display_day_long_pos = day_long,
+                  display_day_short_pos = day_short,
+
+                  // working
+                  working_long_pos = working_long,
+                  working_short_pos = working_short,
+                  display_working_long_pos = working_long,
+                  display_working_short_pos = working_short
+               };
+               if (_normalized_data != nd) {
+                  _normalized_data = nd;
+                  updated?.Invoke(nd);
+               }
+            }
+            return _normalized_data;
+         }
+      }
+      // security
+      public string account_name => data.account_name;
+      public Venue exchange => security?.Exchange ?? Venue.Unset;
+      public string symbol => security.symbol_or_default();
+      public DateTime expiration => data.expiration;
+      public Security.ContractOneofCase security_type => security?.ContractCase ?? Security.ContractOneofCase.None;
+      public SecurityImmutable? security => data.security;
+      // cells
+      public PNLCellVM<PNLRowData, AccountTuple> account_cell { get; }
+      public PNLCellVM<PNLRowData, Venue> exchange_cell { get; }
+      public PNLCellVM<PNLRowData, DateTime> expiration_cell { get; }
+      public PNLCellVM<PNLRowData, string> symbol_cell { get; }
+      public PNLCellVM<PNLRowData, Security.ContractOneofCase> security_type_cell { get; }
+      public PNLCellVM<PNLRowData, SecurityImmutable?> security_cell { get; }
+      public PNLCellVM<PNLRowData, uint> security_key { get; }
+      public PNLCellVM<PNLRowData, double> cpp { get; }
+      // sod
+      public PNLCellVM<PNLRowData, double> sod_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_delta { get; }
+      public PNLCellVM<PNLRowData, double> sod_gamma { get; }
+      public PNLCellVM<PNLRowData, double> sod_vega { get; }
+      public PNLCellVM<PNLRowData, double> sod_theta { get; }
+
+      // day
+      public PNLCellVM<PNLRowData, double> day_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_delta { get; }
+      public PNLCellVM<PNLRowData, double> day_gamma { get; }
+      public PNLCellVM<PNLRowData, double> day_vega { get; }
+      public PNLCellVM<PNLRowData, double> day_theta { get; }
+      public PNLCellVM<PNLRowData, bool> has_day_trades { get; }
+      // working
+      public PNLCellVM<PNLRowData, double> working_net_pos { get; }
+      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> working_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> working_short_avg_price { get; }
+      // total
+      public PNLCellVM<PNLRowData, double> total_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_delta { get; }
+      public PNLCellVM<PNLRowData, double> total_gamma { get; }
+      public PNLCellVM<PNLRowData, double> total_vega { get; }
+      public PNLCellVM<PNLRowData, double> total_theta { get; }
+
+      // (market)
+      public PNLCellVM<PNLRowData, double> bid_price { get; }
+      public PNLCellVM<PNLRowData, double> mid_price { get; }
+      public PNLCellVM<PNLRowData, double> ask_price { get; }
+      public PNLCellVM<PNLRowData, double> last_price { get; }
+      public PNLCellVM<PNLRowData, double> settlement_price { get; }
+      public PNLCellVM<PNLRowData, double> pnl_price { get; }
+
+      // display
+      public api.domain.TickDisplaySettingsImmutable quantity_display {
+         get {
+            if (_quantity_display_backing.HasValue) {
+               return _quantity_display_backing.Value;
+            }
+            if (security.HasValue) {
+               _quantity_display_backing = _sec_meta_store.get_qty_display(security.Value);
+            }
+            return _quantity_display_backing ??= Security.Defaults.quantity_display_settingsi;
+         }
+      }
+
+      public IList<mbts.ui.spark.CellAnimation> animations { get; private set; }
+
+      public bool is_selected {
+         get => _is_selected;
+         set {
+            if (Set(ref _is_selected, value))
+               is_selected_changed?.Invoke(value);
+         }
+      }
+
+      IEnumerable<PNLCellVM<PNLRowData, double>> _market_price_cells {
+         get {
+            yield return pnl_price;
+            yield return last_price;
+            yield return bid_price;
+            yield return mid_price;
+            yield return ask_price;
+            yield return settlement_price;
+         }
+      }
+
+      // includes sod, day, total, and working avg price columns
+      IEnumerable<PNLCellVM<PNLRowData, double>> _fill_price_cells {
+         get {
+            // sod
+            yield return sod_long_avg_price;
+            yield return sod_short_avg_price;
+            // day
+            yield return day_long_avg_price;
+            yield return day_short_avg_price;
+            // total
+            yield return total_long_avg_price;
+            yield return total_short_avg_price;
+            // working
+            yield return working_long_avg_price;
+            yield return working_short_avg_price;
+         }
+      }
+
+      public void update(PNLRowData data) {
+         _quantity_display_backing = null;
+         _refresh_normalized_data = true;
+         this.data = data;
+         _cell_map.on_row(data);
+         _animator.on_row(data);
+         _cell_map.set_appearances(_animator.cell_appearances);
+      }
+
+      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+         _animator.on_settings(defaults, triggers);
+         _cell_map.set_appearances(_animator.cell_appearances);
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
+      }
+
+      public bool Equals(PNLRowVM other) =>
+         other != null && key == other.key;
+
+      public override int GetHashCode() =>
+         key.GetHashCode();
+
+      public override string ToString() =>
+         $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
+
+      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+         foreach (var cell in _fill_price_cells) {
+            cell.format = fmt_fill_price;
+         }
+         foreach (var cell in _market_price_cells) {
+            cell.format = fmt_market_price;
+         }
+      }
+   }
+}

src/client/spark/NMSheets/INMSheetGridFacingData.cs

@@ -65,9 +65,9 @@ namespace BCG {
       public static NMSheetTheoBBOCross get_cross_state(double bid_price, double ask_price, double theo, double delta, bool is_call, double driver_tick_size, bool is_proximity_alert_enabled) {
          double abs_delta = Math.Abs(delta);
          abs_delta = abs_delta == 0 ? Double.Epsilon : abs_delta;
-         if (!Double.IsNaN(theo) && !Double.IsNaN(bid_price) && theo < bid_price)
+         if (!Double.IsNaN(theo) && !Double.IsNaN(bid_price) && (bid_price - theo) > _basic_crosss_eps)
             return new NMSheetTheoBBOCross(CrossState.bid_cross, 0);
-         else if (!Double.IsNaN(theo) && !Double.IsNaN(ask_price) && theo > ask_price)
+         else if (!Double.IsNaN(theo) && !Double.IsNaN(ask_price) && (theo - ask_price) > _basic_crosss_eps)
             return new NMSheetTheoBBOCross(CrossState.ask_cross, 0);
          else if (is_proximity_alert_enabled) {
             /// bool is passed to bypass doing the below
@@ -87,6 +87,7 @@ namespace BCG {
          return NMSheetTheoBBOCross.get_nulled_obj();
       }
 
+      private static double _basic_crosss_eps = 0.01;
       private static double _n_max_ticks = 100.0;
       private static NMSheetTheoBBOCross _nulled_obj = new NMSheetTheoBBOCross(CrossState.none, 0);
       public static NMSheetTheoBBOCross get_nulled_obj() { return _nulled_obj; }

src/client/spark/Orders/OrderTicket.xaml

@@ -1,161 +1,161 @@
-<Window
-  x:Class="mbts.ui.spark.OrderTicket"
-  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
-  xmlns:u="clr-namespace:mbts.ui"
-  xmlns:cv="clr-namespace:mbts.ui.converters"
-  xmlns:usp="clr-namespace:mbts.ui.spark"
-  xmlns:sys="clr-namespace:System;assembly=mscorlib"
-  u:WindowStyle.SizeToContent="WidthAndHeight"
-  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
-  Style="{StaticResource BTSWindowTitleTemplate}"
->
-  <Window.Resources>
-    <ResourceDictionary>
-      <ResourceDictionary.MergedDictionaries>
-        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
-      </ResourceDictionary.MergedDictionaries>
-      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
-      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
-      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
-      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-         <Setter Property="Background" Value="{u:BTSColor MarketData.ask}" />
-         <Setter Property="Foreground" Value="White" />
-         <Setter Property="MinHeight" Value="40" />
-         <Setter Property="FontWeight" Value="Bold" />
-         <Setter Property="HorizontalAlignment" Value="Stretch" />
-         <Setter Property="VerticalAlignment" Value="Stretch" />
-         <Setter Property="Content">
-            <Setter.Value>
-              <TextBlock VerticalAlignment="Center" Text="Sell" />
-            </Setter.Value>
-         </Setter>
-         <Setter Property="Template">
-            <Setter.Value>
-               <ControlTemplate TargetType="Button">
-                  <Border 
-                        x:Name="Border"
-                        CornerRadius="0" 
-                        BorderThickness="1"
-                        BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                        Background="{u:BTSColor MarketData.ask}"
-                        Padding="2"
-                        Height="Auto"
-                        SnapsToDevicePixels="True">
-                        <ContentPresenter 
-                           HorizontalAlignment="Center"
-                           VerticalAlignment="Center"
-                           RecognizesAccessKey="True"
-                           Name="button_content" 
-                        />
-                     </Border>
-                  <ControlTemplate.Triggers>
-                        <Trigger Property="IsMouseOver" Value="True">
-                           <Setter TargetName="Border" Property="Background" Value="#99c00000" />
-                           <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
-                        </Trigger>
-                     </ControlTemplate.Triggers>
-               </ControlTemplate>
-            </Setter.Value>
-         </Setter>
-      </Style>
-      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-         <Setter Property="Background" Value="{u:BTSColor MarketData.bid}" />
-         <Setter Property="Foreground" Value="White" />
-         <Setter Property="MinHeight" Value="40" />
-         <Setter Property="FontWeight" Value="Bold" />
-         <Setter Property="HorizontalAlignment" Value="Stretch" />
-         <Setter Property="VerticalAlignment" Value="Stretch" />
-         <Setter Property="Content">
-            <Setter.Value>
-              <TextBlock VerticalAlignment="Center" Text="Buy" />
-            </Setter.Value>
-         </Setter>
-         <Setter Property="Template">
-            <Setter.Value>
-               <ControlTemplate TargetType="Button">
-                  <Border 
-                     x:Name="Border"
-                     CornerRadius="0" 
-                     BorderThickness="1"
-                     BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                     Background="{u:BTSColor MarketData.bid}"
-                     Padding="2"
-                     Height="Auto"
-                     SnapsToDevicePixels="True">
-                     <ContentPresenter 
-                        HorizontalAlignment="Center"
-                        VerticalAlignment="Center"
-                        RecognizesAccessKey="True"
-                        Name="button_content" 
-                     />
-                  </Border>
-                  <ControlTemplate.Triggers>
-                     <Trigger Property="IsMouseOver" Value="True">
-                        <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
-                        <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
-                     </Trigger>
-                  </ControlTemplate.Triggers>
-               </ControlTemplate>
-            </Setter.Value>
-         </Setter>
-      </Style>
-      </ResourceDictionary>
-  </Window.Resources>
-  <Window.InputBindings>
-    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
-  </Window.InputBindings>
-  <Grid Margin="10">
-    <Grid.RowDefinitions>
-      <RowDefinition Height="Auto"/>
-      <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
-      <RowDefinition Height="Auto"/>
-    </Grid.RowDefinitions>
-    <Grid.ColumnDefinitions>
-      <ColumnDefinition MinWidth="120"/>
-      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}"/>
-      <ColumnDefinition MinWidth="120"/>
-    </Grid.ColumnDefinitions>
-    <usp:OrderModificationControl Grid.ColumnSpan="3" />
-      <Button Grid.Row="2"                 Style="{StaticResource BuyButton}"  Command="{Binding send_order}" CommandParameter="{u:Enum Buy, Type=msys:Side}" />
-      <Button Grid.Row="2" Grid.Column="2" Style="{StaticResource SellButton}" Command="{Binding send_order}" CommandParameter="{u:Enum Sell, Type=msys:Side}" />
-   </Grid>
-  <u:WindowStyle.TitleContentTemplate>
-    <DataTemplate>
-      <TextBlock Style="{StaticResource TextBlock.Dark}">
-        <TextBlock.Inlines>
-          <Run FontWeight="Bold" Text="{Binding security, Mode=OneWay}" />
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
-              <Binding Path="bid_size" Mode="OneWay"/>
-              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
-            <Run.Text>
-              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                <Binding Path="bid"/>
-                <Binding Path="security.ContractSpec"/>
-              </MultiBinding>
-            </Run.Text>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontWeight="Bold">
-            <Run.Text>
-              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                <Binding Path="ask"/>
-                <Binding Path="security.ContractSpec"/>
-              </MultiBinding>
-            </Run.Text>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
-              <Binding Path="ask_size" Mode="OneWay"/>
-              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
-        </TextBlock.Inlines>
-      </TextBlock>
-    </DataTemplate>
-  </u:WindowStyle.TitleContentTemplate>
-</Window>
+<Window
+  x:Class="mbts.ui.spark.OrderTicket"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
+  Style="{StaticResource BTSWindowTitleTemplate}"
+>
+  <Window.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+         <Setter Property="Background" Value="{u:BTSColor MarketData.ask_dark}" />
+         <Setter Property="Foreground" Value="White" />
+         <Setter Property="MinHeight" Value="40" />
+         <Setter Property="FontWeight" Value="Bold" />
+         <Setter Property="HorizontalAlignment" Value="Stretch" />
+         <Setter Property="VerticalAlignment" Value="Stretch" />
+         <Setter Property="Content">
+            <Setter.Value>
+              <TextBlock VerticalAlignment="Center" Text="Sell" />
+            </Setter.Value>
+         </Setter>
+         <Setter Property="Template">
+            <Setter.Value>
+               <ControlTemplate TargetType="Button">
+                  <Border 
+                        x:Name="Border"
+                        CornerRadius="0" 
+                        BorderThickness="1"
+                        BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                        Background="{u:BTSColor MarketData.ask}"
+                        Padding="2"
+                        Height="Auto"
+                        SnapsToDevicePixels="True">
+                        <ContentPresenter 
+                           HorizontalAlignment="Center"
+                           VerticalAlignment="Center"
+                           RecognizesAccessKey="True"
+                           Name="button_content" 
+                        />
+                     </Border>
+                  <ControlTemplate.Triggers>
+                        <Trigger Property="IsMouseOver" Value="True">
+                           <Setter TargetName="Border" Property="Background" Value="#99c00000" />
+                           <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                        </Trigger>
+                     </ControlTemplate.Triggers>
+               </ControlTemplate>
+            </Setter.Value>
+         </Setter>
+      </Style>
+      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+         <Setter Property="Background" Value="{u:BTSColor MarketData.bid_dark}" />
+         <Setter Property="Foreground" Value="White" />
+         <Setter Property="MinHeight" Value="40" />
+         <Setter Property="FontWeight" Value="Bold" />
+         <Setter Property="HorizontalAlignment" Value="Stretch" />
+         <Setter Property="VerticalAlignment" Value="Stretch" />
+         <Setter Property="Content">
+            <Setter.Value>
+              <TextBlock VerticalAlignment="Center" Text="Buy" />
+            </Setter.Value>
+         </Setter>
+         <Setter Property="Template">
+            <Setter.Value>
+               <ControlTemplate TargetType="Button">
+                  <Border 
+                     x:Name="Border"
+                     CornerRadius="0" 
+                     BorderThickness="1"
+                     BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                     Background="{u:BTSColor MarketData.bid}"
+                     Padding="2"
+                     Height="Auto"
+                     SnapsToDevicePixels="True">
+                     <ContentPresenter 
+                        HorizontalAlignment="Center"
+                        VerticalAlignment="Center"
+                        RecognizesAccessKey="True"
+                        Name="button_content" 
+                     />
+                  </Border>
+                  <ControlTemplate.Triggers>
+                     <Trigger Property="IsMouseOver" Value="True">
+                        <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
+                        <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                     </Trigger>
+                  </ControlTemplate.Triggers>
+               </ControlTemplate>
+            </Setter.Value>
+         </Setter>
+      </Style>
+      </ResourceDictionary>
+  </Window.Resources>
+  <Window.InputBindings>
+    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
+  </Window.InputBindings>
+  <Grid Margin="10">
+    <Grid.RowDefinitions>
+      <RowDefinition Height="Auto"/>
+      <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
+      <RowDefinition Height="Auto"/>
+    </Grid.RowDefinitions>
+    <Grid.ColumnDefinitions>
+      <ColumnDefinition MinWidth="120"/>
+      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}"/>
+      <ColumnDefinition MinWidth="120"/>
+    </Grid.ColumnDefinitions>
+    <usp:OrderModificationControl Grid.ColumnSpan="3" />
+      <Button Grid.Row="2"                 Style="{StaticResource BuyButton}"  Command="{Binding send_order}" CommandParameter="{u:Enum Buy, Type=msys:Side}" />
+      <Button Grid.Row="2" Grid.Column="2" Style="{StaticResource SellButton}" Command="{Binding send_order}" CommandParameter="{u:Enum Sell, Type=msys:Side}" />
+   </Grid>
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate>
+      <TextBlock Style="{StaticResource TextBlock.Dark}">
+        <TextBlock.Inlines>
+          <Run FontWeight="Bold" Text="{Binding security, Mode=OneWay}" />
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
+              <Binding Path="bid_size" Mode="OneWay"/>
+              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
+            <Run.Text>
+              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                <Binding Path="bid"/>
+                <Binding Path="security.ContractSpec"/>
+              </MultiBinding>
+            </Run.Text>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontWeight="Bold">
+            <Run.Text>
+              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                <Binding Path="ask"/>
+                <Binding Path="security.ContractSpec"/>
+              </MultiBinding>
+            </Run.Text>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
+              <Binding Path="ask_size" Mode="OneWay"/>
+              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
+        </TextBlock.Inlines>
+      </TextBlock>
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+</Window>

src/client/spark/Risk/PNL/PNLReportCalculator.cs

@@ -64,8 +64,7 @@ namespace mbts.analytics {
                if (tl.tl_row.size > 0) {
                   start_long_pos += tl.tl_row.size;
                   start_long_total_cost += cost;
-               }
-               else {
+               } else {
                   start_short_pos += Math.Abs(tl.tl_row.size);
                   start_short_total_cost += cost;
                }
@@ -78,8 +77,7 @@ namespace mbts.analytics {
                if (tl.tl_row.size > 0) {
                   day_long_pos += tl.tl_row.size;
                   day_long_total_cost += cost;
-               }
-               else {
+               } else {
                   day_short_pos += Math.Abs(tl.tl_row.size);
                   day_short_total_cost += cost;
                }
@@ -165,6 +163,13 @@ namespace mbts.analytics {
                   is_day_trade = _is_day_trade(tl)
                };
                pnl_trades.Add(pnl_tl);
+            } else if (tl.security_type == SecurityType.Spot) {
+               PNLTradeRow pnl_tl = new PNLTradeRow() {
+                  tl_row = tl,
+                  md = tl_md,
+                  is_day_trade = _is_day_trade(tl)
+               };
+               pnl_trades.Add(pnl_tl);
             }
          }
          return pnl_trades;

src/client/spark/Risk/PNL/PNLTradeLogRow.cs

@@ -4,6 +4,9 @@ using bts.api;
 
 using BCG;
 using mbts.co2;
+using System.Xml.Serialization;
+using ZstdSharp.Unsafe;
+using bts.proto;
 
 namespace mbts.analytics {
    // Pairs ITradeLogRow along with the data (theo, md) that is needed to compute
@@ -18,20 +21,88 @@ namespace mbts.analytics {
 
       public SecurityImmutable security { get { return md.security; } }
 
-      private double _option_pnl(double trade_price, double now_price) {
-         double coin_terms = (now_price - trade_price) * tl_row.size;
-         double usd_terms = coin_terms * driver;
-         return usd_terms;
+      // private double _option_pnl(double trade_price, double now_price) {
+      //    double coin_terms = (now_price - trade_price) * tl_row.size;
+      //    double usd_terms = coin_terms * driver;
+      //    return usd_terms;
+      // }
+
+      private bool _is_notional {
+         get {
+            return false;
+         }
       }
 
-      private double _future_pnl(double trade_price, double now_price) {
-         // the qty is in USD, so this is the initial cash flow
-         double init_asset_value = tl_row.size;
-         double asset_size = init_asset_value / tl_row.price;
-         double now_asset_value = asset_size * now_price;
-         return now_asset_value - init_asset_value;
+      private bool _is_inverse_option_contract {
+         get {
+            return false;
+         }
       }
 
+      private double _cpp {
+         get {
+            return 1.0;
+         }
+      }
+
+      private bool _is_reverse_option_contract {
+         get {
+            // check for Deribit options
+            return false;
+         }
+      }
+
+      private double _option_pnl {
+         get {
+            if (_is_notional) {
+               var now_price = theo;
+               double coin_terms = (now_price - tl_row.price) * tl_row.size;
+               double usd_terms = coin_terms * driver;
+               return usd_terms;
+            } else {
+               return _cpp * tl_row.size * (theo - tl_row.price);
+            }
+         }
+      }
+
+      private double _spot_pnl {
+         get {
+            // both are computed the same way
+            return _future_pnl;
+         }
+      }
+
+      private double _future_pnl {
+         get {
+            if (_is_notional) {
+               // TODO:
+               // let it fall through right now
+               // the qty is in USD, so this is the initial cash flow
+               var now_price = theo;
+               double init_asset_value = tl_row.size;
+               double asset_size = init_asset_value / tl_row.price;
+               double now_asset_value = asset_size * now_price;
+               return now_asset_value - init_asset_value;
+            } else {
+               // TODO: is position pnl, compute it wrt settlement price?
+               return tl_row.size * (theo - tl_row.price);
+            }
+         }
+      }
+
+      // private double _future_pnl(double trade_price, double now_price) {
+      //    if (_is_notional) {
+      //       // the qty is in USD, so this is the initial cash flow
+      //       double init_asset_value = tl_row.size;
+      //       double asset_size = init_asset_value / tl_row.price;
+      //       double now_asset_value = asset_size * now_price;
+      //       return now_asset_value - init_asset_value;
+      //    } else {
+      //       return tl_row.size * (theo - tl_row.price);
+      //    }
+      // }
+
+
       public double driver {
          get {
             if (tl_row.security_type == SecurityType.Option) {
@@ -44,35 +115,46 @@ namespace mbts.analytics {
       }
       public double theo {
          get {
-            if (tl_row.security_type == SecurityType.Option) {
-               return tl_row.call_put == PutOrCall.Call ?
-                  opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
-            } else if (tl_row.security_type == SecurityType.Future) {
-               return fut_theo.theo;
+            switch (tl_row.security_type) {
+               // TODO:
+               case SecurityType.Option:
+                  if (_is_inverse_option_contract) {
+                     return tl_row.call_put == PutOrCall.Call ?
+                        opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
+                  } else {
+                     return tl_row.call_put == PutOrCall.Call ?
+                        opt_theo.call : opt_theo.put;
+                  }
+               // future and options, just get mid market
+               case SecurityType.Future:
+               //return fut_theo.theo;
+               case SecurityType.Spot:
+                  var bbo = top_of_book;
+                  return (bbo.Item1 + bbo.Item2) / 2;
+               default:
+                  return Double.NaN;
             }
-            return Double.NaN;
          }
       }
       public double pnl {
          get {
             double rv = Double.NaN;
-            if (is_day_trade) {
-               if (tl_row.security_type == SecurityType.Future) {
-                  rv = _future_pnl(tl_row.price, theo);
-               } else if (tl_row.security_type == SecurityType.Option) {
-                  rv = _option_pnl(tl_row.price, theo);
-               }
-               return rv;
-            }
-            // use settle price ?
-            if (tl_row.security_type == SecurityType.Future) {
-               rv = _future_pnl(tl_row.price, theo);
-            } else if (tl_row.security_type == SecurityType.Option) {
-               rv = _option_pnl(tl_row.price, theo);
+            switch (tl_row.security_type) {
+               case SecurityType.Option:
+                  rv = _option_pnl;
+                  break;
+               case SecurityType.Future:
+                  rv = _future_pnl;
+                  break;
+               case SecurityType.Spot:
+                  // = tl_row.size * (theo - tl_row.price);
+                  rv = _spot_pnl;
+                  break;
             }
             return rv;
          }
       }
+
       public double settle_price {
          get {
             return md.md == null ? Double.NaN : md.md.settlement_price;

src/client/spark/Security/SecurityExpirationHelper.cs

@@ -36,6 +36,10 @@ namespace mbts {
       }
 
       public static bool is_unexpired(bts.api.SecurityTuple st, DateTime exp_date) {
+         if (st.Venue == Venue.Cboe || st.Venue == Venue.Glbx) {
+            // server is already getting teh righ contracts
+            return true;
+         }
          TimeSpan exp_time = get_exp_time(st);
          DateTime full_exp_utc = exp_date.ToUniversalTime().Date.Add(exp_time);
          DateTime now_utc = DateTime.UtcNow;
@@ -43,6 +47,8 @@ namespace mbts {
       }
 
       public static bool is_unexpired(bts.api.SecurityImmutable sec) {
+         if (sec.security_tuple().Venue == Venue.Cboe || sec.security_tuple().Venue == Venue.Glbx)
+            return true;
          var sec_type = sec.security_type();
          switch (sec_type) {
             case bts.api.SecurityType.Future:

src/client/spark/SpreadBox/Calculators/StatelessSpreadCalculator.cs

@@ -58,9 +58,10 @@ namespace BCG {
             }
             // TODO: put it as a setting
             bts.Log.assert(theos.Length == drivers.Length);
-            for (int i = 0; i < theos.Length; i++) {
-               theos[i] /= drivers[i];
-            }
+            // only do this when its deribit crypto option, TODO
+            // for (int i = 0; i < theos.Length; i++) {
+            //    theos[i] /= drivers[i];
+            // }
             return new SpreadValue(spread_spec, theos, deltas, gammas, vegas, adj_vegas, oevs, thetas, slope_vegas, drivers, qs_midpoint_theos, pos, additional_delta);
          }
       }
@@ -142,9 +143,21 @@ namespace BCG {
          return tp ?? mbts.spark.TheoPoint.getNulledObject();
       }
 
