Change: Updated version to v2.2.3

This config was leftover from custom DJ work. We no longer need it.

.vscode/tasks.json

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
@@ -223,6 +223,10 @@ namespace mbts.spark {
             Add(qty_column = new SizeColumn(
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.quantity(), nameof(OrderBookRowVM.quantity))));
+            // notional value
+            Add(notional_value_column = new NotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.order.order.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
@@ -363,6 +367,7 @@ 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; }
@@ -391,6 +396,7 @@ 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(),
                avg_price = avg_price_column.filter.get_state(),
@@ -415,6 +421,7 @@ 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);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
@@ -645,6 +652,25 @@ 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.Qty, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
+
+         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)) { }

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
@@ -108,6 +108,8 @@ namespace mbts.spark {
       public double display_quantity => quantity.safe_divide(_display_qty_divisor);
       public string display_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_quantity);
+      public double notional_value => order.notional_value();
+      public string notional_value_text => _fmt_price(notional_value);
       public TickDisplaySettingsImmutable quantity_display_settings {
          get => _quantity_display_settings;
          set {

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

@@ -41,6 +41,8 @@ namespace bts.shell.orderbook {
       public Side[] sides;
       [ProtoMember(10)]
       public DoubleMinMaxState qty;
+      [ProtoMember(26)]
+      public DoubleMinMaxState notional_value;
       [ProtoMember(11)]
       public DoubleMinMaxState price;
       [ProtoMember(12)]
@@ -83,6 +85,7 @@ namespace bts.shell.orderbook {
          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) &&
          avg_price.safe_equals(other.avg_price) &&
@@ -111,6 +114,7 @@ namespace bts.shell.orderbook {
             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,
             avg_price?.GetHashCode() ?? 0,
@@ -149,6 +153,7 @@ namespace bts.shell.orderbook {
          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.order.order.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.avg_price, o => o.order.order.avg_price());

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

@@ -172,6 +172,7 @@ namespace bts.shell.orderbook {
             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.Size.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(

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

@@ -53,7 +53,8 @@ namespace mbts.spark {
          Commit = 1 << 28,
          RootAlgoType = 1 << 29,
          Piq = 1 << 30,
-         Check = 1 << 31
+         Check = 1 << 31,
+         NotionalValue = 1 & (1 << 1),
       }
 
       public OrderBookGridView() {

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);
          }
       }

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;
 
@@ -43,6 +43,7 @@
             Side = 47,
             Qty = 48,
             MergedQty = 68,
+            NotionalValue = 68,
             Filled = 56,
             Symbol = 60,
             Time = 112,
@@ -122,6 +123,7 @@
             SecurityType = "Security Type",
             Side = "B/S",
             Qty = "Qty",
+            NotionalValue = "Notional",
             MergedQty = "Qty",
             DirectQty = "Qty (D)",
             ImpliedQty = "Qty (I)",

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

@@ -100,7 +100,7 @@
       }
 
       void PerformMEFComposition(string config_source) {
-         Log.Ui.info($"Generating MEF dependencies for the shell " +
+         Log.Ui.info($"this is v2.2.3 Generating MEF dependencies for the shell" +
                $"({typeof(IInitializable)}s, {typeof(IShellModule)}s, " +
                $"{typeof(IShellDaemon)}s, etc.)");
          try {

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

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

src/client/spark_api/MarketData/SecurityMD.cs

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

src/client/spark_api/Orders/OrdersExtensions.cs

@@ -48,6 +48,9 @@ namespace Spark.Api.Orders {
       public static double quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.quantity() : 0;
 
+      public static double notional_value(this OrderRecordImmutable order) =>
+         order.quantity() * order.ui_price();
+
       public static double working_quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.working_quantity() : 0;
 
@@ -487,5 +490,8 @@ namespace Spark.Api.Orders {
             CustomOrderDefinition.CustomOneofCase.Composite => "COMP",
             _ => algo_type.ToString(),
          };
+
+      public static double notional_value(this FillImmutable fill) =>
+         fill.LastShares * fill.LastPrice;
    }
 }

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

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

src/client/spark_core/utils_api/NumericExtensions.cs

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

src/lib/api/md/DatabentoMarketDataConfig.proto

@@ -13,6 +13,6 @@ message DatabentoMarketDataConfig {
   double replay_sleep_timer_sec = 50;
   string key = 60;
   string dataset = 70;
-  bool filter_securities_one_year= 80;
+  uint32 filter_securities_upto_n_months= 80;
   bool load_reference_data = 90;
 }

src/lib/api/service_helpers/AdminServiceUtils.h

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

src/lib/cmake/GetLinuxClientSources.cmake

@@ -65,6 +65,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp

src/lib/cmake/GetWindowsClientSources.cmake

@@ -64,6 +64,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp

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

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

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

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

src/lib/config/protos/ui.proto

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

src/lib/domain/Book.h

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

src/lib/domain/BookLevel.h

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

src/lib/domain/BookSide.h

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

src/lib/domain/DomainSecurityUtils.cpp

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

src/lib/domain/DomainSecurityUtils.h

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

src/lib/domain/OrderDefinition.h

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

src/lib/domain/Quantity.h

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

src/lib/domain/Security.cpp

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

src/lib/domain/SecurityCommon.h

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

src/lib/domain/SecurityCriteriaClause.cpp

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

src/lib/domain/SecurityMarketDataStatistics.h

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

src/lib/domain/Side.h

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

src/lib/domain/TradeRecord.h

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

src/lib/domain/book_side_consumer.h

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

src/lib/domain/synthetic_book_side.cpp

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

src/lib/domain/synthetic_book_side.h

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

src/lib/domain_model/Security.cpp

@@ -1,10 +1,8 @@
 #include "Security.h"
-#include "lib/domain_model/Security.pb.h"
-
 #include "lib/config/config.h"
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
+#include "lib/domain_model/Security.pb.h"
 #include "lib/md/common.h"
-#include "lib/utils/datetime.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <google/protobuf/text_format.h>
@@ -13,7 +11,6 @@ namespace bts {
 namespace securities {
 
 using bts::api::Security;
-using bts::api::Venue;
 using std::optional;
 
 api::SecurityType security_type(api::Security const &security) {

src/lib/domain_model/Security.h

@@ -7,10 +7,8 @@
 #include "lib/domain_model/Venue.h"
 #include "lib/domain_model/common.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/datetime.h"
 
