Reversehedging fixed

Previously, it was black and hard to read since the background is dark.

.devcontainer/Dockerfile

@@ -90,6 +90,12 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
 # Databento (deps)
 RUN apt-get update && apt-get -y install libzstd-dev
 
+# Docker in Docker
+RUN apt-get update && apt-get install -y \
+    docker.io \
+    docker-compose \
+    docker-compose-v2
+
 # Set up default executables (update-alternatives)
 RUN \
    update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \

.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=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
-  "workspaceFolder": "/home/bts/spark",
   "updateRemoteUserUID": true,
   "shutdownAction": "none",
   // Note: If running multiple containers on the same host, each must use a
@@ -17,34 +12,20 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "2gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003",
-    "-p",
-    "12345:12345"
+    "8gb"
   ],
   "mounts": [
-    "source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
+    "source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
   ],
   "customizations": {
     "vscode": {
-      "settings": {
-        "clangd.arguments": [
-          "--compile-commands-dir=${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"
       ]
     }
   }
-}
+}

.env

@@ -0,0 +1,48 @@
+# This file defines the global default configuration for docker deployments.
+# It is tracked in source control. For temporary modifications, please create
+# a separate file called ".env.local" (it's in .gitignore, so won't be tracked).
+# If a variable is defined in both files, the value in .env.local will be used.
+#
+# About the deployment procedure:
+#   We use Docker Compose to build images and launch containers for various services
+#   that make up our software suite:
+#     - sparkd
+#     - TODO: pubsub
+#     - TODO: md-publisher
+#     - TODO: webapp (DSQA on the web)
+#     - TODO: api-server (websocket based)
+#   From inside a devcontainer, you can launch all services in separate containers
+#   on your machine by running:
+#
+#     tools/deploy.sh
+#
+#   This script builds release versions for each service, packaged (generally) in
+#   self-contained directories. Next, it runs a few "docker compose" commands to
+#   build docker images loaded with the self-contained binaries from the previous
+#   step, and start containers with those images to run each service. To view the
+#   commands that deploy.sh runs internally (without actually running them), run:
+#
+#     tools/deploy.sh --dry-run
+#
+#   For additional information/help, run:
+#
+#     tools/deploy.sh --help
+#
+
+### Sparkd ###
+# The internal image for sparkd to use. For more info, view:
+#   src/server/sparkd/Dockerfile
+SPARKD__IMAGE=sparkd
+# The config dir for this service to use
+SPARKD__CONFIG_DIR=src/server/sparkd/configurations/dev
+# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
+# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
+# SPARKD__DATA_DIR=/home/bts/sparkdata/data
+SPARKD__SOURCE_DIR=install/sparkd-release-gcc
+SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
+SPARKD__CONFIG_PORT=8000
+SPARKD__QUICKBUS_PORT=8001
+SPARKD__SIM_FIX_PORT=8002
+SPARKD__SHM_SIZE=4gb
+
+# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)

.gitignore

@@ -59,3 +59,4 @@ trace_data/
 .devcontainer/
 *.Generated.cs
 *.lst
+.env.local

.gitmodules

@@ -1,6 +1,6 @@
 [submodule "externals"]
 	path = externals
-	url = git@bitbucket.org:bluetradesys/externals.git
+	url = https://bitbucket.org/bluetradesys/externals.git
 [submodule "vcpkg"]
 	path = vcpkg
 	url = https://github.com/microsoft/vcpkg.git

.vscode/launch.json

@@ -326,4 +326,4 @@
       "description": "Test to run",
     },
   ]
-}
+}

.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",
+    },
   ]
 }

CMakeLists.txt

@@ -1,8 +1,10 @@
 cmake_minimum_required(VERSION 3.12)
 project(spark)
 include(GNUInstallDirs)
+include(${CMAKE_SOURCE_DIR}/cmake/GitVersion.cmake)
 set(CMAKE_CXX_STANDARD 20)
 
+get_version_from_git()
 if(WIN32)
   set(platform "windows")
 else()

cmake/GitVersion.cmake

@@ -0,0 +1,48 @@
+include_guard(GLOBAL)
+
+function(get_version_from_git)
+  find_package(Git QUIET)
+  if(NOT Git_FOUND)
+    message(WARNING "Git not found")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} describe --tags --always
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_TAG
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+    RESULT_VARIABLE GIT_RESULT
+  )
+
+  if(NOT GIT_RESULT EQUAL 0)
+    message(WARNING "Failed to get git tag")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} rev-parse --short=7 HEAD
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_COMMIT_SHORT_HASH
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+  )
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH})
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH} PARENT_SCOPE)
+
+  string(REGEX REPLACE "^v" "" CLEAN_TAG "${GIT_TAG}")
+  if(CLEAN_TAG MATCHES "^([0-9]+)\\.([0-9]+)\\.([0-9]+)(-.*)?$")
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1})
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1} PARENT_SCOPE)
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2})
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2} PARENT_SCOPE)
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3})
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3} PARENT_SCOPE)
+
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}") 
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}" PARENT_SCOPE)
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}")
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}" PARENT_SCOPE)
+  else()
+    message(WARNING "Tag '${CLEAN_TAG}' does not match semver format")
+  endif()
+endfunction()

cmake/version.h.in

@@ -0,0 +1,11 @@
+#ifndef BTS_SPARK_VERSION_H
+#define BTS_SPARK_VERSION_H
+
+#define BTS_SPARK_VERSION_MAJOR @PROJECT_VERSION_MAJOR@
+#define BTS_SPARK_VERSION_MINOR @PROJECT_VERSION_MINOR@
+#define BTS_SPARK_VERSION_PATCH @PROJECT_VERSION_PATCH@
+#define BTS_SPARK_VERSION_BUILD_METADATA @PROJECT_VERSION_BUILD_METADATA@
+#define BTS_SPARK_VERSION "@PROJECT_VERSION@"
+#define BTS_SPARK_VERSION_FULL "@PROJECT_VERSION_FULL@"
+
+#endif

compose.yaml

@@ -0,0 +1,100 @@
+services:
+  sparkd:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+  sparkd-symbols:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+      - ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/sparkdata/conf
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        ls -alh /home/bts/sparkdata/conf/
+        cat /home/bts/sparkdata/conf/.env.local
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-tail:
+    image: bluetradingsystems/linux_dotnet7
+    volumes:
+      - type: volume
+        read_only: true
+        source: sparkd_data
+        target: /home/bts/sparkdata/data/logging.sparkd
+        volume:
+          subpath: logging.sparkd
+    command: ["tail", "-f", "/home/bts/sparkdata/data/logging.sparkd/log"]
+
+  sparkd-ping-test:
+    depends_on:
+      - sparkd
+    profiles:
+      - ping-test
+    build:
+      context: .
+      dockerfile_inline: |
+        FROM bluetradingsystems/linux_dotnet7
+        USER "root"
+        RUN apt-get update && apt-get -y install iputils-ping
+    command: [ "ping", "sparkd" ]
+
+volumes:
+  sparkd_data:
+    name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"

docker/images/bluetradingsystems/linux_dotnet7/Dockerfile

@@ -0,0 +1,38 @@
+FROM ubuntu:22.04
+
+ARG DEBIAN_FRONTEND=noninteractive
+
+RUN apt-get update && apt-get install -y pkg-config
+RUN apt-get update && apt-get install -y locales
+RUN apt-get update && apt-get install -y ca-certificates
+RUN apt-get update && apt-get install -y libssh2-1-dev
+RUN apt-get update && apt-get install -y software-properties-common
+RUN apt-get update && apt-get install -y sudo
+
+# GCC
+ARG gcc_major=13
+RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
+  && apt-get update \
+  && apt-get install -y g++-$gcc_major
+
+RUN apt-get update \
+  && apt-get install -y dotnet7
+
+RUN locale-gen en_US.UTF-8
+
+ARG docker_user="bts"
+ARG docker_uid="1000"
+ARG docker_pass="bts"
+
+RUN \
+  groupadd -g "$docker_uid" "$docker_user" \
+  && useradd \
+  -m \
+  -u "$docker_uid" \
+  -g "$docker_uid" \
+  -G sudo \
+  --password "$(openssl passwd -1 "$docker_pass")" \
+  "$docker_user"
+
+USER bts
+WORKDIR /home/bts

requirements.txt

@@ -1,11 +1,20 @@
 astroid==2.7.3
 autopep8==1.5.7
+blinker==1.9.0
+boto3==1.37.9
+botocore==1.37.9
 certifi==2023.5.7
 charset-normalizer==3.1.0
+click==8.1.8
 colorama==0.4.4
+Flask==3.1.0
 idna==3.4
 isort==5.9.3
+itsdangerous==2.2.0
+Jinja2==3.1.6
+jmespath==1.0.1
 lazy-object-proxy==1.6.0
+MarkupSafe==3.0.2
 mccabe==0.6.1
 platformdirs==2.3.0
 protobuf==4.21.12
@@ -14,9 +23,14 @@ pycodestyle==2.7.0
 pycparser==2.20
 pylint==2.10.2
 PyMeta3==0.5.1
+python-dateutil==2.9.0.post0
+python-dotenv==1.0.1
 requests==2.31.0
+s3transfer==0.11.4
+six==1.17.0
 termcolor==1.1.0
 toml==0.10.2
 urllib3==2.0.3
+Werkzeug==3.1.3
 wrapt==1.12.1
 yapf==0.31.0

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/SecurityNormalizer.cs

@@ -1,6 +1,8 @@
 namespace mbts.spark {
    using bts.api;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Generic;
    using System.Linq;
@@ -23,14 +25,14 @@ namespace mbts.spark {
          foreach (var kv in driver_map.get_price_map()) {
             var exp = kv.Key;
             var dmd = kv.Value;
-            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities(
-               (sec_md) => {
-                  var s = sec_md.security;
-                  return s.security_type() == SecurityType.Option &&
-                        s.Symbol == driver_map.option_symbol &&
-                        s.earliest_expiration() == exp.expiration;
-               }
-            );
+            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities((sec_md) => {
+               var s = sec_md.security;
+               return s.security_type() == SecurityType.Option &&
+                     s.Symbol == driver_map.option_symbol &&
+                     s.earliest_expiration() == (Security.is_perpetual_exp(exp.expiration)
+                        ? ExpirationDate.Perpetual
+                        : ExpirationDate.FixedDate(exp.expiration));
+            });
             foreach (var sec_md in exp_secs) {
                rv[sec_md.security.Id] = kv.Value;
             }

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

@@ -69,7 +69,7 @@ namespace mbts.spark {
                   case SecurityType.Future:
                   case SecurityType.Option:
                      rv.GetOrAdd((sec.Exchange, sec.security_type(), sec.Symbol), _ => new())
-                        .Add(sec.earliest_expiration());
+                        .Add(sec.earliest_expiration().Value);
                      break;
                }
             }

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/Model/Trading/PositionModel.cs

@@ -11,8 +11,9 @@ namespace Spark.Trading {
 
    using mbts.analytics;
    using mbts.spark;
-   using mbts.ui;
 
+   using Spark.Api.Data;
+   using Spark.Api.MarketData;
    using Spark.Api.Orders;
    using Spark.Api.Reactive;
    using Spark.Core;
@@ -81,6 +82,11 @@ namespace Spark.Trading {
          pnl = bus.subscribe(SparkTags.ReportBlackboardTags.PNL.PNLData)
             .Select(d => d.position_data.ToDictionary(u => u.id(), PNLRowData.from_pnl_unit))
             .Table(PNLRowData.key_fn)
+            .JoinBbo(
+               bus.subscribe(SparkTags.SecuritiesTag),
+               pnlRow => pnlRow.key.security_id,
+               (pnlRow, bbo) => pnlRow.with(bid_price: bbo.BidPrice, ask_price: bbo.AskPrice),
+               PNLRowData.key_fn)
             .FullJoin(
                order_data.working_account_security_orders,
                PNLRowData.key_fn,

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);
@@ -620,16 +629,16 @@ namespace mbts.spark {
 
       static (string desc, Color fg) _fills_title(ColKey key) =>
          key switch {
-            ColKey.Position => ("Day Fills", Colors.Black),
-            ColKey.RawDayPosition => ("Raw Day Fills", Colors.Black),
-            _ => ("Fills", Colors.Black),
+            ColKey.Position => ("Day Fills", BTSColors.DayFills.foreground),
+            ColKey.RawDayPosition => ("Raw Day Fills", BTSColors.DayFills.foreground),
+            _ => ("Fills", BTSColors.UI.default_text),
          };
 
       static (string desc, Color fg) _orderbook_title(ColKey key) =>
          key switch {
             ColKey.WorkingBids => ((string desc, Color fg))("Working Buy Orders", BTSColors.MarketData.bid),
             ColKey.WorkingAsks => ((string desc, Color fg))("Working Sell Orders", BTSColors.MarketData.ask),
-            _ => ("Working Orders", Colors.Black),
+            _ => ("Working Orders", BTSColors.UI.default_text),
          };
 
       static GridSettings _hide_cols(GridSettings grid, IEnumerable<OrderBookGridView.ColumnKeys> columns) =>

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

@@ -626,6 +626,22 @@
             </ComboBox.ItemTemplate>
           </ComboBox>
           <TextBlock
+            Grid.Column="6"
+            x:Name="PART_SpreaderType_Label"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            Text="Type"
+          />
+          <ComboBox
+            x:Name="PART_SpreaderType_DropDown"
+            Grid.Column="7"
+            HorizontalAlignment="Stretch"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            ItemsSource="{TemplateBinding SpreaderTypeItemsSource}"
+            ItemTemplate="{StaticResource EnumDescriptionTemplate}"
+            SelectedItem="{Binding SpreaderType, RelativeSource={RelativeSource TemplatedParent}}"
+          />
+          <!-- <TextBlock
             Grid.Column="6"
             x:Name="PART_HedgePricing_Label"
             VerticalAlignment="Center"
@@ -642,7 +658,7 @@
             ItemTemplate="{StaticResource EnumDescriptionTemplate}"
             SelectedItem="{Binding HedgePricing, RelativeSource={RelativeSource TemplatedParent}}"
             Visibility="Collapsed"
-          />
+          /> -->
         </Grid>
         <c:DataGridEx
           x:Name="PART_DataGrid"

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

@@ -237,6 +237,29 @@ namespace mbts.ui.spark {
       }
       #endregion
 
+      #region SpreaderTypeItemsSource
+      public static readonly DependencyProperty SpreaderTypeItemsSourceProperty =
+         WPFHelper.create_dp<IEnumerable, ExecutionStrategyEditor>(
+            nameof(SpreaderTypeItemsSource));
+
+      public IEnumerable SpreaderTypeItemsSource {
+         get => GetValue(SpreaderTypeItemsSourceProperty) as IEnumerable;
+         set => SetValue(SpreaderTypeItemsSourceProperty, value);
+      }
+      #endregion
+
+      #region SpreaderType
+      public static readonly DependencyProperty SpreaderTypeProperty =
+         WPFHelper.create_dp<object, ExecutionStrategyEditor>(
+            nameof(SpreaderType),
+            FrameworkPropertyMetadataOptions.BindsTwoWayByDefault);
+
+      public object SpreaderType {
+         get => GetValue(SpreaderTypeProperty);
+         set => SetValue(SpreaderTypeProperty, value);
+      }
+      #endregion
+
       public override void OnApplyTemplate() =>
          _connect_leg_tuples();
 

src/client/spark/Modules/Spreader/SyntheticDataHelper.cs

@@ -117,6 +117,14 @@ namespace bts.shell {
          public static QuoteInsideMarketDistanceThrottle QuoteInsideMarketDistanceThrottle => new QuoteInsideMarketDistanceThrottle();
          #endregion
 
+         public static SniperQuoteParams SniperQuoteParams => new() {
+            NTicks = 0
+         };
+
+         public static ReverseHedgeQuoteParams ReverseHedgeQuoteParams => new() {
+            NTicks = 0
+         };
+
          #region PreHedge
          public static PreHedgeParams PreHedgeParams => new PreHedgeParams {
             MaxPriceFromInsideMarket = PreHedgeMaxPriceFromInsideMarket,

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

@@ -36,6 +36,8 @@
       ContractPickerVM="{Binding contract_picker_vm}"
       HedgePricing="{Binding hedge_pricing}"
       HedgePricingItemsSource="{Binding hedge_pricing_options}"
+      SpreaderType="{Binding spreader_type}"
+      SpreaderTypeItemsSource="{Binding spreader_type_options}"
       UseFractionalTicks="{Binding use_fractional_ticks}"
       IntegerTickSize="{Binding integer_tick_size}"
     />

src/client/spark/Modules/Spreader/VM/ParameterRows/Leg/EnableQuotingModel.cs

@@ -1,23 +0,0 @@
-using mbts.ui.spark;
-
-using System.Collections.Generic;
-using System.Linq;
-
-namespace mbts.spark {
-   partial class SyntheticEditorVM {
-      class IsQuoteModel : RowModelBase<bool> {
-         public override string display_name { get; } = "Enable Quoting";
-         public override string help_text { get; } = "This parameter is in the form of a check box, where if the box is checked the leg will be quoted versus not checked, it will not be shown in the market.  If it is not actively quoted in the market, the leg will still be used for calculation of the entire synthetic.";
-         public override string man_page { get; } = string.Empty;
-
-         public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
-            leg_tup.leg_params.IsActiveQuoting;
-
-         public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) =>
-            leg_tup.leg_params.IsActiveQuoting = value;
-
-         public override bool has_errors(IReadOnlyCollection<LegSpreaderParamsTuple> leg_tups) =>
-            !leg_tups.Any(lt => lt.leg_params.IsActiveQuoting);
-      }
-   }
-}

src/client/spark/Modules/Spreader/VM/ParameterRows/Quote/QuoteEnabledModel.cs

@@ -0,0 +1,25 @@
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+using System.Linq;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class QuoteEnabledModel : RowModelBase<bool> {
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Quote };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.IsActiveQuoting;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) =>
+         leg_tup.leg_params.IsActiveQuoting = value;
+
+      public override bool has_errors(IReadOnlyCollection<LegSpreaderParamsTuple> leg_tups) =>
+         !leg_tups.Any(lt => lt.leg_params.IsActiveQuoting);
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/ReverseHedge/ReverseHedgeEnabledModel.cs

@@ -0,0 +1,35 @@
+using bts.shell;
+
+using mbts.ui.spark;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class ReverseHedgeEnabledModel : RowModelBase<bool> {
+      readonly ReverseHedgeTicksModel _ticks_model;
+
+      public ReverseHedgeEnabledModel(ReverseHedgeTicksModel ticks_model) =>
+         _ticks_model = ticks_model;
+
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.ReverseHedge };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.ReverseHedgeQuoteParams is not null;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) {
+         if (value) {
+            if (leg_tup.leg_params.ReverseHedgeQuoteParams is null) {
+               leg_tup.leg_params.ReverseHedgeQuoteParams = SyntheticDataHelper.Defaults.ReverseHedgeQuoteParams;
+               _ticks_model.apply_value(leg_tup);
+            }
+         } else {
+            leg_tup.leg_params.ReverseHedgeQuoteParams = null;
+         }
+         _ticks_model.set_enabled(leg_tup, value);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/ReverseHedge/ReverseHedgeTicksModel.cs

@@ -0,0 +1,42 @@
+using bts.spark;
+
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   internal class ReverseHedgeTicksModel : RowModelBase<int> {
+      readonly Dictionary<int, int> _value_store = new();
+
+      public override string display_name => "Ticks";
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.ReverseHedge };
+
+      public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup).NTicks = _value_from_store(leg_tup);
+
+      public override int get_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup)?.NTicks ?? _value_from_store(leg_tup);
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, int value) {
+         _value_store[leg_tup.id] = value;
+         var s = _get_params(leg_tup);
+         if (s is not null) {
+            s.NTicks = value;
+         }
+      }
+
+      protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup) != null;
+
+      ReverseHedgeQuoteParams _get_params(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.ReverseHedgeQuoteParams;
+
+      int _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+         _value_store.get_value(leg_tup.id, _ => 0);
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/RowModel.cs

@@ -94,7 +94,9 @@ namespace mbts.spark {
       }
 
       private static class Sections {
-         public static ParameterSection Quote => new ParameterSection("Quote");
+         public static ParameterSection Sniper => new("Sniper", true);
+         public static ParameterSection ReverseHedge => new("Reverse Hedge", true);
+         public static ParameterSection Quote => new("Quote", true);
          public static ParameterSection PreHedge => new ParameterSection("Pre-Hedge");
          public static ParameterSection PostHedge => new ParameterSection("Post-Hedge");
       }

src/client/spark/Modules/Spreader/VM/ParameterRows/Sniper/SniperEnabledModel.cs

@@ -0,0 +1,35 @@
+using bts.shell;
+
+using mbts.ui.spark;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class SniperEnabledModel : RowModelBase<bool> {
+      readonly SniperTicksModel _ticks_model;
+
+      public SniperEnabledModel(SniperTicksModel ticks_model) =>
+         _ticks_model = ticks_model;
+
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Sniper };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.SniperQuoteParams is not null;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) {
+         if (value) {
+            if (leg_tup.leg_params.SniperQuoteParams is null) {
+               leg_tup.leg_params.SniperQuoteParams = SyntheticDataHelper.Defaults.SniperQuoteParams;
+               _ticks_model.apply_value(leg_tup);
+            }
+         } else {
+            leg_tup.leg_params.SniperQuoteParams = null;
+         }
+         _ticks_model.set_enabled(leg_tup, value);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Sniper/SniperTicksModel.cs

@@ -0,0 +1,42 @@
+using bts.spark;
+
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   internal class SniperTicksModel : RowModelBase<int> {
+      readonly Dictionary<int, int> _value_store = new();
+
+      public override string display_name => "Ticks";
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Sniper };
+
+      public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup).NTicks = _value_from_store(leg_tup);
+
+      public override int get_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup)?.NTicks ?? _value_from_store(leg_tup);
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, int value) {
+         _value_store[leg_tup.id] = value;
+         var s = _get_params(leg_tup);
+         if (s is not null) {
+            s.NTicks = value;
+         }
+      }
+
+      protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup) != null;
+
+      SniperQuoteParams _get_params(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.SniperQuoteParams;
+
+      int _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+         _value_store.get_value(leg_tup.id, _ => 0);
+   }
+}

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

@@ -23,6 +23,7 @@ using System.Windows.Input;
 using System.Windows.Media;
 
 using HedgePricing = bts.spark.ExecutionStrategy.Types.HedgePricing;
+using SpreaderType = bts.spark.ExecutionStrategy.Types.SpreaderType;
 
 namespace mbts.spark {
    /// <summary>
@@ -47,6 +48,7 @@ namespace mbts.spark {
       int _integer_tick_size = 1;
       ExecutionStrategyImmutable _strategy;
       HedgePricing _hedge_pricing;
+      SpreaderType _spreader_type;
 
       /// <summary>
       /// Inititalizes a new instance of SyntheticEditorVM class.  This constructor may only be used for already-existing synthetic securities (id must be non-zero).
@@ -198,6 +200,8 @@ namespace mbts.spark {
          } else {
             _can_add_leg = backing(nameof(can_add_leg), false);
          }
+         var sniper_ticks_model = new SniperTicksModel();
+         var reverse_hedge_ticks_model = new ReverseHedgeTicksModel();
          var show_quantity_quantity = new ShowQuantityQuantityModel();
 
          var quote_throttle_outside_ticks = new QuoteThrottleOutsideTicksModel();
@@ -225,15 +229,18 @@ namespace mbts.spark {
 
          var post_hedge_opposite_market_based_cross_threshold = new PostHedgeOppositeMarketVolumeBasedCrossThresholdModel();
          var post_hedge_opposite_market_based_cross_cross_ticks = new PostHedgeOppositeMarketVolumeBasedCrossCrossTicksModel();
-         var is_quote_model = new IsQuoteModel();
          rows = new IRowModel[] {
             _quantity_model,
             _price_mult_model,
-            is_quote_model,
             //new EnableHedgeModel(), //TAHA_SPREADER
             new HedgeRatioModel(),
+            new SniperEnabledModel(sniper_ticks_model),
+            sniper_ticks_model,
+            new ReverseHedgeEnabledModel(reverse_hedge_ticks_model),
+            reverse_hedge_ticks_model,
             //new MinLeanQtyModel(), //TAHA_SPREADER
             //new QuoteHiddenModel(),
+            new QuoteEnabledModel(),
             new QuoteQueueHolderModel(),
             new MarketDataTypeModel(),
             new ShowQuantityEnabledModel(show_quantity_quantity),
@@ -337,6 +344,13 @@ namespace mbts.spark {
       public HedgePricing hedge_pricing { get => _hedge_pricing; set => Set(ref _hedge_pricing, value); }
       public IEnumerable<HedgePricing> hedge_pricing_options => EnumHelper.get_values<HedgePricing>();
 