-      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price(DateTime option_expiration, double strike, bool is_call, OptionTheoInterpolationData sparse_theo_map, double driver_price) {
-         mbts.spark.TheoPoint tp = sparse_theo_map == null ? mbts.spark.TheoPoint.getNulledObject() : sparse_theo_map.interpolate_theos(option_expiration, strike, driver_price);
-         return tp ?? mbts.spark.TheoPoint.getNulledObject();
+      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price(DateTime option_expiration, double strike, bool is_call, OptionTheoInterpolationData sparse_theo_map,
+                                                                                    ExpStrikeKeyedData<mbts.spark.TheoPoint> live_symbol_theo_map, double driver_price) {
+         // mbts.spark.TheoPoint tp = sparse_theo_map == null ? mbts.spark.TheoPoint.getNulledObject() : sparse_theo_map.interpolate_theos(option_expiration, strike, driver_price);
+         // return tp ?? mbts.spark.TheoPoint.getNulledObject();
+         // TOD: config here
+         return _compute_single_option_leg_at_tied_price_from_live(option_expiration, strike, is_call, live_symbol_theo_map, driver_price);
+      }
+
+      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price_from_live(DateTime option_expiration, double strike, bool is_call,
+                                                                                             ExpStrikeKeyedData<mbts.spark.TheoPoint> live_symbol_theo_map, double driver_price) {
+         var tp = live_symbol_theo_map.get_data(option_expiration, strike);
+         if (tp == null)
+            return mbts.spark.TheoPoint.getNulledObject();
+         return TheoPoint.extrapolate(tp, driver_price, is_call);
+
       }
 
       /// this is the only relatively tricky thing here      
@@ -174,7 +187,7 @@ namespace BCG {
                   if (leg_price_spec.primaryFrozen)   /// tied
                   {
                      effective_driver = leg_price_spec.primary;
-                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, leg_price_spec.primary);
+                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, live_symbol_theo_map, leg_price_spec.primary);
                   } else {
                      mbts.spark.TheoPoint tp = _compute_single_option_leg_at_live_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, live_symbol_theo_map);
                      effective_driver = tp.driver;
@@ -188,7 +201,7 @@ namespace BCG {
                         future_theo_map.TryGetValue(driver_price_info.first, out symbol_future_theo_map);
                      double driver_price = StatelessFutureTheoCalculator.transform_price(symbol_future_theo_map, leg_price_spec.driverExpiration, leg_price_spec.primary, driver_price_info.second);
                      effective_driver = leg_price_spec.primary;
-                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, driver_price);
+                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, live_symbol_theo_map, driver_price);
                   } else {
                      bts.Log.Ui.error(String.Format("This spread is live but the driver expiration {0} is different from the system driver expiration {1} for {2}",
                                                       spread_option_leg.legPriceSpec.driverExpiration, driver_price_info.second, spread_option_leg.contract.product));

src/client/spark/core/FontsAndColors/BTSColors.cs

@@ -216,8 +216,10 @@ namespace mbts.ui {
          public static BTSColor ask_text => BTSCoreColors.red_dark;
          public static BTSColor bid_text => BTSCoreColors.blue;
          public static BTSColor bid => 0xff76b7fa;
+         public static BTSColor bid_dark => 0xff26239a;
          public static BTSColor bid_alt => BTSCoreColors.blue_light.with(0x70);
          public static BTSColor ask => 0xffff6666;
+         public static BTSColor ask_dark => 0xff7a2331;
          public static BTSColor ask_alt => 0x70ffb4b4;
          public static BTSColor last => BTSCoreColors.black;
          public static BTSColor bid_ask_alt_blend => BTSCoreColors.purple_light;

src/client/spark/view/Controls/DIYGrid/Columns/ColumnBase.cs

@@ -1,4 +1,4 @@
-namespace mbts.ui.controls {
+namespace mbts.ui.controls {
    using bts;
    using bts.utils;
 
@@ -26,7 +26,7 @@
          public const double
             Account = 62,
             CheckMark = 42,
-            Currency = 54,
+            Currency = 68,
             Exchange = 66,
             FillKey = 68,
             OrderKey = 78,
@@ -43,7 +43,9 @@
             Side = 47,
             Qty = 48,
             MergedQty = 68,
+            NotionalValue = 68,
             Filled = 56,
+            FilledNotionalValue = 81,
             Symbol = 60,
             Time = 112,
             TimeOfDay = 84,
@@ -122,6 +124,7 @@
             SecurityType = "Security Type",
             Side = "B/S",
             Qty = "Qty",
+            NotionalValue = "Notional",
             MergedQty = "Qty",
             DirectQty = "Qty (D)",
             ImpliedQty = "Qty (I)",
@@ -144,6 +147,7 @@
             FillKind = "Fill Kind",
             FilledPrice = "Fill Price",
             FilledQuantity = "Fill Qty",
+            FilledNotionalValue = "Fill Notional",
             FillStatus = "Fill Status",
             Name = "Name",
             Description = "Description",

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

@@ -19,7 +19,7 @@
   <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
 
   <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-    <Setter Property="Background" Value="{u:BTSColor MarketData.ask}"/>
+    <Setter Property="Background" Value="{u:BTSBrush MarketData.ask_dark}"/>
     <Setter Property="BorderBrush" Value="{u:BTSColor UI.Button.normal_border}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}" />
     <Setter Property="MinHeight" Value="40"/>
@@ -32,7 +32,7 @@
   </Style>
 
   <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-    <Setter Property="Background" Value="{u:BTSColor MarketData.bid}"/>
+    <Setter Property="Background" Value="{u:BTSBrush MarketData.bid_dark}"/>
     <Setter Property="BorderBrush" Value="{u:BTSColor UI.Button.normal_border}"/>
     <Setter Property="Padding" Value="2"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}" />

src/client/spark/view/Shell/ShellModel.cs

@@ -100,7 +100,7 @@
       }
 
       void PerformMEFComposition(string config_source) {
-         Log.Ui.info($"Generating MEF dependencies for the shell " +
+         Log.Ui.info($"Generating MEF dependencies for the shell" +
                $"({typeof(IInitializable)}s, {typeof(IShellModule)}s, " +
                $"{typeof(IShellDaemon)}s, etc.)");
          try {

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

@@ -154,37 +154,48 @@ namespace mbts.ui.spark {
 
    static class MDDisplayHelper {
       /// This delegate should be created by calling <see cref="get_formatter(MarketSizeDisplay)"/>
-      public delegate string SizeFormatter(double merged, double implied, double price);
+      public delegate string SizeFormatter(double merged, double implied, double price, double notional);
       /// The private delegates below use refs bc the <see cref="SizeFormatter"/> returned by <see cref="get_formatter(MarketSizeDisplay)"/>
       /// internally uses several <see cref="_SizeFormatter"/>s to add different text components to the resultant string.
       /// The refs, therefor, avoid making extra copies of the variables.
       /// These are private members, so any code-readability cost is confined to a limited scope.
-      delegate void _SizeFormatter(ref double merged, ref double implied, ref double price, ref StringBuilder sb);
+      delegate void _SizeFormatter(ref double merged, ref double implied, ref double price, ref double notional, ref StringBuilder sb);
       delegate void _SizeFormatterNPS(ref NativePriceSize nps, ref StringBuilder sb);
 
       public static Func<double, double, string> get_value_formatter(
-         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable price_display) {
-         var raw_fmt_size = get_formatter(size_display, display, price_display);
-         return (q, p) => raw_fmt_size(q, 0, p);
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
+         return (q, p) => raw_fmt_size(q, 0, p, double.NaN);
+      }
+
+      public static Func<LadderPriceLevel, string> get_formatter_lpl(
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
+         return nps => raw_fmt_size(
+            nps.Volume,
+            0,
+            nps.Price,
+            nps.NotionalValue);
       }
 
       public static Func<NativePriceSize, string> get_formatter_nps(
-         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable price_display) {
-         var raw_fmt_size = get_formatter(size_display, display, price_display);
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
          return nps => raw_fmt_size(
             nps.implied_size + nps.direct_size,
             nps.implied_size,
-            nps.price);
+            nps.price,
+            nps.notional_size);
       }
 
       public static SizeFormatter get_formatter(
-         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable price_display) {
-         _SizeFormatter implied_absent = _get_formatter(size_display.normal, display, price_display);
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         _SizeFormatter implied_absent = _get_formatter(size_display.normal, display, notional_value_display);
          _SizeFormatter implied_present = _get_formatter(
-            size_display.implied_present ?? size_display.normal, display, price_display);
-         return (merged, implied, price) => {
+            size_display.implied_present ?? size_display.normal, display, notional_value_display);
+         return (merged, implied, price, notional) => {
             StringBuilder sb = new StringBuilder();
-            (implied > 0 ? implied_present : implied_absent)(ref merged, ref implied, ref price, ref sb);
+            (implied > 0 ? implied_present : implied_absent)(ref merged, ref implied, ref price, ref notional, ref sb);
             return sb.ToString();
          };
       }
@@ -205,13 +216,13 @@ namespace mbts.ui.spark {
       static _SizeFormatter _get_formatter(
          MarketSizeDisplay.SizeFormattingElement[] fmt_elements,
          TickDisplaySettingsImmutable display,
-         TickDisplaySettingsImmutable price_display) {
+         TickDisplaySettingsImmutable notional_value_display) {
          _SizeFormatter[] formatters = fmt_elements.is_null_or_empty() ?
             Array.Empty<_SizeFormatter>() :
-            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter(sfe, display, price_display));
-         return new _SizeFormatter((ref double m, ref double i, ref double p, ref StringBuilder sb) => {
+            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter(sfe, display, notional_value_display));
+         return new _SizeFormatter((ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) => {
             foreach (var f in formatters)
-               f(ref m, ref i, ref p, ref sb);
+               f(ref m, ref i, ref p, ref n, ref sb);
          });
       }
 
@@ -237,7 +248,7 @@ namespace mbts.ui.spark {
       static _SizeFormatter _get_formatter(
          MarketSizeDisplay.SizeFormattingElement fmt_element,
          TickDisplaySettingsImmutable display,
-         TickDisplaySettingsImmutable price_display) =>
+         TickDisplaySettingsImmutable notional_value_display) =>
          fmt_element.type switch {
             MarketSizeDisplay.SizeFormattingElementType.Const =>
                SizeTokenFormatters.char_formatter(fmt_element.data ?? string.Empty),
@@ -248,7 +259,7 @@ namespace mbts.ui.spark {
             MarketSizeDisplay.SizeFormattingElementType.Merged =>
                SizeTokenFormatters.merged_formatter(display),
             MarketSizeDisplay.SizeFormattingElementType.MergedNotional =>
-               SizeTokenFormatters.merged_notional_formatter(price_display),
+               SizeTokenFormatters.merged_notional_formatter(notional_value_display),
             _ => throw ExceptionBuilder.Argument.unexpected_case(
                fmt_element.type, nameof(fmt_element.type)),
          };
@@ -256,24 +267,24 @@ namespace mbts.ui.spark {
       static class SizeTokenFormatters {
          public static _SizeFormatter char_formatter(string data) {
             string local = data.ToString();
-            return (ref double m, ref double i, ref double p, ref StringBuilder sb) =>
+            return (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
                sb.Append(local);
          }
          public static _SizeFormatter merged_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref double p, ref StringBuilder sb) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
                sb.Append(display.format(m));
 
          public static _SizeFormatter direct_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref double p, ref StringBuilder sb) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
                sb.Append(display.format(m - i));
 
          public static _SizeFormatter implied_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref double p, ref StringBuilder sb) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
                sb.Append(display.format(i));
 
          public static _SizeFormatter merged_notional_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref double p, ref StringBuilder sb) =>
-               sb.Append(display.format(m * p));
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(display.format(n));
 
          public static _SizeFormatterNPS char_formatter_nps(string data) {
             string local = data.ToString();
@@ -373,9 +384,10 @@ namespace mbts.ui.spark {
             _display = backing(nameof(display), fmt);
 
             string fmt() {
+               const double SAMPLE_PRICE = 25.0;
                var impl = MDDisplayHelper.get_formatter(
                   owner.create(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
-               return impl(merged, implied, 1);
+               return impl(merged, implied, 1, merged * SAMPLE_PRICE);
             }
          }
 

src/client/spark_api/MarketData/SecurityMD.cs

@@ -11,6 +11,7 @@ namespace mbts {
    using System.Collections.Generic;
    using System.Collections.Immutable;
    using System.Linq;
+   using System.Threading;
 
    public readonly struct SecurityMD : IEquatable<SecurityMD> {
       public static readonly Func<SecurityMD, uint> key_fn = smd => smd.security.Id;
@@ -60,4 +61,128 @@ namespace mbts {
       public static bool operator !=(SecurityMD left, SecurityMD right) =>
          !(left == right);
    }
+
+   static class SecurityMDExtensions {
+      const uint DEPTH_COUNT = 10;
+      [ThreadStatic]
+      static NativePriceSize[] leg1Bids;
+
+      [ThreadStatic]
+      static NativePriceSize[] leg1Asks;
+
+      static SecurityMDExtensions() {
+         leg1Bids = new NativePriceSize[DEPTH_COUNT];
+         leg1Asks = new NativePriceSize[DEPTH_COUNT];
+      }
+
+      public static Book Depth(this SecurityMD security, IReadOnlyDictionary<uint, SecurityMD> securities, ref ulong time) {
+         var bids = new NativePriceSize[DEPTH_COUNT];
+         var asks = new NativePriceSize[DEPTH_COUNT];
+         var bidsOut = new (double, double, double)[(int)DEPTH_COUNT];
+         var asksOut = new (double, double, double)[(int)DEPTH_COUNT];
+         if (!security.security.HasSynthetic) {
+            security.md.get_depth(ref time, ref bids, ref asks, DEPTH_COUNT);
+            for (int i = 0; i < DEPTH_COUNT; i++) {
+               bidsOut[i] = (bids[i].price, bids[i].size, bids[i].notional_size);
+               asksOut[i] = (asks[i].price, asks[i].size, asks[i].notional_size);
+            }
+            return new(bidsOut, asksOut);
+         }
+         Log.assert(security.security.Synthetic.Legs.TryGetFirst(out var leg1));
+         if (!securities.TryGetValue(leg1.Security.Id, out var sec1)) {
+            return Book.Empty;
+         }
+         ulong sec1Time = 0;
+         if (!sec1.md.get_depth(ref sec1Time, ref leg1Bids, ref leg1Asks, DEPTH_COUNT)) {
+            return Book.Empty;
+         }
+         security.md.get_depth(ref time, ref bids, ref asks, DEPTH_COUNT);
+         int leg1BidsLevel = 0;
+         int leg1AsksLevel = 0;
+         double leg1BidsConsumed = 0;
+         double leg1AsksConsumed = 0;
+         double takeQuantity;
+         double notional;
+         for (int i = 0; i < DEPTH_COUNT && !bids[i].is_nan; i++) {
+            takeQuantity = bids[i].size * leg1.Quantity;
+            notional = getNotionalValue(ref leg1Bids, ref leg1BidsLevel, ref leg1BidsConsumed, ref takeQuantity);
+            bidsOut[i] = (bids[i].price, bids[i].size, notional);
+            takeQuantity = asks[i].size * leg1.Quantity;
+            notional = getNotionalValue(ref leg1Asks, ref leg1AsksLevel, ref leg1AsksConsumed, ref takeQuantity);
+            asksOut[i] = (asks[i].price, asks[i].size, notional);
+         }
+         return new(bidsOut, asksOut);
+      }
+
+      public static Book Depth(this SecurityMD security, NativePriceSize[] bids, NativePriceSize[] asks, IReadOnlyDictionary<uint, SecurityMD> securities) {
+         bids ??= new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
+         asks ??= new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
+         var bidsOut = new (double, double, double)[bids.Length];
+         var asksOut = new (double, double, double)[asks.Length];
+         var depthCount = (uint)Math.Min(bids.Length, asks.Length);
+         if (!security.security.HasSynthetic) {
+            for (int i = 0; i < depthCount; i++) {
+               bidsOut[i] = (bids[i].price, bids[i].size, bids[i].notional_size);
+               asksOut[i] = (asks[i].price, asks[i].size, asks[i].notional_size);
+            }
+            return new(bidsOut, asksOut);
+         }
+         Log.assert(security.security.Synthetic.Legs.TryGetFirst(out var leg1));
+         if (!securities.TryGetValue(leg1.Security.Id, out var sec1)) {
+            return Book.Empty;
+         }
+         ulong sec1Time = 0;
+         if (!sec1.md.get_depth(ref sec1Time, ref leg1Bids, ref leg1Asks, depthCount)) {
+            return Book.Empty;
+         }
+         int leg1BidsLevel = 0;
+         int leg1AsksLevel = 0;
+         double leg1BidsConsumed = 0;
+         double leg1AsksConsumed = 0;
+         double takeQuantity;
+         double notional;
+         for (int i = 0; i < depthCount && !bids[i].is_nan; i++) {
+            takeQuantity = bids[i].size;
+            notional = getNotionalValue(ref leg1Bids, ref leg1BidsLevel, ref leg1BidsConsumed, ref takeQuantity);
+            bidsOut[i] = (bids[i].price, bids[i].size, notional);
+            takeQuantity = asks[i].size;
+            notional = getNotionalValue(ref leg1Asks, ref leg1AsksLevel, ref leg1AsksConsumed, ref takeQuantity);
+            asksOut[i] = (asks[i].price, asks[i].size, notional);
+         }
+         return new(bidsOut, asksOut);
+      }
+
+      static double getNotionalValue(ref NativePriceSize[] depth, ref int level, ref double levelConsumed, ref double takeQuantity) {
+         if (level >= depth.Length) {
+            return double.NaN;
+         }
+         double notionalValue = 0;
+         while (takeQuantity > MathUtils.epsilon<double>() && level < depth.Length && !depth[level].is_nan) {
+            var lvlDepth = (double)depth[level].size - levelConsumed;
+            if (lvlDepth <= 0) {
+               level++;
+               levelConsumed = 0;
+               continue;
+            }
+            var lvlTake = Math.Min(takeQuantity, lvlDepth);
+            notionalValue += lvlTake * depth[level].price;
+            levelConsumed += lvlTake;
+            takeQuantity -= lvlDepth;
+         }
+         return notionalValue;
+      }
+
+      public class Book {
+         public Book(IEnumerable<(double Price, double Volume, double NotionalValue)> bids, IEnumerable<(double Price, double Quantity, double NotionalValue)> asks) {
+            Bids = bids;
+            Asks = asks;
+         }
+
+         public static Book Empty =>
+            new(Array.Empty<(double, double, double)>(), Array.Empty<(double, double, double)>());
+
+         public IEnumerable<(double Price, double Volume, double NotionalValue)> Bids { get; }
+         public IEnumerable<(double Price, double Volume, double NotionalValue)> Asks { get; }
+      }
+   }
 }

src/client/spark_api/Orders/OrderRecordTuple.cs

@@ -69,6 +69,20 @@ namespace Spark.Api.Orders {
       public uint security_id => order.security_id;
       public SecurityImmutable? security => order.security;
 
+      // TODO: remove assumption that synthetic quantities are already notional values
+      public double notional_value =>
+         (security?.HasSynthetic ?? false)
+         && security.Value.Synthetic.PriceCalc == SyntheticContract.Types.PriceCalc.NotionalLeg
+            ? order.order.quantity()
+            : order.order.notional_value();
+
+      // TODO: remove assumption that synthetic quantities are already notional values
+      public double filled_notional_value =>
+         (security?.HasSynthetic ?? false)
+         && security.Value.Synthetic.PriceCalc == SyntheticContract.Types.PriceCalc.NotionalLeg
+            ? order.order.filled_quantity()
+            : order.order.filled_notional_value();
+
       public bool Equals(OrderRecordTupleWithRoot other) =>
          order.Equals(other.order) &&
          EqualityComparer.nullable_equals(_root, other._root);

src/client/spark_api/Orders/OrdersExtensions.cs

@@ -48,6 +48,12 @@ namespace Spark.Api.Orders {
       public static double quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.quantity() : 0;
 
+      public static double notional_value(this OrderRecordImmutable order) =>
+         order.quantity() * order.ui_price();
+
+      public static double filled_notional_value(this OrderRecordImmutable order) =>
+         order.avg_price() * order.filled_quantity();
+
       public static double working_quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.working_quantity() : 0;
 
@@ -487,5 +493,8 @@ namespace Spark.Api.Orders {
             CustomOrderDefinition.CustomOneofCase.Composite => "COMP",
             _ => algo_type.ToString(),
          };
+
+      public static double notional_value(this FillImmutable fill) =>
+         fill.LastShares * fill.LastPrice;
    }
 }

src/client/spark_api/api/Channels/QuickBusClientChannel.cs

@@ -10,58 +10,64 @@ using System.IO;
 using System.Reactive.Disposables;
 using mbts;
 using System.Threading;
+using System.Runtime.InteropServices;
+
 
 namespace bts.api.core {
 
-   internal class QuickbusClientChannel : ClientChannel {
-      IntPtr _client;
+ internal class QuickbusClientChannel : ClientChannel {
+        IntPtr _client;
 
-      public QuickbusClientChannel(ServiceContext context, string type_name, string qualifier) : base(context) {
-         _client = ApiNativeMethods.api_client_create(context.native_context, type_name, qualifier);
-         System.Diagnostics.Trace.Assert(_client != IntPtr.Zero);
-      }
+        public QuickbusClientChannel(ServiceContext context, string type_name, string qualifier) : base(context) {
+            Log.QBus.diag($"Created QuickbusClientChannel");
+            _client = ApiNativeMethods.api_client_create(context.native_context, type_name, qualifier);
+            System.Diagnostics.Trace.Assert(_client != IntPtr.Zero);
+        }
 
-      public override void Dispose() {
-         ApiNativeMethods.api_client_destroy(_client);
-         _client = IntPtr.Zero;
-      }
+        public override void Dispose() {
+            Log.QBus.diag($"Disposed QuickbusClientChannel");
+            ApiNativeMethods.api_client_destroy(_client);
+            _client = IntPtr.Zero;
+        }
 
 
       int _req_id = 0;
       Dictionary<int, PBCallbackWrapper> _keepalive_cache = new();
 
       unsafe public override Task<Result<Response>> send<Request, Response>(int method_id, Request request) {
-         var id = Interlocked.Increment(ref _req_id);
-         var header = new RequestHeader() {
-            Method = method_id,
-            RequestId = id,
-            Token = _context.token.HasValue ? new AuthToken() { Token = _context.token?.Token } : null
-         };
-         var buffer = header.serialize(request);
-         var tcs = new TaskCompletionSource<Result<Response>>();
-         //ApiNativeMethods.api_client_log_error($"Call {id}");
-         ApiNativeMethods.raw_pb_callback callback = (rbuffer, rlength, _) => {
-            //ApiNativeMethods.api_client_log_error($"Reply {id}");
-            var res = ApiUtils.deserialize<ResponseHeader, Response>(rbuffer, (long)rlength);
-            if (res.header.Code == ApiError.Success) {
-               tcs.TrySetResult(new Result<Response>(res.body));
-            }
-            else {
-               tcs.TrySetResult(new Result<Response>(res.header.Code));
-            }
+            var id = Interlocked.Increment(ref _req_id);
+    var header = new RequestHeader() {
+                Method = method_id,
+                RequestId = id,
+                Token = _context.token.HasValue ? new AuthToken() { Token = _context.token?.Token } : null
+            };
+            var buffer = header.serialize(request);
+            var tcs = new TaskCompletionSource<Result<Response>>();
+    ApiNativeMethods.raw_pb_callback callback = (rbuffer, rlength, _) => {
+                var res = ApiUtils.deserialize<ResponseHeader, Response>(rbuffer, (long)rlength);
+        if (res.header.Code == ApiError.Success) {
+                    tcs.TrySetResult(new Result<Response>(res.body));
+                }
+        else {
+                    tcs.TrySetResult(new Result<Response>(res.header.Code));
+                }
+        lock (_keepalive_cache) {
+                    _keepalive_cache.Remove(id);
+                }
+            };
+            System.Diagnostics.Trace.Assert(_client != IntPtr.Zero, "Channel may have been disposed");
+            var cb_wrapper = new PBCallbackWrapper(callback);
             lock (_keepalive_cache) {
-               _keepalive_cache.Remove(id);
+                _keepalive_cache.Add(id, cb_wrapper);
             }
-         };
-         System.Diagnostics.Trace.Assert(_client != IntPtr.Zero, "Channel may have been disposed");
-         var cb_wrapper = new PBCallbackWrapper(callback);
-         lock (_keepalive_cache) {
-            _keepalive_cache.Add(id, cb_wrapper);
-         }
-         ApiNativeMethods.api_client_send(
-            _client, buffer, buffer.Length, cb_wrapper.callback, IntPtr.Zero);
-         return tcs.Task;
-      }
+            ApiNativeMethods.api_client_send(
+               _client, buffer, buffer.Length, cb_wrapper.Callback, IntPtr.Zero);
+            // Return a task that will free the handle once the task is completed
+            return tcs.Task.ContinueWith(task => {
+                cb_wrapper.Free(); // Ensure the GCHandle is freed when the callback is done
+                return task.Result;
+            });
+        }
 
       public override IObservable<RawUpdate<TOut>> subscribe<TParse,TOut>(int method_id, string method, string qualifier, MessageParser<TParse> parser, Func<TParse,TOut> converter) {
          var result = Observable.Create<RawUpdate<TOut>>(async observer => {
@@ -206,11 +212,29 @@ namespace bts.api.core {
       /// garbage-collector race may yield the infamous error, "A callback was made on a garbage
       /// collected delegate of type...").
       /// </remarks>
-      class PBCallbackWrapper {
-         public readonly ApiNativeMethods.raw_pb_callback callback;
+      class PBCallbackWrapper
+        {
+            public readonly ApiNativeMethods.raw_pb_callback Callback;
+            private GCHandle _handle;
 