 #include <cmath>
-#include <memory>
 
 namespace boost {
 namespace gregorian {

src/lib/domain_model/Security.proto

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

src/lib/md/GeneralMarketDataListener.cpp

@@ -1,6 +1,4 @@
-//#ifdef SPARK_ENABLE_CCAPI
 #include "GeneralMarketDataListener.h"
-#include "lib/api/domain/Currency.pb.h"
 #include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.pb.h"
 #include "lib/core/TimeStamp.h"
@@ -21,7 +19,6 @@
 #include "lib/domain/SpreadSecurity.h"
 #include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/domain_model/common.h"
 #include "lib/logging/logging.h"
 #include "lib/md/GeneralSecurityIndex.h"
 #include "lib/md/IMarketDataListener.h"
@@ -29,28 +26,19 @@
 #include "lib/md/MDProducer.h"
 #include "lib/md/MDProducerHandle.h"
 #include "lib/md/PriceSize.h"
-#include "lib/md/SecurityIndex.h"
 #include "lib/md/Shm/FixedSecurity.h"
 #include "lib/md/Shm/MDStructure.h"
 #include "lib/md/protos/co2.pb.h"
-#include "lib/orderman/actors/SODPosition.h"
 #include "lib/orderman/gateways/sim/SimExecutionGateway.h"
 #include "lib/orderman/gateways/sim/SimExecutionGatewayFactory.h"
-#include "lib/orderman/orderman_utils/Book.h"
-#include "lib/os/os.h"
 #include "lib/persistence/IDGenerator.h"
-#include "lib/utils/PBUtils.h"
 #include "lib/utils/TimeStamp.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/bts_fatal.h"
-#include <cstddef>
-#include <cstdio>
-#include <memory>
 
 #include <bits/stdint-uintn.h>
-#include <cstdio>
 #include <google/protobuf/timestamp.pb.h>
 #include <google/protobuf/util/time_util.h>
+#include <memory>
 #include <optional>
 #include <sstream>
 #include <string>
@@ -80,74 +68,88 @@ struct CCSecSearchResult {
 struct IncrementalBookData {
    std::map<domain::SecurityID, domain::Book> book_map;
 
-bool update_incremental(const IMarketDataListener::BookOp &op) {
-    //DONT NEED THIS?
-    // Validate inputs first
-    if (op.price <= 0.0 || op.quantity < 0) {
-        LOG(md, Error, "Invalid input - Price: {}, Quantity: {}", op.price, op.quantity);
-        return false;
-    }
+   bool update_incremental(const IMarketDataListener::BookOp &op) {
+      //DONT NEED THIS?
+      // Validate inputs first
+      if (op.price <= 0.0 || op.quantity < 0) {
+         LOG(md, Error, "Invalid input - Price: {}, Quantity: {}", op.price,
+             op.quantity);
+         return false;
+      }
 
-    // Logging setup
-    //DO WE NEED TO PUT THESE IN A STRING 
-    std::string side_str = (op.side == domain::Side::Buy) ? "Buy" : "Sell";
-    std::string op_type_str;
-    switch (op.op_type) {
-        case IMarketDataListener::BookOpType::Add: op_type_str = "Add"; break;
-        case IMarketDataListener::BookOpType::MODIFY: op_type_str = "Modify"; break;
-        case IMarketDataListener::BookOpType::REMOVE: op_type_str = "Delete"; break;
-        default: op_type_str = "Unknown"; break;
-    }
-   //CAN WE DO THIS WITHOUT ASSIGNING TO STRINGS 
-    std::stringstream op_details;
-    op_details << "Operation: Price: " << op.price << ", Quantity: " << op.quantity
-               << ", Side: " << side_str << ", Type: " << op_type_str << "\n";
+      // Logging setup
+      //DO WE NEED TO PUT THESE IN A STRING
+      std::string side_str = (op.side == domain::Side::Buy) ? "Buy" : "Sell";
+      std::string op_type_str;
+      switch (op.op_type) {
+      case IMarketDataListener::BookOpType::Add:
+         op_type_str = "Add";
+         break;
+      case IMarketDataListener::BookOpType::MODIFY:
+         op_type_str = "Modify";
+         break;
+      case IMarketDataListener::BookOpType::REMOVE:
+         op_type_str = "Delete";
+         break;
+      default:
+         op_type_str = "Unknown";
+         break;
+      }
+      //CAN WE DO THIS WITHOUT ASSIGNING TO STRINGS
+      std::stringstream op_details;
+      op_details << "Operation: Price: " << op.price
+                 << ", Quantity: " << op.quantity << ", Side: " << side_str
+                 << ", Type: " << op_type_str << "\n";
 
-    LOG(md, Info, "Book Increment: {}", op_details.str());
+      LOG(md, Info, "Book Increment: {}", op_details.str());
 
-    // Get book and validate
-    auto book = get_book(op.id);
-    if (book == nullptr) {
-        LOG(md, Error, "Book not found for id: {}", op.id);
-        return false;
-    }
+      // Get book and validate
+      auto book = get_book(op.id);
+      if (book == nullptr) {
+         LOG(md, Error, "Book not found for id: {}", op.id);
+         return false;
+      }
 
-    // Get correct side of the book
-    auto& book_side = (op.side == domain::Side::Buy) ? book->bids() : book->asks();
+      // Get correct side of the book
+      auto &book_side =
+          (op.side == domain::Side::Buy) ? book->bids() : book->asks();
 
-    // Log initial state
-    std::stringstream book_before;
-    book_before << "Book before update (" << side_str << " side):\n";
-    for (const auto& level : book_side) {
-        book_before << "Price: " << level.price << ", Quantity: " << level.total_quantity << "\n";
-    }
+      // Log initial state
+      std::stringstream book_before;
+      book_before << "Book before update (" << side_str << " side):\n";
+      for (const auto &level : book_side) {
+         book_before << "Price: " << level.price
+                     << ", Quantity: " << level.total_quantity << "\n";
+      }
 