+      // spreader type
+      public SpreaderType spreader_type {
+         get => _spreader_type;
+         set => Set(ref _spreader_type, value);
+      }
+      public IEnumerable<SpreaderType> spreader_type_options => EnumHelper.get_values<SpreaderType>();
+
       public ExecutionStrategyImmutable get_strategy() {
          var mutable_strategy = _strategy.CloneToMutable();
          mutable_strategy.LegParamsMap.Clear();
@@ -352,6 +366,7 @@ namespace mbts.spark {
          _synthetic.Exchange = Venue.Bts;
          _strategy = strategy;
          hedge_pricing = strategy.HedgePricing;
+         spreader_type = strategy.SpreaderType;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
          if (synthetic.HasContractSpec) {
             /// assign the fields <see cref="_use_fractional_ticks"/> and <see cref="_integer_tick_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

@@ -8,6 +8,7 @@ using mbts.ui.controls;
 
 using ProtoBuf;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 
 using System;
@@ -61,6 +62,10 @@ 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; }
@@ -87,7 +92,7 @@ namespace bts.shell.fills {
 
       // PNL's Expiration group popups use this prop to filtered data by a particular exp (it isn't
       // serialized bc it's not part of the main window's settings)
-      public DateTime? exp_date { get; set; }
+      public ExpirationDate? exp_date { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -113,10 +118,11 @@ 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) {
-            pb.add_date_time(fs.exp_date.Value, f => f.security?.earliest_expiration());
+            pb.add_exp_date(fs.exp_date.Value, f => f.security?.earliest_expiration());
          }
          return pb.to_predicate();
       }

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

@@ -41,6 +41,8 @@ namespace mbts.spark {
    using System.Windows.Input;
    using System.Windows.Media;
 
+   using SpreaderType = bts.spark.ExecutionStrategy.Types.SpreaderType;
+
    class LadderVM : DisposableViewModelBase, IWillLetYouKnowWhenIDispose, IKeyListener {
       static readonly Brush _transparent_status_brush = BTSColors.UI.transparent;
 
@@ -103,10 +105,12 @@ namespace mbts.spark {
       ulong _misc_time = 0;
       ulong _last_trade_time = 0;
       ulong _last_bbo_time = 0;
+      SpreaderType _spreader_type = SpreaderType.Requote;
       IReadOnlyDictionary<uint, OrderRecordTuple> _cache = DictionaryHelper.empty<uint, OrderRecordTuple>();
       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,
@@ -125,6 +129,9 @@ namespace mbts.spark {
          size_calculator.display_settings = model.security_md.quantity_display;
          _slot_price_vs_orders = new Dictionary<double, LadderOrderVM>(_equality);
          this.order_properties_vm = order_properties_vm;
+         if (model.security.HasSynthetic) {
+            spreader_type_choices.AddRange(EnumHelper.get_values<SpreaderType>());
+         }
          _session_high = backing(nameof(session_high), double.NaN);
          _session_low = backing(nameof(session_low), double.NaN);
          _day_change = backing(nameof(day_change), double.NaN);
@@ -276,9 +283,7 @@ namespace mbts.spark {
          var orders_source = settings.Select(s => s.ticks_per_row).DistinctUntilChanged()
             .SelectSeries(tpr => {
                var spec = TickUtils.multiply_tick_size(security.regional_ticks(), tpr);
-               var price_comp = Comparer<double>.Create((a, b) =>
-                  Comparer<long?>.Default.Compare(spec.count_ticks(a), spec.count_ticks(b)));
-               return _order_price_source(model.orders, price_comp, p => spec.round_to_tick(p, RoundingMode.AbsDown));
+               return _order_price_source(model.orders, p => spec.round_to_tick(p, RoundingMode.AbsDown));
             });
          _day_change.Changed += (o, n) => RaisePropertyChanged(
             nameof(day_change_font_color), nameof(day_change_background_color));
@@ -329,7 +334,8 @@ 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 +411,9 @@ 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
@@ -576,6 +584,12 @@ namespace mbts.spark {
       public ObservableCollection<FairValueLineVM> fair_value_lines { get; } =
          new ObservableCollection<FairValueLineVM>();
 
+      public SpreaderType spreader_type {
+         get => _spreader_type;
+         set => Set(ref _spreader_type, value);
+      }
+      public ObservableCollection<SpreaderType> spreader_type_choices { get; } = new();
+
       public uint orders_column_width {
          get => _orders_column_width.Value;
          set => _orders_column_width.set(value);
@@ -755,15 +769,21 @@ namespace mbts.spark {
          }
 
          var order = order_properties_vm.create(side);
-         if (order.CustomDef is not null) {
-            if (order.CustomDef.Stop is not null) {
-               order.CustomDef.Stop.StopPrice = price;
-            } else if (order.CustomDef.StopLimit is not null) {
+         var def = order.CustomDef;
+         if (def is not null) {
+            if (def.Stop is not null) {
+               def.Stop.StopPrice = price;
+            } else if (def.StopLimit is not null) {
                // swap the prices here so that the level clicked
                // in the ladder is the StopPrice (trigger) and the Price
                // is what was specificed in the extra parameter box
-               (price, order.CustomDef.StopLimit.StopPrice) =
-                  (order.CustomDef.StopLimit.StopPrice, price);
+               (price, def.StopLimit.StopPrice) =
+                  (def.StopLimit.StopPrice, price);
+            } else if (def.Spreader is not null) {
+               var strategy = def.Spreader.ExecutionStrategy;
+               if (strategy is not null) {
+                  strategy.SpreaderType = spreader_type;
+               }
             }
          }
 
@@ -802,10 +822,8 @@ namespace mbts.spark {
       }
 
       static IObservable<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>> price_index, IReadOnlyDictionary<uint, OrderRecordTuple> map)> _order_price_source(
-         IObservable<TableUpdate<OrderRecordTuple, uint>> source,
-         IComparer<double> price_comp,
-         Func<double, double> normalize_price
-      ) {
+         IObservable<TableUpdate<OrderRecordTuple, uint>> source, Func<double, double> normalize_price) {
+         var price_comp = MathUtils.error_margin_comparer(1E-9);
          return Observable.Create<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>>, IReadOnlyDictionary<uint, OrderRecordTuple>)>(o => {
             var state = ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordTuple>>(price_comp);
             var sub = source.Subscribe(table => {
@@ -849,15 +867,18 @@ namespace mbts.spark {
             return sub;
          });
 
-         bool price_changed(Change<OrderRecordTuple> ch) =>
-            price_comp.Compare(ch.New.order.ui_price(), ch.Old.order.ui_price()) != 0;
-
          double get_price(OrderRecordTuple order) {
             var p = order.order.ui_price();
             if (!(normalize_price is null))
                p = normalize_price(p);
             return p;
          }
+
+         bool price_changed(Change<OrderRecordTuple> ch) {
+            var oldp = get_price(ch.Old);
+            var newp = get_price(ch.New);
+            return price_comp.Compare(oldp, newp) != 0;
+         }
       }
 
       double _normalize_price(double price) =>

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() {
@@ -637,10 +626,30 @@ namespace mbts.spark {
 
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
-         if (side == Side.Undefined)
-            throw new ArgumentException("Side is undefined.", nameof(side));
-         if (!(_vm.size_calculator.value is double size) || size == 0 || !(_vm.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false))
+         void on_cannot_send(string reason) {
+            Log.Ui.warn($"LadderGridHost cannot send parameterized order. {reason}");
+         }
+         if (_vm is null) {
+            on_cannot_send("ViewModel is null");
             return;
+         }
+         switch (side) {
+            case Side.Buy:
+            case Side.Sell:
+               break;
+            default:
+               on_cannot_send($"Invalid side '{side}'");
+               return;
+         }
+         double size = _vm?.size_calculator?.value ?? 0;
+         if (size > 0) {
+            return;
+         }
+         bool can_expand = _vm?.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false;
+         if (!can_expand) {
+            on_cannot_send("Selected algo not parameterized");
+            return;
+         }
          double price = _price_for_row(_row_for_point(point));
          var grid = new Grid { DataContext = _vm };
          grid.RowDefinitions.Add(new RowDefinition { Height = new GridLength(1, GridUnitType.Star) });
@@ -712,6 +721,10 @@ namespace mbts.spark {
       }
 
       async Task _show_mbo_popup(Point point) {
+         if (_vm is null) {
+            Log.Ui.warn("Cannot show mbo popup. ViewModel is null.");
+            return;
+         }
          var query = MBOPopupModel.default_query.with(
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
@@ -872,13 +885,13 @@ 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 +904,9 @@ 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 +952,7 @@ 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 +1124,7 @@ 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 +1337,8 @@ 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>
@@ -1433,7 +1448,7 @@ namespace mbts.spark {
          double best_ask = _get_top_price(_asks);
          var v = best_bid
             .if_nan(_spec.tickdown(best_ask))
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1441,11 +1456,14 @@ namespace mbts.spark {
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
+         if (_vm is null) {
+            return double.NaN;
+         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          var v = _spec.tickdown(best_ask)
             .if_nan(best_bid)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1455,15 +1473,15 @@ namespace mbts.spark {
          var v = TickUtils.mid_tick(_spec, best_bid, best_ask)
             .if_nan(best_bid)
             .if_nan(_spec?.tickdown(best_ask) ?? double.NaN)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_session_low() => _normalize_price(_get_session_low_raw());
       double _get_session_high() => _normalize_price(_get_session_high_raw());
 
-      double _get_session_low_raw() => _vm.md.session_low;
-      double _get_session_high_raw() => _vm.md.session_high;
+      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
+      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1484,7 +1502,7 @@ namespace mbts.spark {
          }
          /// The viewmodel will always have the most up-to-date settings, so ignore <see cref="s"/> and just get it from <see cref="_vm"/>.
          /// This is a workaround for the global settings-defaults issue: when defaults are updated, some properties are inadvertantly overwritten, such as column-widths, etc.
-         _settings = _vm.get_save_state();
+         _settings = _vm?.get_save_state() ?? s;
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
          if (_price_list != null) {
@@ -1506,11 +1524,13 @@ 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 +1540,16 @@ 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
@@ -1560,19 +1578,19 @@ namespace mbts.spark {
          _visual_host.AddVisualChild(_mid_mkt_break_vis);
          _visual_host.AddVisualChild(_ask_mkt_break_vis);
          _visual_host.AddVisualChild(_bid_mkt_break_vis);
-         _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
-            _vm.fair_value_lines,
-            _mkt_break_lines.fair_value_line_views,
-            vm => {
-               var with_vis = new FairValueLineWithVis(vm);
-               _visual_host.AddVisualChild(with_vis.vis);
-               return with_vis;
-            },
-            with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         if (_vm is not null) {
+            _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
+               _vm.fair_value_lines,
+               _mkt_break_lines.fair_value_line_views,
+               vm => {
+                  var with_vis = new FairValueLineWithVis(vm);
+                  _visual_host.AddVisualChild(with_vis.vis);
+                  return with_vis;
+               },
+               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 +1612,16 @@ 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>
@@ -1036,6 +956,13 @@
                 </Style>
               </uag:OrderDetailsPopupControl.Resources>
             </uag:OrderDetailsPopupControl>
+            
+            <ComboBox
+              Margin="2"
+              ItemsSource="{Binding spreader_type_choices}"
+              SelectedItem="{Binding spreader_type}"
+              Visibility="{Binding HasItems, Mode=OneWay, RelativeSource={RelativeSource Self}, Converter={StaticResource BooleanToVisibilityConverter}}"
+            />
 
             <!-- Position into Qty Button -->
             <Button
@@ -1177,19 +1104,19 @@
               <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/ManualFills/ManualFillRow.cs

@@ -5,6 +5,7 @@ using mbts.spark;
 using mbts.ui;
 using mbts.ui.shell;
 
+using Spark.Api.Data;
 using Spark.Core.Data;
 using Spark.Core.Disposables;
 using Spark.Core.Reflection;

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;
@@ -8,6 +8,7 @@ using bts.utils;
 using mbts.ui;
 using mbts.ui.controls;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 using Spark.Core.Collections;
 using Spark.ViewModel.Commands;
@@ -108,6 +109,8 @@ 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 +131,8 @@ 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 +360,15 @@ 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 +532,12 @@ 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 +1,174 @@
-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(
+            Array.ConvertAll(fs.root_algo_types, a => (AlgoID?)a),
+            o => o.root.algo.HasValue
+               ? AlgoID.from_algo_key(o.root.algo.Value.key)
+               : null);
+         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/Data/PNLData.cs