-         public PBCallbackWrapper(ApiNativeMethods.raw_pb_callback callback) =>
-            this.callback = callback;
-      }
+            public PBCallbackWrapper(ApiNativeMethods.raw_pb_callback callback)
+            {
+                // Pin the callback to prevent garbage collection
+                Log.QBus.diag($"Created PBCallbackWrapper");
+                _handle = GCHandle.Alloc(callback);
+                Callback = callback;
+            }
+
+            public void Free()
+            {  
+                // Free the GCHandle when the delegate is no longer needed
+                Log.QBus.diag($"Deleting PBCallbackWrapper");
+                
+                if (_handle.IsAllocated)
+                {
+                    _handle.Free();
+                }
+            }
+        }
    }
 }

src/client/spark_core/utils_api/BTS.cs

@@ -1,5 +1,5 @@
 using System;
-using System.Collections.Generic;
+using System.Reflection;
 using System.Text;
 using System.Threading;
 
@@ -10,8 +10,9 @@ namespace bts
       static int _needs_init_spark_lib = 0;
 
       public static void init(string config_source = null) {
+         var version = Assembly.GetExecutingAssembly().GetName().Version;
          Console.WriteLine(
-            $"Configuring BTS with {(config_source is null ? "defaults" : $"'{config_source}'")}");
+            $"Configuring Spark {version} with {(config_source is null ? "defaults" : $"'{config_source}'")}");
          var args = Environment.GetCommandLineArgs();
          utils.BTSNativeMethods.provide_command_line(args, args.Length);
 

src/client/spark_core/utils_api/NumericExtensions.cs

@@ -65,10 +65,10 @@ namespace bts.utils {
       public static bool epsilon_equals<T>(this T x, T y, T epsilon) where T : IFloatingPoint<T> =>
          MathUtils.epsilon_equals(x, y, epsilon);
 
-      public static bool marginal_equals<T>(T x, T y) where T : IFloatingPoint<T> =>
-         marginal_equals(x, y, MathUtils.epsilon<T>());
+      public static bool MarginalEquals<T>(this T x, T y) where T : IFloatingPoint<T> =>
+         MarginalEquals(x, y, MathUtils.epsilon<T>());
 
-      public static bool marginal_equals<T>(T x, T y, T margin) where T : IFloatingPoint<T> =>
+      public static bool MarginalEquals<T>(this T x, T y, T margin) where T : IFloatingPoint<T> =>
          MathUtils.marginal_equals(x, y, margin);
 
       public static bool is_within_range<T>(

src/lib/api/md/DatabentoMarketDataConfig.proto

@@ -13,6 +13,9 @@ message DatabentoMarketDataConfig {
   double replay_sleep_timer_sec = 50;
   string key = 60;
   string dataset = 70;
-  bool filter_securities_one_year= 80;
+  uint32 filter_securities_upto_n_months= 80;
   bool load_reference_data = 90;
+  uint32 debug_sec = 100;
+  bool only_securities =  110;
+  string bbo_start_time = 120;
 }

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -4,16 +4,11 @@
 #include "lib/api/services/OrderService.server.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/toggles.pb.h"
-#include "lib/domain_model/Security.h"
 #include "lib/utils/PBUtils.h"
-#include <memory>
 
 namespace bts {
 namespace admin {
 
-using namespace bts::api::admin;
-using namespace bts::api::orderman;
-
 class AdminServiceUtils {
  public:
    struct ExchangeSubAccountResolver {
@@ -33,7 +28,7 @@ class AdminServiceUtils {
             return is_int_account ? entry.bts_account_name()
                                   : entry.exchange_subaccount();
          };
-         if(sec == nullptr)
+         if (sec == nullptr)
             return nullptr;
          for (const auto &u : exch_sub_accounts.accounts()) {
             if (get_account(u) == account)
@@ -59,224 +54,247 @@ class AdminServiceUtils {
    ////////////////////////////////////////////
    // finds the max id out of all the existing connections
    // (todo: deleted connections)
-   static uint32_t find_max_connection_id(const AdminData &data);
+   static uint32_t find_max_connection_id(const api::admin::AdminData &data);
    // finds a connection by name and returns a mutable pointer to it
-   static const ExchangeConnection *find_connection(
-       const AdminData &data, const std::string &connection_name);
+   static const api::admin::ExchangeConnection *find_connection(
+       const api::admin::AdminData &data, const std::string &connection_name);
    // finds the presence of an exchange in a connection
    static bool has_exchange(
-       const ExchangeConnection &conn, bts::api::Venue exchange);
+       const api::admin::ExchangeConnection &conn, api::Venue exchange);
    // finds the default connections for an exchange
    // in a given account
-   static const ExchangeConnection *find_default_account_connection(
-       const AdminData &data,
-       const BTSAccount &account,
-       bts::api::Venue exchange);
-   static const ExchangeConnection *resolve_cme_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *find_default_account_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
+       api::Venue exchange);
+   static const api::admin::ExchangeConnection *resolve_cme_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_ice_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *resolve_ice_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_sim_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *resolve_sim_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_connection(
-       const AdminData &data,
-       const BTSAccount &account,
-       const bts::api::Security &sec);
+   static const api::admin::ExchangeConnection *resolve_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
+       const api::Security &sec);
+
    ////////////////////////////////////////////
    // connection mutators /////////////////////
    ////////////////////////////////////////////
    // adds a new connection (does not check for name uniqueness)
-   static ExchangeConnection *add_connection(
-       AdminData &data, const ExchangeConnection &new_connection);
+   static api::admin::ExchangeConnection *add_connection(
+       api::admin::AdminData &data,
+       const api::admin::ExchangeConnection &new_connection);
    // reads the connections from config and fills in the
    // admin data (with names only)
-   static void fill_connections_from_config(AdminData &admin_data);
+   static void fill_connections_from_config(api::admin::AdminData &admin_data);
+
    ////////////////////////////////////////////
    // account accessors ///////////////////////
    ////////////////////////////////////////////
    // finds the account from the name and returns
    // a mutable pointer to the account
-   static BTSAccount *find_account(
-       AdminData &data,
+   static api::admin::BTSAccount *find_account(
+       api::admin::AdminData &data,
        const std::string &acct_name,
        bool include_deleted = false);
    static std::map<std::string, uint32_t> get_clearing_account_map(
-       const AdminData &);
+       const api::admin::AdminData &);
 
    // finds the account from a clearing account (and its venue)
-   static BTSAccount const *find_account(
-       const AdminData &data,
+   static api::admin::BTSAccount const *find_account(
+       const api::admin::AdminData &data,
        const std::string &clearing_account,
-       bts::api::Venue);
+       api::Venue);
    // same as above for const pointer
-   static const BTSAccount *find_account(
-       const AdminData &data,
+   static const api::admin::BTSAccount *find_account(
+       const api::admin::AdminData &data,
        const std::string &acct_name,
        bool include_deleted = false);
    // finds the account from the id and returns
    // a mutable pointer to the account
-   static BTSAccount *find_account(
-       AdminData &data, uint32_t id, bool include_deleted = false);
+   static api::admin::BTSAccount *find_account(
+       api::admin::AdminData &data, uint32_t id, bool include_deleted = false);
    // like above but returns a const pointer
-   static const BTSAccount *find_account(
-       const AdminData &data, uint32_t id, bool include_deleted = false);
+   static const api::admin::BTSAccount *find_account(
+       const api::admin::AdminData &data,
+       uint32_t id,
+       bool include_deleted = false);
    // this function is an indirection layer for account access
    // so deletions are dealt in a more deliberate manner
-   static std::vector<const BTSAccount *> accounts(
-       const AdminData &data, bool include_deleted);
-   static std::vector<BTSAccount *> accounts_mutable(
-       AdminData &data, bool include_deleted);
+   static std::vector<const api::admin::BTSAccount *> accounts(
+       const api::admin::AdminData &data, bool include_deleted);
+   static std::vector<api::admin::BTSAccount *> accounts_mutable(
+       api::admin::AdminData &data, bool include_deleted);
    // finds the max id amongts all the existing accounts
-   static uint32_t find_max_acct_id(const AdminData &data);
+   static uint32_t find_max_acct_id(const api::admin::AdminData &data);
    // gets the account data for cme (and goes up the hierarchy
    // if needed)
-   static const CMEAccountData *get_account_cme_data(
-       const BTSAccount &account, const AdminData &data);
-   static const ICEAccountData *get_account_ice_data(
-       const BTSAccount &account, const AdminData &data);
-   static const SIMAccountData *get_account_sim_data(
-       const BTSAccount &account, const AdminData &data);
+   static const api::admin::CMEAccountData *get_account_cme_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
+   static const api::admin::ICEAccountData *get_account_ice_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
+   static const api::admin::SIMAccountData *get_account_sim_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
    // returns true if an account has a connection
    bool static account_has_connection(
-       const BTSAccount &account, const std::string &connection_name);
+       const api::admin::BTSAccount &account,
+       const std::string &connection_name);
    // finds the external/clearing account associated
    // with an account
    static std::string find_account_exchange_account(
-       const AdminData &data,
-       const BTSAccount &account,
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
    // returns a map of the accounts vs their 'is_active'
-   static std::map<uint32_t, bool> accounts_map(const AdminData &admin_data);
+   static std::map<uint32_t, bool> accounts_map(
+       const api::admin::AdminData &admin_data);
    // validates that the update to the account is valid
    static void validate_account_update(
-       const AdminData &admin_data,
-       const BTSAccount &updated_account,
-       AdminServiceOperationResult &result);
+       const api::admin::AdminData &admin_data,
+       const api::admin::BTSAccount &updated_account,
+       api::admin::AdminServiceOperationResult &result);
    // validates that the account exchange changes are valid
    // (ex > 12 characters for accounts at CME)
    static void validate_account_exchange_data(
-       const BTSAccount &account, AdminServiceOperationResult &out_result);
-   static RoutingRecord get_routing_record(
-       const AdminData &data,
+       const api::admin::BTSAccount &account,
+       api::admin::AdminServiceOperationResult &out_result);
+   static api::orderman::RoutingRecord get_routing_record(
+       const api::admin::AdminData &data,
        const std::string &account_name,
        const std::string &user_name,
-       const bts::api::Security &sec,
-       AdminServiceOperationResult &out_result);
-   static RoutingRecord get_routing_record(
-       const AdminData &data,
+       const api::Security &sec,
+       api::admin::AdminServiceOperationResult &out_result);
+   static api::orderman::RoutingRecord get_routing_record(
+       const api::admin::AdminData &data,
        uint32_t account_id,
        uint32_t user_id,
-       const bts::api::Security &sec,
-       AdminServiceOperationResult &out_result);
+       const api::Security &sec,
+       api::admin::AdminServiceOperationResult &out_result);
+
    ////////////////////////////////////////////
    // account mutators ////////////////////////
    ////////////////////////////////////////////
-   static BTSAccount *create_account(
-       AdminData &data,
+   static api::admin::BTSAccount *create_account(
+       api::admin::AdminData &data,
        uint32_t parent_account_id,
        const std::string &account_name,
        const std::string &description,
        bool is_active,
-       AdminServiceCreateAccountResult &result);
+       api::admin::AdminServiceCreateAccountResult &result);
    // writes over the account data completely
    static void update_account(
-       AdminData &data,
-       const BTSAccount &updated_account,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &data,
+       const api::admin::BTSAccount &updated_account,
+       api::admin::AdminServiceOperationResult &result);
    static void delete_account(
-       AdminData &admin_data,
-       const IDAPIArgument &id,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &admin_data,
+       const api::admin::IDAPIArgument &id,
+       api::admin::AdminServiceOperationResult &result);
    static void set_account_exchange_data(
-       BTSAccount *account, const ExchangeAccountData &exchange_data);
+       api::admin::BTSAccount *account,
+       const api::admin::ExchangeAccountData &exchange_data);
    // this is not a generally useful function but since
    // connection are in config, this cleans up the account's
-   // connections and syncs it with the list in AdminData
+   // connections and syncs it with the list in api::admin::AdminData
    static void sync_account_connections(
-       const AdminData &data, BTSAccount &account);
+       const api::admin::AdminData &data, api::admin::BTSAccount &account);
+
    ////////////////////////////////////////////
    // group accessors /////////////////////////
    ////////////////////////////////////////////
    // given an id, finds the mutable pointer to a group
-   static BTSUserGroup *find_group(AdminData &data, uint32_t id);
+   static api::admin::BTSUserGroup *find_group(
+       api::admin::AdminData &data, uint32_t id);
    // given an id, finds the const pointer to a group
-   static const BTSUserGroup *const find_group(
-       const AdminData &data, uint32_t id);
+   static const api::admin::BTSUserGroup *const find_group(
+       const api::admin::AdminData &data, uint32_t id);
    // given a name, finds the mutable pointer to a group
-   static BTSUserGroup *find_group(
-       AdminData &data, const std::string &group_name);
+   static api::admin::BTSUserGroup *find_group(
+       api::admin::AdminData &data, const std::string &group_name);
    // finds the max id out of all the groups
-   static uint32_t find_max_group_id(const AdminData &data);
+   static uint32_t find_max_group_id(const api::admin::AdminData &data);
    // travels up the group tree until it finds a populated cme data
-   static const CMEUserData *get_group_cme_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const ICEUserData *get_group_ice_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const SIMUserData *get_group_sim_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const UserAccountPermissions *const get_group_user_permissions(
-       const bts::api::admin::AdminData &admin_data, uint32_t group_id);
+   static const api::admin::CMEUserData *get_group_cme_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::ICEUserData *get_group_ice_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::SIMUserData *get_group_sim_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::UserAccountPermissions *const
+   get_group_user_permissions(
+       const api::admin::AdminData &admin_data, uint32_t group_id);
+
    ////////////////////////////////////////////
    // group mutators/ /////////////////////////
    ////////////////////////////////////////////
-   static BTSUserGroup *create_group(
-       AdminData &data,
+   static api::admin::BTSUserGroup *create_group(
+       api::admin::AdminData &data,
        uint32_t parent_group_id,
        const std::string &group_name,
-       AdminServiceOperationResult &result);
+       api::admin::AdminServiceOperationResult &result);
+
    ////////////////////////////////////////////
    // user accessors //////////////////////////
    ////////////////////////////////////////////
-   static BTSUser *find_user(
-       AdminData &data,
+   static api::admin::BTSUser *find_user(
+       api::admin::AdminData &data,
        const std::string &user_name,
        bool include_deleted = false);
-   static const BTSUser *find_user(
-       const AdminData &data,
+   static const api::admin::BTSUser *find_user(
+       const api::admin::AdminData &data,
        const std::string &user_name,
        bool include_deleted = false);
-   static BTSUser *find_user(
-       AdminData &data, uint32_t id, bool include_deleted = false);
-   static const BTSUser *const find_user(
-       const AdminData &data, uint32_t id, bool include_deleted = false);
-   static std::vector<const BTSUser *> users(
-       const AdminData &data, bool include_deleted);
-   static std::vector<BTSUser *> users_mutable(
-       AdminData &data, bool include_deleted);
-   static uint32_t find_max_user_id(const AdminData &data);
-   static const CMEUserData *get_user_cme_data(
-       const BTSUser &user, const AdminData &data);
-   static const ICEUserData *get_user_ice_data(
-       const BTSUser &user, const AdminData &data);
-   static const SIMUserData *get_user_sim_data(
-       const BTSUser &user, const AdminData &data);
+   static api::admin::BTSUser *find_user(
+       api::admin::AdminData &data, uint32_t id, bool include_deleted = false);
+   static const api::admin::BTSUser *const find_user(
+       const api::admin::AdminData &data,
+       uint32_t id,
+       bool include_deleted = false);
+   static std::vector<const api::admin::BTSUser *> users(
+       const api::admin::AdminData &data, bool include_deleted);
+   static std::vector<api::admin::BTSUser *> users_mutable(
+       api::admin::AdminData &data, bool include_deleted);
+   static uint32_t find_max_user_id(const api::admin::AdminData &data);
+   static const api::admin::CMEUserData *get_user_cme_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
+   static const api::admin::ICEUserData *get_user_ice_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
+   static const api::admin::SIMUserData *get_user_sim_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader"
    // at ICE) for a user
    static std::string find_user_exchange_id(
-       const AdminData &data,
-       const BTSUser &user,
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
    // i.   uses the exchange and exchange_user to reverse lookup the user(s)
    // ii.  uses the exchange, connection and exchange_account to reverse lookup
    // the account(s) iii. finds the first account from ii that a user from i is
    // authorized to trade
    static std::string find_user_company_id(
-       const AdminData &data,
-       const BTSUser &user,
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
 
-   static std::pair<const BTSAccount *, const BTSUser *>
+   static std::pair<const api::admin::BTSAccount *, const api::admin::BTSUser *>
    find_user_account_matches(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        const std::string &connection,
        const std::string &exchange_account,
        const std::string &exchange_user,
@@ -284,100 +302,108 @@ class AdminServiceUtils {
    // for a given user finds the account permissions (if permissions are
    // derived from the group, it traverses the group hierarcy to find the
    // correct permissions.
-   static const UserAccountPermissions *get_user_permissions(
-       const AdminData &admin_data, uint32_t user_id);
+   static const api::admin::UserAccountPermissions *get_user_permissions(
+       const api::admin::AdminData &admin_data, uint32_t user_id);
    // for a given user, fills in the associated_accounts ref arg
    // with the accounts the user has permission to trade in
    static void find_user_trading_accounts(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        uint32_t user_id,
-       std::vector<const BTSAccount *> &associated_accounts);
+       std::vector<const api::admin::BTSAccount *> &associated_accounts);
    // for a given account, fills in the associated_users ref arg
    // with the users that can trade into the account
    static void find_users_for_trading_account(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        uint32_t account_id,
-       std::vector<const BTSUser *> &associated_users);
+       std::vector<const api::admin::BTSUser *> &associated_users);
    // validates that changes in user data satisfy all the
    // constraints
    static void validate_user_update(
-       const AdminData &admin_data,
-       const BTSUser &updated_user,
-       AdminServiceOperationResult &result);
+       const api::admin::AdminData &admin_data,
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &result);
    // vaidates the exchange part of user data updates
    static void validate_user_exchange_data(
-       const BTSUser &updated_user, AdminServiceOperationResult &out_result);
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &out_result);
    static void get_md_entitlement_report(
-       const AdminData &admin_data,
-       std::vector<MDEntitlementReportUnit> &entitlements);
+       const api::admin::AdminData &admin_data,
+       std::vector<api::admin::MDEntitlementReportUnit> &entitlements);
    // Gets a reporting unit out of CMEMicData
-   static MDEntitlementReportUnit get_cme_md_entitlement_unit(
-       const BTSUser &user, const CMEMicData &cme_mic_data);
-   static MDEntitlementReportUnit get_ice_md_entitlement_unit(
-       const BTSUser &user, const ICEMicData &ice_mic_data);
+   static api::admin::MDEntitlementReportUnit get_cme_md_entitlement_unit(
+       const api::admin::BTSUser &user,
+       const api::admin::CMEMicData &cme_mic_data);
+   static api::admin::MDEntitlementReportUnit get_ice_md_entitlement_unit(
+       const api::admin::BTSUser &user,
+       const api::admin::ICEMicData &ice_mic_data);
    static void get_user_symbol_permissions(
-       const AdminData &data,
-       const BTSUser &user,
-       std::vector<UserSymbolMDPermissionUnit> &res);
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
+       std::vector<api::admin::UserSymbolMDPermissionUnit> &res);
+
    ////////////////////////////////////////////
    // user mutators ///////////////////////////
    ////////////////////////////////////////////
-   static BTSUser *create_user(
-       AdminData &data,
+   static api::admin::BTSUser *create_user(
+       api::admin::AdminData &data,
        uint32_t parent_group_id,
        const std::string &name,
        const std::string &password,
        const std::string &full_name,
        const std::string &company,
        bool is_active,
-       const LicenseData &license_data,
-       const LicenseEntitlements &license_entitlements,
-       AdminServiceCreateEntityResult &result);
-   static BTSUser *update_user(
-       AdminData &admin_data,
-       const BTSUser &updated_user,
-       AdminServiceOperationResult &result);
+       const api::admin::LicenseData &license_data,
+       const api::admin::LicenseEntitlements &license_entitlements,
+       api::admin::AdminServiceCreateEntityResult &result);
+   static api::admin::BTSUser *update_user(
+       api::admin::AdminData &admin_data,
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &result);
    static void delete_user(
-       AdminData &admin_data,
-       const IDAPIArgument &id,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &admin_data,
+       const api::admin::IDAPIArgument &id,
+       api::admin::AdminServiceOperationResult &result);
    static void set_user_exchange_data(
-       BTSUser *user, const ExchangeUserData &exchange_user_data);
-   static void clear_user_accounts(BTSUser *user);
+       api::admin::BTSUser *user,
+       const api::admin::ExchangeUserData &exchange_user_data);
+   static void clear_user_accounts(api::admin::BTSUser *user);
    static void set_user_accounts(
-       BTSUser *user, const UserAccountPermissions &user_account_permissions);
+       api::admin::BTSUser *user,
+       const api::admin::UserAccountPermissions &user_account_permissions);
+
    ////////////////////////////////////////////
    // risk limits //////////////////////////////
    ////////////////////////////////////////////
    // sorting function used by sort_limits to
    // sort SecurityScope's
    static bool _sort_security_scopes(
-       const SecurityScope &a, const SecurityScope &b);
+       const api::admin::SecurityScope &a, const api::admin::SecurityScope &b);
    // sorting function used by sort_limits to
    // sort ProductScope's
    static bool _sort_product_scopes(
-       const ProductScope &a, const ProductScope &);
+       const api::admin::ProductScope &a, const api::admin::ProductScope &);
    // this sorts the rules such that the most
    // specific ones are at the top. this makes it
    // easier to match rules with securities/products
-   static void sort_limits(BTSAccount &account);
-   // creates a copy of AdminData with sorted rules
-   static AdminData sort_limits(const AdminData &admin_data);
+   static void sort_limits(api::admin::BTSAccount &account);
+   // creates a copy of api::admin::AdminData with sorted rules
+   static api::admin::AdminData sort_limits(
+       const api::admin::AdminData &admin_data);
    // find the clip size for a security, account
    static const uint32_t find_account_security_clip_size(
-       const BTSAccount &account, const api::Security &security);
+       const api::admin::BTSAccount &account, const api::Security &security);
    // find the position limit for an account, security
-   static const AccountSecurityPositionLimitUnit *
+   static const api::admin::AccountSecurityPositionLimitUnit *
    find_account_security_position_limit(
-       const BTSAccount &account, const api::Security &security);
+       const api::admin::BTSAccount &account, const api::Security &security);
    // find the position limit for an account, product
-   static const AccountProductPositionLimitUnit *
+   static const api::admin::AccountProductPositionLimitUnit *
    find_account_product_position_limit(
-       const BTSAccount &account, const api::Product &product);
+       const api::admin::BTSAccount &account, const api::Product &product);
    static bool match_security_scope(
-       const SecurityScope &scope, const api::Security &security);
+       const api::admin::SecurityScope &scope, const api::Security &security);
    static bool match_product_scope(
-       const ProductScope &scope, const api::Product &product);
+       const api::admin::ProductScope &scope, const api::Product &product);
    static bool match_product(
        const api::Security &security, const api::Product &product);
    static bool _match_limit_rule_symbol(
@@ -388,13 +414,14 @@ class AdminServiceUtils {
    ////////////////////////////////////////////
    static bool has_id(uint32_t id);
    static bool is_symbol_set(const std::string &symbol);
-   static void bootstrap_data(bts::api::admin::AdminData &data);
+   static void bootstrap_data(api::admin::AdminData &data);
    static void get_spread_prod_qty(
        const api::Security &s,
        std::map<std::string, double> &out_map,
        double mult = 1.0);
    // returns true if this spread effects the position of any outrights
    static bool residual_pos_spread(const api::Security &s);
-}; 
+};
+
 } // namespace admin
 } // namespace bts