-    /*-----------*/
-    if(op.side == domain::Side::Buy){
-      switch(op.op_type){
-         case IMarketDataListener::BookOpType::Add:
-         {
+      /*-----------*/
+      if (op.side == domain::Side::Buy) {
+         switch (op.op_type) {
+         case IMarketDataListener::BookOpType::Add: {
             int insert_position = 0;
-            for (size_t i = 0; i < book_side.size(); i++){//not sure how to access book
-               if(book_side[i].price != 0 && book_side[i].price > op.price ){
+            for (size_t i = 0; i < book_side.size();
+                 i++) { //not sure how to access book
+               if (book_side[i].price != 0 && book_side[i].price > op.price) {
                   //book_side is the book we have ?
                   //op.price is what we received ?
                   insert_position++;
                   continue;
-               }else {//need j to be last level
-                  for (size_t j =fmin(book_side.size()-1,5-1); j > i; j--){
-                     book_side[j] = book_side[j-1];
+               } else { //need j to be last level
+                  for (size_t j = fmin(book_side.size() - 1, 5 - 1); j > i;
+                       j--) {
+                     book_side[j] = book_side[j - 1];
                   }
                   break;
                }
             }
             book_side[insert_position].price = op.price;
-            book_side[insert_position].total_quantity = op.quantity;//dont know how to add quantity
+            book_side[insert_position].total_quantity =
+                op.quantity; //dont know how to add quantity
             break;
          }
-         case IMarketDataListener::BookOpType::MODIFY:{
-            for(size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price != 0 && book_side[i].price == op.price){
+         case IMarketDataListener::BookOpType::MODIFY: {
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price == op.price) {
                   //want to update quantity if price is a match
                   book_side[i].total_quantity = op.quantity;
                   break;
@@ -155,103 +157,113 @@ bool update_incremental(const IMarketDataListener::BookOp &op) {
             }
             break;
          }
-         case IMarketDataListener::BookOpType::REMOVE:{
+         case IMarketDataListener::BookOpType::REMOVE: {
             int found_position = -1;
-            for (size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price == op.price){//trying to find based on price only
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price ==
+                   op.price) { //trying to find based on price only
                   found_position = i;
                   break;
                }
             }
             size_t level = found_position;
-            //would've had 4 here; want to be at last level 
-            for(size_t i = found_position; i <fmin(book_side.size(),5); i++){
-               book_side[i] = book_side[i+1];
+            //would've had 4 here; want to be at last level
+            for (size_t i = found_position; i < fmin(book_side.size(), 5);
+                 i++) {
+               book_side[i] = book_side[i + 1];
                level++;
             }
-            if(found_position != -1){
+            if (found_position != -1) {
                //trying to set last level to 0
-               book_side[level].total_quantity =domain::Quantity(0);
+               book_side[level].total_quantity = domain::Quantity(0);
             }
             break;
          }
          default:
-            LOG(md,Error, "In the Default Case for IMarketDataListener::BookOp {}");
-      }
-    }else if (op.side == domain::Side::Sell){
-      switch(op.op_type){
-         case IMarketDataListener::BookOpType::Add:{
+            LOG(md, Error,
+                "In the Default Case for IMarketDataListener::BookOp {}");
+         }
+      } else if (op.side == domain::Side::Sell) {
+         switch (op.op_type) {
+         case IMarketDataListener::BookOpType::Add: {
             int insert_position = 0;
-            for (int i = 0; i < fmin(book_side.size(),5); i++) {
-                if (book_side[i].price != 0 && book_side[i].price < op.price) {
-                    insert_position++;
-                    continue;
-                }
-            }//need i to be at the last level
-            for (int i = fmin(book_side.size()-1,5-1); i > insert_position; i--) {
-                book_side[i].price = book_side[i - 1].price;
-                book_side[i].total_quantity = book_side[i - 1].total_quantity;
+            for (int i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price < op.price) {
+                  insert_position++;
+                  continue;
+               }
+            } //need i to be at the last level
+            for (int i = fmin(book_side.size() - 1, 5 - 1); i > insert_position;
+                 i--) {
+               book_side[i].price = book_side[i - 1].price;
+               book_side[i].total_quantity = book_side[i - 1].total_quantity;
             }
             book_side[insert_position].price = op.price;
-            book_side[insert_position].total_quantity = op.quantity; 
+            book_side[insert_position].total_quantity = op.quantity;
             break;
          }
-         case IMarketDataListener::BookOpType::MODIFY:{
-               for (int i = 0; i < fmin(book_side.size(),5); i++) {
-                    if (book_side[i].price != 0 && book_side[i].price == op.price) {
-                        // For modify, we might want to update or keep the same value
-                        book_side[i].price = op.price;
-                        book_side[i].total_quantity = op.quantity; 
-                        break; 
-                    }
-                }break;            
+         case IMarketDataListener::BookOpType::MODIFY: {
+            for (int i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price != 0 && book_side[i].price == op.price) {
+                  // For modify, we might want to update or keep the same value
+                  book_side[i].price = op.price;
+                  book_side[i].total_quantity = op.quantity;
+                  break;
+               }
+            }
+            break;
          }
          case IMarketDataListener::BookOpType::REMOVE: {
             int found_position = -1;
-            for (size_t i = 0; i < fmin(book_side.size(),5); i++){
-               if(book_side[i].price == op.price){
+            for (size_t i = 0; i < fmin(book_side.size(), 5); i++) {
+               if (book_side[i].price == op.price) {
                   found_position = i;
                   break;
                }
             }
-            size_t level =found_position;
-            for (int i = found_position; i < fmin(book_side.size(),5); i++){
-               book_side[i].price = book_side[i+1].price;
-               book_side[i].total_quantity = book_side[i+1].total_quantity;
+            size_t level = found_position;
+            for (int i = found_position; i < fmin(book_side.size(), 5); i++) {
+               book_side[i].price = book_side[i + 1].price;
+               book_side[i].total_quantity = book_side[i + 1].total_quantity;
                level++;
             }
-            if(found_position != -1){
-               book_side[fmin(book_side.size()-1,level)].total_quantity = domain::Quantity(0);
+            if (found_position != -1) {
+               book_side[fmin(book_side.size() - 1, level)].total_quantity =
+                   domain::Quantity(0);
             }
             break;
          }
          default:
-             LOG(md, Error, "In the Default Case for IMarketDataListener::BookOp {}");
+            LOG(md, Error,
+                "In the Default Case for IMarketDataListener::BookOp {}");
             break;
+         }
       }
+      /*---------------------*/
+      int counter = 0;
+      for (auto &level : book_side) {
+         if (counter > 4) {
+            level.total_quantity = domain::Quantity(0);
+         }
+         counter++;
       }
-    /*---------------------*/
-   int counter =0;
-   for(auto &level:book_side){
-      if(counter >4){
-         level.total_quantity =domain::Quantity(0);
+
+      // Log final state
+      std::stringstream book_after;
+      book_after << "Book after update (" << side_str << " side):\n";
+      for (const auto &level : book_side) {
+         book_after << "Price: " << level.price
+                    << ", Quantity: " << level.total_quantity << "\n";
       }
-      counter++;
+
+      std::string book_before_after_op =
+          book_before.str() + "\n" + book_after.str() + "\n" + op_details.str();
+      LOG(md, Diag, "Book Increment desc: {}", book_before_after_op);
+      bts_assert_msgf(
+          book->is_sorted(), "book not sorted {}", book_before_after_op);
+
+      return true;
    }
-
-    // Log final state
-    std::stringstream book_after;
-    book_after << "Book after update (" << side_str << " side):\n";
-    for (const auto& level : book_side) {
-        book_after << "Price: " << level.price << ", Quantity: " << level.total_quantity << "\n";
-    }
-
-    std::string book_before_after_op = book_before.str() + "\n" + book_after.str() + "\n" + op_details.str();
-    LOG(md, Diag, "Book Increment desc: {}", book_before_after_op);
-    bts_assert_msgf(book->is_sorted(), "book not sorted {}", book_before_after_op);
-
-    return true;
-}
    domain::Book const *get_const_book(domain::SecurityID id) const {
       auto it = book_map.find(id);
       if (it == book_map.end()) {
@@ -301,8 +313,7 @@ struct GeneralMarketDataListener::PImpl {
        GeneralSecurityIndex &index,
        MDProducer &md_producer,
        std::shared_ptr<bts::orderman::SimExecutionGateway> sim_ex_gwy)
-       : venue(venue), index(index),
-         md_producer(md_producer),
+       : venue(venue), index(index), md_producer(md_producer),
          sim_ex_gwy(std::move(sim_ex_gwy)) {
       if (this->sim_ex_gwy != nullptr) {
          this->sim_ex_gwy->set_producers(&this->index);
@@ -464,7 +475,7 @@ void GeneralMarketDataListener::on_book(
 