@@ -1,527 +1,317 @@
-using bts.api;
-using bts.api.orderman;
-using bts.api.position;
-using bts.utils;
-
-using mbts;
-using mbts.analytics;
-using mbts.spark;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.utils;
-
-using Spark.Api.Orders;
-using Spark.Api.Position;
-
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.ComponentModel;
-using System.Linq;
-
-using PNLKey = bts.AccountSecurityKey;
-
-namespace bts.shell.pnl {
-   public enum PNLCalculationType {
-      None,
-      Bid,
-      Ask,
-      Opposite,
-      Same,
-      [Description("Cascade")]
-      Waterfall,
-      Last,
-      Mid,
-      Settle
-   }
-
-   readonly struct WorkingOrderData {
-      public readonly WorkingOrderSideData long_data, short_data;
-
-      WorkingOrderData(WorkingOrderSideData long_data, WorkingOrderSideData short_data) {
-         this.long_data = long_data;
-         this.short_data = short_data;
-      }
-
-      public static WorkingOrderData Empty =>
-         new WorkingOrderData(WorkingOrderSideData.EmptyLong, WorkingOrderSideData.EmptyShort);
-
-      public double top_bid =>
-         long_data.data.Count > 0 ?
-            long_data.data.First().Key :
-            double.NaN;
-
-      public double top_ask =>
-         short_data.data.Count > 0 ?
-            short_data.data.First().Key :
-            double.NaN;
-
-      public PositionPriceSize summary =>
-         new PositionPriceSize(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
-
-      public static WorkingOrderData Create(
-         IEnumerable<OrderRecordImmutable> orders, QuantityConversionData<double> qty_conversion) =>
-         Create(orders.Select(o => (o, qty_conversion)));
-
-      public static WorkingOrderData Create(
-         IEnumerable<(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)> orders) =>
-         orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
-
-      public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Add(order, qty_conversion), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order, qty_conversion));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-
-      public WorkingOrderData Remove(OrderRecordImmutable order) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Remove(order.Key, order.price()), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Remove(order.Key, order.price()));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-   }
-
-   readonly struct WorkingOrderSideData {
-      public readonly double avg_price, display_avg_price;
-      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)>> data;
-      public readonly double working_total;
-      public readonly double display_working_total;
-
-      WorkingOrderSideData(
-         double avg_price,
-         double working_total,
-         double display_avg_price,
-         double display_working_total,
-         ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>> data
-      ) {
-         this.avg_price = avg_price;
-         this.working_total = working_total;
-         this.display_avg_price = display_avg_price;
-         this.data = data;
-         this.display_working_total = display_working_total;
-      }
-
-      public static WorkingOrderSideData EmptyLong => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new ReverseComparer<double>(new OrderPriceComparer())));
-
-      public static WorkingOrderSideData EmptyShort => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new OrderPriceComparer()));
-
-      public double top_price =>
-         data.Count > 0 ?
-            data.First().Key :
-            double.NaN;
-
-      public double top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.order.working_quantity()) :
-            0;
-
-      public double display_top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.qty_conversion
-               .convert_numeric_type<double>()
-               .to_display(o.order.working_quantity())) :
-            0;
-
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
-         Add(order_record, new());
-
-      public WorkingOrderSideData Add(
-         OrderRecordImmutable order_record, QuantityConversionData<double> qty_conversion) {
-         var working_qty = order_record.working_quantity();
-         if (working_qty <= 0)
-            throw new ArgumentException(nameof(working_qty));
-         uint order = order_record.Key;
-         var dworking_qty = qty_conversion.to_display(working_qty);
-         double price = order_record.price();
-         if (working_total == 0) {
-            Log.assert(display_working_total == 0);
-            return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(
-               price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-         } else return new WorkingOrderSideData(
-              avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
-              working_total + working_qty,
-              display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
-              display_working_total + dworking_qty,
-              data.SetItem(price, data.TryGetValue(price, out var curr) ?
-                 curr.Add(order, (order_record, qty_conversion)) :
-                 ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-      }
-
-      public WorkingOrderSideData Remove(uint order, double price) {
-         var tmp_data = data;
-         if (!tmp_data.TryGetValue(price, out var wdata))
-            throw new KeyNotFoundException(nameof(price));
-         if (!wdata.TryGetValue(order, out var worder))
-            throw new KeyNotFoundException(nameof(order));
-         var wqty = worder.order.working_quantity();
-         var dwqty = worder.qty_conversion.to_display(wqty);
-         wdata = wdata.Remove(order);
-         if (wdata.Count == 0)
-            tmp_data = tmp_data.Remove(price);
-         if (tmp_data.Count == 0)
-            return new(
-               double.NaN, 0, double.NaN, 0,
-               ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-                  data.KeyComparer));
-         return new(
-            avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
-            working_total - wqty,
-            display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
-            display_working_total - dwqty,
-            tmp_data);
-      }
-
-      public override string ToString() {
-         if (data.Count > 0) {
-            var best_order = data.Values.First().Values.First();
-            return OrderUtils.order_collection_summary(
-               best_order.order.price(),
-               display_avg_price,
-               best_order.qty_conversion.to_display(best_order.order.working_quantity()),
-               display_working_total,
-               Security.Defaults.ContractSpecificationImmutable);
-         }
-         return string.Empty;
-      }
-   }
-
-   readonly struct PNLRowData : IEquatable<PNLRowData> {
-      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
-      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
-
-      static readonly WaterfallPriceFlags[] _waterfall_preferences = new[] {
-         WaterfallPriceFlags.LastInsideSpread,
-         WaterfallPriceFlags.Mid,
-         WaterfallPriceFlags.LastGTEBid,
-         WaterfallPriceFlags.Bid,
-         WaterfallPriceFlags.LastLTEAsk,
-         WaterfallPriceFlags.Ask,
-         WaterfallPriceFlags.Last,
-         WaterfallPriceFlags.Settle
-      };
-
-      public readonly PNLKey key;
-      public readonly SecurityImmutable? security;
-      public readonly QuantityConversionData<double> qty_conversion;
-      public readonly uint account_id;
-      public readonly string account_name;
-      public readonly PNLCalculationType calc_type;
-      public readonly PositionPriceSizeWithGreeks sod;
-      public readonly PositionPriceSizeWithGreeks day;
-      public readonly WorkingOrderData working;
-
-      public readonly double
-         default_cpp,
-         bid_price,
-         ask_price,
-         last_price,
-         settlement_price;
-
-      public readonly double? override_cpp;
-
-      public PNLRowData(
-         PNLKey key,
-         double default_cpp = 1,
-         double? override_cpp = null,
-         double pnl_price = double.NaN,
-         double bid_price = 0,
-         double ask_price = 0,
-         double last_price = 0,
-         double settlement_price = 0,
-         double sod_pnl = 0,
-         PositionPriceSizeWithGreeks? sod = null,
-         double day_pnl = 0,
-         PositionPriceSizeWithGreeks? day = null,
-         WorkingOrderData? working = null,
-         SecurityImmutable? security = null,
-         uint account_id = 0,
-         string account_name = null,
-         PNLCalculationType calc_type = PNLCalculationType.Mid,
-         QuantityConversionData<double>? qty_conversion = null) {
-         //
-         this.key = key;
-         this.default_cpp = default_cpp;
-         this.override_cpp = override_cpp;
-         this.pnl_price = pnl_price;
-         this.bid_price = bid_price;
-         this.ask_price = ask_price;
-         this.last_price = last_price;
-         this.settlement_price = settlement_price;
-         this.sod_pnl = sod_pnl;
-         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
-         this.day_pnl = day_pnl;
-         this.day = day ?? PositionPriceSizeWithGreeks.empty;
-         this.working = working ?? WorkingOrderData.Empty;
-         this.security = security;
-         this.account_id = account_id;
-         this.account_name = account_name;
-         this.calc_type = calc_type;
-         this.qty_conversion = qty_conversion ?? new();
-      }
-
-      [Flags]
-      enum WaterfallPriceFlags {
-         None = 0,
-         Bid = 1,
-         Ask = 1 << 1,
-         Last = 1 << 2,
-         Settle = 1 << 3,
-         Mid = Bid | Ask,
-         LastGTEBid = Bid | Last | 1 << 4,
-         LastLTEAsk = Ask | Last | 1 << 5,
-         LastInsideSpread = LastGTEBid | LastLTEAsk,
-         BidGTESettle = Bid | Settle | 1 << 6,
-         AskLTESettle = Ask | Settle | 1 << 7
-      }
-
-      public AccountTuple account => new(account_id, account_name);
-      public string symbol => security?.pnl_symbol() ?? string.Empty;
-      public DateTime expiration =>
-         security?.normal_expirations()?.MinOrDefault(DateTime.MinValue) ?? DateTime.MinValue;
-      public double effective_cpp => override_cpp ?? default_cpp;
-
-      /// Market/Calc
-      public double mid_price => (bid_price + ask_price) / 2;
-      public double pnl_price { get; }
-
-      /// Sod
-      public double sod_pnl { get; }
-      public double sod_long_pos => sod.long_pos;
-      public double sod_long_avg_price => sod.long_avg;
-      public double sod_short_pos => sod.short_pos;
-      public double sod_short_avg_price => sod.short_avg;
-      public double sod_net_pos => sod.net_pos;
-      public double sod_net_avg_price => sod.net_avg;
-      public double sod_delta => sod.delta;
-      public double sod_gamma => sod.gamma;
-      public double sod_vega => sod.vega;
-      public double sod_theta => sod.theta;
-      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
-      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
-      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
-
-      /// Day
-      public double day_pnl { get; }
-      public double day_long_pos => day.long_pos;
-      public double day_long_avg_price => day.long_avg;
-      public double day_short_pos => day.short_pos;
-      public double day_short_avg_price => day.short_avg;
-      public double day_delta => day.delta;
-      public double day_gamma => day.gamma;
-      public double day_vega => day.vega;
-      public double day_theta => day.theta;
-      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
-      public double day_net_pos => day.net_pos;
-      public double day_net_avg => day.net_avg;
-      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
-      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
-      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
-
-      /// Total
-      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
-      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
-      public double total_long_avg_price =>
-         MathUtils.weighted_average(
-            sod_long_avg_price.if_nan(0),
-            sod_long_pos.if_nan(0),
-            day_long_avg_price.if_nan(0),
-            day_long_pos.if_nan(0));
-      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
-      public double total_short_avg_price =>
-         MathUtils.weighted_average(
-            sod_short_avg_price.if_nan(0),
-            sod_short_pos.if_nan(0),
-            day_short_avg_price.if_nan(0),
-            day_short_pos.if_nan(0));
-      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
-      public double total_delta => sod.delta.add_real(day.delta);
-      public double total_gamma => sod.gamma.add_real(day.gamma);
-      public double total_vega => sod.vega.add_real(day.vega);
-      public double total_theta => sod.theta.add_real(day.theta);
-      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
-      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
-      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
-
-      /// Working
-      public double working_long_pos => working.long_data.working_total;
-      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
-      public double working_long_top_price => effective_cpp * working.long_data.top_price;
-      public double working_short_pos => working.short_data.working_total;
-      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
-      public double working_short_top_price => effective_cpp * working.short_data.top_price;
-      public double working_net_pos => working_long_pos - working_short_pos;
-      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
-      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
-      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
-
-      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
-         new(
-            u.id(),
-            default_cpp: 1.0,
-            override_cpp: null,
-            pnl_price: u.theo,
-            bid_price: double.NaN,
-            ask_price: double.NaN,
-            last_price: double.NaN,
-            settlement_price: u.settle_price,
-            sod_pnl: u.start_pnl,
-            sod: new() {
-               price_size = new(
-                  u.start_long_pos,
-                  u.start_long_avg_cost,
-                  u.start_short_pos,
-                  u.start_short_avg_cost),
-               greeks = new() {
-                  delta = u.start_delta,
-                  gamma = u.start_gamma,
-                  vega = u.start_vega,
-                  theta = u.start_theta
-               }
-            },
-            day_pnl: u.day_pnl,
-            day: new() {
-               price_size = new(
-                  u.day_long_pos,
-                  u.day_long_avg_cost,
-                  u.day_short_pos,
-                  u.day_short_avg_cost),
-               greeks = new() {
-                  delta = u.day_delta,
-                  gamma = u.day_gamma,
-                  vega = u.day_vega,
-                  theta = u.day_theta
-               }
-            },
-            working: null,
-            security: u.security,
-            account_id: u.account_id,
-            account_name: u.account,
-            calc_type: PNLCalculationType.Mid,
-            qty_conversion: null);
-
-      public PNLRowData with(
-         SecurityImmutable? security = null,
-         uint? account_id = null,
-         string account_name = null,
-         WorkingOrderData? working = null,
-         PNLCalculationType? calc_type = null) =>
-         new PNLRowData(
-            key,
-            default_cpp,
-            override_cpp,
-            pnl_price,
-            bid_price,
-            ask_price,
-            last_price,
-            settlement_price,
-            sod_pnl: sod_pnl,
-            sod,
-            day_pnl: day_pnl,
-            day,
-            working ?? this.working,
-            security ?? this.security,
-            account_id ?? this.account_id,
-            account_name ?? this.account_name,
-            calc_type ?? this.calc_type,
-            qty_conversion: qty_conversion);
-
-      WaterfallPriceFlags _waterfall_flags() {
-         var flags = WaterfallPriceFlags.None;
-         if (!double.IsNaN(bid_price)) flags |= WaterfallPriceFlags.Bid;
-         if (!double.IsNaN(ask_price)) flags |= WaterfallPriceFlags.Ask;
-         if (!double.IsNaN(last_price)) flags |= WaterfallPriceFlags.Last;
-         if (last_price >= bid_price) flags |= WaterfallPriceFlags.LastGTEBid;
-         if (last_price <= ask_price) flags |= WaterfallPriceFlags.LastLTEAsk;
-         if (!double.IsNaN(settlement_price)) flags |= WaterfallPriceFlags.Settle;
-         if (bid_price >= settlement_price) flags |= WaterfallPriceFlags.BidGTESettle;
-         if (ask_price <= settlement_price) flags |= WaterfallPriceFlags.AskLTESettle;
-         return flags;
-      }
-
-      double _waterfall_price() {
-         var flags = _waterfall_flags();
-         // return price for the best match
-         for (int i = 0; i < _waterfall_preferences.Length; i++) {
-            if ((_waterfall_preferences[i] & flags) == _waterfall_preferences[i])
-               return _waterfall_price(_waterfall_preferences[i]);
-         }
-         return double.NaN;
-      }
-
-      double _waterfall_price(WaterfallPriceFlags ltp) {
-         switch (ltp) {
-            case WaterfallPriceFlags.Last:
-            case WaterfallPriceFlags.LastInsideSpread:
-            case WaterfallPriceFlags.LastGTEBid:
-            case WaterfallPriceFlags.LastLTEAsk: return last_price;
-            case WaterfallPriceFlags.Mid: return mid_price;
-            case WaterfallPriceFlags.Bid:
-            case WaterfallPriceFlags.BidGTESettle: return bid_price;
-            case WaterfallPriceFlags.Ask:
-            case WaterfallPriceFlags.AskLTESettle: return ask_price;
-            case WaterfallPriceFlags.Settle: return settlement_price;
-            default: return double.NaN;
-         }
-      }
-
-      public bool Equals(PNLRowData other) =>
-         key == other.key &&
-         default_cpp == other.default_cpp &&
-         override_cpp == other.override_cpp &&
-         security.HasValue == other.security.HasValue &&
-         account_name == other.account_name &&
-         sod == other.sod &&
-         day == other.day &&
-         bid_price.Equals(other.bid_price) &&
-         ask_price.Equals(other.ask_price) &&
-         last_price.Equals(other.last_price) &&
-         mid_price.Equals(other.mid_price) &&
-         settlement_price.Equals(other.settlement_price) &&
-         calc_type.Equals(other.calc_type) &&
-         working.summary == other.working.summary &&
-         qty_conversion == other.qty_conversion;
-
-      public override bool Equals(object obj) =>
-         obj is PNLRowData other && Equals(other);
-
-      // assuming callers will not combine different values with the same key,
-      // the other components shouldn't be included in the hash calculation.
-      public override int GetHashCode() =>
-         key.GetHashCode();
-
-      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
-      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
-   }
-
-   static class PNLDataExtensions {
-      public static string pnl_symbol(this SecurityImmutable security) {
-         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
-      }
-
-      // while override_cpp could use double.NaN to indicate the lack of an override,
-      // the nullable double makes it clear that it is an optional value.
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
-         security.HasValue ?
-            pnl_cpp_tuple(pnl_unit, security.Value) :
-            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
-         // TODO: actual impl
-         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
-         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-      }
-   }
-}
+using bts.api;
+using bts.api.position;
+using bts.utils;
+
+using mbts;
+using mbts.analytics;
+using mbts.spark;
+using mbts.utils;
+
+using Spark.Api.Data;
+using Spark.Api.Position;
+
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Linq;
+
+using PNLKey = bts.AccountSecurityKey;
+
+namespace bts.shell.pnl {
+   public enum PNLCalculationType {
+      None,
+      Bid,
+      Ask,
+      Opposite,
+      Same,
+      [Description("Cascade")]
+      Waterfall,
+      Last,
+      Mid,
+      Settle
+   }
+
+   readonly struct PNLRowData : IEquatable<PNLRowData> {
+      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
+      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
+
+      public readonly PNLKey key;
+      public readonly SecurityImmutable? security;
+      public readonly QuantityConversionData<double> qty_conversion;
+      public readonly uint account_id;
+      public readonly string account_name;
+      public readonly PNLCalculationType calc_type;
+      public readonly PositionPriceSizeWithGreeks sod;
+      public readonly PositionPriceSizeWithGreeks day;
+      public readonly WorkingOrderData working;
+
+      public readonly double
+         default_cpp,
+         bid_price,
+         ask_price,
+         last_price,
+         settlement_price;
+
+      public readonly double? override_cpp;
+
+      public PNLRowData(
+         PNLKey key,
+         double default_cpp = 1,
+         double? override_cpp = null,
+         double pnl_price = double.NaN,
+         double bid_price = 0,
+         double ask_price = 0,
+         double last_price = 0,
+         double settlement_price = 0,
+         PositionPriceSizeWithGreeks? sod = null,
+         PositionPriceSizeWithGreeks? day = null,
+         WorkingOrderData? working = null,
+         SecurityImmutable? security = null,
+         uint account_id = 0,
+         string account_name = null,
+         PNLCalculationType calc_type = PNLCalculationType.Mid,
+         QuantityConversionData<double>? qty_conversion = null) {
+         //
+         this.key = key;
+         this.default_cpp = default_cpp;
+         this.override_cpp = override_cpp;
+         this.pnl_price = pnl_price;
+         this.bid_price = bid_price;
+         this.ask_price = ask_price;
+         this.last_price = last_price;
+         this.settlement_price = settlement_price;
+         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
+         this.day = day ?? PositionPriceSizeWithGreeks.empty;
+         this.working = working ?? WorkingOrderData.Empty;
+         this.security = security;
+         this.account_id = account_id;
+         this.account_name = account_name;
+         this.calc_type = calc_type;
+         this.qty_conversion = qty_conversion ?? new();
+      }
+
+      public AccountTuple account => new(account_id, account_name);
+      public string symbol => security?.pnl_symbol() ?? string.Empty;
+      public ExpirationDate expiration =>
+         security?.normal_expirations()?.MinOrDefault(ExpirationDate.None) ?? ExpirationDate.None;
+      public double effective_cpp => override_cpp ?? default_cpp;
+
+      /// Market/Calc
+      public double mid_price => (bid_price + ask_price) / 2;
+      public double pnl_price { get; }
+
+      /// Sod
+      public double sod_pnl => new[] { sod_realized_pnl, sod_unrealized_pnl }.sum_real();
+      public double sod_long_pos => sod.long_pos;
+      public double sod_long_avg_price => sod.long_avg;
+      public double sod_long_avg_pnl => bid_price - sod.long_avg;
+      public double sod_short_pos => sod.short_pos;
+      public double sod_short_avg_price => sod.short_avg;
+      public double sod_short_avg_pnl => sod.short_avg - ask_price;
+      public double sod_net_pos => sod.net_pos;
+      public double sod_net_avg_price => sod.net_avg;
+      public double sod_unrealized_pnl => sod_long_pos > sod_short_pos
+         ? (sod_long_pos - sod_short_pos) * effective_cpp * (bid_price - sod_long_avg_price)
+         : (sod_short_pos - sod_long_pos) * effective_cpp * (sod_short_avg_price - ask_price);
+      public double sod_realized_pnl => (sod_short_avg_price - sod_long_avg_price) * effective_cpp * Math.Min(sod_long_pos, sod_short_pos);
+      public double sod_delta => sod.delta;
+      public double sod_gamma => sod.gamma;
+      public double sod_vega => sod.vega;
+      public double sod_theta => sod.theta;
+      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
+      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
+      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
+
+      /// Day
+      public double day_pnl => new[] { day_realized_pnl + day_unrealized_pnl }.sum_real();
+      public double day_long_pos => day.long_pos;
+      public double day_long_avg_price => day.long_avg;
+      public double day_long_avg_pnl => bid_price - day.long_avg;
+      public double day_short_pos => day.short_pos;
+      public double day_short_avg_price => day.short_avg;
+      public double day_short_avg_pnl => day.short_avg - ask_price;
+      public double day_delta => day.delta;
+      public double day_gamma => day.gamma;
+      public double day_vega => day.vega;
+      public double day_theta => day.theta;
+      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
+      public double day_net_pos => day.net_pos;
+      public double day_net_avg => day.net_avg;
+      public double day_unrealized_pnl => day_long_pos > day_short_pos
+         ? (day_long_pos - day_short_pos) * effective_cpp * (bid_price - day_long_avg_price)
+         : (day_short_pos - day_long_pos) * effective_cpp * (day_short_avg_price - ask_price);
+      public double day_realized_pnl => (day_short_avg_price - day_long_avg_price) * effective_cpp * Math.Min(day_long_pos, day_short_pos);
+      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
+      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
+      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
+
+      /// Total
+      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
+      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
+      public double total_long_avg_price =>
+         MathUtils.weighted_average(
+            sod_long_avg_price.if_nan(0),
+            sod_long_pos.if_nan(0),
+            day_long_avg_price.if_nan(0),
+            day_long_pos.if_nan(0));
+      public double total_long_avg_pnl => new[] { sod_long_avg_pnl, day_long_avg_pnl }.sum_real();
+      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
+      public double total_short_avg_price =>
+         MathUtils.weighted_average(
+            sod_short_avg_price.if_nan(0),
+            sod_short_pos.if_nan(0),
+            day_short_avg_price.if_nan(0),
+            day_short_pos.if_nan(0));
+      public double total_short_avg_pnl => new[] { sod_short_avg_pnl, day_short_avg_pnl }.sum_real();
+      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
+      public double total_unrealized_pnl => new[] { sod_unrealized_pnl, day_unrealized_pnl }.sum_real();
+      public double total_realized_pnl => new[] { sod_realized_pnl, day_realized_pnl }.sum_real();
+      public double total_delta => sod.delta.add_real(day.delta);
+      public double total_gamma => sod.gamma.add_real(day.gamma);
+      public double total_vega => sod.vega.add_real(day.vega);
+      public double total_theta => sod.theta.add_real(day.theta);
+      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
+      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
+      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
+
+      /// Working
+      public double working_long_pos => working.long_data.working_total;
+      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
+      public double working_long_top_price => effective_cpp * working.long_data.top_price;
+      public double working_short_pos => working.short_data.working_total;
+      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
+      public double working_short_top_price => effective_cpp * working.short_data.top_price;
+      public double working_net_pos => working_long_pos - working_short_pos;
+      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
+      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
+      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
+
+      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
+         new(
+            u.id(),
+            default_cpp: u.security.spec_or_default().CashPerPoint,
+            override_cpp: null,
+            pnl_price: u.theo,
+            bid_price: double.NaN,
+            ask_price: double.NaN,
+            last_price: double.NaN,
+            settlement_price: u.settle_price,
+            // Now computed as the sum: sod_realized_pnl + sod_unrealized_pnl
+            // sod_pnl: u.start_pnl,
+            sod: new() {
+               price_size = new(
+                  u.start_long_pos,
+                  u.start_long_avg_cost,
+                  u.start_short_pos,
+                  -u.start_short_avg_cost),
+               greeks = new() {
+                  delta = u.start_delta,
+                  gamma = u.start_gamma,
+                  vega = u.start_vega,
+                  theta = u.start_theta
+               }
+            },
+            // Now computed as the sum: day_realized_pnl + day_unrealized_pnl
+            // day_pnl: u.day_pnl,
+            day: new() {
+               price_size = new(
+                  u.day_long_pos,
+                  u.day_long_avg_cost,
+                  u.day_short_pos,
+                  -u.day_short_avg_cost),
+               greeks = new() {
+                  delta = u.day_delta,
+                  gamma = u.day_gamma,
+                  vega = u.day_vega,
+                  theta = u.day_theta
+               }
+            },
+            working: null,
+            security: u.security,
+            account_id: u.account_id,
+            account_name: u.account,
+            calc_type: PNLCalculationType.Mid,
+            qty_conversion: null);
+
+      public PNLRowData with(
+         SecurityImmutable? security = null,
+         uint? account_id = null,
+         string account_name = null,
+         WorkingOrderData? working = null,
+         PNLCalculationType? calc_type = null,
+         double? bid_price = null,
+         double? ask_price = null) =>
+         new PNLRowData(
+            key,
+            default_cpp,
+            override_cpp,
+            pnl_price,
+            bid_price ?? this.bid_price,
+            ask_price ?? this.ask_price,
+            last_price,
+            settlement_price,
+            sod,
+            day,
+            working ?? this.working,
+            security ?? this.security,
+            account_id ?? this.account_id,
+            account_name ?? this.account_name,
+            calc_type ?? this.calc_type,
+            qty_conversion: qty_conversion);
+
+      public PNLRowData with(SecurityMD smd) {
+         ulong time = 0;
+         if (!smd.md.get_bbo(ref time, out var bid, out var ask)) {
+            return this;
+         }
+         return with(security: smd.security, bid_price: bid.price, ask_price: ask.price);
+      }
+
+      public bool Equals(PNLRowData other) =>
+         key == other.key &&
+         default_cpp == other.default_cpp &&
+         override_cpp == other.override_cpp &&
+         security.HasValue == other.security.HasValue &&
+         account_name == other.account_name &&
+         sod == other.sod &&
+         day == other.day &&
+         bid_price.Equals(other.bid_price) &&
+         ask_price.Equals(other.ask_price) &&
+         last_price.Equals(other.last_price) &&
+         mid_price.Equals(other.mid_price) &&
+         settlement_price.Equals(other.settlement_price) &&
+         calc_type.Equals(other.calc_type) &&
+         working.summary == other.working.summary &&
+         qty_conversion == other.qty_conversion;
+
+      public override bool Equals(object obj) =>
+         obj is PNLRowData other && Equals(other);
+
+      // assuming callers will not combine different values with the same key,
+      // the other components shouldn't be included in the hash calculation.
+      public override int GetHashCode() =>
+         key.GetHashCode();
+
+      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
+      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
+   }
+
+   static class PNLDataExtensions {
+      public static string pnl_symbol(this SecurityImmutable security) {
+         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
+      }
+
+      // while override_cpp could use double.NaN to indicate the lack of an override,
+      // the nullable double makes it clear that it is an optional value.
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
+         security.HasValue ?
+            pnl_cpp_tuple(pnl_unit, security.Value) :
+            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
+         // TODO: actual impl
+         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
+         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+      }
+   }
+}

src/client/spark/Modules/Trading/PNL/Data/PNLNormalizedData.cs

@@ -38,6 +38,8 @@ namespace bts.shell.pnl {
 
       // sod
       public decimal sod_pnl { get; init; }
+      public decimal sod_realized_pnl { get; init; }
+      public decimal sod_unrealized_pnl { get; init; }
       public decimal sod_long_pos { get; init; }
       public decimal sod_short_pos { get; init; }
       public decimal sod_net_pos => sod_long_pos - sod_short_pos;
@@ -51,6 +53,8 @@ namespace bts.shell.pnl {
 
       // day
       public decimal day_pnl { get; init; }
+      public decimal day_realized_pnl { get; init; }
+      public decimal day_unrealized_pnl { get; init; }
       public decimal day_long_pos { get; init; }
       public decimal day_short_pos { get; init; }
       public decimal day_net_pos => day_long_pos - day_short_pos;
@@ -64,6 +68,8 @@ namespace bts.shell.pnl {
 
       // total
       public decimal total_pnl => sod_pnl + day_pnl;
+      public decimal total_realized_pnl => sod_realized_pnl + day_realized_pnl;
+      public decimal total_unrealized_pnl => sod_unrealized_pnl + day_unrealized_pnl;
       public decimal total_net_pos => total_long_pos - total_short_pos;
       public decimal total_long_pos => sod_long_pos + day_long_pos;
       public decimal total_short_pos => sod_short_pos + day_short_pos;
@@ -86,6 +92,8 @@ namespace bts.shell.pnl {
       public bool Equals(PNLNormalizedData other) =>
          // sod
          sod_pnl == other.sod_pnl &&
+         sod_realized_pnl == other.sod_realized_pnl &&
+         sod_unrealized_pnl == other.sod_unrealized_pnl &&
          sod_long_pos == other.sod_long_pos &&
          sod_short_pos == other.sod_short_pos &&
          sod_delta == other.sod_delta &&
@@ -97,6 +105,8 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl == other.day_pnl &&
+         day_realized_pnl == other.day_realized_pnl &&
+         day_unrealized_pnl == other.day_unrealized_pnl &&
          day_long_pos == other.day_long_pos &&
          day_short_pos == other.day_short_pos &&
          day_delta == other.day_delta &&
@@ -154,6 +164,8 @@ namespace bts.shell.pnl {
          new() {
             // sod
             sod_pnl = op(a.sod_pnl, b.sod_pnl),
+            sod_realized_pnl = op(a.sod_realized_pnl, b.sod_realized_pnl),
+            sod_unrealized_pnl = op(a.sod_unrealized_pnl, b.sod_unrealized_pnl),
             sod_long_pos = op(a.sod_long_pos, b.sod_long_pos),
             sod_short_pos = op(a.sod_short_pos, b.sod_short_pos),
             sod_delta = op(a.sod_delta, b.sod_delta),
@@ -165,6 +177,8 @@ namespace bts.shell.pnl {
 
             // day
             day_pnl = op(a.day_pnl, b.day_pnl),
+            day_realized_pnl = op(a.day_realized_pnl, b.day_realized_pnl),
+            day_unrealized_pnl = op(a.day_unrealized_pnl, b.day_unrealized_pnl),
             day_long_pos = op(a.day_long_pos, b.day_long_pos),
             day_short_pos = op(a.day_short_pos, b.day_short_pos),
             day_delta = op(a.day_delta, b.day_delta),

src/client/spark/Modules/Trading/PNL/PNLWindow.cs

@@ -39,6 +39,9 @@ namespace bts.shell {
    class PNLWindow : SparkWindow<PNLSaveState>, ISharedWindow {
       public const string WINDOW_TYPE = "PNL";
       public const string WINDOW_TITLE = "P&L Summary";
+      // Cpp overrides aren't respected in pnl calc. Hide the "Override Cpp"
+      // menu item until we fix it.
+      const bool CAN_OVERRIDE_CPP = false;
 
       static int _window_id_counter = 0;
 
@@ -137,6 +140,10 @@ namespace bts.shell {
          _cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(_view._grid.Columns);
 
          _commands = new() {
+            SparkCommands.ShowMarketView.complete(() => {
+               var rows = _vm.selected_rows.null_if_empty() ?? _vm.rows;
+               return SecurityCriteria.from_keys(rows.Select(r => r.security_key.value).Distinct());
+            }),
             new SparkCommandCommand(
                "Collapse All", Icons.RightArrow, new Command(() => _vm.set_all_expanded(false))),
             new SparkCommandCommand(
@@ -152,7 +159,7 @@ namespace bts.shell {
             },
             new SparkCommandCommand(
                "Override CPP...", Icons.CurrencyExchange, new Command(_override_cpp)) {
-               show_in_context_menu = true,
+               show_in_context_menu = CAN_OVERRIDE_CPP,
                show_in_toolbar = false
             },
             SparkCommands.window_settings_command(new DialogCommand(_mk_settings_win)),
@@ -211,13 +218,16 @@ namespace bts.shell {
             .ToArray();
          var calc_type = _vm.calculation_type;
          var state = _settings_manager.instance_settings;
+         var menu_display = _menu_display_vm?.create();
          if (state is null) {
             // don't use defaults if the user manipulated the window state outside of the
             // settings dialog (e.g., resized column(s) via drag, or changed sort/filter)
             var defaults = _settings_manager.default_settings;
             if (calc_type == defaults.calculation_type &&
                defaults.sorting_criteria.SequenceEqual(sorting_criteria) &&
-               defaults.grid.columns.SequenceEqual(cols) && defaults.filters.safe_equals(filters)) {
+               defaults.grid.columns.SequenceEqual(cols) &&
+               defaults.filters.safe_equals(filters) &&
+               (!menu_display.HasValue || menu_display.Value.Equals(defaults.menu_display))) {
                // the user's current state still matches the defaults (i.e., no outside
                // manipulation was performed); return null so this window will use the latest
                // default settings when restored
@@ -234,7 +244,7 @@ namespace bts.shell {
             state.grid.with(columns: cols, background: _vm.grid_background_color.to_uint()),
             calc_type,
             _vm.header_row_display,
-            menu_display: _menu_display_vm?.create());
+            menu_display: menu_display);
          return new PNLSaveState { use_defaults = false, settings = state };
       }
 

src/client/spark/Modules/Trading/PNL/PNLWindowFactory.cs

@@ -98,7 +98,7 @@ namespace bts.shell {
 
          static bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, Func<PNLSettings, PNLAnimationTriggerData[], PNLSettings> set_triggers) {
             if (_apply(actual_triggers, default_triggers, out var result)) {
-               settings = set_triggers(settings, actual_triggers.Concat(result).ToArray());
+               settings = set_triggers(settings, result.ToArray());
                return true;
             }
             return false;

src/client/spark/Modules/Trading/PNL/Settings/PNLFilterSettings.cs

@@ -9,6 +9,8 @@ namespace bts.shell.pnl {
 
    using ProtoBuf;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Linq;
 