src/lib/api/services/OrderService.cpp

@@ -0,0 +1,174 @@
+#include "OrderService.h"
+#include "lib/api/services/OrderService.pb.h"
+
+namespace bts::api::orderman {
+
+#define PARSE_STRING(name, dest, it)                                           \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      dest.mutable_##name()->clear();                                          \
+      it->get_to(*dest.mutable_##name());                                      \
+   }
+#define PARSE_VALUE(name, dest, it)                                            \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      dest.set_##name(it->get<decltype(dest.name())>());                       \
+   }
+#define PARSE_STRUCT(name, dest, it)                                           \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      it->get_to(*dest.mutable_##name());                                      \
+   }
+#define PARSE_ARRAY(name, dest, it)                                            \
+   it = j.find(#name);                                                         \
+   if (it != j.end() && it->is_array()) {                                      \
+      c.mutable_##name()->Clear();                                             \
+      it->get_to(*c.mutable_##name());                                         \
+   }
+#define PARSE_ONEOF(name, dest, it)                                            \
+   if (!parsed_oneof) {                                                        \
+      it = j.find(#name);                                                      \
+      if (it != j.end()) {                                                     \
+         it->get_to(*dest.mutable_##name());                                   \
+         parsed_oneof = true;                                                  \
+      }                                                                        \
+   }
+#define PARSE_ONEOFS(for_each)                                                 \
+   {                                                                           \
+      bool parsed_oneof = false;                                               \
+      for_each(PARSE_ONEOF)                                                    \
+   }
+
+#define WRITE_VALUE(src, name) j[#name] = src.name()
+#define WRITE_STRUCT(src, name)                                                \
+   if (src.has_##name()) {                                                     \
+      j[#name] = src.name();                                                   \
+   }
+
+#define WRITE_IF_NOT_ZERO(src, name)                                           \
+   if (src.name() != 0) {                                                      \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_IF_NOT_NAN(src, name)                                            \
+   if (!std::isnan(src.name())) {                                              \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_IF_NOT_EMPTY(src, name)                                          \
+   if (!src.name().empty()) {                                                  \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_TIMESTAMP(src, name)                                             \
+   j[#name] = bts::core::TimeStamp::from_nanos(                                \
+                  src.name().seconds() * 1'000'000'000 + src.name().nanos())   \
+                  .to_iso_string()
+
+#define PARSE_TIMESTAMP(name, dest, it)                                        \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      bts::core::TimeStamp tmp_ts =                                            \
+          bts::core::TimeStamp::from_iso_string(it->get<std::string>());       \
+      tmp_ts.to_protobuf(*dest.mutable_##name());                              \
+   }
+
+void to_json(nlohmann::json &j, const Fill &f) {
+   WRITE_IF_NOT_ZERO(f, order_key);
+   WRITE_IF_NOT_ZERO(f, security_key);
+   WRITE_IF_NOT_EMPTY(f, account);
+   WRITE_IF_NOT_NAN(f, last_price);
+   WRITE_IF_NOT_NAN(f, avg_price);
+   WRITE_VALUE(f, side);
+   WRITE_IF_NOT_ZERO(f, last_shares);
+   WRITE_IF_NOT_EMPTY(f, fill_key);
+   WRITE_TIMESTAMP(f, timestamp);
+   WRITE_IF_NOT_ZERO(f, internal_account_id);
+   WRITE_VALUE(f, fill_kind);
+   WRITE_VALUE(f, fill_status);
+}
+
+void from_json(const nlohmann::json &j, Fill &f) {
+   nlohmann::json::const_iterator it;
+   PARSE_VALUE(order_key, f, it);
+   PARSE_VALUE(security_key, f, it);
+   PARSE_STRING(account, f, it);
+   PARSE_VALUE(last_price, f, it);
+   PARSE_VALUE(avg_price, f, it);
+   PARSE_VALUE(side, f, it);
+   PARSE_VALUE(last_shares, f, it);
+   PARSE_STRING(fill_key, f, it);
+   PARSE_TIMESTAMP(timestamp, f, it);
+   PARSE_VALUE(internal_account_id, f, it);
+   PARSE_VALUE(fill_kind, f, it);
+   PARSE_VALUE(fill_status, f, it);
+}
+
+void to_json(nlohmann::json &j, const NativeOrderState &n) {
+   WRITE_VALUE(n, exchange_order_id);
+   WRITE_VALUE(n, last_msg_seq_num);
+   WRITE_VALUE(n, sub_error_code);
+   WRITE_VALUE(n, native_status);
+   WRITE_VALUE(n, routing_record);
+   WRITE_VALUE(n, native_type);
+   WRITE_VALUE(n, last_transact_time);
+   WRITE_VALUE(n, last_transact_time_unix_ns);
+   WRITE_VALUE(n, stop_px);
+   WRITE_VALUE(n, exchange_order_id_u64);
+}
+
+void from_json(const nlohmann::json &j, NativeOrderState &n) {
+   nlohmann::json::const_iterator it;
+   PARSE_STRING(exchange_order_id, n, it);
+   PARSE_VALUE(last_msg_seq_num, n, it);
+   PARSE_VALUE(sub_error_code, n, it);
+   PARSE_VALUE(native_status, n, it);
+   PARSE_STRUCT(routing_record, n, it);
+   PARSE_VALUE(native_type, n, it);
+   PARSE_STRING(last_transact_time, n, it);
+   PARSE_VALUE(last_transact_time_unix_ns, n, it);
+   PARSE_VALUE(stop_px, n, it);
+   PARSE_VALUE(exchange_order_id_u64, n, it);
+}
+
+void to_json(nlohmann::json &j, const RoutingRecord &r) {
+   WRITE_IF_NOT_EMPTY(r, session);
+   WRITE_IF_NOT_EMPTY(r, account);
+   WRITE_IF_NOT_EMPTY(r, operator_id);
+   WRITE_VALUE(r, cti_code);
+   WRITE_VALUE(r, customer_or_firm);
+   WRITE_IF_NOT_EMPTY(r, smp_id);
+   WRITE_VALUE(r, smp_instruction);
+   WRITE_IF_NOT_EMPTY(r, location);
+   WRITE_IF_NOT_EMPTY(r, cust_order_handing_inst);
+   WRITE_IF_NOT_EMPTY(r, sender_compid);
+   WRITE_IF_NOT_EMPTY(r, clearing_firm);
+   WRITE_IF_NOT_EMPTY(r, customer_account_ref_id);
+   WRITE_IF_NOT_EMPTY(r, account_code);
+   WRITE_IF_NOT_EMPTY(r, company_id);
+   WRITE_IF_NOT_EMPTY(r, authorized_trader);
+   WRITE_IF_NOT_EMPTY(r, authorized_group);
+   WRITE_IF_NOT_EMPTY(r, cust_order_handing_inst);
+   WRITE_IF_NOT_EMPTY(r, order_server_id);
+}
+
+void from_json(const nlohmann::json &j, RoutingRecord &r) {
+   nlohmann::json::const_iterator it;
+   PARSE_STRING(session, r, it);
+   PARSE_STRING(account, r, it);
+   PARSE_STRING(operator_id, r, it);
+   PARSE_VALUE(cti_code, r, it);
+   PARSE_VALUE(customer_or_firm, r, it);
+   PARSE_STRING(smp_id, r, it);
+   PARSE_VALUE(smp_instruction, r, it);
+   PARSE_STRING(location, r, it);
+   PARSE_STRING(cust_order_handling_inst, r, it);
+   PARSE_STRING(sender_compid, r, it);
+   PARSE_STRING(clearing_firm, r, it);
+   PARSE_STRING(customer_account_ref_id, r, it);
+   PARSE_STRING(account_code, r, it);
+   PARSE_STRING(company_id, r, it);
+   PARSE_STRING(authorized_trader, r, it);
+   PARSE_STRING(authorized_group, r, it);
+   PARSE_STRING(cust_order_handing_inst, r, it);
+   PARSE_STRING(order_server_id, r, it);
+}
+
+} // namespace bts::api::orderman

src/lib/api/services/OrderService.h

@@ -1,6 +1,10 @@
 #pragma once
 
 #include "lib/api/services/OrderService.pb.h"
+#include "lib/api/services/native_order_type.h"
+#include "lib/api/services/order_status.h"
+#include "lib/api/services/time_in_force.h"
+#include "lib/api/services/trigger_price_type.h"
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
 #include "lib/io/JsonReader.h"
@@ -10,22 +14,70 @@
 
 namespace bts::api::orderman {
 
-PB_ENUM_FROM_JSON(OrderStatus)
-PB_ENUM_TO_JSON(OrderStatus)
+PB_ENUM_FROM_JSON(Fill_FillKind)
+PB_ENUM_TO_JSON(Fill_FillKind)
 
-PB_ENUM_FROM_JSON(TriggerPriceType)
-PB_ENUM_TO_JSON(TriggerPriceType)
+PB_ENUM_FROM_JSON(Fill_FillStatus)
+PB_ENUM_TO_JSON(Fill_FillStatus)
+
+void to_json(nlohmann::json &j, const Fill &f);
+void from_json(const nlohmann::json &j, Fill &f);
+
+PB_ENUM_FROM_JSON(OrderSubType)
+PB_ENUM_TO_JSON(OrderSubType)
+
+PB_ENUM_FROM_JSON(SelfMatchPreventionInstruction)
+PB_ENUM_TO_JSON(SelfMatchPreventionInstruction)
+
+PB_ENUM_FROM_JSON(CustomerOrFirm)
+PB_ENUM_TO_JSON(CustomerOrFirm)
+
+void to_json(nlohmann::json &j, const RoutingRecord &r);
+void from_json(const nlohmann::json &j, RoutingRecord &r);
+
+PB_ENUM_FROM_JSON(NativeOrderStatus)
+PB_ENUM_TO_JSON(NativeOrderStatus)
+
+PB_ENUM_FROM_JSON(NativeOrderState_SubError)
+PB_ENUM_TO_JSON(NativeOrderState_SubError)
+
+void to_json(nlohmann::json &j, const NativeOrderState &n);
+void from_json(const nlohmann::json &j, NativeOrderState &n);
 
 } // namespace bts::api::orderman
 
 FMT_IMPL(
-    bts::api::orderman::OrderStatus,
-    s,
+    bts::api::orderman::Fill_FillKind,
+    k,
     "{}",
-    bts::api::orderman::OrderStatus_Name(s));
+    bts::api::orderman::Fill_FillKind_Name(k));
 
 FMT_IMPL(
-    bts::api::orderman::TriggerPriceType,
+    bts::api::orderman::Fill_FillStatus,
+    s,
+    "{}",
+    bts::api::orderman::Fill_FillStatus(s));
+
+FMT_IMPL(
+    bts::api::orderman::OrderSubType,
     t,
     "{}",
-    bts::api::orderman::TriggerPriceType_Name(t));
+    bts::api::orderman::OrderSubType_Name(t));
+
+FMT_IMPL(
+    bts::api::orderman::SelfMatchPreventionInstruction,
+    s,
+    "{}",
+    bts::api::orderman::SelfMatchPreventionInstruction_Name(s));
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderStatus,
+    s,
+    "{}",
+    bts::api::orderman::NativeOrderStatus_Name(s));
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderState_SubError,
+    s,
+    "{}",
+    bts::api::orderman::NativeOrderState_SubError_Name(s));

src/lib/api/services/native_order_type.h

@@ -0,0 +1,57 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses NativeOrderType from a string. Unlike `bts::api::orderman::NativeOrderType_Parse`,
+ * this implementation is case insensitive, and makes the 'NATIVE_ORDER_TYPE_' prefix optional.
+ */
+bool native_order_type_parse_smart(
+    const std::string &str, NativeOrderType *result);
+
+PB_ENUM_FROM_JSON(NativeOrderType)
+PB_ENUM_TO_JSON(NativeOrderType)
+
+std::ostream &operator<<(std::ostream &out, NativeOrderType t) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool native_order_type_parse_smart(
+    const std::string &str, NativeOrderType *result) {
+   if (NativeOrderType_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (NativeOrderType_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "NATIVE_ORDER_TYPE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return NativeOrderType_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, NativeOrderType t) noexcept {
+   out << NativeOrderType_Name(t);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderType,
+    t,
+    "{}",
+    bts::api::orderman::NativeOrderType_Name(t));

src/lib/api/services/order_status.h

@@ -0,0 +1,56 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses OrderStatus from a string. Unlike `bts::api::orderman::OrderStatus_Parse`,
+ * this implementation is case insensitive, and makes the 'ORDER_STATUS_' prefix optional.
+ */
+bool order_status_parse_smart(const std::string &str, OrderStatus *result);
+
+PB_ENUM_FROM_JSON(OrderStatus)
+PB_ENUM_TO_JSON(OrderStatus)
+
+std::ostream &operator<<(std::ostream &out, OrderStatus s) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool order_status_parse_smart(
+    const std::string &str, OrderStatus *result) {
+   if (OrderStatus_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (OrderStatus_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "ORDER_STATUS_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return OrderStatus_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, OrderStatus s) noexcept {
+   out << OrderStatus_Name(s);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::OrderStatus,
+    s,
+    "{}",
+    bts::api::orderman::OrderStatus_Name(s));

src/lib/api/services/time_in_force.h

@@ -0,0 +1,56 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses TimeInForce from a string. Unlike `bts::api::orderman::TimeInForce_Parse`,
+ * this implementation is case insensitive, and makes the 'TIME_IN_FORCE_' prefix optional.
+ */
+bool time_in_force_parse_smart(const std::string &str, TimeInForce *result);
+
+PB_ENUM_FROM_JSON(TimeInForce)
+PB_ENUM_TO_JSON(TimeInForce)
+
+std::ostream &operator<<(std::ostream &out, TimeInForce tif) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool time_in_force_parse_smart(
+    const std::string &str, TimeInForce *result) {
+   if (TimeInForce_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (TimeInForce_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "TIME_IN_FORCE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return TimeInForce_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, TimeInForce tif) noexcept {
+   out << TimeInForce_Name(tif);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::TimeInForce,
+    v,
+    "{}",
+    bts::api::orderman::TimeInForce_Name(v));

src/lib/api/services/trigger_price_type.h

@@ -0,0 +1,58 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses TriggerPriceType from a string. Unlike `bts::api::orderman::TriggerPriceType_Parse`,
+ * this implementation is case insensitive, and makes the 'TRIGGER_PRICE_TYPE_' prefix optional.
+ */
+bool trigger_price_type_parse_smart(
+    const std::string &str, TriggerPriceType *result);
+
+PB_ENUM_FROM_JSON(TriggerPriceType)
+PB_ENUM_TO_JSON(TriggerPriceType)
+
+std::ostream &operator<<(std::ostream &out, TriggerPriceType t) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool trigger_price_type_parse_smart(
+    const std::string &str, TriggerPriceType *result) {
+   if (TriggerPriceType_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (TriggerPriceType_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "TRIGGER_PRICE_TYPE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return TriggerPriceType_Parse(s, result);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, TriggerPriceType t) noexcept {
+   out << TriggerPriceType_Name(t);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::TriggerPriceType,
+    t,
+    "{}",
+    bts::api::orderman::TriggerPriceType_Name(t));

src/lib/cmake/GetLinuxClientSources.cmake

@@ -65,6 +65,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp
@@ -74,6 +75,7 @@ function(get_cpp_sources dest)
     expression/ParserExceptions.cpp
     expression/Value.cpp
     expression/tests/expression_parser_tests.cpp
+    io/JsonReader.cpp
     logging/LoggerHub.cpp
     logging/Sink.cpp
     logging/logging.cpp

src/lib/cmake/GetWindowsClientSources.cmake

@@ -64,6 +64,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp
@@ -73,6 +74,7 @@ function(get_cpp_sources dest)
     expression/ParserExceptions.cpp
     expression/Value.cpp
     expression/tests/expression_parser_tests.cpp
+    io/JsonReader.cpp
     logging/LoggerHub.cpp
     logging/Sink.cpp
     logging/logging.cpp

src/lib/collections/concurrent_factory.h

@@ -0,0 +1,98 @@
+#pragma once
+
+#include "lib/utils/LockBox.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/type_name.h"
+
+#include <functional>
+#include <memory>
+
+namespace bts::collections {
+
+template <class KeyT, class ValueT>
+class ConcurrentFactory {
+   utils::LockBox<std::unordered_map<KeyT, std::shared_ptr<ValueT>>> store;
+
+ public:
+   std::shared_ptr<ValueT> add(
+       const KeyT &key,
+       std::function<void(std::shared_ptr<ValueT> &)> callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key, std::make_shared<ValueT>());
+         bts_assert_msgf(
+             is_new, "{}::add. Duplicate key '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         callback(it->second);
+         return it->second;
+      });
+   }
+
+   std::size_t erase(const KeyT &key) {
+      return store.lock([&](auto &map) {
+         map.erase(key);
+         return map.size();
+      });
+   }
+
+   std::size_t size() const {
+      return store.lock([&](auto &map) { return map.size(); });
+   }
+
+   template <
+       typename CallbackT = std::function<void(std::shared_ptr<ValueT> &)>>
+   std::shared_ptr<const ValueT> get(const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key, std::make_shared<ValueT>());
+         bts_assert_msgf(
+             !is_new, "{}::get. Key not found '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         callback(it->second);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> get_or_add(
+       const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         if (is_new) {
+            it->second = std::make_shared<ValueT>();
+         }
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> replace(const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         bts_assert_msgf(
+             !is_new, "{}::replace. Key not found '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         it->second = std::make_shared<ValueT>();
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> replace_or_add(
+       const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         it->second = std::make_shared<ValueT>();
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+};
+
+} // namespace bts::collections

src/lib/config/profiles/default/okx_exe_cfg.conf

@@ -0,0 +1,17 @@
+OkxExeCfg {
+    value{
+        account : "ACC A"
+        ops_id : "op_id_bts"
+        secret_key : "DAF6CBB09475D2520B88D2070788A976"
+        api_key : "4492a9ab-5784-454c-acc7-38dc2a503ed0"
+        passphrase : "Pakistan@123"
+        ws_url : "wss://wspap.okx.com:8443"
+        rest_url : "https://www.okx.com"
+        ws_ping_timeout_seconds : 10 
+        ws_ping_interval_seconds : 25
+        ws_reconnect_interval_seconds : 5
+        ws_reconnect_max_count : 5
+        simulated_trading : true
+        tdmode : "cross"
+    }
+}

src/lib/config/profiles/default/orderman_cfg.conf

@@ -1,34 +1,34 @@
 OrdermanCfg {
-   rule: "DeploymentType.type == 'dev'"
-   value {
-      executor {
-         thread_name: "oman_orders"
-	 poll: false 
-	 hosted_actor: "MDSource"
-	 hosted_actor: "OrderManager"
-	 hosted_actor: "ExecutionGateway"
-      }
-      executor {
-         thread_name: "oman_slow"
-	 poll: false 
-	 hosted_actor: "*"
-      }
-   }
+  rule: "DeploymentType.type == 'dev'"
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: false 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+      poll: false 
+	    hosted_actor: "*"
+    }
+  }
 }
 
 OrdermanCfg {
-   value {
-      executor {
-         thread_name: "oman_orders"
-	 poll: true 
-	 hosted_actor: "MDSource"
-	 hosted_actor: "OrderManager"
-	 hosted_actor: "ExecutionGateway"
-      }
-      executor {
-         thread_name: "oman_slow"
-	 poll: false 
-	 hosted_actor: "*"
-      }
-   }
-}
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: true 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+	    poll: false 
+      hosted_actor: "*"
+    }
+  }
+}

src/lib/config/profiles/default/symbols.conf

@@ -37,6 +37,7 @@ SymbolLists {
     list {
       key: "CBOE"
       symbol:"SPX"
+      symbol:"SPXW"
     }
     list {
       key: "BINANCE_US"

src/lib/config/profiles/default/ui.conf

@@ -39,8 +39,6 @@ LadderKnobs {
     security_timeout_secs: 60
     use_algo_param_grid: true
     max_mbo_orders: 200
-    lighten_market_cells: true
-    mimic_tt: true
     scrollable_tick_window_size: 256
   }
 }

src/lib/config/protos/okx_exe_cfg.proto

@@ -0,0 +1,18 @@
+syntax = "proto3";
+package bts.config;
+message OkxExeCfg {
+    string account = 1;
+    string ops_id = 2;
+    string secret_key = 3;
+    string api_key = 4;
+    string passphrase = 5;
+    string ws_url = 6;
+    string rest_url = 7;
+    uint32 ws_ping_timeout_seconds = 8;
+    uint32 ws_ping_interval_seconds = 9;
+    uint32 ws_reconnect_interval_seconds = 10;
+    uint32 ws_reconnect_max_count = 11;
+    bool simulated_trading = 12;
+    string tdmode = 13;
+
+}

src/lib/config/protos/ui.proto

@@ -82,7 +82,7 @@ message LadderKnobs {
   bool show_scrollbar = 9;
   // DJ wants bid/ask cells with markets (i.e., size > 0) to have a
   // lighter background than those without markets.
-  bool lighten_market_cells = 10;
+  // bool lighten_market_cells = 10;
 
   // For market cell backgrounds, 0 means 'ignore this color setting' (i.e.,
   // employ the ladder's default behavior instead).
@@ -97,9 +97,9 @@ message LadderKnobs {
   //   Pure Red   : 0xFFFF0000
   //   Pure Blue  : 0xFF00FF00
   //   Pure Green : 0xFF0000FF
-  uint32 bid_market_cell_background = 11;
-  uint32 ask_market_cell_background = 12;
-  bool mimic_tt = 13;
+  // uint32 bid_market_cell_background = 11;
+  // uint32 ask_market_cell_background = 12;
+  // bool mimic_tt = 13;
   // Defines the number of price rows rendered by the ladder. The smaller this
   // window is, the cheaper it is to render the ladder grid (redraw prices,
   // sizes, etc.).  However, if the window is too small, scrolling may appear

src/lib/core/EnumMacros.h

@@ -110,6 +110,19 @@
    ENUM_TO_JSON(type)                                                          \
    ENUM_EQUALITY_OPS(type)
 
+#define ENUM_CLASS_DEF_NO_JSON(type, for_all)                                  \
+   class type {                                                                \
+    public:                                                                    \
+      enum Value { for_all(ENUM_DECLARE_VALUE) };                              \
+                                                                               \
+      ENUM_BASIC_MEMBERS(type)                                                 \
+   };                                                                          \
+                                                                               \
+   ENUM_OUTPUT_OPS(type)                                                       \
+   ENUM_NAME_DEF(type, for_all)                                                \
+   ENUM_PARSE_DEF(type, for_all)                                               \
+   ENUM_EQUALITY_OPS(type)
+
 #define ENUM_BITWISE_COMPARISON_OP(enum_type, numeric_type, op)                \
    constexpr enum_type operator op(enum_type lhs, enum_type rhs) noexcept {    \
       return static_cast<enum_type>(static_cast<numeric_type>(lhs)             \
@@ -154,3 +167,4 @@
    inline void to_json(nlohmann::json &j, const enum_type &value) {            \
       j = enum_type##_Name(value);                                             \
    }
+

src/lib/core/TimeStamp.cpp

@@ -1,6 +1,7 @@
 #include "TimeStamp.h"
 #include "lib/utils/datetime.h"
 #include <boost/date_time/posix_time/time_formatters.hpp>
+#include <google/protobuf/timestamp.pb.h>
 
 namespace bts::core {
 
@@ -43,6 +44,12 @@ bool TimeStamp::from_ymd(
    return true;
 }
 
+void TimeStamp::to_protobuf(google::protobuf::Timestamp &ts) const {
+   ts.set_seconds(seconds());
+   bts_assert(nanos() >= seconds() * 1'000'000'000);
+   ts.set_nanos(nanos() - seconds() * 1'000'000'000);
+}
+
 TimeStamp TimeStamp::from_iso_string(const std::string &iso_string) {
    auto ptime = datetime::parse_iso_date_time_string(iso_string);
    return from_ptime(ptime);

src/lib/core/TimeStamp.h

@@ -10,6 +10,7 @@
 #include <boost/date_time/time.hpp>
 #include <cstdint>
 #include <fmt/format.h>
+#include <google/protobuf/timestamp.pb.h>
 #include <limits>
 #include <string>
 
@@ -87,6 +88,7 @@ struct TimeStamp {
    // Gets a TimeStamp representing this date at midnight.
    TimeStamp date() const;
    constexpr boost::posix_time::ptime to_ptime() const;
+   void to_protobuf(google::protobuf::Timestamp &ts) const;
    std::string to_iso_string() const;
    // current epoch ns
    static uint64_t now_ns() {

src/lib/domain/Book.h

@@ -1,10 +1,10 @@
 #pragma once
-#include "BookLevel.h"
-#include "BookLevelComp.h"
+
 #include "BookSide.h"
 #include "SecurityID.h"
 #include "Side.h"
 #include "lib/io/JsonReader.h"
+
 #include <boost/container/small_vector.hpp>
 #include <nlohmann/json.hpp>
 

src/lib/domain/BookLevel.h

@@ -33,6 +33,11 @@ class BookLevel {
 void from_json(const nlohmann::json &j, BookLevel &bl);
 void to_json(nlohmann::json &j, const BookLevel &bl);
 