 void GeneralMarketDataListener::on_book_increment(
     const IMarketDataListener::BookOp &book_op) {
-   if(!me->inc_book_data.update_incremental(book_op)){
+   if (!me->inc_book_data.update_incremental(book_op)) {
       return;
    }
    domain::Book const *book_ptr = me->inc_book_data.get_const_book(book_op.id);
@@ -635,6 +646,81 @@ void GeneralMarketDataListener::_commit_security(const FixedSecurity &sec) {
        handle.security().numeric_id, me->index.n_secs());
 }
 
+static bool get_qty_info(
+    double qty_incr, float &qty_tick_unit, float &qty_tick_base) {
+   float qty_tick_denom = 1.0 / qty_incr;
+   int qty_tick_denomi = static_cast<int>(qty_tick_denom);
+   if (qty_tick_denom != qty_tick_denomi) {
+      return false;
+   }
+   switch (static_cast<int>(qty_tick_denom)) {
+   case 1:
+      qty_tick_unit = 1;
+      qty_tick_base = 1;
+      break;
+   case 10:
+      qty_tick_unit = 10;
+      qty_tick_base = 100;
+      break;
+   case 100:
+      qty_tick_unit = 1;
+      qty_tick_base = 100;
+      break;
+   case 1000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1000;
+      break;
+   case 10000:
+      qty_tick_unit = 1;
+      qty_tick_base = 10000;
+      break;
+   case 100000:
+      qty_tick_unit = 1;
+      qty_tick_base = 100000;
+      break;
+   case 1000000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1000000;
+      break;
+   case 4:
+      qty_tick_unit = 25;
+      qty_tick_base = 100;
+      break;
+   case 40:
+      qty_tick_unit = 25;
+      qty_tick_base = 1000;
+      break;
+   case 400:
+      qty_tick_unit = 25;
+      qty_tick_base = 10000;
+      break;
+   case 4000:
+      qty_tick_unit = 25;
+      qty_tick_base = 100000;
+      break;
+   case 20:
+      qty_tick_unit = 5;
+      qty_tick_base = 100;
+      break;
+   case 200:
+      qty_tick_unit = 5;
+      qty_tick_base = 1000;
+      break;
+   case 2000:
+      qty_tick_unit = 5;
+      qty_tick_base = 10000;
+      break;
+   case 20000:
+      qty_tick_unit = 5;
+      qty_tick_base = 100000;
+      break;
+   default:
+      bts_assert_msg(false, "Invalid qty tick");
+      return false;
+   }
+   return true;
+}
+
 void GeneralMarketDataListener::_copy_security_common(
     const bts::domain::Security &from, uint64_t key, FixedSecurity &to) const {
    to.key = key;
@@ -648,6 +734,24 @@ void GeneralMarketDataListener::_copy_security_common(
    to.display_factor = 0.0;
    to.price_break = 0.0;
    to.low_tick = to.high_tick = from.security_common.min_price_increment;
+   auto &sc = from.security_common;
+   double min_qty = sc.min_quantity;
+   double qty_incr = sc.min_quantity_increment;
+   if (!(min_qty > 0)) {
+      min_qty = qty_incr;
+   } else if (!(qty_incr > 0)) {
+      qty_incr = min_qty;
+   }
+   double max_qty = sc.max_quantity;
+   if (qty_incr > 0 && min_qty > 0 && max_qty > min_qty) {
+      float qty_tick_unit;
+      float qty_tick_base;
+      if (get_qty_info(qty_incr, qty_tick_unit, qty_tick_base)) {
+         to.add_quantity_info(
+             min_qty, max_qty, qty_tick_unit, qty_tick_base,
+             std::numeric_limits<float>::max(), false);
+      }
+   }
 }
 
 uint64_t GeneralMarketDataListener::_generate_security_key(
@@ -685,13 +789,16 @@ void GeneralMarketDataListener::_on_book(
    _possibly_match_with_sim_orders(
        bts::md::SecurityKey(book.security_id().value()));
    LOG(md, Diag,
-       "GeneralMarketDataListener::_on_book post id: {} bid: {}/{}/{} ask: "
+       "GeneralMarketDataListener::_on_book sec: {} sec_id: {} handle_id: {} "
+       "bid: "
+       "{}/{}/{} ask: "
        "{}/{}/{}",
-       handle->id, me->bids.at(0).price(), me->bids.at(0).direct_size(),
-       me->bids.at(0).size(), me->asks.at(0).price(),
-       me->asks.at(0).direct_size(), me->asks.at(0).size());
+       std::string(handle->handle.security().security_desc()),
+       book.security_id(), handle->id, me->bids.at(0).price(),
+       me->bids.at(0).direct_size(), me->bids.at(0).size(),
+       me->asks.at(0).price(), me->asks.at(0).direct_size(),
+       me->asks.at(0).size());
    handle->handle.update_direct(time.value(), me->bids, me->asks);
 }
 
 } // namespace bts::md
-//#endif

src/lib/md/GeneralSecurityIndex.h

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

src/lib/md/IMarketDataListener.h

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

src/lib/md/MBOProcessor.cpp

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

src/lib/md/MBOProcessor.h

@@ -3,13 +3,9 @@
 #include "IntPrice.h"
 #include "MDProducerHandle.h"
 #include "lib/core/FMT_IMPL.h"
-#include "lib/domain_model/Security.h"
-#include "lib/domain_model/SecurityKey.h"
 #include "lib/utils/TimeStamp.h"
 
 #include <btree/map.h>
-
-#include <map>
 #include <memory>
 #include <tuple>
 #include <vector>

src/lib/md/MBOServiceServer.cpp

@@ -1,6 +1,5 @@
 #ifndef _WIN32
 #include "MBOServiceServer.h"
-
 #include "ExchangeOrderKey.h"
 #include "MBOProcessor.h"
 #include "MDClient.h"
@@ -8,11 +7,8 @@
 #include "lib/domain_model/Security.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/utils/Dispatcher.h"
-#include "lib/utils/TimeStamp.h"
-
 #include "lib/utils/LockBox.h"
 