@@ -33,8 +35,8 @@ namespace bts.shell.pnl {
 
       // expiration
       [ProtoMember(53)]
-      DateTime[] _expiration;
-      public DateTime[] expiration {
+      ExpirationDate[] _expiration;
+      public ExpirationDate[] expiration {
          get => _expiration.empty_if_null();
          set => _expiration = value;
       }
@@ -65,16 +67,24 @@ namespace bts.shell.pnl {
       /// sod
       [ProtoMember(8)]
       public DoubleMinMaxState sod_pnl { get; set; }
+      [ProtoMember(54)]
+      public DoubleMinMaxState sod_realized_pnl { get; set; }
+      [ProtoMember(55)]
+      public DoubleMinMaxState sod_unrealized_pnl { get; set; }
       // sod long
       [ProtoMember(9)]
       public DoubleMinMaxState sod_long_pos { get; set; }
       [ProtoMember(10)]
       public DoubleMinMaxState sod_long_avg_price { get; set; }
+      [ProtoMember(60)]
+      public DoubleMinMaxState sod_long_avg_pnl { get; set; }
       // sod short
       [ProtoMember(11)]
       public DoubleMinMaxState sod_short_pos { get; set; }
       [ProtoMember(12)]
       public DoubleMinMaxState sod_short_avg_price { get; set; }
+      [ProtoMember(61)]
+      public DoubleMinMaxState sod_short_avg_pnl { get; set; }
       // sod net
       [ProtoMember(13)]
       public DoubleMinMaxState sod_net_pos { get; set; }
@@ -92,16 +102,24 @@ namespace bts.shell.pnl {
       /// day
       [ProtoMember(14)]
       public DoubleMinMaxState day_pnl { get; set; }
+      [ProtoMember(56)]
+      public DoubleMinMaxState day_realized_pnl { get; set; }
+      [ProtoMember(57)]
+      public DoubleMinMaxState day_unrealized_pnl { get; set; }
       // day long
       [ProtoMember(15)]
       public DoubleMinMaxState day_long_pos { get; set; }
       [ProtoMember(16)]
       public DoubleMinMaxState day_long_avg_price { get; set; }
+      [ProtoMember(62)]
+      public DoubleMinMaxState day_long_avg_pnl { get; set; }
       // day short
       [ProtoMember(17)]
       public DoubleMinMaxState day_short_pos { get; set; }
       [ProtoMember(18)]
       public DoubleMinMaxState day_short_avg_price { get; set; }
+      [ProtoMember(63)]
+      public DoubleMinMaxState day_short_avg_pnl { get; set; }
       // day net
       [ProtoMember(19)]
       public DoubleMinMaxState day_net_pos { get; set; }
@@ -149,16 +167,24 @@ namespace bts.shell.pnl {
       /// total
       [ProtoMember(29)]
       public DoubleMinMaxState total_pnl { get; set; }
+      [ProtoMember(58)]
+      public DoubleMinMaxState total_realized_pnl { get; set; }
+      [ProtoMember(59)]
+      public DoubleMinMaxState total_unrealized_pnl { get; set; }
       // total long
       [ProtoMember(30)]
       public DoubleMinMaxState total_long_pos { get; set; }
       [ProtoMember(31)]
       public DoubleMinMaxState total_long_avg_price { get; set; }
+      [ProtoMember(64)]
+      public DoubleMinMaxState total_long_avg_pnl { get; set; }
       // total short
       [ProtoMember(32)]
       public DoubleMinMaxState total_short_pos { get; set; }
       [ProtoMember(33)]
       public DoubleMinMaxState total_short_avg_price { get; set; }
+      [ProtoMember(65)]
+      public DoubleMinMaxState total_short_avg_pnl { get; set; }
       // total net
       [ProtoMember(34)]
       public DoubleMinMaxState total_net_pos { get; set; }
@@ -199,6 +225,8 @@ namespace bts.shell.pnl {
          cpp.safe_equals(other.cpp) &&
          /// sod
          sod_pnl.safe_equals(other.sod_pnl) &&
+         sod_realized_pnl.safe_equals(other.sod_realized_pnl) &&
+         sod_unrealized_pnl.safe_equals(other.sod_unrealized_pnl) &&
          sod_long_pos.safe_equals(other.sod_long_pos) &&
          sod_long_avg_price.safe_equals(other.sod_long_avg_price) &&
          sod_short_pos.safe_equals(other.sod_short_pos) &&
@@ -210,6 +238,8 @@ namespace bts.shell.pnl {
          sod_theta.safe_equals(other.sod_theta) &&
          /// day
          day_pnl.safe_equals(other.day_pnl) &&
+         day_realized_pnl.safe_equals(other.day_realized_pnl) &&
+         day_unrealized_pnl.safe_equals(other.day_unrealized_pnl) &&
          day_long_pos.safe_equals(other.day_long_pos) &&
          day_long_avg_price.safe_equals(other.day_long_avg_price) &&
          day_short_pos.safe_equals(other.day_short_pos) &&
@@ -232,6 +262,8 @@ namespace bts.shell.pnl {
          working_net_pos.safe_equals(other.working_net_pos) &&
          /// total
          total_pnl.safe_equals(other.total_pnl) &&
+         total_realized_pnl.safe_equals(other.total_realized_pnl) &&
+         total_unrealized_pnl.safe_equals(other.total_unrealized_pnl) &&
          total_long_pos.safe_equals(other.total_long_pos) &&
          total_long_avg_price.safe_equals(other.total_long_avg_price) &&
          total_short_pos.safe_equals(other.total_short_pos) &&
@@ -270,6 +302,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.cpp, d => d.effective_cpp);
          /// sod
          bd.add_numeric(fs.sod_pnl, d => d.sod_pnl);
+         bd.add_numeric(fs.sod_realized_pnl, d => d.sod_realized_pnl);
+         bd.add_numeric(fs.sod_unrealized_pnl, d => d.sod_unrealized_pnl);
          bd.add_numeric(fs.sod_long_pos, d => d.sod_long_pos);
          bd.add_numeric(fs.sod_long_avg_price, d => d.sod_long_avg_price);
          bd.add_numeric(fs.sod_short_pos, d => d.sod_short_pos);
@@ -281,6 +315,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.sod_theta, d => d.sod_theta);
          /// day
          bd.add_numeric(fs.day_pnl, d => d.day_pnl);
+         bd.add_numeric(fs.day_realized_pnl, d => d.day_realized_pnl);
+         bd.add_numeric(fs.day_unrealized_pnl, d => d.day_unrealized_pnl);
          bd.add_numeric(fs.day_long_pos, d => d.day_long_pos);
          bd.add_numeric(fs.day_long_avg_price, d => d.day_long_avg_price);
          bd.add_numeric(fs.day_short_pos, d => d.day_short_pos);
@@ -299,6 +335,8 @@ namespace bts.shell.pnl {
          bd.add_numeric(fs.working_net_pos, d => d.working_net_pos);
          /// total
          bd.add_numeric(fs.total_pnl, d => d.total_pnl);
+         bd.add_numeric(fs.total_realized_pnl, d => d.total_realized_pnl);
+         bd.add_numeric(fs.total_unrealized_pnl, d => d.total_unrealized_pnl);
          bd.add_numeric(fs.total_long_pos, d => d.total_long_pos);
          bd.add_numeric(fs.total_long_avg_price, d => d.total_long_avg_price);
          bd.add_numeric(fs.total_short_pos, d => d.total_short_pos);

src/client/spark/Modules/Trading/PNL/Settings/PNLSettings.cs

@@ -9,9 +9,13 @@ using mbts.user.settings;
 
 using ProtoBuf;
 
+using Spark.Core;
+
 using System;
 using System.Collections.Generic;
+using System.IO;
 using System.Linq;
+using System.Reflection;
 using System.Windows;
 using System.Windows.Media;
 
@@ -110,7 +114,22 @@ namespace bts.shell.pnl {
       GridSettings _grid_backing;
       PNLCellAppearanceProto _grid_cell_appearance_backing;
 
-      public static PNLSettings Default =>
+      static LazyOnce<PNLSettings> defaultProfile;
+
+      static PNLSettings() {
+         defaultProfile = new(() => {
+            var binDir = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
+            var store = ShellWindowSettingsDirectoryStore.Create<PNLSettings>(
+               Path.Combine(binDir, "ShellWindowSettings", "Pnl"), "*." + mbts.spark.UserSettings.FileExtensions.PNL);
+            return store.Profiles.GetValueOrDefault("Default")
+               ?? store.Profiles.Values.FirstOrDefault()
+               ?? historicDefault;
+         });
+      }
+
+      public static PNLSettings Default => defaultProfile.Value;
+
+      static PNLSettings historicDefault =>
          new PNLSettings {
             _sorting_criteria = new[] {
                new SortingCriteria(nameof(Columns.Account), true),
@@ -192,6 +211,10 @@ namespace bts.shell.pnl {
             yield return _trigger($"{nameof(PNLRowData.total_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalPNL));
             yield return _trigger($"{nameof(PNLRowData.total_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.TotalNetPos));
             yield return _trigger($"{nameof(PNLRowData.total_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.TotalNetPos));
+            yield return _trigger($"{nameof(PNLRowData.total_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, font_weight: FontWeights.Bold, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, font_weight: FontWeights.Bold, column: Columns.TotalUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLRowData.total_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, font_weight: FontWeights.Bold, column: Columns.TotalUnrealizedPNL));
             // working
             yield return _trigger($"{nameof(PNLRowData.working_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.WorkingNetPos));
             yield return _trigger($"{nameof(PNLRowData.working_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.WorkingNetPos));
@@ -202,16 +225,28 @@ namespace bts.shell.pnl {
          get {
             yield return _trigger($"{nameof(PNLNormalizedData.sod_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.SODNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.SODNetPos));
             // day
             yield return _trigger($"{nameof(PNLNormalizedData.day_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.day_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.day_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.DayNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.day_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.DayNetPos));
             // total
             yield return _trigger($"{nameof(PNLNormalizedData.total_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.total_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.total_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.TotalNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.total_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.TotalNetPos));
             // working
@@ -224,16 +259,28 @@ namespace bts.shell.pnl {
          get {
             yield return _trigger($"{nameof(PNLNormalizedData.sod_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.SODUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.sod_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.SODUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.SODNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.sod_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.SODNetPos));
             // day
             yield return _trigger($"{nameof(PNLNormalizedData.day_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.day_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.DayUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.day_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.DayUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.day_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.DayNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.day_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.DayNetPos));
             // total
             yield return _trigger($"{nameof(PNLNormalizedData.total_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.total_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_realized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_realized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalRealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_unrealized_pnl)} > 0", _animation(foreground: BTSColors.PNL.profit, column: Columns.TotalUnrealizedPNL));
+            yield return _trigger($"{nameof(PNLNormalizedData.total_unrealized_pnl)} < 0", _animation(foreground: BTSColors.PNL.loss, column: Columns.TotalUnrealizedPNL));
             yield return _trigger($"{nameof(PNLNormalizedData.total_net_pos)} > 0", _animation(foreground: BTSColors.MarketData.bid, column: Columns.TotalNetPos));
             yield return _trigger($"{nameof(PNLNormalizedData.total_net_pos)} < 0", _animation(foreground: BTSColors.MarketData.ask, column: Columns.TotalNetPos));
             // working
@@ -392,10 +439,14 @@ namespace bts.shell.pnl {
          public static GridColumnSettings cpp => new GridColumnSettings(nameof(Columns.CPP), "CPP", false, width: 50, horizontal_alignment: HorizontalAlignment.Right);
          // sod
          public static GridColumnSettings sod_pnl => new GridColumnSettings(nameof(Columns.SODPNL), Headers.SOD.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_realized_pnl => new GridColumnSettings(nameof(Columns.SODRealizedPNL), Headers.SOD.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_unrealized_pnl => new GridColumnSettings(nameof(Columns.SODUnrealizedPNL), Headers.SOD.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_long_pos => new GridColumnSettings(nameof(Columns.SODLongPos), Headers.SOD.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_long_avg_price => new GridColumnSettings(nameof(Columns.SODLongAvgPrice), Headers.SOD.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_long_avg_pnl => new(nameof(Columns.SODLongAvgPNL), Headers.SOD.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_short_pos => new GridColumnSettings(nameof(Columns.SODShortPos), Headers.SOD.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_short_avg_price => new GridColumnSettings(nameof(Columns.SODShortAvgPrice), Headers.SOD.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings sod_short_avg_pnl => new(nameof(Columns.SODShortAvgPNL), Headers.SOD.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings sod_net_pos => new GridColumnSettings(nameof(Columns.SODNetPos), Headers.SOD.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings sod_delta => new(
@@ -428,10 +479,14 @@ namespace bts.shell.pnl {
 
          // day
          public static GridColumnSettings day_pnl => new GridColumnSettings(nameof(Columns.DayPNL), Headers.Day.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_realized_pnl => new GridColumnSettings(nameof(Columns.DayRealizedPNL), Headers.Day.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_unrealized_pnl => new GridColumnSettings(nameof(Columns.DayUnrealizedPNL), Headers.Day.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_long_pos => new GridColumnSettings(nameof(Columns.DayLongPos), Headers.Day.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_long_avg_price => new GridColumnSettings(nameof(Columns.DayLongAvgPrice), Headers.Day.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_long_avg_pnl => new GridColumnSettings(nameof(Columns.DayLongAvgPNL), Headers.Day.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_short_pos => new GridColumnSettings(nameof(Columns.DayShortPos), Headers.Day.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_short_avg_price => new GridColumnSettings(nameof(Columns.DayShortAvgPrice), Headers.Day.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings day_short_avg_pnl => new GridColumnSettings(nameof(Columns.DayShortAvgPNL), Headers.Day.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings day_net_pos => new GridColumnSettings(nameof(Columns.DayNetPos), Headers.Day.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings day_delta => new(
@@ -471,10 +526,14 @@ namespace bts.shell.pnl {
          public static GridColumnSettings working_net_pos => new GridColumnSettings(nameof(Columns.WorkingNetPos), Headers.Working.Net, width: Widths.WorkingQty, horizontal_alignment: HorizontalAlignment.Right);
          // total
          public static GridColumnSettings total_pnl => new GridColumnSettings(nameof(Columns.TotalPNL), Headers.Total.PNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_realized_pnl => new GridColumnSettings(nameof(Columns.TotalRealizedPNL), Headers.Total.RealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_unrealized_pnl => new GridColumnSettings(nameof(Columns.TotalUnrealizedPNL), Headers.Total.UnrealizedPNL, width: Widths.PriceBig, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_long_pos => new GridColumnSettings(nameof(Columns.TotalLongPos), Headers.Total.Long, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_long_avg_price => new GridColumnSettings(nameof(Columns.TotalLongAvgPrice), Headers.Total.LongAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_long_avg_pnl => new(nameof(Columns.TotalLongAvgPNL), Headers.Total.LongAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_short_pos => new GridColumnSettings(nameof(Columns.TotalShortPos), Headers.Total.Short, false, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_short_avg_price => new GridColumnSettings(nameof(Columns.TotalShortAvgPrice), Headers.Total.ShortAvg, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings total_short_avg_pnl => new(nameof(Columns.TotalShortAvgPNL), Headers.Total.ShortAvgPNL, false, width: Widths.Price, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings total_net_pos => new GridColumnSettings(nameof(Columns.TotalNetPos), Headers.Total.Net, width: Widths.Qty, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings total_delta => new(
@@ -528,28 +587,40 @@ namespace bts.shell.pnl {
 
                // pnl
                yield return sod_pnl;
+               yield return sod_realized_pnl;
+               yield return sod_unrealized_pnl;
                yield return day_pnl;
+               yield return day_realized_pnl;
+               yield return day_unrealized_pnl;
                yield return total_pnl;
+               yield return total_realized_pnl;
+               yield return total_unrealized_pnl;
 
                // sod pos, price
                yield return sod_long_pos;        // hidden
                yield return sod_long_avg_price;  // hidden
+               yield return sod_long_avg_pnl;    // hidden
                yield return sod_short_pos;       // hidden
                yield return sod_short_avg_price; // hidden
+               yield return sod_short_avg_pnl;   // hidden
                yield return sod_net_pos;
 
                // day pos, price
                yield return day_long_pos;        // hidden
                yield return day_long_avg_price;  // hidden
+               yield return day_long_avg_pnl;    // hidden
                yield return day_short_pos;       // hidden
                yield return day_short_avg_price; // hidden
+               yield return day_short_avg_pnl;   // hidden
                yield return day_net_pos;
 
                // total pos, price
                yield return total_long_pos;        // hidden
                yield return total_long_avg_price;  // hidden
+               yield return total_long_avg_pnl;    // hidden
                yield return total_short_pos;       // hidden
                yield return total_short_avg_price; // hidden
+               yield return total_short_avg_pnl;   // hidden
                yield return total_net_pos;
 
                // sod greeks

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

@@ -34,6 +34,8 @@ namespace bts.shell.pnl {
          _cell_map.set_appearances(default_appearances);
          // sod
          sod_pnl = _cell_map.add_pnl_decimal(ColumnKeys.SODPNL, d => d.sod_pnl);
+         sod_realized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.SODRealizedPNL, d => d.sod_realized_pnl);
+         sod_unrealized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.SODUnrealizedPNL, d => d.sod_unrealized_pnl);
          sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.sod_net_pos);
          sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.sod_long_pos);
          sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.sod_short_pos);
@@ -44,6 +46,8 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl = _cell_map.add_pnl(ColumnKeys.DayPNL, d => d.day_pnl);
+         day_realized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.DayRealizedPNL, d => d.day_realized_pnl);
+         day_unrealized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.DayUnrealizedPNL, d => d.day_unrealized_pnl);
          day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.day_net_pos);
          day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.day_long_pos);
          day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.day_short_pos);
@@ -58,6 +62,8 @@ namespace bts.shell.pnl {
          working_short_pos = _cell_map.add_short_pos(ColumnKeys.WorkingShortPos, r => r.working_short_pos);
          // total
          total_pnl = _cell_map.add_pnl_decimal(ColumnKeys.TotalPNL, d => d.total_pnl);
+         total_realized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.TotalRealizedPNL, d => d.total_realized_pnl);
+         total_unrealized_pnl = _cell_map.add_pnl_decimal(ColumnKeys.TotalUnrealizedPNL, d => d.total_unrealized_pnl);
          total_net_pos = _cell_map.add_net_pos(ColumnKeys.TotalNetPos, d => d.total_net_pos);
          total_long_pos = _cell_map.add_long_pos(ColumnKeys.TotalLongPos, d => d.total_long_pos);
          total_short_pos = _cell_map.add_short_pos(ColumnKeys.TotalShortPos, d => d.total_short_pos);
@@ -88,6 +94,8 @@ namespace bts.shell.pnl {
 
       // day
       public PNLCellVM<PNLNormalizedData, decimal> day_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> day_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> day_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_short_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_net_pos { get; }
@@ -98,6 +106,8 @@ namespace bts.shell.pnl {
 
       // sod
       public PNLCellVM<PNLNormalizedData, decimal> sod_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> sod_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> sod_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_short_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_net_pos { get; }
@@ -108,6 +118,8 @@ namespace bts.shell.pnl {
 
       // total
       public PNLCellVM<PNLNormalizedData, decimal> total_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> total_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> total_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_net_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_short_pos { get; }

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

@@ -1,378 +1,407 @@
-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.Api.Data;
+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.ToString());
+         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_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODRealizedPNL, d => d.sod_realized_pnl);
+         sod_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODUnrealizedPNL, d => d.sod_unrealized_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_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.SODLongAvgPNL, d => d.sod_long_avg_pnl);
+         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_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.SODShortAvgPNL, d => d.sod_short_avg_pnl);
+         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_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayRealizedPNL, d => d.day_realized_pnl);
+         day_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayUnrealizedPNL, d => d.day_unrealized_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_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.DayLongAvgPNL, d => d.day_long_avg_pnl);
+         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_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.DayShortAvgPNL, d => d.day_short_avg_pnl);
+         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_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalRealizedPNL, d => d.total_realized_pnl);
+         total_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalUnrealizedPNL, d => d.total_unrealized_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_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPNL, d => d.total_long_avg_pnl);
+         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_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPNL, d => d.total_short_avg_pnl);
+         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_realized_pnl = sod_realized_pnl.value.round_to_decimal(),
+                  sod_unrealized_pnl = sod_unrealized_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_realized_pnl = day_realized_pnl.value.round_to_decimal(),
+                  day_unrealized_pnl = day_unrealized_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 ExpirationDate 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, ExpirationDate> 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_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_unrealized_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_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_pnl { 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_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_unrealized_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_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_pnl { 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_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_unrealized_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_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_pnl { 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/Modules/Trading/PNL/VM/PNLVM.cs

@@ -17,6 +17,7 @@ namespace bts.shell.pnl {
    using mbts.ui.utility;
    using mbts.utils;
 
+   using Spark.Api.Data;
    using Spark.Api.Orders;
    using Spark.Core;
    using Spark.Core.Collections;
@@ -119,7 +120,7 @@ namespace bts.shell.pnl {
             out var symbol_filter_items_observer,
             out var symbol_filter_items_view);
          symbol_filter_items_view.CustomSort = Comparer<string>.Default.to_safe().to_non_generic();
-         expiration_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, DateTime, DateTime>(
+         expiration_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, ExpirationDate, ExpirationDate>(
             r => r.expiration,
             exp => exp,
             out var expiration_filter_items_observer,
@@ -226,7 +227,7 @@ namespace bts.shell.pnl {
       /// security
       public IDataGridColumnPersistentFilter<PNLRowData, uint[]> account_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, Venue[]> exchange_filter { get; } = DiscreteValuesFilterVM.Common.exchange<PNLRowData>(r => r.security.exchange_or_default(), nameof(PNLRowVM.exchange));
-      public IDataGridColumnPersistentFilter<PNLRowData, DateTime[]> expiration_filter { get; }
+      public IDataGridColumnPersistentFilter<PNLRowData, ExpirationDate[]> expiration_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.security?.ToString(), nameof(PNLRowData.security));
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_key_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.key.security_id.ToString());
@@ -237,10 +238,14 @@ namespace bts.shell.pnl {
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.effective_cpp);
       /// sod
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.gamma);
@@ -249,10 +254,14 @@ namespace bts.shell.pnl {
 
       /// day
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day_net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day.delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> day_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.day.gamma);
@@ -267,10 +276,14 @@ namespace bts.shell.pnl {
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> working_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.working_net_pos);
       /// total
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_realized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_realized_pnl);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_unrealized_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_unrealized_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_long_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_long_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_avg_price_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_avg_price);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_short_avg_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_short_avg_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_net_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_net_pos);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_delta_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_delta);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> total_gamma_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.total_gamma);
@@ -310,6 +323,8 @@ namespace bts.shell.pnl {
          cpp = cpp_filter.get_state(),
          /// sod
          sod_pnl = sod_pnl_filter.get_state(),
+         sod_realized_pnl = sod_realized_pnl_filter.get_state(),
+         sod_unrealized_pnl = sod_unrealized_pnl_filter.get_state(),
          sod_long_pos = sod_long_pos_filter.get_state(),
          sod_long_avg_price = sod_long_avg_price_filter.get_state(),
          sod_short_pos = sod_short_pos_filter.get_state(),
@@ -321,10 +336,14 @@ namespace bts.shell.pnl {
          sod_theta = sod_theta_filter.get_state(),
          /// day
          day_pnl = day_pnl_filter.get_state(),
+         day_realized_pnl = day_realized_pnl_filter.get_state(),
+         day_unrealized_pnl = day_unrealized_pnl_filter.get_state(),
          day_long_pos = day_long_pos_filter.get_state(),
          day_long_avg_price = day_long_avg_price_filter.get_state(),
+         day_long_avg_pnl = day_long_avg_price_filter.get_state(),
          day_short_pos = day_short_pos_filter.get_state(),
          day_short_avg_price = day_short_avg_price_filter.get_state(),
+         day_short_avg_pnl = day_short_avg_pnl_filter.get_state(),
          day_net_pos = day_net_pos_filter.get_state(),
          day_delta = day_delta_filter.get_state(),
          day_gamma = day_gamma_filter.get_state(),
@@ -333,6 +352,8 @@ namespace bts.shell.pnl {
          has_day_trades = has_day_trades_filter.get_state(),
          /// total
          total_pnl = total_pnl_filter.get_state(),
+         total_realized_pnl = total_realized_pnl_filter.get_state(),
+         total_unrealized_pnl = total_unrealized_pnl_filter.get_state(),
          total_long_pos = total_long_pos_filter.get_state(),
          total_long_avg_price = total_long_avg_price_filter.get_state(),
          total_short_pos = total_short_pos_filter.get_state(),
@@ -375,6 +396,8 @@ namespace bts.shell.pnl {
                cpp_filter.load_state(f.cpp);
                /// sod
                sod_pnl_filter.load_state(f.sod_pnl);
+               sod_realized_pnl_filter.load_state(f.sod_realized_pnl);
+               sod_unrealized_pnl_filter.load_state(f.sod_unrealized_pnl);
                sod_long_pos_filter.load_state(f.sod_long_pos);
                sod_long_avg_price_filter.load_state(f.sod_long_avg_price);
                sod_short_pos_filter.load_state(f.sod_short_pos);
@@ -383,6 +406,8 @@ namespace bts.shell.pnl {
                sod_delta_filter.load_state(f.sod_delta);
                /// day
                day_pnl_filter.load_state(f.day_pnl);
+               day_realized_pnl_filter.load_state(f.day_realized_pnl);
+               day_unrealized_pnl_filter.load_state(f.day_unrealized_pnl);
                day_long_pos_filter.load_state(f.day_long_pos);
                day_long_avg_price_filter.load_state(f.day_long_avg_price);
                day_short_pos_filter.load_state(f.day_short_pos);
@@ -391,6 +416,8 @@ namespace bts.shell.pnl {
                has_day_trades_filter.load_state(f.has_day_trades);
                /// total
                total_pnl_filter.load_state(f.total_pnl);
+               total_realized_pnl_filter.load_state(f.total_realized_pnl);
+               total_unrealized_pnl_filter.load_state(f.total_unrealized_pnl);
                total_long_pos_filter.load_state(f.total_long_pos);
                total_long_avg_price_filter.load_state(f.total_long_avg_price);
                total_short_pos_filter.load_state(f.total_short_pos);
@@ -566,10 +593,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.CPP: return wrap(r => r.cpp);
             /// SOD
             case ColumnKeys.SODPNL: return wrap(r => r.sod_pnl);
+            case ColumnKeys.SODRealizedPNL: return wrap(r => r.sod_realized_pnl);
+            case ColumnKeys.SODUnrealizedPNL: return wrap(r => r.sod_unrealized_pnl);
             case ColumnKeys.SODLongPos: return wrap(r => r.sod_long_pos);
             case ColumnKeys.SODLongAvgPrice: return wrap(r => r.sod_long_avg_price);
+            case ColumnKeys.SODLongAvgPNL: return wrap(r => r.sod_long_avg_pnl);
             case ColumnKeys.SODShortPos: return wrap(r => r.sod_short_pos);
             case ColumnKeys.SODShortAvgPrice: return wrap(r => r.sod_short_avg_price);
+            case ColumnKeys.SODShortAvgPNL: return wrap(r => r.sod_short_avg_pnl);
             case ColumnKeys.SODNetPos: return wrap(r => r.sod_net_pos);
             case ColumnKeys.SODDelta: return wrap(r => r.sod_delta);
             case ColumnKeys.SODGamma: return wrap(r => r.sod_gamma);
@@ -577,10 +608,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.SODTheta: return wrap(r => r.sod_theta);
             /// Day
             case ColumnKeys.DayPNL: return wrap(r => r.day_pnl);
+            case ColumnKeys.DayRealizedPNL: return wrap(r => r.day_realized_pnl);
+            case ColumnKeys.DayUnrealizedPNL: return wrap(r => r.day_unrealized_pnl);
             case ColumnKeys.DayLongPos: return wrap(r => r.day_long_pos);
             case ColumnKeys.DayLongAvgPrice: return wrap(r => r.day_long_avg_price);
+            case ColumnKeys.DayLongAvgPNL: return wrap(r => r.day_long_avg_pnl);
             case ColumnKeys.DayShortPos: return wrap(r => r.day_short_pos);
             case ColumnKeys.DayShortAvgPrice: return wrap(r => r.day_short_avg_price);
+            case ColumnKeys.DayShortAvgPNL: return wrap(r => r.day_short_avg_pnl);
             case ColumnKeys.DayNetPos: return wrap(r => r.day_net_pos);
             case ColumnKeys.DayDelta: return wrap(r => r.day_delta);
             case ColumnKeys.DayGamma: return wrap(r => r.day_gamma);
@@ -589,10 +624,14 @@ namespace bts.shell.pnl {
             case ColumnKeys.HasDayTrades: return wrap(r => r.has_day_trades);
             /// Total
             case ColumnKeys.TotalPNL: return wrap(r => r.total_pnl);
+            case ColumnKeys.TotalRealizedPNL: return wrap(r => r.total_realized_pnl);
+            case ColumnKeys.TotalUnrealizedPNL: return wrap(r => r.total_unrealized_pnl);
             case ColumnKeys.TotalLongPos: return wrap(r => r.total_long_pos);
             case ColumnKeys.TotalLongAvgPrice: return wrap(r => r.total_long_avg_price);
+            case ColumnKeys.TotalLongAvgPNL: return wrap(r => r.total_long_avg_pnl);
             case ColumnKeys.TotalShortPos: return wrap(r => r.total_short_pos);
             case ColumnKeys.TotalShortAvgPrice: return wrap(r => r.total_short_avg_price);
+            case ColumnKeys.TotalShortAvgPNL: return wrap(r => r.total_short_avg_pnl);
             case ColumnKeys.TotalNetPos: return wrap(r => r.total_net_pos);
             case ColumnKeys.TotalDelta: return wrap(r => r.total_delta);
             case ColumnKeys.TotalGamma: return wrap(r => r.total_gamma);
@@ -627,13 +666,13 @@ namespace bts.shell.pnl {
             yield return col_hash.Contains(c.id) ? c.with(is_visible: false) : c;
       }
 