+constexpr bool operator==(const BookLevel &lhs, const BookLevel &rhs);
+constexpr bool operator!=(const BookLevel &lhs, const BookLevel &rhs);
+
+std::ostream &operator<<(std::ostream &out, const BookLevel &lvl) noexcept;
+
 //////////////////////////////////////////////////
 // Definition
 //////////////////////////////////////////////////
@@ -70,4 +75,29 @@ inline void to_json(nlohmann::json &j, const BookLevel &bl) {
    };
 }
 
+constexpr bool operator==(const BookLevel &lhs, const BookLevel &rhs) {
+   return lhs.direct_quantity == rhs.direct_quantity &&
+          lhs.total_quantity == rhs.total_quantity &&
+          lhs.n_orders == rhs.n_orders &&
+          (lhs.price == rhs.price ||
+           (lhs.price.is_nan() && rhs.price.is_nan()));
+}
+
+constexpr bool operator!=(const BookLevel &lhs, const BookLevel &rhs) {
+   return !(lhs == rhs);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, const BookLevel &lvl) noexcept {
+   out << lvl.price << " (" << lvl.direct_quantity;
+   if (lvl.direct_quantity != lvl.total_quantity) {
+      out << "/" << lvl.total_quantity;
+   }
+   if (lvl.n_orders != 0) {
+      out << ", " << lvl.n_orders;
+   }
+   out << ")";
+   return out;
+}
+
 } // namespace bts::domain

src/lib/domain/BookSide.h

@@ -1,18 +1,17 @@
 #pragma once
+
 #include "BookLevel.h"
 #include "BookLevelComp.h"
 #include "BookSide_PopulatedIterator.h"
 #include "PriceComp.h"
-#include "SecurityID.h"
 #include "Side.h"
 #include "lib/io/JsonReader.h"
+
 #include <algorithm>
 #include <boost/container/small_vector.hpp>
-#include <initializer_list>
 #include <iostream>
 #include <iterator>
 #include <limits>
-#include <random>
 #include <vector>
 
 namespace bts::domain {
@@ -37,6 +36,8 @@ class BookSideT {
    BookSideT &operator=(BookSideT &&) noexcept = default;
    ~BookSideT() = default;
 
+   constexpr BookLevel *data();
+   constexpr const BookLevel *data() const;
    [[nodiscard]] constexpr BookLevel const &top() const;
    constexpr BookLevel const &operator[](size_t i) const;
    constexpr BookLevel &operator[](size_t i);
@@ -196,6 +197,16 @@ constexpr size_t BookSideT<SZ>::max_depth() noexcept {
    return SZ;
 }
 
+template <std::size_t SZ>
+constexpr BookLevel *BookSideT<SZ>::data() {
+   return _book.data();
+}
+
+template <std::size_t SZ>
+constexpr const BookLevel *BookSideT<SZ>::data() const {
+   return _book.data();
+}
+
 template <std::size_t SZ>
 constexpr const BookLevel &BookSideT<SZ>::top() const {
    return _book[0];
@@ -234,12 +245,14 @@ BookSideT<SZ>::end() const noexcept {
 }
 
 template <std::size_t SZ>
-constexpr typename BookSideT<SZ>::ReverseIterator BookSideT<SZ>::rbegin() noexcept {
+constexpr typename BookSideT<SZ>::ReverseIterator
+BookSideT<SZ>::rbegin() noexcept {
    return _book.rbegin();
 }
 
 template <std::size_t SZ>
-constexpr typename BookSideT<SZ>::ReverseIterator BookSideT<SZ>::rend() noexcept {
+constexpr typename BookSideT<SZ>::ReverseIterator
+BookSideT<SZ>::rend() noexcept {
    return _book.rend();
 }
 
@@ -250,12 +263,23 @@ constexpr size_t BookSideT<SZ>::size() const noexcept {
 
 template <std::size_t SZ>
 constexpr bool BookSideT<SZ>::operator==(BookSideT const &rhs) const {
-   return _book == rhs._book;
+   std::size_t i = 0;
+   for (; i < size(); i++) {
+      const BookLevel &l = (*this)[i];
+      if (i == rhs.size()) {
+         return l.is_empty();
+      }
+      const BookLevel &r = rhs[i];
+      if (l != r) {
+         return l.is_empty() && r.is_empty();
+      }
+   }
+   return i == rhs.size() || rhs[i].is_empty();
 }
 
 template <std::size_t SZ>
 constexpr bool BookSideT<SZ>::operator!=(BookSideT const &rhs) const {
-   return _book != rhs._book;
+   return !(*this == rhs);
 }
 
 template <std::size_t SZ>

src/lib/domain/DomainSecurityUtils.cpp

@@ -1,16 +1,14 @@
 #include "DomainSecurityUtils.h"
 #include "FutureSecurity.h"
 #include "OptionSecurity.h"
-#include "SecurityCommon.h"
-#include "SpotSecurity.h"
 #include "SpreadSecurity.h"
 #include "lib/api/domain/Venue.pb.h"
+#include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
+#include "lib/md/IntPrice.h"
+#include "lib/md/PriceSize.h"
+#include "lib/md/protos/co2.pb.h"
 #include "lib/utils/bts_assert.h"
-// #include "lib/domain/SecurityID.h"
-// #include "lib/utils/overloaded.h"
-// #include <fmt/format.h>
-// #include <variant>
 
 namespace bts::domain {
 
@@ -62,7 +60,7 @@ bts::api::Venue DomainSecurityUtils::convert(api::domain::Venue venue) {
    case DOMAIN_VENUE(CBOE):
       return api::Venue::VENUE_CBOE;
    case DOMAIN_VENUE(TAIFEX):
-      return api::Venue::VENUE_TAIFEX;      
+      return api::Venue::VENUE_TAIFEX;
    case DOMAIN_VENUE(FTX):
       return api::Venue::VENUE_FTX;
    case DOMAIN_VENUE(BINANCE):
@@ -219,4 +217,76 @@ bool DomainSecurityUtils::get_security_desc(
    return true;
 }
 
+domain::Price DomainSecurityUtils::convert(md::IntPrice iprice) {
+   int64_t mantissa = iprice.mantissa();
+   int8_t exp_diff = iprice.exponent() - domain::Price::exponent();
+   if (exp_diff != 0) {
+      mantissa *= std::pow(10, exp_diff);
+   }
+   return domain::Price{mantissa};
+}
+
+BookLevel DomainSecurityUtils::convert(md::PriceSize ps) {
+   BookLevel rv;
+   convert(ps, rv);
+   return rv;
+}
+
+void DomainSecurityUtils::convert(md::PriceSize ps, BookLevel &res) {
+   res.price = convert(ps.int_price());
+   res.total_quantity.value() = ps.size();
+   res.direct_quantity.value() = ps.direct_size();
+   res.n_orders = 0;
+}
+
+void DomainSecurityUtils::convert(
+    const bts::domain::BookSide &book_side,
+    bts::md::PriceSize *res,
+    size_t res_size) {
+   convert(book_side.data(), book_side.size(), res, res_size);
+}
+
+void DomainSecurityUtils::convert(
+    const BookLevel *book_side,
+    size_t size,
+    md::PriceSize *res,
+    size_t res_size) {
+   size_t sz = std::min(size, res_size);
+   size_t i = 0;
+   for (; i < sz; i++) {
+      // WARNING: Implied size is discarded here. There would be data loss anyways, since
+      // bts::md::PriceSize's implied size is a uint, and domain::BookLevel's is a float.
+      res[i] = md::PriceSize{
+          md::IntPrice{
+              book_side[i].price.mantissa(), book_side[i].price.exponent()},
+          book_side[i].total_quantity.value()};
+   }
+   // Set remaining levels to empty.
+   for (; i < res_size; i++) {
+      res[i] = bts::md::PriceSize{};
+   }
+}
+
+void DomainSecurityUtils::convert(
+    const md::PriceSize *book_side, std::size_t len, BookSide &res) {
+   if (res.size() < len) {
+      len = res.size();
+   }
+   while (len-- != 0) {
+      convert(book_side[len], res[len]);
+   }
+}
+
+void DomainSecurityUtils::convert(
+    const co2::TradeMessage &tm, TradeRecord &tr) {
+   tr.sec_id.value() = tm.key();
+   tr.time_stamp = core::TimeStamp::from_nanos(tm.time());
+   tr.agg_side = tm.aggressor_side() == co2::AggressorSide::AGGRESSOR_SIDE_BUY
+                     ? AggressorSide::Buy
+                     : AggressorSide::Sell;
+   tr.trade_quantity.value() = tm.size();
+   tr.trade_price =
+       convert(md::IntPrice{tm.mantissa(), static_cast<int8_t>(tm.exponent())});
+}
+
 } // namespace bts::domain

src/lib/domain/DomainSecurityUtils.h

@@ -1,18 +1,28 @@
 #pragma once
+
 #include "FutureSecurity.h"
 #include "OptionSecurity.h"
-#include "SpotSecurity.h"
 #include "SpreadSecurity.h"
 #include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.pb.h"
-#include "lib/domain/SecurityID.h"
+#include "lib/domain/BookSide.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/utils/overloaded.h"
+
 #include <fmt/format.h>
-#include <variant>
+
+namespace bts::co2 {
+class TradeMessage;
+}
+
+namespace bts::md {
+class IntPrice;
+class PriceSize;
+} // namespace bts::md
 
 namespace bts::domain {
 
+class TradeRecord;
+
 class DomainSecurityUtils {
  public:
    static api::domain::Venue convert(bts::api::Venue venue);
@@ -29,6 +39,21 @@ class DomainSecurityUtils {
    static std::string get_exchange_id(const bts::api::Security &s);
    static bool get_security_desc(
        const bts::api::Security &security, std::string &desc);
+
+   static Price convert(md::IntPrice iprice);
+   static BookLevel convert(md::PriceSize ps);
+   static void convert(md::PriceSize ps, BookLevel &res);
+   static void convert(
+       const BookSide &book_side, md::PriceSize *res, std::size_t res_size);
+   static void convert(
+       const BookLevel *book_side,
+       std::size_t size,
+       md::PriceSize *res,
+       std::size_t res_size);
+   static void convert(
+       const md::PriceSize *book_side, std::size_t len, BookSide &res);
+
+   static void convert(const co2::TradeMessage &tm, TradeRecord &tr);
 };
 
 } // namespace bts::domain

src/lib/domain/OrderDefinition.h

@@ -1,13 +1,13 @@
 #pragma once
+
 #include "AccountID.h"
-#include "Price.h"
-#include "Quantity.h"
 #include "SecurityID.h"
 #include "Side.h"
 #include "TimeInForce.h"
 #include "UserID.h"
 #include "lib/domain/cme/GlbxOrderDefinition.h"
 #include "lib/domain/deribit/DeribitOrderDefinition.h"
+
 #include <string>
 #include <variant>
 

src/lib/domain/Quantity.h

@@ -5,7 +5,6 @@
 #include "lib/logging/logging.h"
 #include "lib/utils/ValueWrapper.h"
 
-#include <cstdint>
 #include <nlohmann/json.hpp>
 
 namespace bts::domain {
@@ -77,7 +76,7 @@ inline void to_json(nlohmann::json &j, const Quantity &sec_id) {
       return lhs;                                                              \
    }
 
-#define QTY_UINT32_BIN_OP(result_t, op)                                        \
+#define QTY_VALUE_BIN_OP(result_t, op)                                        \
    constexpr result_t operator op(Quantity lhs, Quantity::Value rhs) {         \
       return result_t(lhs.value() op rhs); /*NOLINT*/                          \
    }                                                                           \
@@ -85,7 +84,7 @@ inline void to_json(nlohmann::json &j, const Quantity &sec_id) {
       return result_t(lhs op rhs.value());                                     \
    }
 
-#define QTY_UINT32_BIN_REF_OP(op)                                              \
+#define QTY_VALUE_BIN_REF_OP(op)                                              \
    inline Quantity &operator op(Quantity &lhs, Quantity::Value rhs) {          \
       lhs.value() op rhs;                                                      \
       return lhs;                                                              \
@@ -107,29 +106,29 @@ QTY_QTY_BIN_REF_OP(*=)
 QTY_QTY_BIN_REF_OP(/=)
 // QTY_QTY_BIN_REF_OP(%=)
 
-QTY_UINT32_BIN_OP(bool, !=)
-QTY_UINT32_BIN_OP(bool, ==)
-QTY_UINT32_BIN_OP(bool, <)
-QTY_UINT32_BIN_OP(bool, <=)
-QTY_UINT32_BIN_OP(bool, >)
-QTY_UINT32_BIN_OP(bool, >=)
+QTY_VALUE_BIN_OP(bool, !=)
+QTY_VALUE_BIN_OP(bool, ==)
+QTY_VALUE_BIN_OP(bool, <)
+QTY_VALUE_BIN_OP(bool, <=)
+QTY_VALUE_BIN_OP(bool, >)
+QTY_VALUE_BIN_OP(bool, >=)
 
-QTY_UINT32_BIN_OP(Quantity, +)
-QTY_UINT32_BIN_OP(Quantity, -)
-QTY_UINT32_BIN_OP(Quantity, *)
-QTY_UINT32_BIN_OP(Quantity, /)
-// QTY_UINT32_BIN_OP(Quantity, %)
+QTY_VALUE_BIN_OP(Quantity, +)
+QTY_VALUE_BIN_OP(Quantity, -)
+QTY_VALUE_BIN_OP(Quantity, *)
+QTY_VALUE_BIN_OP(Quantity, /)
+// QTY_VALUE_BIN_OP(Quantity, %)
 
-QTY_UINT32_BIN_REF_OP(+=)
-QTY_UINT32_BIN_REF_OP(-=)
-QTY_UINT32_BIN_REF_OP(*=)
-QTY_UINT32_BIN_REF_OP(/=)
-// QTY_UINT32_BIN_REF_OP(%=)
+QTY_VALUE_BIN_REF_OP(+=)
+QTY_VALUE_BIN_REF_OP(-=)
+QTY_VALUE_BIN_REF_OP(*=)
+QTY_VALUE_BIN_REF_OP(/=)
+// QTY_VALUE_BIN_REF_OP(%=)
 
 #undef QTY_QTY_BIN_OP
 #undef QTY_QTY_BIN_REF_OP
-#undef QTY_UINT32_BIN_OP
-#undef QTY_UINT32_BIN_REF_OP
+#undef QTY_VALUE_BIN_OP
+#undef QTY_VALUE_BIN_REF_OP
 
 } // namespace bts::domain
 

src/lib/domain/Security.cpp

@@ -1,6 +1,5 @@
 #include "Security.h"
 #include "DomainSecurityUtils.h"
-#include "lib/core/TableFormatter.h"
 #include "lib/domain/FutureSecurity.h"
 #include "lib/domain/OptionSecurity.h"
 #include "lib/domain/SpotSecurity.h"

src/lib/domain/SecurityCommon.h

@@ -1,22 +1,12 @@
 #pragma once
-#include "DomainSecurityUtils.h"
 #include "Price.h"
 #include "SecurityID.h"
-#include "lib/api/domain/CallPut.pb.h"
-#include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.h"
-#include "lib/api/domain/Venue.pb.h"
-#include "lib/core/TimeStamp.h"
-#include "lib/domain/FutureSecurity.h"
-#include "lib/domain/LegDefinition.h"
-#include "lib/domain/OptionSecurity.h"
-#include "lib/domain/Quantity.h"
-#include "lib/domain/Side.h"
-#include "lib/domain/SpreadSecurity.h"
+#include "lib/domain/DomainSecurityUtils.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/io/JsonReader.h"
 #include "lib/logging/logging.h"
-#include "lib/utils/bts_assert.h"
+
 #include <limits>
 #include <nlohmann/json.hpp>
 #include <string>
@@ -40,7 +30,7 @@ class SecurityCommon {
    double min_quantity_increment = 0;
    double min_quantity = 0;
    double max_quantity = std::numeric_limits<double>::max();
-   double cash_per_point =1;
+   double cash_per_point = 1;
 
    SecurityCommon() {}
    SecurityCommon(const bts::api::Security &s)

src/lib/domain/SecurityCriteriaClause.cpp

@@ -21,9 +21,6 @@ using std::regex_search;
 using std::smatch;
 using std::string;
 
-#define CONTAINS(container, value)                                             \
-   (std::find(container.begin(), container.end(), value) != container.end())
-
 bool SecurityCriteriaClause::is_defined() const {
    return !venues.empty() || !types.empty() || !assets.empty() ||
           !groups.empty() || !ids.empty() || !names.empty() ||

src/lib/domain/SecurityMarketDataStatistics.h

@@ -1,11 +1,13 @@
 #pragma once
+
 #include "Price.h"
 #include "Quantity.h"
-#include "Security.h"
 #include "lib/core/FMT_IMPL.h"
+#include "lib/domain/SecurityID.h"
 #include "lib/io/JsonReader.h"
 #include "lib/md/IntPrice.h"
 #include "lib/md/protos/co2.pb.h"
+
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
 #include <ostream>

src/lib/domain/Side.h

@@ -1,4 +1,7 @@
 #pragma once
+
+#include "lib/core/FMT_IMPL.h"
+
 #include <ostream>
 
 namespace bts::domain {
@@ -153,3 +156,5 @@ constexpr Side operator*(Side lhs, Side::Value rhs) noexcept {
 }
 
 } // namespace bts::domain
+
+FMT_IMPL(bts::domain::Side, s, "{}", s.name());

src/lib/domain/TradeRecord.h

@@ -1,12 +1,12 @@
 #pragma once
+
 #include "AggressorSide.h"
 #include "Price.h"
 #include "Quantity.h"
 #include "SecurityID.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/logging/logging.h"
-#include "lib/md/IntPrice.h"
-#include "lib/md/protos/co2.pb.h"
+
 #include <nlohmann/json.hpp>
 
 namespace bts::domain {
@@ -18,8 +18,6 @@ class TradeRecord {
    AggressorSide agg_side = {};
    Quantity trade_quantity;
    Price trade_price;
-   TradeRecord() {}
-   inline TradeRecord(const bts::co2::TradeMessage &tm);
 };
 
 void from_json(const nlohmann::json &j, TradeRecord &tr);
@@ -29,16 +27,6 @@ void to_json(nlohmann::json &j, const TradeRecord &tr);
 // Definition
 //////////////////////////////////////////////////
 
-inline TradeRecord::TradeRecord(const bts::co2::TradeMessage &tm)
-    : sec_id(tm.key()), time_stamp(tm.time()),
-      agg_side(
-          tm.aggressor_side() == co2::AggressorSide::AGGRESSOR_SIDE_BUY
-              ? AggressorSide{AggressorSide::Buy}
-              : AggressorSide{AggressorSide::Sell}),
-      trade_quantity(tm.size()),
-      trade_price(Price::from_double(
-          bts::md::IntPrice(tm.mantissa(), tm.exponent()).price())) {}
-
 inline void from_json(const nlohmann::json &j, TradeRecord &tr) {
    io::JsonReader jr{&j};
    // clang-format off

src/lib/domain/book_side_consumer.h

@@ -0,0 +1,107 @@
+#pragma once
+
+#include "lib/domain/BookSide.h"
+#include "lib/domain/Quantity.h"
+
+namespace bts::domain {
+
+class BookSideConsumer {
+   // Use pointer so copying is cheap
+   const BookLevel *levels_;
+   std::size_t size_;
+   std::size_t curr_{0};
+   Quantity curr_consumed_{0};
+
+ public:
+   BookSideConsumer() = default;
+   BookSideConsumer(const BookLevel *levels, std::size_t size)
+       : levels_(levels), size_(size) {}
+
+   template <std::size_t SZ>
+   BookSideConsumer(
+       const BookSideT<SZ> *levels,
+       std::size_t curr = 0,
+       Quantity curr_consumed = Quantity{0});
+   BookSideConsumer(const BookSideConsumer &other) = default;
+
+   BookSideConsumer &operator=(BookSideConsumer &&other) = default;
+   BookSideConsumer &operator=(const BookSideConsumer &other) = default;
+
+   const BookLevel &operator[](std::size_t idx) const;
+
+   const BookLevel *levels() const { return levels_; }
+
+   size_t size() const;
+   bool is_done() const;
+   void reset();
+   Quantity available(std::size_t level_limit = 1) const;
+   std::pair<Quantity, Price> consume(Quantity quantity);
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+template <std::size_t SZ>
+inline BookSideConsumer::BookSideConsumer(
+    const BookSideT<SZ> *levels, std::size_t curr, Quantity curr_consumed)
+    : levels_(levels), curr_(curr), curr_consumed_(curr_consumed) {}
+
+inline const BookLevel &BookSideConsumer::operator[](std::size_t idx) const {
+   return levels_[idx];
+}
+
+inline size_t BookSideConsumer::size() const { return size_; }
+
+inline bool BookSideConsumer::is_done() const {
+   if (curr_ >= size_) {
+      return true;
+   }
+   if (curr_ == size_ - 1) {
+      return curr_consumed_ >= levels_[curr_].total_quantity;
+   }
+   return curr_consumed_ >= levels_[curr_].total_quantity &&
+          levels_[curr_ + 1].total_quantity == 0;
+}
+
+inline void BookSideConsumer::reset() {
+   curr_ = 0;
+   curr_consumed_.value() = 0;
+}
+
+inline Quantity BookSideConsumer::available(std::size_t level_limit) const {
+   std::size_t end = size_ > curr_ + level_limit ? curr_ + level_limit : size_;
+   Quantity rv{0};
+   for (std::size_t i = curr_; i < end; i++) {
+      Quantity level_qty = levels_[i].total_quantity;
+      if (i == curr_) {
+         level_qty -= curr_consumed_;
+      }
+      rv += level_qty;
+   }
+   return rv;
+}
+
+inline std::pair<Quantity, Price> BookSideConsumer::consume(Quantity quantity) {
+   Quantity consumed{0};
+   Price price = Price::zero();
+   for (; curr_ < size_; curr_++) {
+      Quantity level_qty = levels_[curr_].total_quantity - curr_consumed_;
+      if (level_qty == 0) {
+         break;
+      }
+      Quantity rem = quantity - consumed;
+      if (level_qty > rem) {
+         curr_consumed_ += rem;
+         consumed = quantity;
+         price += levels_[curr_].price * rem.value();
+         break;
+      }
+      curr_consumed_.value() = 0;
+      consumed += level_qty;
+      price += levels_[curr_].price * level_qty.value();
+   }
+   return {consumed, price};
+}
+
+} // namespace bts::domain

src/lib/domain/synthetic_book_side.cpp

@@ -0,0 +1,116 @@
+#include "synthetic_book_side.h"
+#include "lib/domain/book_side_consumer.h"
+
+namespace bts::domain {
+
+void SyntheticBookSide::copy_(const SyntheticBookSide &other) noexcept {
+   if (this == &other) {
+      return;
+   }
+   leg_qty_.value() = other.leg_qty_.value();
+   // Copy 'data_'
+   if (other.data_ != nullptr) {
+      // Clear 'own_data_'
+      if (own_data_ != nullptr) {
+         delete[] own_data_;
+         own_data_ = nullptr;
+      }
+      size_ = other.size_;
+      data_ = other.data_;
+      return;
+   }
+   data_ = nullptr;
+   if (other.size_ == 0) {
+      // Clear 'own_data_'
+      if (own_data_ != nullptr) {
+         delete[] own_data_;
+         own_data_ = nullptr;
+      }
+      size_ = 0;
+      return;
+   }
+   // Copy 'own_data_'
+   if (own_data_ == nullptr) {
+      own_data_ = new BookLevel[other.size_];
+   } else if (size_ != other.size_) {
+      delete[] own_data_;
+      own_data_ = new BookLevel[other.size_];
+   }
+   size_ = other.size_;
+   std::memcpy(own_data_, other.own_data_, size_ * sizeof(BookLevel));
+}
+
+void SyntheticBookSide::move_(SyntheticBookSide &&other) noexcept {
+   if (own_data_ != nullptr) {
+      delete[] own_data_;
+   }
+   leg_qty_.value() = other.leg_qty_.value();
+   data_ = other.data_;
+   size_ = other.size_;
+   own_data_ = other.own_data_;
+   other.leg_qty_.value() = 0;
+   other.data_ = nullptr;
+   other.own_data_ = nullptr;
+   other.size_ = 0;
+}
+
+SyntheticBookSide SyntheticBookSide::add_leg(
+    SyntheticBookSide other_leg,
+    BookLevel *synth_bk,
+    size_t synth_bk_size) const noexcept {
+   if (leg_qty_.value() == 0) {
+      return other_leg;
+   }
+   if (other_leg.leg_qty_.value() == 0) {
+      return *this;
+   }
+   SyntheticBookSide rv;
+   rv.leg_qty_.value() = 1;
+   rv.size_ = synth_bk_size;
+   if (synth_bk == nullptr) {
+      rv.own_data_ = synth_bk = new BookLevel[synth_bk_size];
+   } else {
+      rv.data_ = synth_bk;
+   }
+   BookSideConsumer l1{data(), size_};
+   BookSideConsumer l2{other_leg.data(), other_leg.size_};
+   Quantity l1_qty = leg_qty_;
+   Quantity l2_qty = other_leg.leg_qty_;
+   std::size_t i = 0;
+   for (; !l1.is_done() && !l2.is_done() && i < synth_bk_size; i++) {
+      Quantity leg2_per_leg1 = (l2_qty / l1_qty);
+      if (leg2_per_leg1 < 0) {
+         leg2_per_leg1.value() = -leg2_per_leg1.value();
+      }
+      Quantity leg1_per_leg2 = (l1_qty / l2_qty);
+      if (leg1_per_leg2 < 0) {
+         leg1_per_leg2.value() = -leg1_per_leg2.value();
+      }
+      Quantity avail1 = l1.available();
+      Quantity avail2 = l2.available();
+      Quantity take1;
+      Quantity take2;
+      if ((avail1 / leg1_per_leg2) < (avail2 / leg2_per_leg1)) {
+         take1 = avail1;
+         take2 = avail1 * leg2_per_leg1;
+      } else {
+         take1 = avail2 * leg1_per_leg2;
+         take2 = avail2;
+      }
+      const auto [qty1, cost1] = l1.consume(take1);
+      const auto [qty2, cost2] = l2.consume(take2);
+      Price price1 = (cost1 / qty1.value()) * l1_qty.value();
+      Price price2 = (cost2 / qty2.value()) * l2_qty.value();
+      auto &synth_lvl = synth_bk[i];
+      synth_lvl.price = price1 + price2;
+      synth_lvl.total_quantity = qty1;
+      synth_lvl.direct_quantity = qty1;
+      synth_lvl.n_orders = 0;
+   }
+   for (; i < synth_bk_size; i++) {
+      synth_bk[i] = BookLevel::empty();
+   }
+   return rv;
+}
+
+} // namespace bts::domain