-#include <tuple>
 #include <unordered_map>
 #include <vector>
 

src/lib/md/MBOServiceServer.h

@@ -2,8 +2,8 @@
 #ifndef _WIN32
 #include "lib/api/public/ServiceContext.h"
 #include "lib/api/services/MBOService.server.pb.h"
+
 #include <memory>
-#include <optional>
 
 namespace bts {
 namespace utils {

src/lib/md/MDConsumer.cpp

@@ -3,16 +3,12 @@
 #include "MBOProcessor.h"
 #include "MemorySegmentUtils.h"
 #include "SecurityCache.h"
-#include "lib/config/config.h"
-#include "lib/config/protos/market_data.pb.h"
-#include "lib/domain_model/Security.pb.h"
+#include "lib/domain_model/Security.h"
 #include "lib/logging/logging.h"
 #include "lib/md/ShmSegmentName.h"
 #include "lib/md/SymbolLoader.h"
 #include "lib/utils/SharedList.h"
 #include "lib/utils/WaitFreeQueue.h"
-#include "lib/utils/bts_chrono.h"
-#include "lib/utils/sane_algorithm.h"
 
 #include <algorithm>
 #include <btree/map.h>

src/lib/md/MDConsumer.h

@@ -1,13 +1,11 @@
 #pragma once
 
-#include "lib/utils/bts_export.h"
-#include "lib/utils/bts_no_copy.h"
-
 #include "ISyntheticSecurityService.h"
 #include "MDConsumerHandle.h"
 #include "SecurityPtr.h"
 #include "UserSymbol.h"
 #include "common.h"
+#include "lib/utils/bts_export.h"
 
 #include <functional>
 #include <google/protobuf/repeated_field.h>

src/lib/md/MDConsumerHandle.cpp

@@ -1,7 +1,11 @@
 #ifndef NO_CPP0X
 #include "MDConsumerHandle.h"
 #include "MBOProcessor.h"
+#include "lib/domain/BookSide.h"
+#include "lib/domain/DomainSecurityUtils.h"
+#include "lib/domain/synthetic_book_side.h"
 #include "lib/domain_model/Security.h"
+#include "lib/domain_model/Security.pb.h"
 #include "lib/os/os.h"
 #include <boost/container/small_vector.hpp>
 
@@ -13,6 +17,10 @@ using small_vector = boost::container::small_vector<T, 4>;
 namespace bts {
 namespace md {
 
+using bts::domain::DomainSecurityUtils;
+using std::make_tuple;
+using std::tie;
+
 MDConsumerHandle::MDConsumerHandle() {
    os::memset(this, 0, sizeof(MDConsumerHandle));
    _type = HANDLETYPE_VOID;
@@ -102,125 +110,6 @@ TimeStamp copy_depth(
 /////////////////////////////
 // SYNTHETIC DEPTH
 /////////////////////////////
-struct Level {
-   double price;
-   double size;
-};
-struct DepthTraversal {
-   std::array<Level, COCONUT_MAX_DEPTH> levels;
-   size_t head;
-   api::Side side;
-   double qty, price_mult;
-   DepthTraversal(
-       api::Side side,
-       double qty,
-       double price_mult,
-       const PriceSize *depth,
-       size_t depth_count)
-       : levels(), head(0), side(side), qty(qty), price_mult(price_mult) {
-      // Copy prices into mutable storage
-      for (size_t x = 0; x < depth_count; ++x) {
-         levels[x].price = depth[x].price();
-         levels[x].size = depth[x].size();
-      }
-   }
-   double available_size() const {
-      double available = 0.0;
-      auto cur = head;
-      bool partial = false;
-      while (cur < levels.size() && available < 1) {
-         available += levels[cur].size / qty;
-         if (available < 1.0)
-            partial = true;
-         ++cur;
-      }
-      if (partial && available >= 1.0)
-         return 1.0;
-      return available;
-   }
-   double consume(double size) {
-      bts_assert_d(size <= available_size());
-      double take = size * qty;
-      double price = 0.0;
-      while (take > 0) {
-         if (levels[head].size >= take) {
-            price += levels[head].price * price_mult * (take / qty);
-            levels[head].size -= take;
-            if (levels[head].size <= 0)
-               ++head;
-            break;
-         } else {
-            double available = levels[head].size;
-            price += levels[head].price * price_mult * (available / qty);
-            levels[head].size = 0;
-            ++head;
-            take -= available;
-         }
-      }
-      return price / size;
-   }
-};
-
-void copy_synthetic_side(
-    size_t count,
-    api::Side side,
-    const api::ContractSpecification &spec,
-    small_vector<DepthTraversal> &leg_travs,
-    Level *out_price) {
-   size_t out_index = 0;
-   bool first = true;
-   while (out_index < count) {
-
-      double price = 0.0;
-      // Find the leg with the minimum available size
-      double size = std::numeric_limits<double>().max();
-
-      for (const auto &dt : leg_travs) {
-         auto sz = dt.available_size();
-         // If we can't get 1.0 from any leg we're done
-         if (sz <= size)
-            size = sz;
-         if (size < 1.0)
-            break;
-      }
-      size = (int64_t)size;
-
-      if (size < 1.0) {
-         // We've run out of book so we nan out any remaining levels and finish
-         size_t start = first ? out_index : out_index + 1;
-         for (size_t x = start; x < count; ++x) {
-            out_price[x].price = os::nan();
-            out_price[x].size = 0;
-         }
-         return;
-      }
-
-      // Take that size from each leg
-      for (auto &dt : leg_travs) {
-         double temp = dt.consume(size);
-         price += temp;
-      }
-      bts_assert_d(!os::is_nan(price));
-
-      // Round to tick size
-      price = securities::checked_round_to_quote_price(spec, price, side);
-
-      if (first) {
-         first = false;
-         out_price[out_index].price = price;
-      }
-
-      if (price == out_price[out_index].price) {
-         out_price[out_index].size += size;
-      } else {
-         out_index += 1;
-         if (out_index < count) {
-            out_price[out_index].price = price;
-            out_price[out_index].size = size;
-         }
-      }
-   }
-}
 