-      static IObservable<TableUpdate<DateTime, DateTime>> _expirations_source(
+      static IObservable<TableUpdate<ExpirationDate, ExpirationDate>> _expirations_source(
          IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
          pnl_source
             .StartWith(TableUpdate<PNLRowData, PNLKey>.mk_empty(PNLRowData.key_fn))
             .distinct_on(
-               PNLRowData.key_fn, r => r.expiration, e => e, EqualityComparer<DateTime>.Default)
-            .Filter(e => e != DateTime.MinValue);
+               PNLRowData.key_fn, r => r.expiration, e => e, EqualityComparer<ExpirationDate>.Default)
+            .Filter(e => e != ExpirationDate.None);
 
       // combines the known system symbols
       static IObservable<TableUpdate<string, string>> _symbols_source(IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
@@ -707,7 +746,7 @@ namespace bts.shell.pnl {
                   filter.security = SecurityCriteria.from_securities(sec));
                break;
             case ColumnKeys.Expiration:
-               try_set_filter_prop<DateTime>(exp_date => filter.exp_date = exp_date);
+               try_set_filter_prop<ExpirationDate>(exp_date => filter.exp_date = exp_date);
                break;
             default:
                throw new NotImplementedException();
@@ -774,6 +813,17 @@ namespace bts.shell.pnl {
             case ColumnKeys.Account: filter.accounts = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Symbol: filter.symbols = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Exchange: filter.exchanges = new[] { (Venue)g.Name }; break;
+            case ColumnKeys.Expiration: {
+                  if (g.Name is ExpirationDate exp) {
+                     if (filter.security_criteria is null) {
+                        filter.security_criteria = SecurityCriteria.from_expirations(exp);
+                     } else {
+                        filter.security_criteria.clauses = ArrayHelper.add(
+                           filter.security_criteria.clauses, SecurityCriteriaClause.from_expirations(exp));
+                     }
+                  }
+                  break;
+               }
             case ColumnKeys.Security:
                if (g.Name is SecurityImmutable sec)
                   filter.security_criteria = SecurityCriteria.from_securities(sec);

src/client/spark/Modules/Trading/PNL/View/PNLRowCollectionView.cs

@@ -118,6 +118,8 @@ namespace bts.shell.pnl {
          });
          // sod
          sod_pnl = _cell_map.add_pnl(ColumnKeys.SODPNL, d => d.sod_pnl);
+         sod_realized_pnl = _cell_map.add_pnl(ColumnKeys.SODRealizedPNL, d => d.sod_realized_pnl);
+         sod_unrealized_pnl = _cell_map.add_pnl(ColumnKeys.SODUnrealizedPNL, d => d.sod_unrealized_pnl);
          sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
          sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.display_sod_long_pos);
          sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.display_sod_short_pos);
@@ -128,6 +130,8 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl = _cell_map.add_pnl(ColumnKeys.DayPNL, d => d.day_pnl);
+         day_realized_pnl = _cell_map.add_pnl(ColumnKeys.DayRealizedPNL, d => d.day_realized_pnl);
+         day_unrealized_pnl = _cell_map.add_pnl(ColumnKeys.DayUnrealizedPNL, d => d.day_unrealized_pnl);
          day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.display_day_net_pos);
          day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.display_day_long_pos);
          day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.display_day_short_pos);
@@ -138,6 +142,8 @@ namespace bts.shell.pnl {
 
          // total
          total_pnl = _cell_map.add(ColumnKeys.TotalPNL, d => d.total_pnl, FormattingDelegates.Price<decimal>.Value);
+         total_realized_pnl = _cell_map.add_pnl(ColumnKeys.TotalRealizedPNL, d => d.total_realized_pnl);
+         total_unrealized_pnl = _cell_map.add_pnl(ColumnKeys.TotalUnrealizedPNL, d => d.total_unrealized_pnl);
          total_net_pos = _cell_map.add(ColumnKeys.TotalNetPos, d => d.display_total_net_pos);
          total_long_pos = _cell_map.add(ColumnKeys.TotalLongPos, d => d.display_total_long_pos);
          total_short_pos = _cell_map.add(ColumnKeys.TotalShortPos, d => d.display_total_short_pos);
@@ -181,6 +187,8 @@ namespace bts.shell.pnl {
 
       // sod
       public PNLCellVM<PNLNormalizedData, decimal> sod_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> sod_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> sod_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_net_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> sod_short_pos { get; }
@@ -191,6 +199,8 @@ namespace bts.shell.pnl {
 
       // day
       public PNLCellVM<PNLNormalizedData, decimal> day_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> day_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> day_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_net_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> day_short_pos { get; }
@@ -201,6 +211,8 @@ namespace bts.shell.pnl {
 
       // total
       public PNLCellVM<PNLNormalizedData, decimal> total_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> total_realized_pnl { get; }
+      public PNLCellVM<PNLNormalizedData, decimal> total_unrealized_pnl { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_net_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_long_pos { get; }
       public PNLCellVM<PNLNormalizedData, decimal> total_short_pos { get; }

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml

@@ -266,6 +266,7 @@
         <Setter Property="VerticalAlignment" Value="Center"/>
         <Setter Property="Margin" Value="4,0,0,0"/>
         <Setter Property="FontWeight" Value="Bold"/>
+        <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}"/>
       </Style>
 
       <Style x:Key="HeaderRowCellText" TargetType="TextBlock">
@@ -570,6 +571,8 @@
           </TextBlock>
           <!--SOD-->
           <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding total_aggregate.sod_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding total_aggregate.sod_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding total_aggregate.sod_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding total_aggregate.sod_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding total_aggregate.sod_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding total_aggregate.sod_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -580,6 +583,8 @@
 
           <!--Day-->
           <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding total_aggregate.day_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding total_aggregate.day_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding total_aggregate.day_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding total_aggregate.day_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding total_aggregate.day_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding total_aggregate.day_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -598,6 +603,8 @@
           <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding total_aggregate.working_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <!--Total-->
           <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_aggregate.total_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_aggregate.total_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_aggregate.total_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_aggregate.total_net_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_aggregate.total_long_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_aggregate.total_short_pos}" Style="{StaticResource TotalRowHyperlinkCell}"/>
@@ -632,6 +639,8 @@
           <TextBlock Text="{Binding selected_rows.Count, StringFormat='Selected ({0})'}" Style="{StaticResource HeaderRowHeaderText}"/>
           <!--SOD-->
           <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding selected_aggregate.sod_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding selected_aggregate.sod_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding selected_aggregate.sod_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding selected_aggregate.sod_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding selected_aggregate.sod_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding selected_aggregate.sod_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -642,6 +651,8 @@
 
           <!--Day-->
           <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding selected_aggregate.day_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding selected_aggregate.day_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding selected_aggregate.day_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding selected_aggregate.day_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding selected_aggregate.day_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding selected_aggregate.day_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -660,6 +671,8 @@
           <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding selected_aggregate.working_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <!--Total-->
           <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding selected_aggregate.total_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding selected_aggregate.total_realized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
+          <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding selected_aggregate.total_unrealized_pnl}" Style="{StaticResource HeaderRowTextCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding selected_aggregate.total_net_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding selected_aggregate.total_long_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
           <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding selected_aggregate.total_short_pos}" Style="{StaticResource SelectedTotalRowHyperlinkCell}"/>
@@ -791,6 +804,26 @@
               data_member_path="sod_pnl"
               Header="SOD PnL"
             />
+            <!--SOD Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODRealizedPNL"
+              data_member_path="sod_realized_pnl"
+              Header="SOD Realized PnL"
+            />
+            <!--SOD Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODUnrealizedPNL"
+              data_member_path="sod_unrealized_pnl"
+              Header="SOD Unrealized PnL"
+            />
             <!--SOD Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -819,6 +852,15 @@
               key="SODLongAvgPrice"
               data_member_path="sod_long_avg_price"
             />
+            <!--SOD Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODLongAvgPNL"
+              data_member_path="sod_long_avg_pnl"
+            />
             <!--SOD Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -837,6 +879,15 @@
               key="SODShortAvgPrice"
               data_member_path="sod_short_avg_price"
             />
+            <!--SOD Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.sod_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="SODShortAvgPNL"
+              data_member_path="sod_short_avg_pnl"
+            />
             <!--SOD Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_delta_filter, Source={u:DirectReference _grid}}"
@@ -880,6 +931,26 @@
               data_member_path="day_pnl"
               sort_member_path="day_pnl"
             />
+            <!--Day Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayRealizedPNL"
+              data_member_path="day_realized_pnl"
+              Header="Day Realized PnL"
+            />
+            <!--Day Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayUnrealizedPNL"
+              data_member_path="day_unrealized_pnl"
+              Header="Day Unrealized PnL"
+            />
             <!--Day Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -910,6 +981,16 @@
               data_member_path="day_long_avg_price"
               sort_member_path="day_long_avg_price"
             />
+            <!--Day Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayLongAvgPNL"
+              data_member_path="day_long_avg_pnl"
+              sort_member_path="day_long_avg_pnl"
+            />
             <!--Day Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_delta_filter, Source={u:DirectReference _grid}}"
@@ -1012,6 +1093,16 @@
               data_member_path="day_short_avg_price"
               sort_member_path="day_short_avg_price"
             />
+            <!--Day Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.day_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="DayShortAvgPNL"
+              data_member_path="day_short_avg_pnl"
+              sort_member_path="day_short_avg_pnl"
+            />
             <!--Day Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.day_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -1090,6 +1181,26 @@
               key="TotalPNL"
               data_member_path="total_pnl"
             />
+            <!--Total Realized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_realized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_realized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_realized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalRealizedPNL"
+              data_member_path="total_realized_pnl"
+              Header="Total Realized PnL"
+            />
+            <!--Total Unrealized PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_unrealized_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_unrealized_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_unrealized_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalUnrealizedPNL"
+              data_member_path="total_unrealized_pnl"
+              Header="Total Unrealized PnL"
+            />
             <!--Total Net Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_net_pos_filter, Source={u:DirectReference _grid}}"
@@ -1120,6 +1231,16 @@
               data_member_path="total_long_avg_price"
               sort_member_path="total_long_avg_price"
             />
+            <!--Total Long Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_long_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_long_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_long_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalLongAvgPNL"
+              data_member_path="total_long_avg_pnl"
+              sort_member_path="total_long_avg_pnl"
+            />
             <!--Total Short Pos-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_short_pos_filter, Source={u:DirectReference _grid}}"
@@ -1140,6 +1261,16 @@
               data_member_path="total_short_avg_price"
               sort_member_path="total_short_avg_price"
             />
+            <!--Total Short Avg PNL-->
+            <pnl:PNLColumn
+              c:DataGridFilterProperties.Filter="{Binding DataContext.total_short_avg_pnl_filter, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DoubleMinMax}}"
+              c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_short_avg_pnl_filter.active, Source={u:DirectReference _grid}}"
+              c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_short_avg_pnl_filter.open, Source={u:DirectReference _grid}}"
+              key="TotalShortAvgPNL"
+              data_member_path="total_short_avg_pnl"
+              sort_member_path="total_short_avg_pnl"
+            />
             <!--Total Delta-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.total_delta_filter, Source={u:DirectReference _grid}}"
@@ -1198,11 +1329,15 @@
               <c:TextCell c:DIYGrid.ColumnKey="CPP" DataContext="{Binding cpp}" Style="{StaticResource RowTextCell}"/>
               <!--SOD-->
               <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding sod_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding sod_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding sod_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding sod_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding sod_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SODLongAvgPrice" DataContext="{Binding sod_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODLongAvgPNL" DataContext="{Binding sod_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding sod_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SODShortAvgPrice" DataContext="{Binding sod_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="SODShortAvgPNL" DataContext="{Binding sod_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="SODDelta"
                 DataContext="{Binding sod_delta}"
@@ -1222,11 +1357,15 @@
 
               <!--Day-->
               <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding day_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding day_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding day_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding day_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding day_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="DayLongAvgPrice" DataContext="{Binding day_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayLongAvgPNL" DataContext="{Binding day_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding day_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="DayShortAvgPrice" DataContext="{Binding day_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="DayShortAvgPNL" DataContext="{Binding day_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="DayDelta"
                 DataContext="{Binding day_delta}"
@@ -1257,6 +1396,9 @@
               <c:TextCell c:DIYGrid.ColumnKey="LastPrice" DataContext="{Binding last_price}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="SettlementPrice" DataContext="{Binding settlement_price}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="PNLPrice" DataContext="{Binding pnl_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="BidPrice" DataContext="{Binding bid_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="AskPrice" DataContext="{Binding ask_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="MidPrice" DataContext="{Binding mid_price}" Style="{StaticResource RowTextCell}"/>
               <!--Working-->
               <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingNetPos" DataContext="{Binding working_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingLongPos" DataContext="{Binding working_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
@@ -1265,11 +1407,15 @@
               <c:TextCell c:DIYGrid.ColumnKey="WorkingShortAvgPrice" DataContext="{Binding working_short_avg_price}" Style="{StaticResource RowTextCell}"/>
               <!--Total-->
               <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_realized_pnl}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_unrealized_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_net_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_long_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="TotalLongAvgPrice" DataContext="{Binding total_long_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalLongAvgPNL" DataContext="{Binding total_long_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_short_pos}" Style="{StaticResource RowHyperlinkCell}"/>
               <c:TextCell c:DIYGrid.ColumnKey="TotalShortAvgPrice" DataContext="{Binding total_short_avg_price}" Style="{StaticResource RowTextCell}"/>
+              <c:TextCell c:DIYGrid.ColumnKey="TotalShortAvgPNL" DataContext="{Binding total_short_avg_pnl}" Style="{StaticResource RowTextCell}"/>
               <c:TextCell
                 c:DIYGrid.ColumnKey="TotalDelta"
                 DataContext="{Binding total_delta}"
@@ -1360,6 +1506,8 @@
                         </Grid>
                         <!--SOD-->
                         <c:TextCell c:DIYGrid.ColumnKey="SODPNL" DataContext="{Binding sod_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="SODRealizedPNL" DataContext="{Binding sod_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="SODUnrealizedPNL" DataContext="{Binding sod_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODNetPos" DataContext="{Binding sod_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODLongPos" DataContext="{Binding sod_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="SODShortPos" DataContext="{Binding sod_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
@@ -1370,6 +1518,8 @@
 
                         <!--Day-->
                         <c:TextCell c:DIYGrid.ColumnKey="DayPNL" DataContext="{Binding day_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="DayRealizedPNL" DataContext="{Binding day_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="DayUnrealizedPNL" DataContext="{Binding day_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayNetPos" DataContext="{Binding day_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayLongPos" DataContext="{Binding day_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="DayShortPos" DataContext="{Binding day_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
@@ -1384,6 +1534,8 @@
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="WorkingShortPos" DataContext="{Binding working_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <!--Total-->
                         <c:TextCell c:DIYGrid.ColumnKey="TotalPNL" DataContext="{Binding total_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="TotalRealizedPNL" DataContext="{Binding total_realized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
+                        <c:TextCell c:DIYGrid.ColumnKey="TotalUnrealizedPNL" DataContext="{Binding total_unrealized_pnl}" Style="{StaticResource GroupRowTextCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalNetPos" DataContext="{Binding total_net_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalLongPos" DataContext="{Binding total_long_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>
                         <c:HyperlinkCell c:DIYGrid.ColumnKey="TotalShortPos" DataContext="{Binding total_short_pos}" Style="{StaticResource GroupRowHyperlinkCell}"/>