src/lib/domain/synthetic_book_side.h

@@ -0,0 +1,112 @@
+#pragma once
+
+#include "lib/domain/BookLevel.h"
+#include "lib/domain/Quantity.h"
+
+#include <cstddef>
+#include <cstring>
+
+namespace bts::domain {
+
+class SyntheticBookSide {
+   Quantity leg_qty_{0};
+   // Either 'data_' or 'own_data_' can be non-null (not both). Only the latter
+   // is deleted in the destructor.
+   const BookLevel *data_{nullptr};
+   BookLevel *own_data_{nullptr};
+   std::size_t size_{0};
+
+   void copy_(const SyntheticBookSide &other) noexcept;
+   void move_(SyntheticBookSide &&other) noexcept;
+
+ public:
+   constexpr SyntheticBookSide() = default;
+   constexpr SyntheticBookSide(
+       Quantity leg_qty, const BookLevel *book_side, std::size_t size);
+   constexpr ~SyntheticBookSide();
+
+   SyntheticBookSide(const SyntheticBookSide &other);
+   SyntheticBookSide(SyntheticBookSide &&other);
+
+   SyntheticBookSide &operator=(const SyntheticBookSide &other);
+   SyntheticBookSide &operator=(SyntheticBookSide &&other);
+
+   constexpr std::size_t size() const;
+   constexpr const BookLevel *data() const;
+
+   /**
+    * Adds a leg to this one (calls can be chained to get the depth for N legs).
+    *
+    * @return SyntheticBookSide whose levels constitute the synthetic depth of
+    * this and the specified @p leg. Its quantity is always 1.
+    */
+   SyntheticBookSide add_leg(SyntheticBookSide leg) const noexcept;
+   SyntheticBookSide add_leg(
+       SyntheticBookSide other_leg,
+       BookLevel *synth_bk,
+       size_t synth_bk_size) const noexcept;
+
+   /**
+    * Syntactic sugar for `add_leg`
+    */
+   SyntheticBookSide operator+(SyntheticBookSide other) const noexcept;
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+constexpr SyntheticBookSide::SyntheticBookSide(
+    Quantity leg_qty, const BookLevel *data, std::size_t size)
+    : leg_qty_(leg_qty), data_(data), own_data_(nullptr), size_(size) {}
+
+constexpr SyntheticBookSide::~SyntheticBookSide() {
+   leg_qty_.value() = 0;
+   data_ = nullptr;
+   if (own_data_ != nullptr) {
+      delete[] own_data_;
+      own_data_ = nullptr;
+   }
+   size_ = 0;
+}
+
+inline SyntheticBookSide::SyntheticBookSide(const SyntheticBookSide &other) {
+   copy_(other);
+}
+
+inline SyntheticBookSide::SyntheticBookSide(SyntheticBookSide &&other) {
+   move_(std::move(other));
+}
+
+inline SyntheticBookSide &SyntheticBookSide::operator=(
+    const SyntheticBookSide &other) {
+   if (this != &other) {
+      copy_(other);
+   }
+   return *this;
+}
+
+inline SyntheticBookSide &SyntheticBookSide::operator=(
+    SyntheticBookSide &&other) {
+   if (this != &other) {
+      move_(std::move(other));
+   }
+   return *this;
+}
+
+constexpr std::size_t SyntheticBookSide::size() const { return size_; }
+
+constexpr const BookLevel *SyntheticBookSide::data() const {
+   return data_ == nullptr ? own_data_ : data_;
+}
+
+inline SyntheticBookSide SyntheticBookSide::add_leg(
+    SyntheticBookSide other_leg) const noexcept {
+   return add_leg(other_leg, nullptr, 10);
+}
+inline SyntheticBookSide SyntheticBookSide ::operator+(
+    SyntheticBookSide other) const noexcept {
+   return add_leg(other);
+}
+
+} // namespace bts::domain

src/lib/domain_model/PutOrCall.h

@@ -0,0 +1,52 @@
+#pragma once
+
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api {
+
+/**
+ * Parses PutOrCall from a string. Unlike `bts::api::SecurityType_Parse`, this
+ * implementation is case insensitive, and makes the 'PUTORCALL_' prefix optional.
+ */
+bool put_or_call_parse_smart(const std::string &str, PutOrCall *result);
+
+PB_ENUM_FROM_JSON(PutOrCall)
+PB_ENUM_TO_JSON(PutOrCall)
+
+std::ostream &operator<<(std::ostream &out, const PutOrCall &poc) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool put_or_call_parse_smart(const std::string &str, PutOrCall *result) {
+   if (PutOrCall_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (PutOrCall_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "PUTORCALL_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return PutOrCall_Parse(s, result);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, const PutOrCall &poc) noexcept {
+   out << PutOrCall_Name(poc);
+   return out;
+}
+
+} // namespace bts::api
+
+FMT_IMPL(bts::api::PutOrCall, poc, "{}", bts::api::PutOrCall_Name(poc));

src/lib/domain_model/Security.cpp

@@ -1,19 +1,19 @@
 #include "Security.h"
-#include "lib/domain_model/Security.pb.h"
-
 #include "lib/config/config.h"
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/io/JsonMacros.h"
 #include "lib/md/common.h"
-#include "lib/utils/datetime.h"
+#include "lib/utils/pb_json_macros.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <google/protobuf/text_format.h>
+#include <nlohmann/json.hpp>
 
 namespace bts {
 namespace securities {
 
 using bts::api::Security;
-using bts::api::Venue;
 using std::optional;
 
 api::SecurityType security_type(api::Security const &security) {
@@ -194,3 +194,389 @@ std::string unique_descriptor(const api::Security &security) {
 
 } // namespace securities
 } // namespace bts
+
+namespace bts::api {
+
+using nlohmann::json;
+using std::uint32_t;
+
+void to_json(json &j, const api::ContractQuantityInfo &cqi) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, min_value);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, max_value);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, tick_unit);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, tick_base);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, max_price);
+}
+
+void from_json(const json &j, api::ContractQuantityInfo &cqi) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, cqi, min_value, it);
+   PB_JSON_READ_VALUE(j, cqi, max_value, it);
+   PB_JSON_READ_VALUE(j, cqi, max_value, it);
+   PB_JSON_READ_VALUE(j, cqi, tick_unit, it);
+   PB_JSON_READ_VALUE(j, cqi, tick_base, it);
+   PB_JSON_READ_VALUE(j, cqi, max_price, it);
+}
+
+void to_json(json &j, const api::ContractSpecification &spec) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, low_tick);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_break);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, high_tick);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, cash_per_point);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, main_fraction);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, sub_fraction);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_display_format);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spec, quantity_infos);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spec, notional_quantity_infos);
+}
+
+void from_json(const json &j, api::ContractSpecification &spec) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, spec, low_tick, it);
+   PB_JSON_READ_VALUE(j, spec, price_break, it);
+   PB_JSON_READ_VALUE(j, spec, high_tick, it);
+   PB_JSON_READ_VALUE(j, spec, cash_per_point, it);
+   PB_JSON_READ_VALUE(j, spec, price_multiplier, it);
+   PB_JSON_READ_VALUE(j, spec, main_fraction, it);
+   PB_JSON_READ_VALUE(j, spec, sub_fraction, it);
+   PB_JSON_READ_VALUE(j, spec, price_display_format, it);
+   PB_JSON_READ_ARRAY(j, spec, quantity_infos, it);
+   PB_JSON_READ_ARRAY(j, spec, notional_quantity_infos, it);
+}
+
+void to_json(json &, const SpotContract &) {}
+void from_json(const json &, SpotContract &) {}
+
+template <class ExpContract>
+static void exp_to_json(json &j, const ExpContract &ec) {
+   j = bts::core::TimeStamp::from_ymd(
+           ec.expiration_year(), ec.expiration_month(), ec.expiration_day())
+           .to_iso_string();
+}
+
+template <class ExpContract>
+static void exp_from_json(const json &j, ExpContract &ec) {
+   const auto dt = bts::core::TimeStamp::from_iso_string(j.get<std::string>());
+   uint32_t y, m, d;
+   dt.to_date(y, m, d);
+   ec.set_expiration_year(y);
+   ec.set_expiration_month(m);
+   ec.set_expiration_day(d);
+}
+
+void to_json(json &j, const FutureContract &f) {
+   exp_to_json(j["expiration"], f);
+}
+
+void from_json(const json &j, FutureContract &f) {
+   const auto it = j.find("expiration");
+   if (it != j.end()) {
+      exp_from_json(*it, f);
+   }
+}
+
+void to_json(json &j, const OptionContract &opt) {
+   exp_to_json(j["expiration"], opt);
+   PB_JSON_WRITE_VALUE(j, opt, strike);
+   PB_JSON_WRITE_VALUE(j, opt, call_put);
+}
+
+void from_json(const json &j, OptionContract &opt) {
+   json::const_iterator it;
+   it = j.find("expiration");
+   if (it != j.end()) {
+      exp_from_json(*it, opt);
+   }
+   PB_JSON_READ_VALUE(j, opt, strike, it);
+   PB_JSON_READ_VALUE(j, opt, call_put, it);
+}
+
+void to_json(json &j, const ContractLeg &leg) {
+   PB_JSON_WRITE_STRUCT(j, leg, security);
+   PB_JSON_WRITE_VALUE(j, leg, quantity);
+   PB_JSON_WRITE_VALUE(j, leg, side);
+   PB_JSON_WRITE_VALUE(j, leg, price_multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, leg, leg_delta);
+   PB_JSON_WRITE_VALUE(j, leg, price_calc);
+}
+
+void from_json(const json &j, ContractLeg &leg) {
+   json::const_iterator it;
+   PB_JSON_READ_STRUCT(j, leg, security, it);
+   PB_JSON_READ_VALUE(j, leg, quantity, it);
+   PB_JSON_READ_VALUE(j, leg, side, it);
+   PB_JSON_READ_VALUE(j, leg, price_multiplier, it);
+   PB_JSON_READ_VALUE(j, leg, leg_delta, it);
+   PB_JSON_READ_VALUE(j, leg, price_calc, it);
+}
+
+void to_json(json &j, const SpreadContract &spd) {
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spd, legs);
+}
+
+void from_json(const json &j, SpreadContract &spd) {
+   json::const_iterator it;
+   PB_JSON_READ_ARRAY(j, spd, legs, it);
+}
+
+void to_json(json &j, const SyntheticContract &syn) {
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, syn, name);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, syn, user_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, syn, legs);
+   PB_JSON_WRITE_VALUE(j, syn, price_calc);
+}
+
+void from_json(const json &j, SyntheticContract &syn) {
+   json::const_iterator it;
+   PB_JSON_READ_STRING(j, syn, name, it);
+   PB_JSON_READ_VALUE(j, syn, user_id, it);
+   PB_JSON_READ_ARRAY(j, syn, legs, it);
+   PB_JSON_READ_VALUE(j, syn, price_calc, it);
+}
+
+void to_json(json &j, const GLBXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cfi_code);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cme_symbol);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, market_segment_id);
+}
+
+void from_json(const json &j, GLBXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_STRING(j, data, cfi_code, it);
+   PB_JSON_READ_STRING(j, data, cme_symbol, it);
+   PB_JSON_READ_VALUE(j, data, market_segment_id, it);
+}
+
+void to_json(json &j, const CBOEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, source);
+}
+
+void from_json(const json &j, CBOEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+   PB_JSON_READ_STRING(j, data, source, it);
+}
+
+void to_json(json &j, const CBOECFEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+}
+
+void from_json(const json &j, CBOECFEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+}
+
+void to_json(json &j, const ICEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, price_denominator);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, deal_denominator);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, settle_denominator);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, market_description);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cleared_alias);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, product_name);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, hub_alias);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, strip_name);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, mic_code);
+   PB_JSON_WRITE_IF_TRUE(j, data, is_strip);
+}
+
+void from_json(const json &j, ICEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, price_denominator, it);
+   PB_JSON_READ_VALUE(j, data, deal_denominator, it);
+   PB_JSON_READ_VALUE(j, data, settle_denominator, it);
+   PB_JSON_READ_STRING(j, data, market_description, it);
+   PB_JSON_READ_STRING(j, data, cleared_alias, it);
+   PB_JSON_READ_STRING(j, data, product_name, it);
+   PB_JSON_READ_STRING(j, data, hub_alias, it);
+   PB_JSON_READ_STRING(j, data, strip_name, it);
+   PB_JSON_READ_STRING(j, data, mic_code, it);
+   PB_JSON_READ_VALUE(j, data, is_strip, it);
+}
+
+void to_json(json &j, const TAIFEXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+}
+
+void from_json(const json &j, TAIFEXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+}
+
+void to_json(json &j, const DeribitExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, DeribitExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const FTXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, FTXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceUsdsFuturesExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceUsdsFuturesExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceCoinFuturesExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceCoinFuturesExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceUsExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceUsExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const OkxExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, OkxExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const CoinbaseExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, CoinbaseExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const Security &s) {
+   // clang-format off
+#define CONTRACT_ONEOF(oneof)           \
+   oneof(j, s, Spot, spot)              \
+   oneof(j, s, Future, future)          \
+   oneof(j, s, Option, option)          \
+   oneof(j, s, Spread, spread)          \
+   oneof(j, s, Synthetic, synthetic)
+
+#define EXCHANGE_DATA_ONEOF(oneof)                        \
+   oneof(j, s, Glbx, glbx)                                \
+   oneof(j, s, Cboe, cboe)                                \
+   oneof(j, s, Cfe, cfe)                                  \
+   oneof(j, s, Ice, ice)                                  \
+   oneof(j, s, Deribit, deribit)                          \
+   oneof(j, s, Ftx, ftx)                                  \
+   oneof(j, s, Binance, binance)                          \
+   oneof(j, s, BinanceCoinFutures, binance_coin_futures)  \
+   oneof(j, s, BinanceUsdsFutures, binance_usds_futures)  \
+   oneof(j, s, BinanceUs, binance_us)                     \
+   oneof(j, s, Coinbase, coinbase)                        \
+   oneof(j, s, Okx, okx)                                  \
+   oneof(j, s, Taifex, taifex)
+   // clang-format on
+
+   PB_JSON_WRITE_IF_NOT_ZERO(j, s, id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, s, symbol);
+   PB_JSON_WRITE_VALUE(j, s, exchange);
+   PB_JSON_WRITE_STRUCT(j, s, contract_spec);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, s, currency);
+   PB_JSON_WRITE_ONEOF(j, s, Contract, CONTRACT_ONEOF);
+   PB_JSON_WRITE_ONEOF(j, s, ExchangeData, EXCHANGE_DATA_ONEOF);
+}
+
+void from_json(const json &j, Security &s) {
+   json::const_iterator it;
+
+#define SEC_TYPE_ONEOF(oneof)                                                  \
+   oneof(j, s, future, it);                                                    \
+   oneof(j, s, option, it);                                                    \
+   oneof(j, s, spread, it);                                                    \
+   oneof(j, s, synthetic, it)
+
+#define CONTRACT_CASE_ONEOF(oneof)                                             \
+   oneof(j, s, glbx, it);                                                      \
+   oneof(j, s, cboe, it);                                                      \
+   oneof(j, s, cfe, it);                                                       \
+   oneof(j, s, ice, it);                                                       \
+   oneof(j, s, deribit, it);                                                   \
+   oneof(j, s, ftx, it);                                                       \
+   oneof(j, s, binance, it);                                                   \
+   oneof(j, s, binance_usds_futures, it);                                      \
+   oneof(j, s, binance_coin_futures, it);                                      \
+   oneof(j, s, binance_us, it);                                                \
+   oneof(j, s, coinbase, it);                                                  \
+   oneof(j, s, okx, it);                                                       \
+   oneof(j, s, taifex, it);
+
+   PB_JSON_READ_VALUE(j, s, id, it);
+   PB_JSON_READ_STRING(j, s, symbol, it);
+   PB_JSON_READ_STRING(j, s, currency, it);
+   PB_JSON_READ_STRUCT(j, s, contract_spec, it);
+   PB_JSON_READ_ONEOFS(SEC_TYPE_ONEOF);
+   PB_JSON_READ_ONEOFS(CONTRACT_CASE_ONEOF);
+}
+
+} // namespace bts::api

src/lib/domain_model/Security.h

@@ -1,16 +1,15 @@
 #pragma once
 
-#include "lib/core/FMT_IMPL.h"
+#include "lib/domain_model/PutOrCall.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/domain_model/SecurityType.h"
 #include "lib/domain_model/Side.h"
 #include "lib/domain_model/Venue.h"
 #include "lib/domain_model/common.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/datetime.h"
 
 #include <cmath>
-#include <memory>
+#include <nlohmann/json_fwd.hpp>
 
 namespace boost {
 namespace gregorian {
@@ -18,14 +17,83 @@ class date;
 }
 } // namespace boost
 
-namespace bts {
+namespace bts::api {
 
-namespace api {
 class Security;
 class ICEExchangeData;
-} // namespace api
 
-namespace securities {
+void to_json(nlohmann::json &j, const ContractQuantityInfo &c);
+void from_json(const nlohmann::json &j, ContractQuantityInfo &c);
+
+void to_json(nlohmann::json &j, const ContractSpecification &c);
+void from_json(const nlohmann::json &j, ContractSpecification &c);
+
+void to_json(nlohmann::json &j, const ContractLeg &c);
+void from_json(const nlohmann::json &j, ContractLeg &c);
+
+void to_json(nlohmann::json &j, const SpotContract &c);
+void from_json(const nlohmann::json &j, SpotContract &c);
+
+void to_json(nlohmann::json &j, const FutureContract &c);
+void from_json(const nlohmann::json &j, FutureContract &c);
+
+void to_json(nlohmann::json &j, const OptionContract &c);
+void from_json(const nlohmann::json &j, OptionContract &c);
+
+void to_json(nlohmann::json &j, const SpreadContract &c);
+void from_json(const nlohmann::json &j, SpreadContract &c);
+
+void to_json(nlohmann::json &j, const SyntheticContract_PriceCalc &c);
+void from_json(const nlohmann::json &j, SyntheticContract_PriceCalc &c);
+
+void to_json(nlohmann::json &j, const SyntheticContract &c);
+void from_json(const nlohmann::json &j, SyntheticContract &c);
+
+void to_json(nlohmann::json &j, const GLBXExchangeData &data);
+void from_json(const nlohmann::json &j, GLBXExchangeData &data);
+
+void to_json(nlohmann::json &j, const CBOEExchangeData &data);
+void from_json(const nlohmann::json &j, CBOEExchangeData &data);
+
+void to_json(nlohmann::json &j, const CBOECFEExchangeData &data);
+void from_json(const nlohmann::json &j, CBOECFEExchangeData &data);
+
+void to_json(nlohmann::json &j, const ICEExchangeData &data);
+void from_json(const nlohmann::json &j, ICEExchangeData &data);
+
+void to_json(nlohmann::json &j, const DeribitExchangeData &data);
+void from_json(const nlohmann::json &j, DeribitExchangeData &data);
+
+void to_json(nlohmann::json &j, const FTXExchangeData &data);
+void from_json(const nlohmann::json &j, FTXExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceUsdsFuturesExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceUsdsFuturesExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceCoinFuturesExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceCoinFuturesExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceUsExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceUsExchangeData &data);
+
+void to_json(nlohmann::json &j, const OkxExchangeData &data);
+void from_json(const nlohmann::json &j, OkxExchangeData &data);
+
+void to_json(nlohmann::json &j, const CoinbaseExchangeData &data);
+void from_json(const nlohmann::json &j, CoinbaseExchangeData &data);
+
+void to_json(nlohmann::json &j, const Security &s);
+void from_json(const nlohmann::json &j, Security &s);
+
+PB_ENUM_FROM_JSON(SyntheticContract_PriceCalc);
+PB_ENUM_TO_JSON(SyntheticContract_PriceCalc);
+
+} // namespace bts::api
+
+namespace bts::securities {
 
 /**
  * Gets a descriptor string for a security (should be unique within a particular exchange).
@@ -62,7 +130,8 @@ inline api::Side other_side(api::Side side) {
       return side;
    }
 }
-template <class V> class TwoSided {
+template <class V>
+class TwoSided {
  public:
    TwoSided() : buy(), sell() {}
 
@@ -106,7 +175,8 @@ inline bool is_worse(api::Side s, Price p1, Price p2) {
    return is_better(s, p2, p1);
 }
 
-template <class C> void apply_to_both_sides(C c) {
+template <class C>
+void apply_to_both_sides(C c) {
    c(api::SIDE_BUY);
    c(api::SIDE_SELL);
 }
@@ -180,8 +250,8 @@ inline Price encode_exchange_price(api::Security const &sec, Price in) {
       return in;
 }
 
-inline double
-raw_round_to_quote_price(double raw_price, double tick_size, api::Side side) {
+inline double raw_round_to_quote_price(
+    double raw_price, double tick_size, api::Side side) {
    double factor = 1000000000;
    auto i_price = llround(factor * raw_price);
    auto i_tick_size = llround(tick_size * factor);
@@ -224,8 +294,8 @@ inline double checked_round_to_quote_price(
    }
 }
 
-inline Price
-round_to_quote_price(api::Security const &sec, Price in, api::Side side) {
+inline Price round_to_quote_price(
+    api::Security const &sec, Price in, api::Side side) {
    auto p = in.value();
    bts_assert_d(!std::isnan(p));
    if (p < -sec.contract_spec().price_break() ||
@@ -289,8 +359,8 @@ inline const std::string &descriptor(
 // Looking to round md::IntPrice? Look in IntPrice.h
 
 // computes price_2 - price_1 in ticks
-inline int
-price_diff_to_ticks(double price_1, double price_2, double tick_size) {
+inline int price_diff_to_ticks(
+    double price_1, double price_2, double tick_size) {
    return static_cast<int>(std::round((price_2 - price_1) / tick_size));
 }
 // returns the difference (in ticks) bw and order and a market.
@@ -314,8 +384,8 @@ inline int order_diff_market(
 // simple double equality can not be used to compare prices.
 // this function deems 2 prices to be equal if they are within
 // 1 % of the tick size
-inline bool
-test_price_equality(double price_1, double price_2, double tick_size) {
+inline bool test_price_equality(
+    double price_1, double price_2, double tick_size) {
    return std::fabs(price_2 - price_1) < 0.01 * tick_size;
 }
 inline bool gr_than_eq(double p1, double p2, double tick_size) {
@@ -364,7 +434,4 @@ inline bool is_spread_of_strips(const bts::api::Security &sec) {
    return false;
 }
 
-} // namespace securities
-} // namespace bts
-
-FMT_IMPL(bts::api::Security, s, "{}", bts::securities::descriptor(s));
+} // namespace bts::securities

src/lib/domain_model/Security.proto

@@ -205,10 +205,20 @@ message SyntheticContract {
 	enum PriceCalc {
 		PRICECALC_STANDARD = 0;
 		PRICECALC_NET_CHANGE = 1;
+        PRICECALC_NOTIONAL_LEG = 2;
 		// RATIO = 2;
 	}
 }
 