 const spark::LegSpreaderParams &get_spreader_params(
     const SyntheticStrategy &synth, security_key key) {
@@ -239,10 +128,11 @@ TimeStamp copy_synthetic_depth(
     size_t count,
     PriceSize *bid,
     PriceSize *ask) {
-   small_vector<DepthTraversal> bid_leg_travs;
-   small_vector<DepthTraversal> ask_leg_travs;
-   bid_leg_travs.reserve(synth.legs.size());
-   ask_leg_travs.reserve(synth.legs.size());
+   domain::SyntheticBookSide synth_bids;
+   domain::SyntheticBookSide synth_asks;
+   // Store bid/ask for each leg (2 BookSides per leg).
+   std::vector<domain::BookSide> depth_cache;
+   depth_cache.resize(2 * synth.legs.size());
    TimeStamp rv = std::numeric_limits<TimeStamp>::min();
    for (size_t x = 0; x < synth.legs.size(); ++x) {
       std::array<PriceSize, COCONUT_MAX_DEPTH> bids, asks;
@@ -258,41 +148,27 @@ TimeStamp copy_synthetic_depth(
       }
       if (r == HandleReadResult::BUSY || t == TimeStamp::invalid())
          return TimeStamp::invalid();
-
-      // NET Change
-      if (synth.security.synthetic().price_calc() ==
-          api::SyntheticContract::PRICECALC_NET_CHANGE) {
-         auto settle = synth.legs[x].settlement_price();
-         for (size_t d = 0; d < COCONUT_MAX_DEPTH; ++d) {
-            bids[d] = {bids[d].int_price() - settle, bids[d].size()};
-            asks[d] = {asks[d].int_price() - settle, asks[d].size()};
-         }
-      }
-
       rv = std::max(rv, t);
       const auto &leg = synth.security.synthetic().legs(x);
-      const auto &eff_bid = leg.side() == api::SIDE_BUY ? bids : asks;
-      const auto &eff_ask = leg.side() == api::SIDE_BUY ? asks : bids;
-      bid_leg_travs.push_back(DepthTraversal(
-          leg.side(), leg.quantity(), leg.price_multiplier(), &eff_bid[0],
-          eff_bid.size()));
-      ask_leg_travs.push_back(DepthTraversal(
-          leg.side(), leg.quantity(), leg.price_multiplier(), &eff_ask[0],
-          eff_ask.size()));
-   }
-   std::array<Level, COCONUT_MAX_DEPTH> scratch{};
-   const auto &spec = synth.security.contract_spec();
-   copy_synthetic_side(
-       count, api::SIDE_BUY, spec, bid_leg_travs, scratch.data());
-   for (size_t x = 0; x < count; ++x) {
-      bid[x] = PriceSize_from_double<11>(scratch[x].price, scratch[x].size);
-   }
-   memset(scratch.data(), 0, sizeof(scratch));
-   copy_synthetic_side(
-       count, api::SIDE_SELL, spec, ask_leg_travs, scratch.data());
-   for (size_t x = 0; x < count; ++x) {
-      ask[x] = PriceSize_from_double<11>(scratch[x].price, scratch[x].size);
+      PriceSize *eff_bid, *eff_ask;
+      domain::Quantity rel_qty;
+      tie(eff_bid, eff_ask, rel_qty.value()) =
+          leg.side() == api::SIDE_BUY
+              ? make_tuple(bids.data(), asks.data(), leg.quantity())
+              : make_tuple(asks.data(), bids.data(), -leg.quantity());
+      // Bid
+      domain::BookSide &cbids = depth_cache.at(x);
+      DomainSecurityUtils::convert(eff_bid, COCONUT_MAX_DEPTH, cbids);
+      synth_bids = synth_bids.add_leg({rel_qty, cbids.data(), cbids.size()});
+      // Ask
+      domain::BookSide &casks = depth_cache.at(x + synth.legs.size());
+      DomainSecurityUtils::convert(eff_ask, COCONUT_MAX_DEPTH, casks);
+      synth_asks = synth_asks.add_leg({rel_qty, casks.data(), casks.size()});
    }
+   DomainSecurityUtils::convert(
+       synth_bids.data(), synth_bids.size(), bid, count);
+   DomainSecurityUtils::convert(
+       synth_asks.data(), synth_asks.size(), ask, count);
    return rv;
 }
 

src/lib/md/MDConsumerHandle.h

@@ -4,8 +4,8 @@
 #include "lib/md/Shm/MDStructure.h"
 #include "lib/sparkproto/SparkProtos.pb.h"
 #include "lib/utils/bts_export.h"
-#include "lib/utils/bts_no_copy.h"
 #include "lib/utils/sane_algorithm.h"
+
 #include <atomic>
 #include <vector>
 

src/lib/md/MDProducer.cpp

@@ -10,7 +10,6 @@
 #include "lib/os/os.h"
 #include "lib/utils/SharedList.h"
 #include "lib/utils/WaitFreeQueue.h"
-#include <iomanip>
 
 using namespace std;
 

src/lib/md/MDProducerHandle.h

@@ -3,11 +3,9 @@
 #include "MDProducerChannel.h"
 #include "Shm/MDStructure.h"
 #include "lib/utils/bts_export.h"
-#include "lib/utils/bts_no_copy.h"
 #include "lib/utils/datetime.h"
 
 #include <tbb/concurrent_queue.h>
-#include <vector>
 
 namespace bts {
 namespace co2 {

src/lib/md/MemorySegmentUtils.cpp

@@ -1,7 +1,5 @@
 #ifndef NO_CPP0X
 #include "MemorySegmentUtils.h"
-#include "lib/config/config.h"
-#include "lib/config/protos/market_data.pb.h"
 
 using namespace std;
 

src/lib/md/PriceSize.h

@@ -3,17 +3,9 @@
 #include "IntPrice.h"
 #include "SizeTypes.h"
 #include "common.h"
-
 #include "lib/os/os.h"
 #include "lib/utils/Optimistic.h"
-#include "lib/utils/bts_array_size.h"
-#include "lib/utils/bts_assert.h"
-#include "lib/utils/bts_no_copy.h"
-#include "lib/utils/warn_ctrl.h"
 
-#include <atomic>
-#include <cmath>
-#include <limits>
 #include <nlohmann/json.hpp>
 
 namespace bts {

src/lib/md/SecurityCache.cpp

@@ -5,11 +5,9 @@
 #include "lib/logging/logging.h"
 #include "lib/md/security_type_index.h"
 #include "lib/md/venue_index.h"
-#include "lib/utils/Dispatcher.h"
 #include "lib/utils/LockBox.h"
 
 #include <btree/map.h>
-#include <mutex>
 #include <tbb/concurrent_queue.h>
 #include <unordered_map>
 

src/lib/md/SecurityCache.h

@@ -3,8 +3,8 @@
 #include "MDConsumerHandle.h"
 #include "SecurityPtr.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/domain_model/SecurityKey.h"
 #include "lib/md/ExchangeSecurityKey.h"
+
 #include <memory>
 
 namespace bts {

src/lib/md/SecurityDB.h

@@ -2,14 +2,9 @@
 
 #include "SecurityPtr.h"
 #include "UserSymbol.h"
-#include "common.h"
 #include "lib/api/services/SyntheticSecurityService.pb.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/domain_model/SecurityKey.h"
-#include "lib/domain_model/common.h"
-#include "lib/md/MDProducerHandle.h"
 #include "lib/utils/ResultEnum.h"
-#include "lib/utils/datetime.h"
 