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml.cs

@@ -1,427 +1,439 @@
-namespace bts.shell.pnl {
-   using bts.collections;
-
-   using mbts.collections;
-   using mbts.spark;
-   using mbts.ui;
-   using mbts.ui.controls;
-   using mbts.ui.converters;
-   using mbts.ui.dpi;
-   using mbts.ui.extensions;
-   using mbts.ui.spark;
-   using mbts.ui.utility;
-   using mbts.utils;
-
-   using Spark.Core.Disposables;
-
-   using System;
-   using System.Collections.Generic;
-   using System.Collections.ObjectModel;
-   using System.Collections.Specialized;
-   using System.ComponentModel;
-   using System.Linq;
-   using System.Windows;
-   using System.Windows.Controls;
-   using System.Windows.Data;
-   using System.Windows.Input;
-   using System.Windows.Media;
-
-   enum PNLHeaderRowDisplay {
-      None,
-      Total,
-      SelectedTotal
-   }
-
-   partial class PNLView : UserControl {
-      public static readonly double
-         MinGroupRowHeight = 24.0.RoundLayoutValue(),
-         MinHeaderRowHeight = 24.0.RoundLayoutValue();
-      DIYGridPopupManager _popup_man_backing;
-
-      public enum Columns {
-         Account = 1,
-         // Security
-         Exchange,
-         Symbol,
-         Expiration,
-         SecurityType,
-         Security,
-         SecurityKey,
-         CPP,
-         // SOD
-         SODPNL,
-         SODLongPos,
-         SODLongAvgPrice,
-         SODShortPos,
-         SODShortAvgPrice,
-         SODNetPos,
-         SODDelta,
-         SODGamma,
-         SODVega,
-         SODTheta,
-         // Day
-         DayPNL,
-         DayLongPos,
-         DayLongAvgPrice,
-         DayShortAvgPrice,
-         DayShortPos,
-         DayDelta,
-         DayGamma,
-         DayVega,
-         DayTheta,
-         DayCalcType,
-         DayNetPos,
-         HasDayTrades,
-         // Raw Day
-         RawDayLongPos,
-         RawDayShortPos,
-         RawDayNetPos,
-         // Working
-         WorkingLongPos,
-         WorkingLongAvgPrice,
-         WorkingShortPos,
-         WorkingShortAvgPrice,
-         WorkingNetPos,
-         // Total
-         TotalPNL,
-         TotalLongPos,
-         TotalLongAvgPrice,
-         TotalShortPos,
-         TotalShortAvgPrice,
-         TotalNetPos,
-         TotalDelta,
-         TotalGamma,
-         TotalVega,
-         TotalTheta,
-         // Market
-         BidPrice,
-         MidPrice,
-         AskPrice,
-         LastPrice,
-         SettlementPrice,
-         PNLPrice
-      }
-
-      public static readonly IValueConverter
-         IncrementalGroupLevelConverter = ValueConverter.create<int, int>(level => level + 1),
-         GroupLevelMarginConverter = ValueConverter.create<int, Thickness>(level => new Thickness(24 * level, 0, 0, 0)),
-         HeaderRowHeightConverter = new RangeBlockConverter<double> { Minimum = MinHeaderRowHeight },
-         ExpandedVisualStateConverter = ValueConverter.create<bool, string>(is_expanded => is_expanded ? "Expanded" : "Collapsed");
-
-      public static readonly IMultiValueConverter
-         TotalHeaderRowDisplayTextConverter = ValueConverter.create<int, int, string>((filtered, total) => $"Total ({(filtered == total ? total.ToString() : $"{filtered}/{total}")})"),
-         CellParamsConverter = ValueConverter.create<object, Columns, PNLCell>((item, col) => new PNLCell(item, col));
-
-      public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
-
-      static readonly string _node_path_separator = $" {SpecialCharacters.Dot} ";
-
-      IDisposable _anchors_hook, _animations_hook;
-      int _anchor_version;
-
-      public PNLView() {
-         SetCurrentValue(AnchorIndexProperty, new AnchorIndex());
-         InitializeComponent();
-         SetBinding(AnchorsProperty, new Binding(nameof(PNLVM.anchors)));
-         _grid.ConnectOnLoaded(() => {
-            if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter presenter)) {
-               presenter.GroupItemSelectionPivot += on_group_item_selection_pivot;
-               return Disposable.Create(() => presenter.GroupItemSelectionPivot -= on_group_item_selection_pivot);
-            }
-            return null;
-         });
-         void on_group_item_selection_pivot(object sender, GroupItemSelectionPivotEventArgs e) =>
-            e.Handled = e.group_item is PNLRowCollectionViewGroup pnl_group && pnl_group.is_expanded;
-      }
-
-      public new PNLVM DataContext {
-         get => base.DataContext as PNLVM;
-         set => base.DataContext = value;
-      }
-
-      public bool EnableAnimations {
-         get => _animations_hook != null;
-         set {
-            if (EnableAnimations != value) {
-               if (_animations_hook == null) {
-                  _animations_hook = AdornerHelper.attach_continuously_on_loaded(
-                     () => new GridAnimation.DIYGridAnimationAdorner<Columns>(_grid, _grid.descendants_of_type<DIYGridRowsPresenter>().First()),
-                     _grid);
-               } else {
-                  _animations_hook.Dispose();
-                  _animations_hook = null;
-               }
-            }
-         }
-      }
-
-      #region AnchorIndex
-      public static readonly DependencyProperty AnchorIndexProperty =
-         WPFHelper.create_dp<AnchorIndex, PNLView>(
-            nameof(AnchorIndex),
-            (o, v) => v?.reset(o?.Anchors));
-
-      public AnchorIndex AnchorIndex {
-         get => GetValue(AnchorIndexProperty) as AnchorIndex;
-         set => SetValue(AnchorIndexProperty, value);
-      }
-      #endregion
-
-      #region GroupLevel
-      public static readonly DependencyProperty GroupLevelProperty =
-         DependencyProperty.RegisterAttached(
-            "GroupLevel",
-            typeof(int),
-            typeof(PNLView),
-            new PropertyMetadata(0, (d, e) => {
-               if (d is GroupItem group && e.NewValue is int level)
-                  group.SetBinding(DIYGrid.ColumnKeyProperty, new Binding($"{nameof(Anchors)}[{level}]") { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(PNLView), 1) });
-            }));
-
-      public static int GetGroupLevel(DependencyObject d) => (int)d.GetValue(GroupLevelProperty);
-      public static void SetGroupLevel(DependencyObject d, int value) => d.SetValue(GroupLevelProperty, value);
-
-      void _grid_loaded(object sender, RoutedEventArgs e) {
-         // this is a hack to make room for the 'totals row' between the column headers and the regular rows. 
-         if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter rp)) {
-            rp.SetBinding(MarginProperty,
-               BindingHelper.create_multi(
-                  ValueConverter.create<PNLHeaderRowDisplay, double, Thickness>((hrd, row_height) => {
-                     double top = 0;
-                     if ((hrd & PNLHeaderRowDisplay.Total) != 0)
-                        top += row_height;
-                     if ((hrd & PNLHeaderRowDisplay.SelectedTotal) != 0)
-                        top += row_height;
-                     return new Thickness(0, top, 0, 0);
-                  }),
-                  new Binding(nameof(PNLVM.header_row_display)),
-                  new Binding {
-                     Path = new PropertyPath(DIYGrid.RowHeightProperty),
-                     Converter = HeaderRowHeightConverter,
-                     Source = _grid
-                  }));
-         }
-      }
-      #endregion
-
-      #region Anchors
-      public static readonly DependencyProperty AnchorsProperty =
-         WPFHelper.create_dp<IEnumerable<Columns>, PNLView>(
-            nameof(Anchors),
-            (o, v) => {
-               if (o?._grid?.Columns is not ObservableCollection<DIYGrid.ColumnBase> cols ||
-                  o?._grid?.Rows is not ICollectionView rows_view ||
-                  v is not INotifyCollectionChanged anchor_notifier ||
-                  v is not IReadOnlyList<Columns> anchor_keys) {
-                  return;
-               }
-
-               int version = ++o._anchor_version;
-               bool busy = false;
-               var pnl_cols = cols.CastObservable<DIYGrid.ColumnBase, PNLColumn>();
-               o._anchors_hook?.Dispose();
-               o._anchors_hook = Disposable.Create(
-                  anchor_notifier.Subscribe((_, __) => {
-                     if (busy)
-                        return;
-                     // invoke async to avoid noisy consecutive resets due to batch changes
-                     busy = true;
-                     o.Dispatcher.InvokeAsync(() => {
-                        sync_anchor_cols();
-                        busy = false;
-                     });
-                  }));
-               o.AnchorIndex?.reset(anchor_keys);
-               sync_anchor_cols();
-               void sync_anchor_cols() {
-                  // since reset is invoked asynchronously, need to check we are still the latest version.
-                  if (o._anchor_version != version)
-                     return;
-                  o.AnchorIndex?.reset(anchor_keys);
-                  // move all the anchor columns to the left, ordered by anchor position (grouping hierarchy).
-                  for (int i = 0; i < anchor_keys.Count; i++) {
-                     if (pnl_cols.TryGetFirst(c => c.key == anchor_keys[i], out var match, out int curr_pos)) {
-                        match.is_visible = true;
-                        if (curr_pos != i) {
-                           cols.Move(curr_pos, i);
-                        }
-                        match.anchor_index = i + 1;
-                     }
-                  }
-                  for (int i = anchor_keys.Count; i < pnl_cols.Count; i++) {
-                     pnl_cols[i].anchor_index = null;
-                  }
-                  using (rows_view.DeferRefresh()) {
-                     rows_view.GroupDescriptions.Clear();
-                     var anchor_cols = from key in anchor_keys
-                                       join col in pnl_cols on key equals col.key
-                                       select new PNLGroupDescription(col);
-                     rows_view.GroupDescriptions.AddRange(anchor_cols);
-                  }
-               }
-            });
-
-      public IEnumerable<Columns> Anchors {
-         get => GetValue(AnchorsProperty) as IEnumerable<Columns>;
-         set => SetValue(AnchorsProperty, value);
-      }
-      #endregion
-
-      DIYGridPopupManager _popup_man {
-         get {
-            if (_popup_man_backing == null) {
-               _popup_man_backing = DIYGridPopupManager.create(this);
-            }
-            return _popup_man_backing;
-         }
-      }
-
-      void _cell_click(PNLCell cell) {
-         Log.Ui.info($"PNLCell Click: {cell}.");
-         try {
-            switch (cell.column) {
-               case Columns.SODNetPos:
-               case Columns.SODLongPos:
-               case Columns.SODShortPos:
-               case Columns.DayNetPos:
-               case Columns.DayLongPos:
-               case Columns.DayShortPos:
-               case Columns.RawDayNetPos:
-               case Columns.RawDayLongPos:
-               case Columns.RawDayShortPos:
-               case Columns.TotalNetPos:
-               case Columns.TotalLongPos:
-               case Columns.TotalShortPos: {
-                     var oneof = cell.oneof();
-                     if (oneof == null)
-                        return;
-                     var (vm, context, title, fg) = cell.oneof().Match(_row_fills, _group_fills, _header_fills);
-                     _show_auxiliary_popup(vm, context, title, fg);
-                  }
-                  break;
-               case Columns.WorkingNetPos:
-               case Columns.WorkingLongPos:
-               case Columns.WorkingShortPos: {
-                     var (vm, context, title, fg) = cell.oneof().Match(_orderbook_params, _orderbook_params, _orderbook_params);
-                     _show_auxiliary_popup(vm, context, title, fg);
-                  }
-                  break;
-            }
-         } catch (Exception ex) {
-            Log.Ui.warn($"{nameof(PNLView)} error on cell click: {ex}.");
-         }
-      }
-
-      #region Fills
-      (FillsVM vm, string context, string title, Color fg) _row_fills(PNLRowCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
-      }
-
-      (FillsVM vm, string context, string title, Color fg) _group_fills(PNLGroupCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
-      }
-
-      (FillsVM vm, string context, string title, Color fg) _header_fills(PNLHeaderRowCell cell) {
-         var (title_desc, fg) = _fills_title(cell.column);
-         return (DataContext.mk_fills_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
-      }
-
-      static (string desc, Color fg) _fills_title(Columns key) {
-         switch (key) {
-            case Columns.SODLongPos: return ("Open Buy Fills", BTSColors.MarketData.bid);
-            case Columns.SODShortPos: return ("Open Sell Fills", BTSColors.MarketData.ask);
-            case Columns.SODNetPos: return ("Open Fills", BTSColors.UI.default_text);
-            case Columns.DayLongPos: return ("Day Buy Fills", BTSColors.MarketData.bid);
-            case Columns.DayShortPos: return ("Day Sell Fills", BTSColors.MarketData.ask);
-            case Columns.DayNetPos: return ("Day Fills", BTSColors.UI.default_text);
-            case Columns.RawDayLongPos: return ("Raw Day Buy Fills", BTSColors.MarketData.bid);
-            case Columns.RawDayShortPos: return ("Raw Day Sell Fills", BTSColors.MarketData.ask);
-            case Columns.RawDayNetPos: return ("Raw Day Fills", BTSColors.UI.default_text);
-            case Columns.TotalLongPos: return ("All Buy Fills", BTSColors.MarketData.bid);
-            case Columns.TotalShortPos: return ("All Sell Fills", BTSColors.MarketData.ask);
-            case Columns.TotalNetPos: return ("All Fills", BTSColors.UI.default_text);
-            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
-         }
-      }
-      #endregion
-
-      #region OrderBook
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLRowCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
-      }
-
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLGroupCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
-      }
-
-      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLHeaderRowCell cell) {
-         var (title_desc, fg) = _orderbook_title(cell.column);
-         return (DataContext.mk_orderbook_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
-      }
-
-      static (string desc, Color fg) _orderbook_title(Columns key) {
-         switch (key) {
-            case Columns.WorkingLongPos: return ("Working Buy Orders", BTSColors.MarketData.bid);
-            case Columns.WorkingShortPos: return ("Working Sell Orders", BTSColors.MarketData.ask);
-            case Columns.WorkingNetPos: return ("Working Orders", BTSColors.UI.default_text);
-            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
-         }
-      }
-      #endregion
-
-      void _cell_click_executed(object sender, ExecutedRoutedEventArgs e) {
-         if (e.Parameter is PNLCell cell) {
-            _cell_click(cell);
-         } else Log.Ui.warn($"{nameof(PNLView)} '{nameof(_cell_click_executed)}' parameter should be a {typeof(PNLCell)} (actually '{e.Parameter}').");
-      }
-
-      void _on_group_item_mouse_down(object sender, MouseButtonEventArgs e) {
-         if (!e.Handled && sender is FrameworkElement el && el.DataContext is PNLRowCollectionViewGroup group) {
-            if (e.ClickCount == 2) {
-               group.is_expanded = !group.is_expanded;
-            } else if (el.try_find_ancestor_of_type(out DIYGrid grid) && grid.SelectionMode != SelectionMode.Single) {
-               group.is_all_selected = !group.is_all_selected.GetValueOrDefault();
-            } else {
-               return;
-            }
-            e.Handled = true;
-         }
-      }
-
-      void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
-         var view = new HeaderedContentControl {
-            Content = content,
-            Header = new AuxiliaryDataHeader {
-               context = context_desc,
-               title = title_desc,
-               title_foreground = fg
-            },
-            HorizontalAlignment = HorizontalAlignment.Left,
-            VerticalAlignment = VerticalAlignment.Top,
-            Resources = new AuxiliaryDataResources()
-         };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
-         _popup_man.show(view);
-      }
-
-      class PNLGroupDescription : PropertyGroupDescription, IEquatable<PNLGroupDescription> {
-         public PNLGroupDescription(PNLColumn column) : base(column.data_member_path.Path) =>
-            key = column.key;
-
-         public Columns key { get; }
-
-         public bool Equals(PNLGroupDescription other) =>
-            other != null && key == other.key;
-
-         public override int GetHashCode() =>
-            key.GetHashCode();
-
-         public override bool Equals(object obj) =>
-            Equals(obj as PNLGroupDescription);
-      }
-   }
-}
+namespace bts.shell.pnl {
+   using bts.collections;
+
+   using mbts.collections;
+   using mbts.spark;
+   using mbts.ui;
+   using mbts.ui.controls;
+   using mbts.ui.converters;
+   using mbts.ui.dpi;
+   using mbts.ui.extensions;
+   using mbts.ui.spark;
+   using mbts.ui.utility;
+   using mbts.utils;
+
+   using Spark.Core.Disposables;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Collections.ObjectModel;
+   using System.Collections.Specialized;
+   using System.ComponentModel;
+   using System.Linq;
+   using System.Windows;
+   using System.Windows.Controls;
+   using System.Windows.Data;
+   using System.Windows.Input;
+   using System.Windows.Media;
+
+   enum PNLHeaderRowDisplay {
+      None,
+      Total,
+      SelectedTotal
+   }
+
+   partial class PNLView : UserControl {
+      public static readonly double
+         MinGroupRowHeight = 24.0.RoundLayoutValue(),
+         MinHeaderRowHeight = 24.0.RoundLayoutValue();
+      DIYGridPopupManager _popup_man_backing;
+
+      public enum Columns {
+         Account = 1,
+         // Security
+         Exchange,
+         Symbol,
+         Expiration,
+         SecurityType,
+         Security,
+         SecurityKey,
+         CPP,
+         // SOD
+         SODPNL,
+         SODRealizedPNL,
+         SODUnrealizedPNL,
+         SODLongPos,
+         SODLongAvgPrice,
+         SODLongAvgPNL,
+         SODShortPos,
+         SODShortAvgPrice,
+         SODShortAvgPNL,
+         SODNetPos,
+         SODDelta,
+         SODGamma,
+         SODVega,
+         SODTheta,
+         // Day
+         DayPNL,
+         DayRealizedPNL,
+         DayUnrealizedPNL,
+         DayLongPos,
+         DayLongAvgPrice,
+         DayLongAvgPNL,
+         DayShortPos,
+         DayShortAvgPrice,
+         DayShortAvgPNL,
+         DayDelta,
+         DayGamma,
+         DayVega,
+         DayTheta,
+         DayCalcType,
+         DayNetPos,
+         HasDayTrades,
+         // Raw Day
+         RawDayLongPos,
+         RawDayShortPos,
+         RawDayNetPos,
+         // Working
+         WorkingLongPos,
+         WorkingLongAvgPrice,
+         WorkingShortPos,
+         WorkingShortAvgPrice,
+         WorkingNetPos,
+         // Total
+         TotalPNL,
+         TotalRealizedPNL,
+         TotalUnrealizedPNL,
+         TotalLongPos,
+         TotalLongAvgPrice,
+         TotalLongAvgPNL,
+         TotalShortPos,
+         TotalShortAvgPrice,
+         TotalShortAvgPNL,
+         TotalNetPos,
+         TotalDelta,
+         TotalGamma,
+         TotalVega,
+         TotalTheta,
+         // Market
+         BidPrice,
+         MidPrice,
+         AskPrice,
+         LastPrice,
+         SettlementPrice,
+         PNLPrice
+      }
+
+      public static readonly IValueConverter
+         IncrementalGroupLevelConverter = ValueConverter.create<int, int>(level => level + 1),
+         GroupLevelMarginConverter = ValueConverter.create<int, Thickness>(level => new Thickness(24 * level, 0, 0, 0)),
+         HeaderRowHeightConverter = new RangeBlockConverter<double> { Minimum = MinHeaderRowHeight },
+         ExpandedVisualStateConverter = ValueConverter.create<bool, string>(is_expanded => is_expanded ? "Expanded" : "Collapsed");
+
+      public static readonly IMultiValueConverter
+         TotalHeaderRowDisplayTextConverter = ValueConverter.create<int, int, string>((filtered, total) => $"Total ({(filtered == total ? total.ToString() : $"{filtered}/{total}")})"),
+         CellParamsConverter = ValueConverter.create<object, Columns, PNLCell>((item, col) => new PNLCell(item, col));
+
+      public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
+
+      static readonly string _node_path_separator = $" {SpecialCharacters.Dot} ";
+
+      IDisposable _anchors_hook, _animations_hook;
+      int _anchor_version;
+
+      public PNLView() {
+         SetCurrentValue(AnchorIndexProperty, new AnchorIndex());
+         InitializeComponent();
+         SetBinding(AnchorsProperty, new Binding(nameof(PNLVM.anchors)));
+         _grid.ConnectOnLoaded(() => {
+            if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter presenter)) {
+               presenter.GroupItemSelectionPivot += on_group_item_selection_pivot;
+               return Disposable.Create(() => presenter.GroupItemSelectionPivot -= on_group_item_selection_pivot);
+            }
+            return null;
+         });
+         void on_group_item_selection_pivot(object sender, GroupItemSelectionPivotEventArgs e) =>
+            e.Handled = e.group_item is PNLRowCollectionViewGroup pnl_group && pnl_group.is_expanded;
+      }
+
+      public new PNLVM DataContext {
+         get => base.DataContext as PNLVM;
+         set => base.DataContext = value;
+      }
+
+      public bool EnableAnimations {
+         get => _animations_hook != null;
+         set {
+            if (EnableAnimations != value) {
+               if (_animations_hook == null) {
+                  _animations_hook = AdornerHelper.attach_continuously_on_loaded(
+                     () => new GridAnimation.DIYGridAnimationAdorner<Columns>(_grid, _grid.descendants_of_type<DIYGridRowsPresenter>().First()),
+                     _grid);
+               } else {
+                  _animations_hook.Dispose();
+                  _animations_hook = null;
+               }
+            }
+         }
+      }
+
+      #region AnchorIndex
+      public static readonly DependencyProperty AnchorIndexProperty =
+         WPFHelper.create_dp<AnchorIndex, PNLView>(
+            nameof(AnchorIndex),
+            (o, v) => v?.reset(o?.Anchors));
+
+      public AnchorIndex AnchorIndex {
+         get => GetValue(AnchorIndexProperty) as AnchorIndex;
+         set => SetValue(AnchorIndexProperty, value);
+      }
+      #endregion
+
+      #region GroupLevel
+      public static readonly DependencyProperty GroupLevelProperty =
+         DependencyProperty.RegisterAttached(
+            "GroupLevel",
+            typeof(int),
+            typeof(PNLView),
+            new PropertyMetadata(0, (d, e) => {
+               if (d is GroupItem group && e.NewValue is int level)
+                  group.SetBinding(DIYGrid.ColumnKeyProperty, new Binding($"{nameof(Anchors)}[{level}]") { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(PNLView), 1) });
+            }));
+
+      public static int GetGroupLevel(DependencyObject d) => (int)d.GetValue(GroupLevelProperty);
+      public static void SetGroupLevel(DependencyObject d, int value) => d.SetValue(GroupLevelProperty, value);
+
+      void _grid_loaded(object sender, RoutedEventArgs e) {
+         // this is a hack to make room for the 'totals row' between the column headers and the regular rows. 
+         if (_grid.try_find_descendent_of_type(out DIYGridRowsPresenter rp)) {
+            rp.SetBinding(MarginProperty,
+               BindingHelper.create_multi(
+                  ValueConverter.create<PNLHeaderRowDisplay, double, Thickness>((hrd, row_height) => {
+                     double top = 0;
+                     if ((hrd & PNLHeaderRowDisplay.Total) != 0)
+                        top += row_height;
+                     if ((hrd & PNLHeaderRowDisplay.SelectedTotal) != 0)
+                        top += row_height;
+                     return new Thickness(0, top, 0, 0);
+                  }),
+                  new Binding(nameof(PNLVM.header_row_display)),
+                  new Binding {
+                     Path = new PropertyPath(DIYGrid.RowHeightProperty),
+                     Converter = HeaderRowHeightConverter,
+                     Source = _grid
+                  }));
+         }
+      }
+      #endregion
+
+      #region Anchors
+      public static readonly DependencyProperty AnchorsProperty =
+         WPFHelper.create_dp<IEnumerable<Columns>, PNLView>(
+            nameof(Anchors),
+            (o, v) => {
+               if (o?._grid?.Columns is not ObservableCollection<DIYGrid.ColumnBase> cols ||
+                  o?._grid?.Rows is not ICollectionView rows_view ||
+                  v is not INotifyCollectionChanged anchor_notifier ||
+                  v is not IReadOnlyList<Columns> anchor_keys) {
+                  return;
+               }
+
+               int version = ++o._anchor_version;
+               bool busy = false;
+               var pnl_cols = cols.CastObservable<DIYGrid.ColumnBase, PNLColumn>();
+               o._anchors_hook?.Dispose();
+               o._anchors_hook = Disposable.Create(
+                  anchor_notifier.Subscribe((_, __) => {
+                     if (busy)
+                        return;
+                     // invoke async to avoid noisy consecutive resets due to batch changes
+                     busy = true;
+                     o.Dispatcher.InvokeAsync(() => {
+                        sync_anchor_cols();
+                        busy = false;
+                     });
+                  }));
+               o.AnchorIndex?.reset(anchor_keys);
+               sync_anchor_cols();
+               void sync_anchor_cols() {
+                  // since reset is invoked asynchronously, need to check we are still the latest version.
+                  if (o._anchor_version != version)
+                     return;
+                  o.AnchorIndex?.reset(anchor_keys);
+                  // move all the anchor columns to the left, ordered by anchor position (grouping hierarchy).
+                  for (int i = 0; i < anchor_keys.Count; i++) {
+                     if (pnl_cols.TryGetFirst(c => c.key == anchor_keys[i], out var match, out int curr_pos)) {
+                        match.is_visible = true;
+                        if (curr_pos != i) {
+                           cols.Move(curr_pos, i);
+                        }
+                        match.anchor_index = i + 1;
+                     }
+                  }
+                  for (int i = anchor_keys.Count; i < pnl_cols.Count; i++) {
+                     pnl_cols[i].anchor_index = null;
+                  }
+                  using (rows_view.DeferRefresh()) {
+                     rows_view.GroupDescriptions.Clear();
+                     var anchor_cols = from key in anchor_keys
+                                       join col in pnl_cols on key equals col.key
+                                       select new PNLGroupDescription(col);
+                     rows_view.GroupDescriptions.AddRange(anchor_cols);
+                  }
+               }
+            });
+
+      public IEnumerable<Columns> Anchors {
+         get => GetValue(AnchorsProperty) as IEnumerable<Columns>;
+         set => SetValue(AnchorsProperty, value);
+      }
+      #endregion
+
+      DIYGridPopupManager _popup_man {
+         get {
+            if (_popup_man_backing == null) {
+               _popup_man_backing = DIYGridPopupManager.create(this);
+            }
+            return _popup_man_backing;
+         }
+      }
+
+      void _cell_click(PNLCell cell) {
+         Log.Ui.info($"PNLCell Click: {cell}.");
+         try {
+            switch (cell.column) {
+               case Columns.SODNetPos:
+               case Columns.SODLongPos:
+               case Columns.SODShortPos:
+               case Columns.DayNetPos:
+               case Columns.DayLongPos:
+               case Columns.DayShortPos:
+               case Columns.RawDayNetPos:
+               case Columns.RawDayLongPos:
+               case Columns.RawDayShortPos:
+               case Columns.TotalNetPos:
+               case Columns.TotalLongPos:
+               case Columns.TotalShortPos: {
+                     var oneof = cell.oneof();
+                     if (oneof == null)
+                        return;
+                     var (vm, context, title, fg) = cell.oneof().Match(_row_fills, _group_fills, _header_fills);
+                     _show_auxiliary_popup(vm, context, title, fg);
+                  }
+                  break;
+               case Columns.WorkingNetPos:
+               case Columns.WorkingLongPos:
+               case Columns.WorkingShortPos: {
+                     var (vm, context, title, fg) = cell.oneof().Match(_orderbook_params, _orderbook_params, _orderbook_params);
+                     _show_auxiliary_popup(vm, context, title, fg);
+                  }
+                  break;
+            }
+         } catch (Exception ex) {
+            Log.Ui.warn($"{nameof(PNLView)} error on cell click: {ex}.");
+         }
+      }
+
+      #region Fills
+      (FillsVM vm, string context, string title, Color fg) _row_fills(PNLRowCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
+      }
+
+      (FillsVM vm, string context, string title, Color fg) _group_fills(PNLGroupCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
+      }
+
+      (FillsVM vm, string context, string title, Color fg) _header_fills(PNLHeaderRowCell cell) {
+         var (title_desc, fg) = _fills_title(cell.column);
+         return (DataContext.mk_fills_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
+      }
+
+      static (string desc, Color fg) _fills_title(Columns key) {
+         switch (key) {
+            case Columns.SODLongPos: return ("Open Buy Fills", BTSColors.MarketData.bid);
+            case Columns.SODShortPos: return ("Open Sell Fills", BTSColors.MarketData.ask);
+            case Columns.SODNetPos: return ("Open Fills", BTSColors.UI.default_text);
+            case Columns.DayLongPos: return ("Day Buy Fills", BTSColors.MarketData.bid);
+            case Columns.DayShortPos: return ("Day Sell Fills", BTSColors.MarketData.ask);
+            case Columns.DayNetPos: return ("Day Fills", BTSColors.UI.default_text);
+            case Columns.RawDayLongPos: return ("Raw Day Buy Fills", BTSColors.MarketData.bid);
+            case Columns.RawDayShortPos: return ("Raw Day Sell Fills", BTSColors.MarketData.ask);
+            case Columns.RawDayNetPos: return ("Raw Day Fills", BTSColors.UI.default_text);
+            case Columns.TotalLongPos: return ("All Buy Fills", BTSColors.MarketData.bid);
+            case Columns.TotalShortPos: return ("All Sell Fills", BTSColors.MarketData.ask);
+            case Columns.TotalNetPos: return ("All Fills", BTSColors.UI.default_text);
+            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
+         }
+      }
+      #endregion
+
+      #region OrderBook
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLRowCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.row, cell.column), $"{cell.row.account_name} {cell.row.security}", title_desc, fg);
+      }
+
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLGroupCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.group, cell.column), string.Join(_node_path_separator, cell.group.GroupNamePath), title_desc, fg);
+      }
+
+      (OrderBookVM vm, string context, string title, Color fg) _orderbook_params(PNLHeaderRowCell cell) {
+         var (title_desc, fg) = _orderbook_title(cell.column);
+         return (DataContext.mk_orderbook_vm(cell.header_row, cell.column), EnumHelper.get_display_name(cell.header_row), title_desc, fg);
+      }
+
+      static (string desc, Color fg) _orderbook_title(Columns key) {
+         switch (key) {
+            case Columns.WorkingLongPos: return ("Working Buy Orders", BTSColors.MarketData.bid);
+            case Columns.WorkingShortPos: return ("Working Sell Orders", BTSColors.MarketData.ask);
+            case Columns.WorkingNetPos: return ("Working Orders", BTSColors.UI.default_text);
+            default: throw ExceptionBuilder.Argument.unexpected_case(key, nameof(key));
+         }
+      }
+      #endregion
+
+      void _cell_click_executed(object sender, ExecutedRoutedEventArgs e) {
+         if (e.Parameter is PNLCell cell) {
+            _cell_click(cell);
+         } else Log.Ui.warn($"{nameof(PNLView)} '{nameof(_cell_click_executed)}' parameter should be a {typeof(PNLCell)} (actually '{e.Parameter}').");
+      }
+
+      void _on_group_item_mouse_down(object sender, MouseButtonEventArgs e) {
+         if (!e.Handled && sender is FrameworkElement el && el.DataContext is PNLRowCollectionViewGroup group) {
+            if (e.ClickCount == 2) {
+               group.is_expanded = !group.is_expanded;
+            } else if (el.try_find_ancestor_of_type(out DIYGrid grid) && grid.SelectionMode != SelectionMode.Single) {
+               group.is_all_selected = !group.is_all_selected.GetValueOrDefault();
+            } else {
+               return;
+            }
+            e.Handled = true;
+         }
+      }
+
+      void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
+         var view = new HeaderedContentControl {
+            Content = content,
+            Header = new AuxiliaryDataHeader {
+               context = context_desc,
+               title = title_desc,
+               title_foreground = fg
+            },
+            HorizontalAlignment = HorizontalAlignment.Left,
+            VerticalAlignment = VerticalAlignment.Top,
+            Resources = new AuxiliaryDataResources()
+         };
+         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         _popup_man.show(view);
+      }
+
+      class PNLGroupDescription : PropertyGroupDescription, IEquatable<PNLGroupDescription> {
+         public PNLGroupDescription(PNLColumn column) : base(column.data_member_path.Path) =>
+            key = column.key;
+
+         public Columns key { get; }
+
+         public bool Equals(PNLGroupDescription other) =>
+            other != null && key == other.key;
+
+         public override int GetHashCode() =>
+            key.GetHashCode();
+
+         public override bool Equals(object obj) =>
+            Equals(obj as PNLGroupDescription);
+      }
+   }
+}