+message ContractQuantityInfo {
+    double min_value = 1;
+    double max_value = 2;
+    double tick_unit = 3;
+    double tick_base = 4;
+    double multiplier = 5;
+    double max_price = 6;
+}
+
 message ContractSpecification {
     double low_tick = 10;
     double price_break = 20;
@@ -219,6 +229,8 @@ message ContractSpecification {
     uint32 main_fraction = 60;
     uint32 sub_fraction = 61;
     uint32 price_display_format = 62;
+    repeated ContractQuantityInfo quantity_infos = 63;
+    repeated ContractQuantityInfo notional_quantity_infos = 64;
 }
 
 message Security {

src/lib/io/JsonMacros.h

@@ -3,18 +3,14 @@
 #define _TO_JSON_FIELD(field) j[#field] = t.field;
 #define _FROM_JSON_FIELD(field) bts::io::JsonReader{&j, #field}.read(t.field);
 
-#define SPARK_TO_JSON_IMPL(type, for_each)                                     \
-   inline void to_json(nlohmann::json &j, const type &t) {                     \
-      FOR_EACH(_TO_JSON_FIELD)                                                 \
-   }
+#define SPARK_TO_JSON_IMPL(type, fields)                                       \
+   void to_json(nlohmann::json &j, const type &t) { fields(_TO_JSON_FIELD) }
 
-#define SPARK_FROM_JSON_IMPL(type, for_each)                                   \
-   inline void from_json(const nlohmann::json &j, type &t) {                   \
-      FOR_EACH(_FROM_JSON_FIELD)                                               \
-   }
+#define SPARK_FROM_JSON_IMPL(type, fields)                                     \
+   void from_json(const nlohmann::json &j, type &t) { fields(_FROM_JSON_FIELD) }
 
 #define OSTREAM_JSON_IMPL(type)                                                \
-   inline std::ostream &operator<<(std::ostream &out, const type &t) {         \
+   std::ostream &operator<<(std::ostream &out, const type &t) {                \
       nlohmann::json j;                                                        \
       to_json(j, t);                                                           \
       out << j.dump(2);                                                        \

src/lib/io/JsonReader.h

@@ -94,7 +94,18 @@ class JsonReader {
     * @return True if the read succeeds, otherwise false
     */
    template <class T>
-   bool read_or(const std::string &name, T &result, T default_value) const;
+   bool read_or(const std::string &name, T &result, T default_value = {}) const;
+
+   template <class T>
+   bool read_optional_or(
+       std::optional<T> &result,
+       std::optional<T> default_value = std::nullopt) const;
+
+   template <class T>
+   bool read_optional_or(
+       const std::string &name,
+       std::optional<T> &result,
+       std::optional<T> default_value = std::nullopt) const;
 
  private:
    const nlohmann::json *json_;
@@ -269,6 +280,33 @@ inline bool JsonReader::read_or(
    return false;
 }
 
+template <class T>
+inline bool JsonReader::read_optional_or(
+    std::optional<T> &result, std::optional<T> default_value) const {
+   if (read_optional(result)) {
+      return true;
+   }
+   result = std::move(default_value);
+   return false;
+}
+
+template <class T>
+inline bool JsonReader::read_optional_or(
+    const std::string &name,
+    std::optional<T> &result,
+    std::optional<T> default_value) const {
+   if (json_ && json_->is_object()) {
+      auto it = json_->find(name);
+      if (it != json_->end()) {
+         if (JsonReader{&it.value()}.read_optional(result)) {
+            return true;
+         }
+      }
+   }
+   result = std::move(default_value);
+   return false;
+}
+
 template <class T>
 bool JsonReader::read_flat(
     const std::vector<nlohmann::json> &items, std::vector<T> &result) {

src/lib/io/http/curl_session.h

@@ -1,5 +1,7 @@
 #pragma once
 
+#include "lib/logging/logging.h"
+
 #include <atomic>
 #include <curl/curl.h>
 #include <curl/easy.h>
@@ -12,6 +14,7 @@ struct CurlSession {
 
    CurlSession() {
       if (++ref_count == 1) {
+         LOG(Http, Info, "Initializing curl (global)");
          curl_global_init(CURL_GLOBAL_ALL);
       }
       curl = curl_easy_init();
@@ -20,6 +23,7 @@ struct CurlSession {
    ~CurlSession() {
       curl_easy_cleanup(curl);
       if (--ref_count == 0) {
+         LOG(Http, Info, "Cleaning up curl (global)");
          curl_global_cleanup();
       }
    }

src/lib/io/http/http_client.cpp

@@ -34,7 +34,31 @@ static size_t write_headers(
     void *ptr, size_t size, size_t nmemb, IHttpResponse *data) {
    return data->write_headers((char *)ptr, size, nmemb);
 }
-
+// static int curl_debug_callback(CURL *handle, curl_infotype type, char *data, size_t size, void *userptr) {
+//    (void)handle;
+//    (void)type;
+//    (void)userptr;
+//     switch (type) {
+//         case CURLINFO_TEXT:
+//             LOG(Http, Info, "CURLINFO_TEXT: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_HEADER_IN:
+//             LOG(Http, Info, "Header In: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_HEADER_OUT:
+//             LOG(Http, Info, "Header Out: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_DATA_IN:
+//             LOG(Http, Info, "Data In: {} bytes, in: {}", size,std::string(data, size));
+//             break;
+//         case CURLINFO_DATA_OUT:
+//             LOG(Http, Info, "Data Out: {} bytes, out: {}", size, std::string(data, size));
+//             break;
+//         default:
+//             break;
+//     }
+//     return 0;
+// }
 void HttpClient::get(
     string url,
     unordered_map<string, string> headers,
@@ -91,7 +115,12 @@ void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
    CURL *curl = session.curl;
    CurlHeaders curl_headers{req.headers};
    // Prepare req
-   curl_easy_setopt(curl, CURLOPT_FAILONERROR, true);
+   //to debug curl requests
+   // curl_easy_setopt(curl, CURLOPT_DEBUGFUNCTION, curl_debug_callback);
+   // Disable signals to avoid strange stack corruption related to set/longjmp
+   // https://stackoverflow.com/questions/9191668/error-longjmp-causes-uninitialized-stack-frame
+   curl_easy_setopt(curl, CURLOPT_NOSIGNAL, 1L);
+   curl_easy_setopt(curl, CURLOPT_FAILONERROR, 0L);
    curl_easy_setopt(curl, CURLOPT_URL, req.url.c_str());
    curl_easy_setopt(curl, CURLOPT_HTTPHEADER, curl_headers.data());
    if (response != nullptr) {
@@ -108,6 +137,7 @@ void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
       curl_easy_setopt(curl, CURLOPT_HTTPPOST, 1L);
       curl_easy_setopt(curl, CURLOPT_POSTFIELDS, req.body.c_str());
       curl_easy_setopt(curl, CURLOPT_POSTFIELDSIZE, req.body.size());
+      // curl_easy_setopt(curl, CURLOPT_VERBOSE, 1L);
       break;
    case io::http::HttpMethod::PUT:
       curl_easy_setopt(curl, CURLOPT_CUSTOMREQUEST, "PUT");

src/lib/io/json_formatter.h

@@ -0,0 +1,54 @@
+#pragma once
+
+#include <fmt/format.h>
+#include <nlohmann/json.hpp>
+#include <string>
+
+namespace bts::io {
+
+/**
+ * This wrapper struct provides a means to format arbitrary objects as json
+ * in templated strings (e.g., LOG macros).
+ */
+template <class T>
+struct JsonFormatter {
+   T value;
+
+   std::string to_string() const { return fmt::format("{}", *this); }
+};
+
+template <class T>
+JsonFormatter<T> json_formatter(T value) {
+   return JsonFormatter<T>{std::move(value)};
+}
+
+} // namespace bts::io
+
+template <class T>
+struct fmt::formatter<bts::io::JsonFormatter<T>> {
+   int indent = -1;
+
+   constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
+      const auto end = ctx.end();
+      auto it = ctx.begin();
+      if (it != end) {
+         indent = 0;
+         do {
+            int x = *it - '0';
+            if (x < 0 || x > 9) {
+               return it;
+            }
+            indent = indent * 10 + x;
+         } while (++it != end);
+      }
+      return it;
+   }
+
+   template <typename FormatContext>
+   auto format(const bts::io::JsonFormatter<T> &jf, FormatContext &ctx) const
+       -> decltype(ctx.out()) {
+      nlohmann::json j;
+      to_json(j, jf.value);
+      return fmt::format_to(ctx.out(), "{}", j.dump(indent));
+   }
+};

src/lib/io/websocket/websocket_client.cpp

@@ -3,14 +3,19 @@
 #include "lib/core/TimeSpan.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/io/websocket/websocket_client_config.h"
+#include "lib/io/websocket/websocket_client_logger.h"
 #include "lib/io/websocket/websocket_client_state.h"
 #include "lib/io/websocket/websocket_close_status.h"
 #include "lib/io/websocket/websocket_error_code.h"
 #include "lib/io/websocket/websocketpp_exception_formatter.h"
 #include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
 #include "lib/utils/formatters/exception_formatter.h"
 
+#include <algorithm>
 #include <atomic>
+#include <boost/asio/io_context.hpp>
+#include <chrono>
 #include <exception>
 #include <fmt/format.h>
 #include <mutex>
@@ -18,6 +23,7 @@
 #include <optional>
 #include <stdexcept>
 #include <string>
+#include <system_error>
 #include <thread>
 #include <websocketpp/close.hpp>
 #include <websocketpp/common/connection_hdl.hpp>
@@ -28,11 +34,51 @@
 #include <websocketpp/config/core_client.hpp>
 #include <websocketpp/roles/client_endpoint.hpp>
 
+namespace websocketpp::config {
+
+/// Client config with asio transport and TLS enabled
+struct bts_asio_tls_client : public core_client {
+   typedef bts_asio_tls_client type;
+   typedef core_client base;
+
+   typedef base::concurrency_type concurrency_type;
+
+   typedef base::request_type request_type;
+   typedef base::response_type response_type;
+
+   typedef base::message_type message_type;
+   typedef base::con_msg_manager_type con_msg_manager_type;
+   typedef base::endpoint_msg_manager_type endpoint_msg_manager_type;
+
+   typedef websocketpp::log::WebsocketClientLogger<
+       websocketpp::log::ElevelAdapter>
+       elog_type;
+   typedef websocketpp::log::WebsocketClientLogger<
+       websocketpp::log::AlevelAdapter>
+       alog_type;
+
+   typedef base::rng_type rng_type;
+
+   struct transport_config : public base::transport_config {
+      typedef type::concurrency_type concurrency_type;
+      typedef type::alog_type alog_type;
+      typedef type::elog_type elog_type;
+      typedef type::request_type request_type;
+      typedef type::response_type response_type;
+      typedef transport::asio::tls_socket::endpoint socket_type;
+   };
+
+   typedef transport::asio::endpoint<transport_config> transport_type;
+};
+
+} // namespace websocketpp::config
+
 namespace bts::websocket {
 
 struct WebsocketClientSnapshot {
    int client_id;
    WebsocketClientState state;
+   int n_reconnects;
    int version;
 };
 
@@ -41,9 +87,10 @@ struct WebsocketClientSnapshot {
 FMT_IMPL(
     bts::websocket::WebsocketClientSnapshot,
     t,
-    "id: {}; state: {}; version: {}",
+    "id: {}; state: {}; n_reconnects: {}; version: {}",
     t.client_id,
     t.state,
+    t.n_reconnects,
     t.version);
 
 namespace bts::websocket {
@@ -61,10 +108,11 @@ using std::size_t;
 using std::string;
 using std::thread;
 using std::uint32_t;
-using websocketpp::config::asio_tls_client;
+using std::chrono::nanoseconds;
+using std::this_thread::sleep_for;
 
 using WebsocketppClient =
-    websocketpp::client<websocketpp::config::asio_tls_client>;
+    websocketpp::client<websocketpp::config::bts_asio_tls_client>;
 using ConnectionHdl = websocketpp::connection_hdl;
 using ConnectionPtr = WebsocketppClient::connection_ptr;
 using MessageTypePtr = websocketpp::config::core_client::message_type::ptr;
@@ -85,9 +133,16 @@ using State = WebsocketClientState;
 #define ERROR(...) LOG(Http, Error, __VA_ARGS__)
 #define ERROR_FN(...) LOG(Http, Error, "WebsocketClient::" __VA_ARGS__)
 
+static bts::core::TimeSpan reconnect_interval(std::uint32_t n_attempts) {
+   std::int64_t secs = 5 * n_attempts;
+   secs = std::clamp(secs, 5L, 300L);
+   return bts::core::TimeSpan::from_seconds(secs);
+}
+
 struct WebsocketClient::PImpl {
    WebsocketClientConfig config;
    WebsocketppClient client{};
+   boost::asio::io_context *io_context = nullptr;
    WebsocketppClient::connection_ptr con;
    optional<OpenHandler> open_handler;
    optional<MessageHandler> message_handler;
@@ -97,8 +152,48 @@ struct WebsocketClient::PImpl {
    optional<thread> io_thread;
    int client_id{client_id_counter++};
    mutex instance_mx;
-   State state;
+   State state = State::IDLE;
    int version = 0;
+   int n_reconnects = 0;
+
+   PImpl(WebsocketClientConfig config, boost::asio::io_context *io_context)
+       : config(std::move(config)), io_context(io_context) {
+      client.get_alog().set_name(this->config.name);
+      client.get_elog().set_name(this->config.name);
+      client.set_access_channels(websocketpp::log::alevel::all);
+      // client.clear_access_channels(websocketpp::log::alevel::frame_payload);
+      client.set_error_channels(websocketpp::log::elevel::all);
+      if (io_context == nullptr) {
+         client.init_asio();
+      } else {
+         client.init_asio(io_context);
+      }
+      client.set_message_handler(
+          [this](auto hdl, auto msg) { on_message(hdl, msg); });
+      client.set_open_handler([this](auto hdl) { on_open(hdl); });
+      client.set_ping_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received ping");
+         return true;
+      });
+      client.set_pong_timeout(0);
+      client.set_pong_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received pong");
+         return true;
+      });
+      client.set_tls_init_handler([&](auto hdl) { return on_tls_init(hdl); });
+      client.set_close_handler([=, this](auto hdl) {
+         on_close(hdl);
+         if (config.reconnect_on_close) {
+            sleep_for(nanoseconds{reconnect_interval(n_reconnects).nanos()});
+            connect();
+         }
+      });
+      client.set_fail_handler([this](auto hdl) {
+         const auto ec = client.get_con_from_hdl(hdl)->get_ec();
+         ERROR_FN("fail_handler. {}; err: {}", snapshot(), ec.message());
+         on_fail(hdl);
+      });
+   }
 
    ~PImpl() {
       if (io_thread) {
@@ -119,7 +214,7 @@ struct WebsocketClient::PImpl {
    }
 
    constexpr WebsocketClientSnapshot snapshot() const {
-      return {client_id, state, version};
+      return {client_id, state, n_reconnects, version};
    }
 
    void close(websocketpp::close::status::value code, std::string reason) {
@@ -163,8 +258,7 @@ struct WebsocketClient::PImpl {
    /**
     * Connects to the websocket server
     */
-   void connect(
-       const map<string, string> &headers, bool run_in_background = true) {
+   void connect() {
       lock_guard<mutex> lock{instance_mx};
       INFO_FN("connect. {}", snapshot());
       switch (state.value) {
@@ -176,9 +270,6 @@ struct WebsocketClient::PImpl {
       }
       set_state(State::OPENING);
       try {
-         init_logging();
-         init_handlers();
-         // Get connection
          websocketpp::lib::error_code ec;
          con = client.get_connection(config.url, ec);
          if (ec) {
@@ -186,46 +277,27 @@ struct WebsocketClient::PImpl {
             return;
          }
          // Add headers
-         for (const auto &[k, v] : headers) {
+         for (const auto &[k, v] : config.headers) {
             con->append_header(k, v);
          }
          // Connect
          client.connect(con);
-         if (run_in_background) {
-            bts_assert_msgf(
-                !io_thread, "Websocket io_thread already instantiated. {}",
-                snapshot());
-            io_thread = std::thread{[this]() { run(); }};
-            if (config.connect_timeout > core::TimeSpan::zero()) {
-               wait_for_connect(config.connect_timeout);
-            }
-         }
       } catch (const std::exception &ex) {
+         std::string str = ex.what();
          ERROR_FN(
              "connect_no_timeout. Failed to connect. {}; err: {}", snapshot(),
-             ex);
+             str);
          set_state(State::IDLE);
          // Don't wait for connect
          return;
       }
    }
 
-   void wait_for_connect(const TimeSpan timeout) {
-      INFO_FN("wait_for_connect. {}; timeout: {}", snapshot(), timeout);
-      const auto start = TimeStamp::now();
-      while (state == State::OPENING) {
-         const auto elapsed = TimeStamp::now() - start;
-         const auto rem = timeout - elapsed;
-         if (rem < TimeSpan::zero()) {
-            throw std::runtime_error{fmt::format(
-                "Timed out waiting for connection after {} secs. {}",
-                elapsed.total_seconds(), snapshot())};
-         }
-         WARN_FN(
-             "wait_for_connect. Still waiting. {}; timeout: {}; rem: {}",
-             snapshot(), timeout, rem);
-         std::this_thread::sleep_for(std::chrono::seconds(1));
-      }
+   void reconnect() {
+      WARN_FN("reconnect. {}", snapshot());
+      sleep_for(nanoseconds{reconnect_interval(n_reconnects).nanos()});
+      ++n_reconnects;
+      connect();
    }
 
    void run() {
@@ -236,11 +308,16 @@ struct WebsocketClient::PImpl {
          ERROR_FN(
              "io_thread. Websocket io threw websocketpp::exception. {}; "
              "err: {}",
-             snapshot(), ex);
+             snapshot(), std::string(ex.what()));
+             bts_assert_msgf(false, "io_thread. Websocket io threw websocketpp::exception. {}; "
+             "err: {}",
+               snapshot(), std::string(ex.what()));
       } catch (const std::exception &ex) {
          ERROR_FN(
              "io_thread. Websocket io threw std::exception. {}; err: {}",
-             snapshot(), ex);
+             snapshot(), std::string(ex.what()));
+         bts_assert_msgf(false, "io_thread. Websocket io threw std::exception. {}; err: {}",
+             snapshot(), std::string(ex.what()));
       } catch (...) {
          bts_assert_msgf(
              false,
@@ -251,10 +328,33 @@ struct WebsocketClient::PImpl {
       INFO("Websocket 'run' thread end. {}", snapshot());
    }
 
+   void run_one() {
+      try {
+         client.run_one();
+      } catch (const websocketpp::exception &ex) {
+         ERROR_FN(
+             "io_thread (run_one). Websocket io threw websocketpp::exception. "
+             "{}; err: {}",
+             snapshot(), ex);
+      } catch (const std::exception &ex) {
+         ERROR_FN(
+             "io_thread (run_one). Websocket io threw std::exception. {}; err: "
+             "{}",
+             snapshot(), ex);
+      } catch (...) {
+         bts_assert_msgf(
+             false,
+             "io_thread (run_one). Websocket io threw unknown exception. Could "
+             "this have been thrown by a callback delegate? {}",
+             snapshot());
+      }
+   }
+
  private:
    static std::atomic<int> client_id_counter;
 
-   auto on_tls_init(ConnectionHdl /*hdl*/) {
+   std::shared_ptr<boost::asio::ssl::context> on_tls_init(
+       ConnectionHdl /*hdl*/) {
       INFO_FN("on_tls_init. state: {}; version: {}", state, version);
       auto result =
           websocketpp::lib::make_shared<SslContext>(SslContext::sslv23_client);
@@ -262,44 +362,13 @@ struct WebsocketClient::PImpl {
       return result;
    }
 
-   void init_handlers() {
-      INFO_FN("init_handlers. state: {}; version: {}", state, version);
-      bts_assert(!io_thread);
-      client.init_asio();
-      client.set_message_handler(
-          [this](auto hdl, auto msg) { on_message(hdl, msg); });
-      client.set_open_handler([this](auto hdl) { on_open(hdl); });
-      client.set_ping_handler([](auto /*hdl*/, auto /*msg*/) {
-         LOG(Http, Info, "Received ping");
-         return true;
-      });
-      client.set_pong_timeout(0);
-      client.set_pong_handler([](auto /*hdl*/, auto /*msg*/) {
-         LOG(Http, Info, "Received pong");
-         return true;
-      });
-      client.set_tls_init_handler(
-          [this](auto hdl) { return on_tls_init(hdl); });
-      client.set_close_handler([this](auto hdl) { on_close(hdl); });
-      client.set_fail_handler([this](auto hdl) {
-         const auto ec = client.get_con_from_hdl(hdl)->get_ec();
-         ERROR_FN("fail_handler. {}; err: {}", snapshot(), ec.message());
-      });
-   }
-
-   void init_logging() {
-      INFO_FN("init_logging. {}", snapshot());
-      client.set_access_channels(websocketpp::log::alevel::all);
-      // client.clear_access_channels(websocketpp::log::alevel::frame_payload);
-      client.set_error_channels(websocketpp::log::elevel::all);
-   }
-
    void on_open(ConnectionHdl hdl) {
       lock_guard<mutex> lock{instance_mx};
       INFO_FN("on_open. {}", snapshot());
       const auto ec = client.get_con_from_hdl(hdl)->get_ec();
       if (ec) {
          ERROR_FN("on_open. {}; err: {}", snapshot(), ec.message());
+         bts_assert(false);
       }
       switch (state.value) {
       case State::OPENING:
@@ -350,11 +419,34 @@ struct WebsocketClient::PImpl {
       if (close_handler) {
          (*close_handler)(ec);
       }
+      if (config.reconnect_on_close) {
+         reconnect();
+      }
+   }
+
+   void on_fail(ConnectionHdl hdl) {
+      lock_guard<mutex> lock{instance_mx};
+      ERROR_FN("on_fail. {}", snapshot());
+      set_state(State::IDLE);
+      const auto con = client.get_con_from_hdl(hdl);
+      const auto ec = con->get_ec();
+      if (ec) {
+         ERROR_FN(
+             "on_fail. {}; local_code: {}; "
+             "local_reason: {}; remote_code: {}; remote_reason: {}; err: {}",
+             snapshot(), con->get_local_close_code(),
+             con->get_local_close_reason(), con->get_remote_close_code(),
+             con->get_remote_close_reason(), ec.message());
+      }
+      if (config.reconnect_on_fail) {
+         reconnect();
+      }
    }
 };
 
-WebsocketClient::WebsocketClient(WebsocketClientConfig config)
-    : me_(std::make_unique<PImpl>(std::move(config))) {}
+WebsocketClient::WebsocketClient(
+    WebsocketClientConfig config, boost::asio::io_context *io_context)
+    : me_(std::make_unique<PImpl>(std::move(config), io_context)) {}
 
 WebsocketClient::~WebsocketClient() {
    me_->close(websocketpp::close::status::going_away, "");
@@ -383,13 +475,16 @@ WebsocketClient::CloseHandler &WebsocketClient::close_handler() {
    return *me_->close_handler;
 }
 
-void WebsocketClient::connect(
-    const std::map<std::string, std::string> &headers, bool run_in_background) {
-   me_->connect(headers, run_in_background);
-}
+void WebsocketClient::connect() { me_->connect(); }
 
 void WebsocketClient::run() { me_->run(); }
 
+void WebsocketClient::run_one() { me_->run_one(); }
+
+boost::asio::io_context *WebsocketClient::io_context() {
+   return me_->io_context;
+}
+
 websocketpp::lib::error_code WebsocketClient::send_text(const string &text) {
    return me_->send_text(text);
 }
@@ -407,4 +502,6 @@ bool WebsocketClient::is_connected() const {
 
 void WebsocketClient::ping(const string &payload) { me_->con->ping(payload); }
 
+const string &WebsocketClient::url() const { return me_->config.url; }
+
 } // namespace bts::websocket

src/lib/io/websocket/websocket_client.h

@@ -3,6 +3,7 @@
 #include "lib/io/websocket/websocket_client_config.h"
 #include "lib/utils/Delegate.h"
 
+#include <boost/asio/io_context.hpp>
 #include <memory>
 #include <string>
 #include <websocketpp/config/core_client.hpp>
@@ -12,28 +13,33 @@ namespace bts::websocket {
 
 class WebsocketClient {
  public:
-   explicit WebsocketClient(WebsocketClientConfig config);
+   WebsocketClient(
+       WebsocketClientConfig config,
+       boost::asio::io_context *io_context = nullptr);
    ~WebsocketClient();
 
    using OpenHandler = bts::core::Delegate<void(const std::error_code &)>;
    using MessageHandler = bts::core::Delegate<void(const std::string &)>;
    using CloseHandler = bts::core::Delegate<void(const std::error_code &)>;
 
-   void connect(
-       const std::map<std::string, std::string> &headers = {},
-       bool run_in_background = true);
+   void connect();
    void disconnect();
    bool is_connected() const;
+   boost::asio::io_context *io_context();
    void run();
+   void run_one();
    CloseHandler &open_handler();
    MessageHandler &message_handler();
    CloseHandler &close_handler();
    websocketpp::lib::error_code send_text(const std::string &text);
    void ping(const std::string &payload = "");
 
+   const std::string &url() const;
+
  private:
    struct PImpl;
    std::unique_ptr<PImpl> me_;
 };
 