 #include <functional>
 #include <set>

src/lib/md/SecurityIDRecorder.cpp

@@ -1,20 +1,13 @@
 #ifndef _WIN32
 #include "SecurityIDRecorder.h"
 #include "lib/domain_model/Security.h"
+#include "lib/logging/logging.h"
 #include "lib/persistence/IStore.h"
 #include "lib/persistence/SqliteStore.h"
-#include <boost/pool/object_pool.hpp>
-
-#include "lib/config/config.h"
-#include "lib/logging/logging.h"
-#include "lib/utils/Sqlite_utils.h"
 #include "lib/utils/checked_arithmetic.h"
+
 #include <boost/filesystem.hpp>
-#include <tbb/concurrent_queue.h>
-
-#include "lib/config/protos/market_data.pb.h"
-#include "lib/config/protos/system_config.pb.h"
-
+#include <boost/pool/object_pool.hpp>
 #include <memory>
 #include <sqlite/sqlite3.h>
 #include <stdexcept>
@@ -31,7 +24,6 @@ namespace md {
 using bts::api::Security;
 using bts::api::SecurityType;
 using bts::api::Venue;
-using bts::config::SystemConfig;
 using bts::persistence::IStore;
 using bts::persistence::SqliteStore;
 

src/lib/md/SecurityIDRecorder.h

@@ -1,10 +1,9 @@
 #pragma once
 #ifndef _WIN32
 #include "MDProducerHandle.h"
-#include "common.h"
 #include "lib/persistence/IStore.h"
 #include "lib/utils/Sqlite_utils.h"
-#include <atomic>
+
 #include <functional>
 #include <memory>
 #include <optional>

src/lib/md/SecurityIndex.h

@@ -3,14 +3,13 @@
 #include "MDProducerHandle.h"
 #include "common.h"
 #include "lib/logging/logging.h"
-#include "lib/md/Shm/MDStructure.h"
 #include "lib/utils/bts_no_copy.h"
+
 #include <memory>
 #include <tbb/concurrent_hash_map.h>
 #include <tbb/concurrent_queue.h>
 #include <tbb/queuing_rw_mutex.h>
 #include <unordered_map>
-#include <vector>
 
 namespace bts {
 namespace md {

src/lib/md/SecurityMapper.cpp

@@ -5,7 +5,6 @@
 #include "lib/config/config.h"
 #include "lib/config/protos/cme_reference_data.pb.h"
 #include "lib/config/protos/market_data.pb.h"
-#include "lib/domain_model/Security.h"
 #include "lib/utils/parse_enum.h"
 
 #ifndef _WIN32

src/lib/md/SecurityPtr.h

@@ -1,6 +1,5 @@
 #pragma once
 
-#include "lib/domain_model/SecurityKey.h"
 #include <memory>
 
 namespace bts {
@@ -12,4 +11,4 @@ namespace md {
 typedef std::shared_ptr<const api::Security> SecurityPtr;
 
 }
-} // namespace bts
+} // namespace bts

src/lib/md/SecurityStore.cpp

@@ -1,13 +1,10 @@
 #include "SecurityStore.h"
 #include "lib/domain/FutureSecurity.h"
 #include "lib/domain/Security.h"
-#include "lib/utils/Dispatcher.h"
 #include "lib/utils/LockBox.h"
 
 #include <btree/map.h>
-#include <mutex>
 #include <tbb/concurrent_queue.h>
-#include <unordered_map>
 
 namespace bts::md {
 

src/lib/md/SecurityStore.h

@@ -1,9 +1,9 @@
 #pragma once
 
-#include "MDConsumerHandle.h"
 #include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.pb.h"
 #include "lib/domain/SecurityID.h"
+
 #include <memory>
 
 namespace bts::domain {

src/lib/md/SettlementRecorder.cpp

@@ -13,10 +13,13 @@
 namespace bts {
 namespace co2 {
 
+using bts::md::INT_NAN;
+using bts::md::IntPrice;
+using bts::md::invalid_security_key;
+using bts::md::MDProducerHandle;
+using bts::md::security_key;
 using datetime::Date;
 using std::string;
-using std::unique_ptr;
-using namespace utils;
 
 enum WorkType { SNAPSHOT, UPDATE };
 

src/lib/md/SettlementRecorder.h

@@ -1,12 +1,12 @@
 #pragma once
+
 #include "MDProducerHandle.h"
-#include "lib/utils/bts_export.h"
 #include "lib/utils/datetime.h"
+
 #include <memory>
 
 namespace bts {
 namespace co2 {
-using namespace md;
 
 struct SettlementRecorderImpl;
 class SettlementRecorder {
@@ -16,9 +16,9 @@ class SettlementRecorder {
 
    // Put settlement update in a queue
    // in do_work() drain queue and update settlement 'depth'
-   void restore_settlement(MDProducerHandle handle);
+   void restore_settlement(md::MDProducerHandle handle);
    void add_settlement(
-       MDProducerHandle handle, IntPrice price, datetime::Date date);
+       md::MDProducerHandle handle, md::IntPrice price, datetime::Date date);
    void do_work();
 
  private:

src/lib/md/Shm/FixedSecurity.cpp

@@ -1,4 +1,5 @@
 #include "lib/domain_model/Security.h"
+#include "lib/utils/bts_array_size.h"
 #include "lib/utils/bts_assert.h"
 #ifndef NO_CPP0X
 
@@ -25,7 +26,7 @@ FixedSecurity::FixedSecurity()
       cme_main_fraction(0), cme_sub_fraction(0), cme_price_display_format(0),
       ice_price_denominator(0), ice_deal_denominator(0),
       ice_settle_denominator(0), is_ice_strip(false), _symbol(), _cfi_code(),
-      _security_desc(), _alt_symbol() {
+      _security_desc(), _alt_symbol(), _qty_info_size(0) {
    memset(_symbol, 0, BTS_ARRAYSIZE(_symbol));
    memset(_alt_symbol, 0, BTS_ARRAYSIZE(_alt_symbol));
    memset(_cfi_code, 0, BTS_ARRAYSIZE(_cfi_code));
@@ -39,10 +40,57 @@ FixedSecurity::FixedSecurity()
    memset(_ice_hub_alias, 0, BTS_ARRAYSIZE(_ice_hub_alias));
    memset(_ice_strip_name, 0, BTS_ARRAYSIZE(_ice_strip_name));
    memset(_mic_code, 0, BTS_ARRAYSIZE(_mic_code));
+   memset(_qty_min_value, 0, BTS_ARRAYSIZE_T(_qty_min_value));
+   memset(_qty_max_value, 0, BTS_ARRAYSIZE_T(_qty_max_value));
+   memset(_qty_tick_unit, 0, BTS_ARRAYSIZE_T(_qty_tick_unit));
+   memset(_qty_tick_base, 0, BTS_ARRAYSIZE_T(_qty_tick_base));
+   memset(_qty_multiplier, 0, BTS_ARRAYSIZE_T(_qty_multiplier));
+   memset(_qty_max_price, 0, BTS_ARRAYSIZE_T(_qty_max_price));
+   memset(_qty_is_notional, 0, BTS_ARRAYSIZE_T(_qty_is_notional));
 }
 