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/OrderActivitySummarizer.cs

@@ -1,243 +1,244 @@
-using bts.api;
-using bts.api.core;
-using bts.api.orderman;
-using bts.shell;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.ui.controls;
-
-using Spark.Api.Orders;
-using Spark.Core;
-using Spark.Core.Disposables;
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Text;
-using System.Threading.Tasks;
-
-using OrderPair = System.ValueTuple<bts.api.SecurityImmutable?, bts.api.orderman.OrderRecordImmutable>;
-using TickDisplaySettingsImmutable = bts.api.domain.TickDisplaySettingsImmutable;
-
-namespace bts.spark {
-   internal class Activity {
-      public SecurityImmutable? security;
-      public string message;
-      public ILogViewerCategory category;
-   }
-
-   class OrderActivitySummarizer : IDisposable {
-      readonly IBus _bus;
-      IReadOnlyDictionary<uint, SecurityMD> _security = new Dictionary<uint, SecurityMD>();
-      IDisposable _dispose;
-      static readonly IEqualityComparer<OrderRecordImmutable> _id_comparer =
-         bts.utils.EqualityComparer.Create<OrderRecordImmutable, uint>(a => a.Key);
-
-      public OrderActivitySummarizer(IBus bus, IObservable<TableUpdate<OrderRecordTuple, uint>> orders) {
-         _bus = bus;
-         _dispose = Disposable.Create(
-            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(sec => _security = sec),
-            orders.Subscribe(orders_updated));
-      }
-
-      public void Dispose() => Disposable.dispose(ref _dispose);
-
-      #region formatting
-
-      SecurityImmutable? try_get_security(uint security_key) {
-         if (_security.TryGetValue(security_key, out SecurityMD md)) {
-            return md.security;
-         }
-         return null;
-      }
-      public static string format_order_success(
-         uint key, double price, double size, Side side, ContractSpecificationImmutable? spec) =>
-         $"({key}) {side.ToString().ToLower()} {size} @ {spec.format(price)}";
-
-      string format_order_fail(
-         double price,
-         double size,
-         Side side,
-         ContractSpecificationImmutable? spec,
-         string error) =>
-         $"Failed to {side.ToString().ToLower()} {size} @ {spec.format(price)}. {error}";
-
-      string format_cancel_success(OrderRecordImmutable order, ContractSpecificationImmutable? spec) {
-         return $"({order.Key}) Canceled {order.short_description(spec)}, was working {order.working_quantity()}";
-      }
-      string format_cancel_error(OrderRecordImmutable order, ContractSpecificationImmutable? spec, string error) {
-         return $"({order.Key}) Failed to cancel {order.short_description(spec)}: {error}";
-      }
-      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after) =>
-         _format_fill_summary(_header(after.Key), before, after);
-
-      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after, SecurityImmutable? security) =>
-         _format_fill_summary(_header(after.Key, security), before, after);
-
-      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status) =>
-         _format_status_change(_header(key), key, old_status, new_status);
-
-      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status, SecurityImmutable? security) =>
-         _format_status_change(_header(key, security), key, old_status, new_status);
-
-      // since changes are naggled, transition changes aren't always detected (e.g. a new order changes before observers are notified of its existence), so old_status might be null.
-      public static string format_status_change(uint key, OrderStatus? old_status, OrderStatus new_status, SecurityImmutable? security) {
-         string header = _header(key, security);
-         return old_status.HasValue ?
-            _format_status_change(header, key, old_status.Value, new_status) :
-            _format_status_change(header, key, new_status);
-      }
-
-      public static string order_completion_debrief(
-         OrderRecordImmutable order,
-         SecurityImmutable? security,
-         TickDisplaySettingsImmutable qty_display) =>
-         _format_order_completion(
-            _header(order.Key, security), order, security?.ContractSpec, qty_display);
-
-      public static string modified_description(OrderRecordImmutable old_order, OrderRecordImmutable new_order, ContractSpecificationImmutable? spec) {
-         double old_price = old_order.State.Price, new_price = new_order.State.Price;
-         uint old_size = old_order.State.Quantity, new_size = new_order.State.Quantity;
-         uint old_attached_target_key = old_order.attached_target_order_key(), new_attached_target_key = new_order.attached_target_order_key();
-         return StringBuilderEx.join(prefix, change_descs());
-         //
-         string prefix() => $"({old_order.Key}) Changed";
-         IEnumerable<string> change_descs() {
-            if (old_price != new_price)
-               yield return $"price from {spec.format(old_price)} to {spec.format(new_price)}";
-            if (old_size != new_size)
-               yield return $"size from {old_size} to {new_size}, working {new_order.working_quantity()}";
-            if (old_attached_target_key != new_attached_target_key)
-               yield return $"attached target from {old_attached_target_key} to {new_attached_target_key}";
-         }
-      }
-
-      static string _header(uint key) => $"({key})";
-      static string _header(uint key, SecurityImmutable? security) => $"({key}) {security.display_name()}";
-
-      static string _format_fill_summary(string header, OrderRecordImmutable before, OrderRecordImmutable after) {
-         int fb = (int)before.State.FilledQuantity;
-         int fa = (int)after.State.FilledQuantity;
-         return $"{header} {after.Def.Side.past_tense()} {(fa - fb)} ({fa} total), still working {after.working_quantity()}";
-      }
-
-      static string _format_status_change(string header, uint key, OrderStatus new_status) =>
-         $"{header} Status changed to {new_status}";
-
-      static string _format_status_change(string header, uint key, OrderStatus old_status, OrderStatus new_status) =>
-         $"{header} Status changed from {old_status} to {new_status}";
-
-      static string _format_order_completion(
-         string header,
-         OrderRecordImmutable order,
-         ContractSpecificationImmutable? spec,
-         TickDisplaySettingsImmutable qty_display) {
-         var filled_qty_str = qty_display.format(order.filled_quantity());
-         return $"{header} Completed: {order.side().past_tense()} {filled_qty_str}, " +
-            $"@ {spec.spec_or_default().format(order.avg_price())} (avg)";
-      }
-
-      #endregion
-
-      void orders_updated(TableUpdate<OrderRecordTuple, uint> update) {
-
-         foreach (var o in update.added) {
-            if (!string.IsNullOrEmpty(o.order.State.LastMsg) && o.order.State.Created.ToDateTime().Date == DateTime.Today) {
-               if (o.security.HasValue) {
-                  log_status(ActivityLogCategory.warn, o.security.Value, o.order.State.LastMsg);
-               }
-            }
-         }
-
-         foreach (var order in update.changes) {
-            var neworder = order.New.order;
-            var oldorder = order.Old.order;
-            var security = order.New.security ?? order.Old.security;
-            //
-            // description
-            var mod_desc = modified_description(oldorder, neworder, security?.ContractSpec);
-            if (!string.IsNullOrEmpty(mod_desc)) {
-               log_status(ActivityLogCategory.modify, security, mod_desc);
-            }
-            //
-            // filled quantity
-            if (oldorder.State.FilledQuantity != neworder.State.FilledQuantity && !neworder.has_parent()) {
-               log_status(ActivityLogCategory.fill, security, format_fill_summary(oldorder, neworder));
-            }
-
-            //
-            // status
-            if (oldorder.State.Status != neworder.State.Status && !neworder.has_parent()) {
-               log_status(ActivityLogCategory.modify, security,
-                  format_status_change(neworder.Key, oldorder.State.Status, neworder.State.Status));
-            }
-
-            // last msg
-            if (oldorder.State.LastMsg != neworder.State.LastMsg) {
-               if (security.HasValue) {
-                  log_status(ActivityLogCategory.warn, security, neworder.State.LastMsg);
-               }
-            }
-         }
-      }
-
-      public void log_status(ILogViewerCategory category, SecurityImmutable? security, string msg) {
-         _bus.post(SparkTags.LogActivity, new Activity { security = security, message = msg, category = category });
-      }
-
-      internal void on_send_order(
-         OrderDefinitionImmutable order, double price, double size, uint? key, string error) {
-         var security = try_get_security(order.SecurityKey);
-         log_status(ActivityLogCategory.order, security, key.HasValue ?
-            format_order_success(key.Value, price, size, order.Side, security?.ContractSpec) :
-            format_order_fail(price, size, order.Side, security?.ContractSpec, error));
-      }
-
-      internal void on_cancel_order(OrderRecordImmutable order, bool success, string error) {
-         var security = try_get_security(order.Def.SecurityKey);
-         log_status(ActivityLogCategory.cancel, security, success ?
-            format_cancel_success(order, security?.ContractSpec) :
-            format_cancel_error(order, security?.ContractSpec, error));
-      }
-
-      internal void update_order(
-         OrderRecordImmutable order, double price, double size, bool algo_changed) =>
-         _log_order_update(order, price, size, algo_changed, "change from");
-
-      internal void update_order_failed(OrderRecordImmutable order, double price, double size, bool algo_changed) =>
-         _log_order_update(order, price, size, algo_changed, "failed to change from");
-
-      void _log_order_update(
-         OrderRecordImmutable order,
-         double price,
-         double size,
-         bool algo_changed,
-         string change_desc_prefix
-      ) {
-         if (price == order.price() && size == order.working_quantity() && !algo_changed) {
-            // nothing actually changed
-            return;
-         }
-         const string algo_change_text = "change algo parameters";
-         var security = try_get_security(order.Def.SecurityKey);
-         var change_descs = new List<string>(1);
-
-         var price_display  = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
-         var price_qty_change_desc = OrdersExtensions.update_description(
-            order, price, size, price_display);
-
-         if (!price_qty_change_desc.is_null_or_empty()) {
-            change_descs.Add(price_qty_change_desc);
-         }
-         if (algo_changed) {
-            change_descs.Add(algo_change_text);
-         }
-
-         var desc = $"({order.Key}) {change_desc_prefix} {"; ".join(change_descs)}";
-         log_status(ActivityLogCategory.modify, security, desc);
-      }
-   }
-}
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.shell;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.ui.controls;
+
+using Spark.Api.Orders;
+using Spark.Core;
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+using OrderPair = System.ValueTuple<bts.api.SecurityImmutable?, bts.api.orderman.OrderRecordImmutable>;
+using TickDisplaySettingsImmutable = bts.api.domain.TickDisplaySettingsImmutable;
+
+namespace bts.spark {
+   internal class Activity {
+      public SecurityImmutable? security;
+      public string message;
+      public ILogViewerCategory category;
+   }
+
+   class OrderActivitySummarizer : IDisposable {
+      readonly IBus _bus;
+      IReadOnlyDictionary<uint, SecurityMD> _security = new Dictionary<uint, SecurityMD>();
+      IDisposable _dispose;
+      static readonly IEqualityComparer<OrderRecordImmutable> _id_comparer =
+         bts.utils.EqualityComparer.Create<OrderRecordImmutable, uint>(a => a.Key);
+
+      public OrderActivitySummarizer(IBus bus, IObservable<TableUpdate<OrderRecordTuple, uint>> orders) {
+         _bus = bus;
+         _dispose = Disposable.Create(
+            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(sec => _security = sec),
+            orders.Subscribe(orders_updated));
+      }
+
+      public void Dispose() => Disposable.dispose(ref _dispose);
+
+      #region formatting
+
+      SecurityImmutable? try_get_security(uint security_key) {
+         if (_security.TryGetValue(security_key, out SecurityMD md)) {
+            return md.security;
+         }
+         return null;
+      }
+      public static string format_order_success(
+         uint key, double price, double size, Side side, ContractSpecificationImmutable? spec) =>
+         $"({key}) {side.ToString().ToLower()} {size} @ {spec.format(price)}";
+
+      string format_order_fail(
+         double price,
+         double size,
+         Side side,
+         ContractSpecificationImmutable? spec,
+         string error) =>
+         $"Failed to {side.ToString().ToLower()} {size} @ {spec.format(price)}. {error}";
+
+      string format_cancel_success(OrderRecordImmutable order, ContractSpecificationImmutable? spec) {
+         return $"({order.Key}) Canceled {order.short_description(spec)}, was working {order.working_quantity()}";
+      }
+      string format_cancel_error(OrderRecordImmutable order, ContractSpecificationImmutable? spec, string error) {
+         return $"({order.Key}) Failed to cancel {order.short_description(spec)}: {error}";
+      }
+      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after) =>
+         _format_fill_summary(_header(after.Key), before, after);
+
+      public static string format_fill_summary(OrderRecordImmutable before, OrderRecordImmutable after, SecurityImmutable? security) =>
+         _format_fill_summary(_header(after.Key, security), before, after);
+
+      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status) =>
+         _format_status_change(_header(key), key, old_status, new_status);
+
+      public static string format_status_change(uint key, OrderStatus old_status, OrderStatus new_status, SecurityImmutable? security) =>
+         _format_status_change(_header(key, security), key, old_status, new_status);
+
+      // since changes are naggled, transition changes aren't always detected (e.g. a new order changes before observers are notified of its existence), so old_status might be null.
+      public static string format_status_change(uint key, OrderStatus? old_status, OrderStatus new_status, SecurityImmutable? security) {
+         string header = _header(key, security);
+         return old_status.HasValue ?
+            _format_status_change(header, key, old_status.Value, new_status) :
+            _format_status_change(header, key, new_status);
+      }
+
+      public static string order_completion_debrief(
+         OrderRecordImmutable order,
+         SecurityImmutable? security,
+         TickDisplaySettingsImmutable qty_display) =>
+         _format_order_completion(
+            _header(order.Key, security), order, security?.ContractSpec, qty_display);
+
+      public static string modified_description(OrderRecordImmutable old_order, OrderRecordImmutable new_order, ContractSpecificationImmutable? spec) {
+         double old_price = old_order.State.Price, new_price = new_order.State.Price;
+         double old_size = old_order.State.quantity();
+         double new_size = new_order.State.quantity();
+         uint old_attached_target_key = old_order.attached_target_order_key(), new_attached_target_key = new_order.attached_target_order_key();
+         return StringBuilderEx.join(prefix, change_descs());
+         //
+         string prefix() => $"({old_order.Key}) Changed";
+         IEnumerable<string> change_descs() {
+            if (old_price != new_price)
+               yield return $"price from {spec.format(old_price)} to {spec.format(new_price)}";
+            if (old_size != new_size)
+               yield return $"size from {old_size} to {new_size}, working {new_order.working_quantity()}";
+            if (old_attached_target_key != new_attached_target_key)
+               yield return $"attached target from {old_attached_target_key} to {new_attached_target_key}";
+         }
+      }
+
+      static string _header(uint key) => $"({key})";
+      static string _header(uint key, SecurityImmutable? security) => $"({key}) {security.display_name()}";
+
+      static string _format_fill_summary(string header, OrderRecordImmutable before, OrderRecordImmutable after) {
+         int fb = (int)before.State.FilledQuantity;
+         int fa = (int)after.State.FilledQuantity;
+         return $"{header} {after.Def.Side.past_tense()} {(fa - fb)} ({fa} total), still working {after.working_quantity()}";
+      }
+
+      static string _format_status_change(string header, uint key, OrderStatus new_status) =>
+         $"{header} Status changed to {new_status}";
+
+      static string _format_status_change(string header, uint key, OrderStatus old_status, OrderStatus new_status) =>
+         $"{header} Status changed from {old_status} to {new_status}";
+
+      static string _format_order_completion(
+         string header,
+         OrderRecordImmutable order,
+         ContractSpecificationImmutable? spec,
+         TickDisplaySettingsImmutable qty_display) {
+         var filled_qty_str = qty_display.format(order.filled_quantity());
+         return $"{header} Completed: {order.side().past_tense()} {filled_qty_str}, " +
+            $"@ {spec.spec_or_default().format(order.avg_price())} (avg)";
+      }
+
+      #endregion
+
+      void orders_updated(TableUpdate<OrderRecordTuple, uint> update) {
+
+         foreach (var o in update.added) {
+            if (!string.IsNullOrEmpty(o.order.State.LastMsg) && o.order.State.Created.ToDateTime().Date == DateTime.Today) {
+               if (o.security.HasValue) {
+                  log_status(ActivityLogCategory.warn, o.security.Value, o.order.State.LastMsg);
+               }
+            }
+         }
+
+         foreach (var order in update.changes) {
+            var neworder = order.New.order;
+            var oldorder = order.Old.order;
+            var security = order.New.security ?? order.Old.security;
+            //
+            // description
+            var mod_desc = modified_description(oldorder, neworder, security?.ContractSpec);
+            if (!string.IsNullOrEmpty(mod_desc)) {
+               log_status(ActivityLogCategory.modify, security, mod_desc);
+            }
+            //
+            // filled quantity
+            if (oldorder.State.FilledQuantity != neworder.State.FilledQuantity && !neworder.has_parent()) {
+               log_status(ActivityLogCategory.fill, security, format_fill_summary(oldorder, neworder));
+            }
+
+            //
+            // status
+            if (oldorder.State.Status != neworder.State.Status && !neworder.has_parent()) {
+               log_status(ActivityLogCategory.modify, security,
+                  format_status_change(neworder.Key, oldorder.State.Status, neworder.State.Status));
+            }
+
+            // last msg
+            if (oldorder.State.LastMsg != neworder.State.LastMsg) {
+               if (security.HasValue) {
+                  log_status(ActivityLogCategory.warn, security, neworder.State.LastMsg);
+               }
+            }
+         }
+      }
+
+      public void log_status(ILogViewerCategory category, SecurityImmutable? security, string msg) {
+         _bus.post(SparkTags.LogActivity, new Activity { security = security, message = msg, category = category });
+      }
+
+      internal void on_send_order(
+         OrderDefinitionImmutable order, double price, double size, uint? key, string error) {
+         var security = try_get_security(order.SecurityKey);
+         log_status(ActivityLogCategory.order, security, key.HasValue ?
+            format_order_success(key.Value, price, size, order.Side, security?.ContractSpec) :
+            format_order_fail(price, size, order.Side, security?.ContractSpec, error));
+      }
+
+      internal void on_cancel_order(OrderRecordImmutable order, bool success, string error) {
+         var security = try_get_security(order.Def.SecurityKey);
+         log_status(ActivityLogCategory.cancel, security, success ?
+            format_cancel_success(order, security?.ContractSpec) :
+            format_cancel_error(order, security?.ContractSpec, error));
+      }
+
+      internal void update_order(
+         OrderRecordImmutable order, double price, double size, bool algo_changed) =>
+         _log_order_update(order, price, size, algo_changed, "change from");
+
+      internal void update_order_failed(OrderRecordImmutable order, double price, double size, bool algo_changed) =>
+         _log_order_update(order, price, size, algo_changed, "failed to change from");
+
+      void _log_order_update(
+         OrderRecordImmutable order,
+         double price,
+         double size,
+         bool algo_changed,
+         string change_desc_prefix
+      ) {
+         if (price == order.price() && size == order.working_quantity() && !algo_changed) {
+            // nothing actually changed
+            return;
+         }
+         const string algo_change_text = "change algo parameters";
+         var security = try_get_security(order.Def.SecurityKey);
+         var change_descs = new List<string>(1);
+
+         var price_display  = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
+         var price_qty_change_desc = OrdersExtensions.update_description(
+            order, price, size, price_display);
+
+         if (!price_qty_change_desc.is_null_or_empty()) {
+            change_descs.Add(price_qty_change_desc);
+         }
+         if (algo_changed) {
+            change_descs.Add(algo_change_text);
+         }
+
+         var desc = $"({order.Key}) {change_desc_prefix} {"; ".join(change_descs)}";
+         log_status(ActivityLogCategory.modify, security, desc);
+      }
+   }
+}

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/Orders/OrdersModel.cs

@@ -1,4 +1,4 @@
-namespace mbts.spark {
+namespace mbts.spark {
    using bts;
    using bts.api;
    using bts.api.core;
@@ -662,7 +662,7 @@
             if (o.State.Price == price) return true;
             var wq = o.working_quantity();
             if (wq > 0) {
-               return await orders_model.update_order(o, price, o.State.Quantity);
+               return await orders_model.update_order(o, price, o.State.quantity());
             }
          }
          return false;

src/client/spark/Reactive/ReactiveExtensions.cs

@@ -64,9 +64,5 @@ namespace System.Reactive.Linq {
             }
          });
       }
-
-      public static IObservable<TResult> SelectInline<T, TResult>(
-         this IObservable<T> source, Func<T, TResult> selector) =>
-         Observable.Create<TResult>(o => source.Subscribe(v => o.OnNext(selector(v))));
    }
 }

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/ShellWindowSettingsDirectoryStore.cs

@@ -0,0 +1,59 @@
+#nullable enable
+using bts.collections;
+
+using Spark.Core;
+using Spark.Core.Protobuf;
+
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+
+namespace bts.shell;
+
+static class ShellWindowSettingsDirectoryStore {
+   public static ShellWindowSettingsDirectoryStore<T> Create<T>(string path, string searchPattern) =>
+      new(path, searchPattern);
+}
+
+class ShellWindowSettingsDirectoryStore<T> {
+   readonly LazyOnce<Dictionary<string, SingleFileStore>> profiles;
+
+   public ShellWindowSettingsDirectoryStore(string path, string searchPattern) =>
+      profiles = new(() => {
+         try {
+            return Directory.EnumerateFiles(path, searchPattern).Select(SingleFileStore.FromPath).ToDictionary(sfs => sfs.Name);
+         } catch (Exception ex) {
+            Log.Ui.error($"Failed to enumerate {typeof(T)} settings files in '{path}'. {ex}");
+         }
+         return new(0);
+      });
+
+   public IReadOnlyDictionary<string, T?> Profiles =>
+      MappedDictionary.create(profiles.Value, sfs => sfs.Value);
+
+   class SingleFileStore {
+      LazyOnce<T?> value;
+
+      public SingleFileStore(string path) {
+         Name = Path.GetFileNameWithoutExtension(path);
+         value = new(LoadValue);
+
+         T? LoadValue() {
+            try {
+               using var f = File.OpenRead(path);
+               return ProtobufSerializationHelper.deserialize<T>(f);
+            } catch (Exception ex) {
+               Log.Ui.error($"Failed to load {typeof(T)} file '{path}'. {ex}");
+            }
+            return default;
+         }
+      }
+
+      public static SingleFileStore FromPath(string path) =>
+         new(path);
+
+      public string Name { get; }
+      public T? Value => value.Value;
+   }
+}

src/client/spark/Spark.csproj

@@ -77,6 +77,10 @@
     <EmbeddedResource Include="Sounds/whistle.wav" />
   </ItemGroup>
 