 } // namespace bts::websocket
+

src/lib/io/websocket/websocket_client_config.h

@@ -5,9 +5,14 @@
 namespace bts::websocket {
 
 struct WebsocketClientConfig {
-   std::string url;
-   core::TimeSpan connect_timeout;
-   core::TimeSpan pong_timeout;
+   std::string url{};
+   core::TimeSpan connect_timeout = core::TimeSpan::zero();
+   core::TimeSpan pong_timeout = core::TimeSpan::zero();
+   bool reconnect_on_close = false;
+   bool reconnect_on_fail = false;
+   std::map<std::string, std::string> headers{};
+   // name to use in logs
+   std::string name{};
 };
 
 } // namespace bts::websocket

src/lib/io/websocket/websocket_client_logger.h

@@ -0,0 +1,88 @@
+#pragma once
+
+#include "lib/logging/Common.h"
+#include "lib/logging/logging.h"
+
+#include <websocketpp/concurrency/basic.hpp>
+#include <websocketpp/logger/basic.hpp>
+#include <websocketpp/logger/levels.hpp>
+
+namespace websocketpp::log {
+
+struct ElevelAdapter {
+   typedef elevel LevelT;
+
+   constexpr bts::log::Level operator()(level channel) {
+      switch (channel) {
+      case elevel::devel:
+         return bts::Diag;
+      case elevel::library:
+      case elevel::warn:
+         return bts::Warn;
+      case elevel::rerror:
+         return bts::Error;
+      case elevel::fatal:
+         return bts::Fatal;
+      default:
+         return bts::Info;
+      }
+   }
+};
+
+struct AlevelAdapter {
+   typedef alevel LevelT;
+
+   constexpr bts::log::Level operator()(level channel) {
+      switch (channel) {
+      case alevel::control:
+      case alevel::frame_header:
+      case alevel::frame_payload:
+      case alevel::message_header:
+      case alevel::message_payload:
+      case alevel::debug_handshake:
+      case alevel::debug_close:
+      case alevel::devel:
+         return bts::Diag;
+      case alevel::disconnect:
+         return bts::Warn;
+      case alevel::fail:
+         return bts::Error;
+      default:
+         return bts::Info;
+      }
+   }
+};
+
+template <typename LevelAdapter>
+class WebsocketClientLogger
+    : public basic<concurrency::basic, typename LevelAdapter::LevelT> {
+   typedef basic<concurrency::basic, typename LevelAdapter::LevelT> base;
+
+   std::string name;
+   LevelAdapter level_adapter;
+
+ public:
+   WebsocketClientLogger(
+       level c, channel_type_hint::value h = channel_type_hint::access)
+       : base(c, h) {}
+
+   void set_name(std::string name) {
+      concurrency::basic::scoped_lock_type lock{this->m_lock};
+      this->name = std::move(name);
+   }
+
+   void write(level channel, const std::string &msg) {
+      concurrency::basic::scoped_lock_type lock{this->m_lock};
+      if (!this->dynamic_test(channel)) {
+         return;
+      }
+      LOG(Http, level_adapter(channel), "WebsocketClient-{} {}. {}", name,
+          std::string{LevelAdapter::LevelT::channel_name(channel)}, msg);
+   }
+
+   void write(level channel, const char *msg) {
+      write(channel, std::string{msg});
+   }
+};
+
+} // namespace websocketpp::log

src/lib/logging/Sink.cpp

@@ -9,6 +9,7 @@
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <boost/filesystem.hpp>
 #include <boost/filesystem/path.hpp>
+#include <cstdint>
 #include <fmt/ostream.h>
 #include <fstream>
 #include <iostream>
@@ -94,7 +95,7 @@ std::ifstream::pos_type filesize(std::string const &filename) {
 Sink file_sink(LoggingConfig const &cfg) {
    static std::ofstream stream;
    static uint64_t bytes_written = 0;
-   const auto max_sz = 120 * 1024 * 1024;
+   const uintmax_t max_sz =  1024 * 1024 * 1024 ;
 
    auto f = formatter(cfg);
    auto path = log_path();
@@ -107,7 +108,7 @@ Sink file_sink(LoggingConfig const &cfg) {
 
    if (boost::filesystem::exists(path)) {
       auto sz = boost::filesystem::file_size(path);
-      if (sz > max_sz && false) {
+      if (sz > max_sz) {
          auto backup = boost::filesystem::path(path.string() + ".old");
          boost::filesystem::rename(path, backup);
       }
@@ -118,8 +119,7 @@ Sink file_sink(LoggingConfig const &cfg) {
    return [=](LogMsg const &m) {
       auto msg = f(m);
       bytes_written += msg.size();
-      if (bytes_written >= max_sz && false) {
-         return;
+      if (bytes_written >= max_sz) {
          bytes_written = 0;
          stream.close();
          auto backup = boost::filesystem::path(path.string() + ".old");

src/lib/md/GeneralMarketDataListener.cpp

@@ -1,6 +1,4 @@
-//#ifdef SPARK_ENABLE_CCAPI
 #include "GeneralMarketDataListener.h"
-#include "lib/api/domain/Currency.pb.h"
 #include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.pb.h"
 #include "lib/core/TimeStamp.h"
@@ -21,7 +19,6 @@
 #include "lib/domain/SpreadSecurity.h"
 #include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/domain_model/common.h"
 #include "lib/logging/logging.h"
 #include "lib/md/GeneralSecurityIndex.h"
 #include "lib/md/IMarketDataListener.h"
@@ -29,28 +26,19 @@
 #include "lib/md/MDProducer.h"
 #include "lib/md/MDProducerHandle.h"
 #include "lib/md/PriceSize.h"
-#include "lib/md/SecurityIndex.h"
 #include "lib/md/Shm/FixedSecurity.h"
 #include "lib/md/Shm/MDStructure.h"
 #include "lib/md/protos/co2.pb.h"
-#include "lib/orderman/actors/SODPosition.h"
 #include "lib/orderman/gateways/sim/SimExecutionGateway.h"
 #include "lib/orderman/gateways/sim/SimExecutionGatewayFactory.h"
-#include "lib/orderman/orderman_utils/Book.h"
-#include "lib/os/os.h"
 #include "lib/persistence/IDGenerator.h"
-#include "lib/utils/PBUtils.h"
 #include "lib/utils/TimeStamp.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/bts_fatal.h"
-#include <cstddef>
-#include <cstdio>
-#include <memory>
 
 #include <bits/stdint-uintn.h>
-#include <cstdio>
 #include <google/protobuf/timestamp.pb.h>
 #include <google/protobuf/util/time_util.h>
+#include <memory>
 #include <optional>
 #include <sstream>
 #include <string>
@@ -80,74 +68,88 @@ struct CCSecSearchResult {
 struct IncrementalBookData {
    std::map<domain::SecurityID, domain::Book> book_map;
 
-bool update_incremental(const IMarketDataListener::BookOp &op) {
-    //DONT NEED THIS?
-    // Validate inputs first
-    if (op.price <= 0.0 || op.quantity < 0) {
-        LOG(md, Error, "Invalid input - Price: {}, Quantity: {}", op.price, op.quantity);
-        return false;
-    }
+   bool update_incremental(const IMarketDataListener::BookOp &op) {
+      //DONT NEED THIS?
+      // Validate inputs first
+      if (op.price <= 0.0 || op.quantity < 0) {
+         LOG(md, Error, "Invalid input - Price: {}, Quantity: {}", op.price,
+             op.quantity);
+         return false;
+      }
 
-    // Logging setup
-    //DO WE NEED TO PUT THESE IN A STRING 
-    std::string side_str = (op.side == domain::Side::Buy) ? "Buy" : "Sell";
-    std::string op_type_str;
-    switch (op.op_type) {
-        case IMarketDataListener::BookOpType::Add: op_type_str = "Add"; break;
-        case IMarketDataListener::BookOpType::MODIFY: op_type_str = "Modify"; break;
-        case IMarketDataListener::BookOpType::REMOVE: op_type_str = "Delete"; break;
-        default: op_type_str = "Unknown"; break;
-    }
-   //CAN WE DO THIS WITHOUT ASSIGNING TO STRINGS 
-    std::stringstream op_details;
-    op_details << "Operation: Price: " << op.price << ", Quantity: " << op.quantity
-               << ", Side: " << side_str << ", Type: " << op_type_str << "\n";
+      // Logging setup
+      //DO WE NEED TO PUT THESE IN A STRING
+      std::string side_str = (op.side == domain::Side::Buy) ? "Buy" : "Sell";
+      std::string op_type_str;
+      switch (op.op_type) {
+      case IMarketDataListener::BookOpType::Add:
+         op_type_str = "Add";
+         break;
+      case IMarketDataListener::BookOpType::MODIFY:
+         op_type_str = "Modify";
+         break;
+      case IMarketDataListener::BookOpType::REMOVE:
+         op_type_str = "Delete";
+         break;
+      default:
+         op_type_str = "Unknown";
+         break;
+      }
+      //CAN WE DO THIS WITHOUT ASSIGNING TO STRINGS
+      std::stringstream op_details;
+      op_details << "Operation: Price: " << op.price
+                 << ", Quantity: " << op.quantity << ", Side: " << side_str
+                 << ", Type: " << op_type_str << "\n";
 
-    LOG(md, Info, "Book Increment: {}", op_details.str());
+      LOG(md, Info, "Book Increment: {}", op_details.str());
 
-    // Get book and validate
-    auto book = get_book(op.id);
-    if (book == nullptr) {
-        LOG(md, Error, "Book not found for id: {}", op.id);
-        return false;
-    }
+      // Get book and validate
+      auto book = get_book(op.id);
+      if (book == nullptr) {
+         LOG(md, Error, "Book not found for id: {}", op.id);
+         return false;
+      }
 
-    // Get correct side of the book
-    auto& book_side = (op.side == domain::Side::Buy) ? book->bids() : book->asks();
+      // Get correct side of the book
+      auto &book_side =
+          (op.side == domain::Side::Buy) ? book->bids() : book->asks();
 
-    // Log initial state
-    std::stringstream book_before;
-    book_before << "Book before update (" << side_str << " side):\n";
-    for (const auto& level : book_side) {
-        book_before << "Price: " << level.price << ", Quantity: " << level.total_quantity << "\n";
-    }
+      // Log initial state
+      std::stringstream book_before;
+      book_before << "Book before update (" << side_str << " side):\n";
+      for (const auto &level : book_side) {
+         book_before << "Price: " << level.price
+                     << ", Quantity: " << level.total_quantity << "\n";
+      }
 
-    /*-----------*/
-    if(op.side == domain::Side::Buy){
-      switch(op.op_type){
-         case IMarketDataListener::BookOpType::Add:
-         {
+      /*-----------*/
+      if (op.side == domain::Side::Buy) {
+         switch (op.op_type) {
+         case IMarketDataListener::BookOpType::Add: {
             int insert_position = 0;
-            for (size_t i = 0; i < book_side.size(); i++){//not sure how to access book
-               if(book_side[i].price != 0 && book_side[i].price > op.price ){
+            for (size_t i = 0; i < book_side.size();
+                 i++) { //not sure how to access book
+               if (book_side[i].price != 0 && book_side[i].price > op.price) {
                   //book_side is the book we have ?
                   //op.price is what we received ?
                   insert_position++;
                   continue;
-               }else {//need j to be last level
-                  for (size_t j =fmin(book_side.size()-1,5-1); j > i; j--){
-                     book_side[j] = book_side[j-1];
+               } else { //need j to be last level
+                  for (size_t j = fmin(book_side.size() - 1, 5 - 1); j > i;
+                       j--) {
+                     book_side[j] = book_side[j - 1];
                   }
                   break;
                }
             }
             book_side[insert_position].price = op.price;
-            book_side[insert_position].total_quantity = op.quantity;//dont know how to add quantity
+            book_side[insert_position].total_quantity =
+                op.quantity; //dont know how to add quantity
             break;
          }
-         case IMarketDataListener::BookOpType::MODIFY:{
-            for(size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price != 0 && book_side[i].price == op.price){
+         case IMarketDataListener::BookOpType::MODIFY: {
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price == op.price) {
                   //want to update quantity if price is a match
                   book_side[i].total_quantity = op.quantity;
                   break;
@@ -155,103 +157,113 @@ bool update_incremental(const IMarketDataListener::BookOp &op) {
             }
             break;
          }
-         case IMarketDataListener::BookOpType::REMOVE:{
+         case IMarketDataListener::BookOpType::REMOVE: {
             int found_position = -1;
-            for (size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price == op.price){//trying to find based on price only
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price ==
+                   op.price) { //trying to find based on price only
                   found_position = i;
                   break;
                }
             }
             size_t level = found_position;
-            //would've had 4 here; want to be at last level 
-            for(size_t i = found_position; i <fmin(book_side.size(),5); i++){
-               book_side[i] = book_side[i+1];
+            //would've had 4 here; want to be at last level
+            for (size_t i = found_position; i < fmin(book_side.size(), 5);
+                 i++) {
+               book_side[i] = book_side[i + 1];
                level++;
             }
-            if(found_position != -1){
+            if (found_position != -1) {
                //trying to set last level to 0
-               book_side[level].total_quantity =domain::Quantity(0);
+               book_side[level].total_quantity = domain::Quantity(0);
             }
             break;
          }
          default:
-            LOG(md,Error, "In the Default Case for IMarketDataListener::BookOp {}");
-      }
-    }else if (op.side == domain::Side::Sell){
-      switch(op.op_type){
-         case IMarketDataListener::BookOpType::Add:{
+            LOG(md, Error,
+                "In the Default Case for IMarketDataListener::BookOp {}");
+         }
+      } else if (op.side == domain::Side::Sell) {
+         switch (op.op_type) {
+         case IMarketDataListener::BookOpType::Add: {
             int insert_position = 0;
-            for (int i = 0; i < fmin(book_side.size(),5); i++) {
-                if (book_side[i].price != 0 && book_side[i].price < op.price) {
-                    insert_position++;
-                    continue;
-                }
-            }//need i to be at the last level
-            for (int i = fmin(book_side.size()-1,5-1); i > insert_position; i--) {
-                book_side[i].price = book_side[i - 1].price;
-                book_side[i].total_quantity = book_side[i - 1].total_quantity;
+            for (int i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price < op.price) {
+                  insert_position++;
+                  continue;
+               }
+            } //need i to be at the last level
+            for (int i = fmin(book_side.size() - 1, 5 - 1); i > insert_position;
+                 i--) {
+               book_side[i].price = book_side[i - 1].price;
+               book_side[i].total_quantity = book_side[i - 1].total_quantity;
             }
             book_side[insert_position].price = op.price;
-            book_side[insert_position].total_quantity = op.quantity; 
+            book_side[insert_position].total_quantity = op.quantity;
             break;
          }
-         case IMarketDataListener::BookOpType::MODIFY:{
-               for (int i = 0; i < fmin(book_side.size(),5); i++) {
-                    if (book_side[i].price != 0 && book_side[i].price == op.price) {
-                        // For modify, we might want to update or keep the same value
-                        book_side[i].price = op.price;
-                        book_side[i].total_quantity = op.quantity; 
-                        break; 
-                    }
-                }break;            
+         case IMarketDataListener::BookOpType::MODIFY: {
+            for (int i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price == op.price) {
+                  // For modify, we might want to update or keep the same value
+                  book_side[i].price = op.price;
+                  book_side[i].total_quantity = op.quantity;
+                  break;
+               }
+            }
+            break;
          }
          case IMarketDataListener::BookOpType::REMOVE: {
             int found_position = -1;
-            for (size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price == op.price){
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price == op.price) {
                   found_position = i;
                   break;
                }
             }
-            size_t level =found_position;
-            for (int i = found_position; i < fmin(book_side.size(),5); i++){
-               book_side[i].price = book_side[i+1].price;
-               book_side[i].total_quantity = book_side[i+1].total_quantity;
+            size_t level = found_position;
+            for (int i = found_position; i < fmin(book_side.size(), 5); i++) {
+               book_side[i].price = book_side[i + 1].price;
+               book_side[i].total_quantity = book_side[i + 1].total_quantity;
                level++;
             }
-            if(found_position != -1){
-               book_side[fmin(book_side.size()-1,level)].total_quantity = domain::Quantity(0);
+            if (found_position != -1) {
+               book_side[fmin(book_side.size() - 1, level)].total_quantity =
+                   domain::Quantity(0);
             }
             break;
          }
          default:
-             LOG(md, Error, "In the Default Case for IMarketDataListener::BookOp {}");
+            LOG(md, Error,
+                "In the Default Case for IMarketDataListener::BookOp {}");
             break;
+         }
       }
+      /*---------------------*/
+      int counter = 0;
+      for (auto &level : book_side) {
+         if (counter > 4) {
+            level.total_quantity = domain::Quantity(0);
+         }
+         counter++;
       }
-    /*---------------------*/
-   int counter =0;
-   for(auto &level:book_side){
-      if(counter >4){
-         level.total_quantity =domain::Quantity(0);
+
+      // Log final state
+      std::stringstream book_after;
+      book_after << "Book after update (" << side_str << " side):\n";
+      for (const auto &level : book_side) {
+         book_after << "Price: " << level.price
+                    << ", Quantity: " << level.total_quantity << "\n";
       }
-      counter++;
+
+      std::string book_before_after_op =
+          book_before.str() + "\n" + book_after.str() + "\n" + op_details.str();
+      LOG(md, Diag, "Book Increment desc: {}", book_before_after_op);
+      bts_assert_msgf(
+          book->is_sorted(), "book not sorted {}", book_before_after_op);
+
+      return true;
    }
-
-    // Log final state
-    std::stringstream book_after;
-    book_after << "Book after update (" << side_str << " side):\n";
-    for (const auto& level : book_side) {
-        book_after << "Price: " << level.price << ", Quantity: " << level.total_quantity << "\n";
-    }
-
-    std::string book_before_after_op = book_before.str() + "\n" + book_after.str() + "\n" + op_details.str();
-    LOG(md, Diag, "Book Increment desc: {}", book_before_after_op);
-    bts_assert_msgf(book->is_sorted(), "book not sorted {}", book_before_after_op);
-
-    return true;
-}
    domain::Book const *get_const_book(domain::SecurityID id) const {
       auto it = book_map.find(id);
       if (it == book_map.end()) {
@@ -278,7 +290,7 @@ struct GeneralMarketDataListener::PImpl {
    // if this is set to true, then the security key passed on in the
    // on_securities function is used. If this is not set to true, then a new key
    // is generated
-   const bool use_given_sec_key = false;
+   const bool use_given_sec_key = true;
    const std::string cc_name_prefix = "cc_security";
    size_t n_bk_updates = 0;
    bts::persistence::IDGenerator &id_gen =
@@ -301,8 +313,7 @@ struct GeneralMarketDataListener::PImpl {
        GeneralSecurityIndex &index,
        MDProducer &md_producer,
        std::shared_ptr<bts::orderman::SimExecutionGateway> sim_ex_gwy)
-       : venue(venue), index(index),
-         md_producer(md_producer),
+       : venue(venue), index(index), md_producer(md_producer),
          sim_ex_gwy(std::move(sim_ex_gwy)) {
       if (this->sim_ex_gwy != nullptr) {
          this->sim_ex_gwy->set_producers(&this->index);
@@ -464,7 +475,7 @@ void GeneralMarketDataListener::on_book(
 
 void GeneralMarketDataListener::on_book_increment(
     const IMarketDataListener::BookOp &book_op) {
-   if(!me->inc_book_data.update_incremental(book_op)){
+   if (!me->inc_book_data.update_incremental(book_op)) {
       return;
    }
    domain::Book const *book_ptr = me->inc_book_data.get_const_book(book_op.id);
@@ -635,6 +646,93 @@ void GeneralMarketDataListener::_commit_security(const FixedSecurity &sec) {
        handle.security().numeric_id, me->index.n_secs());
 }
 
+static bool get_qty_info(
+    double qty_incr, float &qty_tick_unit, float &qty_tick_base) {
+   float qty_tick_denom = 1.0 / qty_incr;
+   int qty_tick_denomi = static_cast<int>(qty_tick_denom);
+   if (qty_tick_denom != qty_tick_denomi) {
+      return false;
+   }
+   switch (static_cast<int>(qty_tick_denom)) {
+   case 1:
+      qty_tick_unit = 1;
+      qty_tick_base = 1;
+      break;
+   case 10:
+      qty_tick_unit = 10;
+      qty_tick_base = 100;
+      break;
+   case 100:
+      qty_tick_unit = 1;
+      qty_tick_base = 100;
+      break;
+   case 1000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1000;
+      break;
+   case 10000:
+      qty_tick_unit = 1;
+      qty_tick_base = 10000;
+      break;
+   case 100000:
+      qty_tick_unit = 1;
+      qty_tick_base = 100000;
+      break;
+   case 1000000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1000000;
+      break;
+   case 10'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 10'000'000;
+      break;
+   case 100'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 100'000'000;
+      break;
+   case 1'000'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1'000'000'000;
+      break;
+   case 4:
+      qty_tick_unit = 25;
+      qty_tick_base = 100;
+      break;
+   case 40:
+      qty_tick_unit = 25;
+      qty_tick_base = 1000;
+      break;
+   case 400:
+      qty_tick_unit = 25;
+      qty_tick_base = 10000;
+      break;
+   case 4000:
+      qty_tick_unit = 25;
+      qty_tick_base = 100000;
+      break;
+   case 20:
+      qty_tick_unit = 5;
+      qty_tick_base = 100;
+      break;
+   case 200:
+      qty_tick_unit = 5;
+      qty_tick_base = 1000;
+      break;
+   case 2000:
+      qty_tick_unit = 5;
+      qty_tick_base = 10000;
+      break;
+   case 20000:
+      qty_tick_unit = 5;
+      qty_tick_base = 100000;
+      break;
+   default:
+      bts_assert_msg(false, "Invalid qty tick");
+      return false;
+   }
+   return true;
+}
+
 void GeneralMarketDataListener::_copy_security_common(
     const bts::domain::Security &from, uint64_t key, FixedSecurity &to) const {
    to.key = key;
@@ -648,6 +746,24 @@ void GeneralMarketDataListener::_copy_security_common(
    to.display_factor = 0.0;
    to.price_break = 0.0;
    to.low_tick = to.high_tick = from.security_common.min_price_increment;
+   auto &sc = from.security_common;
+   double min_qty = sc.min_quantity;
+   double qty_incr = sc.min_quantity_increment;
+   if (!(min_qty > 0)) {
+      min_qty = qty_incr;
+   } else if (!(qty_incr > 0)) {
+      qty_incr = min_qty;
+   }
+   double max_qty = sc.max_quantity;
+   if (qty_incr > 0 && min_qty > 0 && max_qty > min_qty) {
+      float qty_tick_unit;
+      float qty_tick_base;
+      if (get_qty_info(qty_incr, qty_tick_unit, qty_tick_base)) {
+         to.add_quantity_info(
+             min_qty, max_qty, qty_tick_unit, qty_tick_base,
+             std::numeric_limits<float>::max(), false);
+      }
+   }
 }
 
 uint64_t GeneralMarketDataListener::_generate_security_key(
@@ -685,13 +801,16 @@ void GeneralMarketDataListener::_on_book(
    _possibly_match_with_sim_orders(
        bts::md::SecurityKey(book.security_id().value()));
    LOG(md, Diag,
-       "GeneralMarketDataListener::_on_book post id: {} bid: {}/{}/{} ask: "
+       "GeneralMarketDataListener::_on_book sec: {} sec_id: {} handle_id: {} "
+       "bid: "
+       "{}/{}/{} ask: "
        "{}/{}/{}",
-       handle->id, me->bids.at(0).price(), me->bids.at(0).direct_size(),
-       me->bids.at(0).size(), me->asks.at(0).price(),
-       me->asks.at(0).direct_size(), me->asks.at(0).size());
+       std::string(handle->handle.security().security_desc()),
+       book.security_id(), handle->id, me->bids.at(0).price(),
+       me->bids.at(0).direct_size(), me->bids.at(0).size(),
+       me->asks.at(0).price(), me->asks.at(0).direct_size(),
+       me->asks.at(0).size());
    handle->handle.update_direct(time.value(), me->bids, me->asks);
 }
 
 } // namespace bts::md
-//#endif

src/lib/md/GeneralSecurityIndex.h

@@ -1,7 +1,8 @@
 #pragma once
+
 #include "lib/md/SecurityIndex.h"
+
 #include <cstdint>
-#include <string>
 
 namespace bts::md {
 

src/lib/md/IMarketDataListener.h

@@ -1,8 +1,9 @@
 #pragma once
-#include "lib/api/services/OrderService.pb.h"
+
 #include "lib/domain/Book.h"
 #include "lib/domain/SecurityID.h"
-#include "lib/md/PriceSize.h"
+#include "lib/utils/TimeStamp.h"
+
 #include <vector>
 
 namespace bts::domain {

src/lib/md/MBOProcessor.cpp

@@ -4,9 +4,6 @@
 #include "lib/utils/ConcurrentPool.h"
 #include "lib/utils/thread_manager.h"
 
-#include <atomic>
-#include <functional>
-#include <map>
 #include <sstream>
 #include <thread>
 #include <vector>