+  <ItemGroup>
+    <None Include="ShellWindowSettings/**" CopyToOutputDirectory="PreserveNewest" />
+  </ItemGroup>
+
   <Target Name="diagnostic" AfterTargets="PreBuildEvent" />
 
 </Project>

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;
@@ -252,9 +254,9 @@ namespace mbts.ui {
       public static class PNL {
          public static BTSColor foreground => UI.default_foreground;
          public static BTSColor anchor => Colors.Gold;
-         public static BTSColor profit => Colors.Green;
+         public static BTSColor profit => BTSCoreColors.spring_green;
          public static BTSColor net_zero => BTSCoreColors.gray;
-         public static BTSColor loss => BTSCoreColors.venetian_red;
+         public static BTSColor loss => BTSCoreColors.fire_brick;
          public static BTSColor header_row_background => 0xffaaaaaa;
          // group background colors
          public static BTSColor group_row_background1 => 0x19141420;
@@ -274,8 +276,8 @@ namespace mbts.ui {
          }
 
          public static Color anchor_color => Colors.Gold;
-         public static Color profit_color => Colors.Green;
-         public static Color loss_color => BTSCoreColors.venetian_red;
+         public static Color profit_color => profit;
+         public static Color loss_color => loss;
          public static Color header_row_background_color => 0xffaaaaaa.argb_color();
          // group background colors
          public static Color group_row_background_color1 => group_row_background1;
@@ -1038,6 +1040,7 @@ namespace mbts.ui {
       }
       public static class DayFills {
          public static BTSColor background => UI.common_background;
+         public static BTSColor foreground => UI.default_foreground;
       }
       public static class ComboReport {
          public static BTSColor foreground => UI.default_text;

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

@@ -83,6 +83,7 @@
       public static BTSColor green => 0xff00c000;
       public static BTSColor green_p_light => 0xff99ee90;
       public static BTSColor green_dark_light => 0xff255d25;
+      public static BTSColor spring_green => 0xff00fb76;
       public static BTSColor light_sea_green => 0xff17b794;
       public static BTSColor very_light_malachite_green => 0xff52e887;
       public static BTSColor may_green => 0xff43a23c;
@@ -100,6 +101,7 @@
       public static BTSColor red_light_dark => 0xffd69a9a;
       public static BTSColor red_light_dark_saturated => 0xffd67e7e;
       public static BTSColor permanent_geranium_lake => 0xffde3429;
+      public static BTSColor fire_brick => 0xffb1373a;
       public static BTSColor fire_opal => 0xfff05454;
       public static BTSColor paradise_pink => 0xffe94560;
       public static BTSColor tulip => 0xffff878d;

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",
@@ -205,11 +209,15 @@
                   this.prefix = prefix;
 
                public string PNL => $"{prefix} PNL";
+               public string RealizedPNL => $"{prefix} R PNL";
+               public string UnrealizedPNL => $"{prefix} U PNL";
                public string Net => $"{prefix} {PNLHeaders.Net}";
                public string Long => $"{prefix} {PNLHeaders.Long}";
                public string LongAvg => $"{Long} {AvgPrice}";
+               public string LongAvgPNL => $"{Long} {AvgPrice} PNL";
                public string Short => $"{prefix} {PNLHeaders.Short}";
                public string ShortAvg => $"{Short} {AvgPrice}";
+               public string ShortAvgPNL => $"{Short} {AvgPrice} PNL";
                public string Delta => $"{prefix} {PNLHeaders.Delta}";
                public string Gamma => $"{prefix} {PNLHeaders.Gamma}";
                public string Vega => $"{prefix} {PNLHeaders.Vega}";

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

@@ -2,6 +2,8 @@
 
 using mbts.ui;
 
+using Spark.Api.Data;
+
 using System;
 using System.Collections.Generic;
 using System.Linq;
@@ -134,6 +136,20 @@ namespace mbts.spark.filters {
          }
       }
 
+      public void add_exp_date(
+         ExpirationDate dt, Func<TRow, ExpirationDate?> selector, bool null_passes_filter = false) {
+         // Use local fns to provide context in stack trace
+         _predicates.Add(null_passes_filter ? null_pass_impl : null_fail_impl);
+
+         bool null_fail_impl(TRow r) =>
+            selector(r) == dt;
+
+         bool null_pass_impl(TRow r) {
+            var rdt = selector(r);
+            return !rdt.HasValue || rdt == dt;
+         }
+      }
+
       public Func<TRow, bool> to_predicate() =>
          _predicates.Count == 0 ? null : new Func<TRow, bool>(o => _predicates.All(p => p(o)));
    }

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/Controls/TickUpDown/PriceEntryCommitControl.xaml

@@ -8,7 +8,8 @@
              xmlns:cv="clr-namespace:mbts.ui.converters"
              xmlns:c="clr-namespace:mbts.ui.controls"
              xmlns:usp="clr-namespace:mbts.ui.spark"
-             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price">
+             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price"
+             Foreground="{u:BTSColor UI.input_text}">
   <UserControl.Resources>
     <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
     <cv:TickDisplayConverter x:Key="TickDisplayConverter" x:Shared="False"/>

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/Spark/Shell/CalculatorLogic.cs

@@ -6,6 +6,7 @@
    using mbts.ui;
    using mbts.ui.shell;
 
+   using Spark.Api.Data;
    using Spark.Core.Disposables;
 
    using System;

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

@@ -0,0 +1,27 @@
+namespace mbts.ui;
+
+using mbts.ui.shell;
+
+using Spark.Api.Data;
+using Spark.Core.Disposables;
+
+using System;
+
+static class DisplayTranslatorExtensions {
+   public static IDisposable connect_owner<T>(
+      this IDisplayTranslator<T> display_translator,
+      IRaiseNotifyPropertyChanged owner,
+      params string[] properties
+   ) {
+      if (display_translator is null)
+         throw new ArgumentNullException(nameof(display_translator));
+      if (owner is null)
+         throw new ArgumentNullException(nameof(owner));
+      display_translator.value_changed += on_value_changed;
+      return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
+      void on_value_changed() {
+         for (int i = 0; i < properties.Length; i++)
+            owner.raise_notify_property_changed(properties[i]);
+      }
+   }
+}

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

@@ -1,215 +0,0 @@
-using bts.utils;
-
-using mbts.ui.shell;
-
-using Spark.Core;
-using Spark.Core.Disposables;
-
-using System;
-using System.Collections.Generic;
-using System.Numerics;
-using System.Reactive.Linq;
-
-namespace mbts.ui {
-   interface IDisplayTranslator<T> {
-      T display_value { get; set; }
-      T actual_value { get; set; }
-      event Action value_changed;
-   }
-
-   enum QuantityConversionOpType {
-      None,
-      MultiplyActual,
-      DivideActual
-   }
-
-   readonly struct QuantityConversionData<T> : IEquatable<QuantityConversionData<T>>
-      where T : INumber<T> {
-      public QuantityConversionData(T value, QuantityConversionOpType op) {
-         this.value = value;
-         this.op = op;
-      }
-
-      public enum OpType {
-         None,
-         MultiplyActual,
-         DivideActual
-      }
-
-      public T value { get; }
-      public QuantityConversionOpType op { get; }
-
-      public QuantityConversionData<TResult> convert_numeric_type<TResult>()
-         where TResult : INumber<TResult> =>
-         new(NumericCastConverter<T, TResult>.convert(value), op);
-
-      public bool Equals(QuantityConversionData<T> other) =>
-         value == other.value &&
-         op == other.op;
-
-      public override bool Equals(object obj) =>
-         obj is QuantityConversionData<T> other && Equals(other);
-
-      public override int GetHashCode() =>
-         EqualityComparer.auto_phase(value.GetHashCode(), op.GetHashCode());
-
-      public static bool operator ==(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
-         x.Equals(y);
-
-      public static bool operator !=(QuantityConversionData<T> x, QuantityConversionData<T> y) =>
-         !x.Equals(y);
-   }
-
-   static class DisplayQuantityMultiplier {
-      public static DisplayQuantityMultiplier<uint> create_uint() => new(
-         DisplayTranslatorExtensions.to_display,
-         DisplayTranslatorExtensions.from_display);
-
-      public static DisplayQuantityMultiplier<double> create_double() => new(
-         DisplayTranslatorExtensions.to_display,
-         DisplayTranslatorExtensions.from_display);
-   }
-
-   class DisplayQuantityMultiplier<T> : IDisplayTranslator<T> where T : struct, INumber<T> {
-      readonly Func<QuantityConversionData<T>, T, T> _to_display, _from_display;
-      readonly IEqualityComparer<T> _comparer;
-      T _actual_value;
-      QuantityConversionData<T> _conversion_data;
-
-      public DisplayQuantityMultiplier(
-         Func<QuantityConversionData<T>, T, T> to_display,
-         Func<QuantityConversionData<T>, T, T> from_display,
-         IEqualityComparer<T> comparer = null,
-         T actual_value = default,
-         QuantityConversionData<T> conversion_data = default) {
-         //
-         _to_display = to_display ?? throw new ArgumentNullException(nameof(to_display));
-         _from_display = from_display ?? throw new ArgumentNullException(nameof(from_display));
-         _comparer = comparer ?? EqualityComparer<T>.Default;
-         _actual_value = actual_value;
-         _conversion_data = conversion_data;
-      }
-
-      public event Action value_changed;
-
-      public T actual_value {
-         get => _actual_value;
-         set {
-            if (!_comparer.Equals(_actual_value, value)) {
-               _actual_value = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-
-      public T display_value {
-         get => _to_display(_conversion_data, _actual_value);
-         set => actual_value = _from_display(_conversion_data, value);
-      }
-
-      public QuantityConversionData<T> conversion_data {
-         get => _conversion_data;
-         set {
-            if (_conversion_data != value) {
-               _conversion_data = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-   }
-
-   class OptionalDisplayQuantityMultiplier<T> : IDisplayTranslator<T?> where T : struct, INumber<T> {
-      T? _actual_value;
-      QuantityConversionData<T> _conversion_data;
-
-      public event Action value_changed;
-
-      public T? actual_value {
-         get => _actual_value;
-         set {
-            if (_actual_value != value) {
-               _actual_value = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-
-      public T? display_value {
-         get => _actual_value.HasValue ?
-            _conversion_data.to_display(_actual_value.Value) : _actual_value;
-         set => actual_value = value.HasValue ?
-            _conversion_data.from_display(value.Value) : value;
-      }
-
-      public QuantityConversionData<T> conversion_data {
-         get => _conversion_data;
-         set {
-            if (_conversion_data != value) {
-               _conversion_data = value;
-               value_changed?.Invoke();
-            }
-         }
-      }
-   }
-
-   static class DisplayTranslatorExtensions {
-      public static IDisposable connect_owner<T>(
-         this IDisplayTranslator<T> display_translator,
-         IRaiseNotifyPropertyChanged owner,
-         params string[] properties
-      ) {
-         if (display_translator is null)
-            throw new ArgumentNullException(nameof(display_translator));
-         if (owner is null)
-            throw new ArgumentNullException(nameof(owner));
-         display_translator.value_changed += on_value_changed;
-         return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
-         void on_value_changed() {
-            for (int i = 0; i < properties.Length; i++)
-               owner.raise_notify_property_changed(properties[i]);
-         }
-      }
-
-      public static IObservable<T> subscribe_actual_value<T>(
-         this IDisplayTranslator<T> display_translator) =>
-         subscribe_actual_value(display_translator, EqualityComparer<T>.Default);
-
-      public static IObservable<T> subscribe_actual_value<T>(
-         this IDisplayTranslator<T> display_translator, IEqualityComparer<T> comparer) {
-         if (comparer is null)
-            throw new ArgumentNullException(nameof(comparer));
-         return Observable.Create<T>(o => {
-            var curr = display_translator.actual_value;
-            o.OnNext(curr);
-            display_translator.value_changed += on_value_changed;
-            return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
-            void on_value_changed() {
-               var next = display_translator.actual_value;
-               if (!comparer.Equals(curr, next))
-                  o.OnNext(curr = next);
-            }
-         });
-      }
-
-      public static T to_display<T>(
-         this QuantityConversionData<T> quantity_conversion_data, T actual_value)
-         where T : INumber<T> =>
-         quantity_conversion_data.op switch {
-            QuantityConversionOpType.DivideActual =>
-               actual_value.safe_divide(quantity_conversion_data.value),
-            QuantityConversionOpType.MultiplyActual =>
-               actual_value * quantity_conversion_data.value,
-            _ => actual_value,
-         };
-
-      public static T from_display<T>(
-         this QuantityConversionData<T> quantity_conversion_data, T display_value)
-         where T : INumber<T> =>
-         quantity_conversion_data.op switch {
-            QuantityConversionOpType.DivideActual => display_value * quantity_conversion_data.value,
-            QuantityConversionOpType.MultiplyActual =>
-               display_value.safe_divide(quantity_conversion_data.value),
-            _ => display_value,
-         };
-   }
-}

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/Bbo.cs

@@ -0,0 +1,47 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using System;
+
+public readonly struct Bbo : IEquatable<Bbo> {
+   public readonly double BidPrice;
+   public readonly double BidQuantity;
+   public readonly double AskPrice;
+   public readonly double AskQuantity;
+
+   public Bbo(double bidPrice, double bidQuantity, double askPrice, double askQuantity) {
+      BidPrice = bidPrice;
+      BidQuantity = bidQuantity;
+      AskPrice = askPrice;
+      AskQuantity = askQuantity;
+   }
+
+   public static Bbo Empty => new(double.NaN, double.NaN, double.NaN, double.NaN);
+
+   public bool Equals(Bbo other) =>
+      BidPrice.Equals(other.BidPrice) &&
+      BidQuantity.Equals(other.BidQuantity) &&
+      AskPrice.Equals(other.AskPrice) &&
+      AskQuantity.Equals(other.AskQuantity);
+
+   public override bool Equals(object? obj) =>
+      obj is Bbo other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(BidPrice, BidQuantity, AskPrice, AskQuantity);
+
+   public override string ToString() =>
+      $"({BidQuantity}) {BidPrice} {AskPrice} ({AskQuantity})";
+
+   public static bool operator ==(Bbo left, Bbo right) =>
+      left.Equals(right);
+
+   public static bool operator !=(Bbo left, Bbo right) =>
+      !left.Equals(right);
+
+   public static implicit operator (double, double, double, double)(Bbo bbo) =>
+      (bbo.BidPrice, bbo.BidQuantity, bbo.AskPrice, bbo.AskQuantity);
+
+   public static implicit operator Bbo((double, double, double, double) bboTup) =>
+      (bboTup.Item1, bboTup.Item2, bboTup.Item3, bboTup.Item4);
+}

src/client/spark_api/MarketData/BookStore.cs

@@ -0,0 +1,44 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using mbts;
+using mbts.co2;
+
+using System.Collections.Generic;
+
+class BookStore {
+   readonly uint numDepthLevels;
+   readonly Dictionary<uint, PollableBook> books = new(0);
+   IReadOnlyDictionary<uint, SecurityMD> securityMds = new Dictionary<uint, SecurityMD>(0);
+
+   public BookStore(uint numDepthLevels = NativePriceHelpers.COCONUT_MAX_DEPTH) =>
+      this.numDepthLevels = numDepthLevels;
+
+   public BookStore(IReadOnlyDictionary<uint, SecurityMD> securityMds, uint numDepthLevels = NativePriceHelpers.COCONUT_MAX_DEPTH) {
+      this.securityMds = securityMds;
+      this.numDepthLevels = numDepthLevels;
+   }
+
+   public void OnSecurityMds(IReadOnlyDictionary<uint, SecurityMD> securityMds) {
+      this.securityMds = securityMds;
+      books.Clear();
+   }
+
+   public PollableBook? GetPollableBook(uint id) {
+      if (!books.TryGetValue(id, out var book)) {
+         if (securityMds.TryGetValue(id, out var smd)) {
+            book = new(smd, numDepthLevels);
+            books.Add(id, book);
+         }
+      }
+      return book;
+   }
+
+   public BookTuple? GetBook(uint id, bool poll = true) {
+      var pb = GetPollableBook(id);
+      if (poll) {
+         pb?.poll_changes();
+      }
+      return pb?.to_book_tuple();
+   }
+}

src/client/spark_api/MarketData/BookTuple.cs

@@ -22,6 +22,13 @@ namespace Spark.Api.MarketData {
       public SecurityImmutable security { get; }
       public uint security_id => security.Id;
       public Book book { get; }
+      public Bbo bbo {
+         get {
+            (double bidp, double bidq) = book.bids.Count > 0 ? (book.bids[0].price, book.bids[0].size) : (double.NaN, double.NaN);
+            (double askp, double askq) = book.asks.Count > 0 ? (book.asks[0].price, book.asks[0].size) : (double.NaN, double.NaN);
+            return new(bidp, bidq, askp, askq);
+         }
+      }
 
       public TickDisplaySettingsImmutable quantity_display =>
          _quantity_display ?? Security.Defaults.quantity_display_settingsi;

src/client/spark_api/MarketData/MarketDataClient.cs

@@ -180,38 +180,6 @@ namespace bts.md {
          }
       }
 
-      class PollableBook {
-         readonly SecurityMD _security_md;
-         readonly uint _num_depth_levels;
-         ulong _last_update_time = 0;
-         // Reuse the same arrays as an optimization to avoid reallocating memory on each poll.
-         // Note: this will break if the code isn't called in a thread-safe manner.
-         NativePriceSize[] _bids;
-         NativePriceSize[] _asks;
-
-         public PollableBook(SecurityMD security_md, uint num_depth_levels) {
-            _security_md = security_md;
-            _num_depth_levels = num_depth_levels;
-            _bids = new NativePriceSize[_num_depth_levels];
-            _asks = new NativePriceSize[_num_depth_levels];
-         }
-
-         public BookTuple to_book_tuple() {
-            var book = new Book(
-               _security_md.security.Id, _to_book_side(_bids), _to_book_side(_asks));
-            return new(_security_md.security, book, _security_md.quantity_display);
-         }
-
-         public bool poll_changes() =>
-            _security_md.md.get_depth(
-               ref _last_update_time, ref _bids, ref _asks, _num_depth_levels);
-
-         static List<PriceSize> _to_book_side(NativePriceSize[] native_book_side) =>
-            native_book_side
-               .Select(nps => new PriceSize(nps.size, nps.direct_size, nps.implied_size, nps.price))
-               .ToList();
-      }
-
       class PollablePriceTicker {
          readonly SecurityMD _security_md;
          ulong _bbo_poll_time = 0;

src/client/spark_api/MarketData/MarketDataExtensions.cs

@@ -0,0 +1,102 @@
+#nullable enable
+namespace Spark.Api.MarketData;
+
+using bts;
+using bts.api.core;
+
+using mbts;
+
+using Spark.Core.Reactive;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading;
+
+public static class MarketDataExtensions {
+   public static IObservable<TableUpdate<TResult, TKey>>? JoinBbo<T, TResult, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      Func<T, Bbo, TResult> getResult,
+      Func<TResult, TKey> getResultKey,
+      TimeSpan? pollInterval = null
+   ) where TKey : IEquatable<TKey> {
+      return source.JoinBooks(securities, getSecId, GetResult, getResultKey, pollInterval, 1);
+
+      TResult GetResult(T value, BookTuple book) =>
+         getResult(value, book.bbo);
+   }
+
+   public static IObservable<TableUpdate<(T, BookTuple), TKey>> JoinBooks<T, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      TimeSpan? pollInterval = null,
+      uint? numDepthLevels = null
+   ) where TKey : IEquatable<TKey> {
+      // Get key function from the first update. This is for convenience (one
+      // less arg), and guarentees the key is consistent with the source data.
+      bool isKeyInitialized = false;
+      Func<T, TKey> keyFn = _ => throw new NotImplementedException(
+         "Key function expected from first update in source sequence");
+      return source.SelectInline(
+         s => {
+            if (!isKeyInitialized) {
+               isKeyInitialized = true;
+               Interlocked.Exchange(ref keyFn, Log.notnull(s.key_extractor));
+            }
+            return s;
+         })
+         .JoinBooks(securities, getSecId, (v, b) => (v, b), getKey, pollInterval, numDepthLevels);
+
+      TKey getKey((T v, BookTuple) tup) =>
+         keyFn(tup.v);
+   }
+
+   public static IObservable<TableUpdate<TResult, TKey>> JoinBooks<T, TResult, TKey>(
+      this IObservable<TableUpdate<T, TKey>> source,
+      IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities,
+      Func<T, uint> getSecId,
+      Func<T, BookTuple, TResult> getResult,
+      Func<TResult, TKey> getResultKey,
+      TimeSpan? pollInterval = null,
+      uint? numDepthLevels = null
+   ) where TKey : IEquatable<TKey> {
+      pollInterval ??= TimeSpan.FromSeconds(0.1);
+      numDepthLevels ??= 5;
+      return source.CombineLatest(securities.Select(smds => new BookStore(smds)))
+         .Sample(pollInterval.Value)
+         .Scan(TableUpdate<TResult, TKey>.mk_empty(getResultKey), Accumulate);
+
+      TableUpdate<TResult, TKey> Accumulate(TableUpdate<TResult, TKey> lastOut, (TableUpdate<T, TKey>, BookStore) lastIn) {
+         var (table, bookStore) = lastIn;
+         if (table is null || bookStore is null) {
+            return lastOut;
+         }
+         var bd = lastOut.to_builder();
+         var getKey = Log.notnull(table.key_extractor);
+         var dirtyKeys = table.added.Concat(table.changes.New()).ToHashSet(getKey);
+         lock (bookStore) {
+            foreach (var secGroup in table.state.Values.GroupBy(getSecId)) {
+               var pbook = bookStore.GetPollableBook(secGroup.Key);
+               if (pbook is null) {
+                  continue;
+               }
+               bool isBookDirty = pbook.poll_changes();
+               var book = pbook.to_book_tuple();
+               var dirtyVals = secGroup.AsEnumerable();
+               if (!isBookDirty) {
+                  dirtyVals = dirtyVals.Where(v => dirtyKeys.Contains(getKey(v)));
+               }
+               foreach (var v in dirtyVals) {
+                  var result = getResult(v, book);
+                  bd.add_or_update(result);
+               }
+            }
+            return bd.to_table();
+         }
+      }
+   }
+}

src/client/spark_api/MarketData/PollableBook.cs

@@ -0,0 +1,45 @@
+#nullable enable
+
+namespace Spark.Api.MarketData;
+
+using bts.md;
+
+using mbts;
+using mbts.co2;
+
+using System.Collections.Generic;
+using System.Linq;
+
+class PollableBook {
+   readonly SecurityMD _security_md;
+   readonly uint _num_depth_levels;
+   ulong _last_update_time = 0;
+   // Reuse the same arrays as an optimization to avoid reallocating memory on each poll.
+   // Note: this will break if the code isn't called in a thread-safe manner.
+   NativePriceSize[] _bids;
+   NativePriceSize[] _asks;
+
+   public PollableBook(SecurityMD security_md, uint num_depth_levels = NativePriceHelpers.COCONUT_MAX_DEPTH) {
+      _security_md = security_md;
+      _num_depth_levels = num_depth_levels;
+      _bids = new NativePriceSize[_num_depth_levels];
+      _asks = new NativePriceSize[_num_depth_levels];
+   }
+
+   public ulong last_update_time => _last_update_time;
+
+   public BookTuple to_book_tuple() {
+      var book = new Book(
+         _security_md.security.Id, _to_book_side(_bids), _to_book_side(_asks));
+      return new(_security_md.security, book, _security_md.quantity_display);
+   }
+
+   public bool poll_changes() =>
+      _security_md.md.get_depth(
+         ref _last_update_time, ref _bids, ref _asks, _num_depth_levels);
+
+   static List<PriceSize> _to_book_side(NativePriceSize[] native_book_side) =>
+      native_book_side
+         .Select(nps => new PriceSize(nps.size, nps.direct_size, nps.implied_size, nps.price))
+         .ToList();
+}

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/OrderUtilities.cs

@@ -1,19 +0,0 @@
-namespace bts.api.orderman {
-
-   public static class OrderUtilities {
-      public static NativeOrderStateImmutable? native_order_state(this OrderStateImmutable order) {
-         switch(order.CustomCase) {
-            case OrderState.CustomOneofCase.Market:
-               return order.Market.NativeState;
-            case OrderState.CustomOneofCase.Limit:
-               return order.Limit.NativeState;
-            case OrderState.CustomOneofCase.Stop:
-               return order.Stop.NativeState;
-            case OrderState.CustomOneofCase.StopLimit:
-               return order.StopLimit.NativeState;
-            default:
-            return null;
-         }
-      }
-   }
-}

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);