 FixedSecurity::~FixedSecurity() {}
 
+bool FixedSecurity::add_quantity_info(
+    float min_value,
+    float max_value,
+    float tick_unit,
+    float tick_base,
+    float max_price,
+    bool is_notional) {
+   if (_qty_info_size >= QTY_INFO_CAPACITY) {
+      return false;
+   }
+   _qty_min_value[_qty_info_size] = min_value;
+   _qty_max_value[_qty_info_size] = max_value;
+   _qty_tick_unit[_qty_info_size] = tick_unit;
+   _qty_tick_base[_qty_info_size] = tick_base;
+   _qty_max_price[_qty_info_size] = max_price;
+   _qty_is_notional[_qty_info_size] = is_notional;
+   _qty_info_size++;
+   return true;
+}
+
+bool FixedSecurity::get_quantity_info(
+    uint8_t index,
+    float &min_value,
+    float &max_value,
+    float &tick_unit,
+    float &tick_base,
+    float &max_price,
+    bool &is_notional) const {
+   if (index >= _qty_info_size) {
+      return false;
+   }
+   min_value = _qty_min_value[index];
+   max_value = _qty_max_value[index];
+   tick_unit = _qty_tick_unit[index];
+   tick_base = _qty_tick_base[index];
+   max_price = _qty_max_price[index];
+   is_notional = _qty_is_notional[index];
+   return true;
+}
+
 FixedFutureSecurity::FixedFutureSecurity()
     : expiration_year(0), expiration_month(0), expiration_day(0) {
    type = api::SECURITYTYPE_FUTURE;
@@ -75,6 +123,29 @@ void get_contract_spec(
    spec.set_main_fraction(source.cme_main_fraction);
    spec.set_sub_fraction(source.cme_sub_fraction);
    spec.set_price_display_format(source.cme_price_display_format);
+
+   // Qty info
+   spec.clear_quantity_infos();
+   spec.clear_notional_quantity_infos();
+   float min_value;
+   float max_value;
+   float tick_unit;
+   float tick_base;
+   float max_price;
+   bool is_notional;
+   for (uint8_t i = 0; source.get_quantity_info(
+            i, min_value, max_value, tick_unit, tick_base, max_price,
+            is_notional);
+        i++) {
+      ContractQuantityInfo *qty_info = is_notional
+                                           ? spec.add_notional_quantity_infos()
+                                           : spec.add_quantity_infos();
+      qty_info->set_min_value(min_value);
+      qty_info->set_max_value(max_value);
+      qty_info->set_tick_unit(tick_unit);
+      qty_info->set_tick_base(tick_base);
+      qty_info->set_max_price(max_price);
+   }
 }
 
 Security convert_security(const FixedSecurity &security) {
@@ -365,6 +436,16 @@ void convert_security(
    dest.cme_sub_fraction = src.contract_spec().sub_fraction();
    dest.cme_price_display_format = src.contract_spec().price_display_format();
 
+   for (const auto &q : src.contract_spec().quantity_infos()) {
+      bts_assert(dest.add_quantity_info(
+          q.min_value(), q.max_value(), q.tick_unit(), q.tick_base(),
+          q.max_price(), false));
+   }
+   for (const auto &q : src.contract_spec().notional_quantity_infos()) {
+      bts_assert(dest.add_quantity_info(
+          q.min_value(), q.max_value(), q.tick_unit(), q.tick_base(),
+          q.max_price(), true));
+   }
    switch (securitytype_of(src)) {
    case SECURITYTYPE_FUTURE: {
       FixedFutureSecurity &future = static_cast<FixedFutureSecurity &>(dest);

src/lib/md/Shm/FixedSecurity.h

@@ -85,6 +85,25 @@ class BTS_EXPORT FixedSecurity {
    STRING_PROPERTY(ice_strip_name);
    STRING_PROPERTY(mic_code);
 
+   static constexpr const uint8_t QTY_INFO_CAPACITY = 2;
+
+   bool add_quantity_info(
+       float min_value,
+       float max_value,
+       float tick_unit,
+       float tick_base,
+       float max_price,
+       bool is_notional);
+
+   bool get_quantity_info(
+       uint8_t index,
+       float &min_value,
+       float &max_value,
+       float &tick_unit,
+       float &tick_base,
+       float &max_price,
+       bool &is_notional) const;
+
  private:
    char _symbol[16];        // CME defines this as a char[6] but I'm padding
    char _cfi_code[8];       // CME defines this as char[6]
@@ -100,6 +119,20 @@ class BTS_EXPORT FixedSecurity {
    char _ice_hub_alias[80];
    char _ice_strip_name[39];
    char _mic_code[4];
+
+   // The '_qty' arrays collectively represent a list of "ContractQuantityInfo"
+   // in Security.proto, with a caveat for '_qty_is_notional'.
+   float _qty_min_value[QTY_INFO_CAPACITY];
+   float _qty_max_value[QTY_INFO_CAPACITY];
+   float _qty_tick_unit[QTY_INFO_CAPACITY];
+   float _qty_tick_base[QTY_INFO_CAPACITY];
+   float _qty_multiplier[QTY_INFO_CAPACITY];
+   float _qty_max_price[QTY_INFO_CAPACITY];
+   // In the proto, each security has 2 "ContractQuantityInfo" lists: quantity_infos and
+   // notional_quantity_infos. This indicates the list to which each element belongs.
+   bool _qty_is_notional[QTY_INFO_CAPACITY];
+   // The number of qty info elements defined in the above arrays.
+   uint8_t _qty_info_size;
 };
 
 class FixedSpotSecurity : public FixedSecurity {

src/lib/md/ShmSegmentName.h

@@ -1,8 +1,9 @@
 #pragma once
+
 #include "lib/config/config.h"
 #include "lib/config/protos/market_data.pb.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/md/protos/co2.pb.h"
+
 #include <fmt/format.h>
 #include <string>
 

src/lib/md/SizeTypes.h

@@ -1,7 +1,11 @@
 #pragma once
+
 #include "lib/utils/ValueWrapper.h"
+
+#include <cstdint>
+
 namespace bts {
 namespace md {
-using ImpliedSize = utils::ValueWrapper<struct ImpliedSizeTag, uint32_t>;
+using ImpliedSize = utils::ValueWrapper<struct ImpliedSizeTag, std::uint32_t>;
 }
-} // namespace bts
+} // namespace bts

src/lib/md/SymbolLoader.h

@@ -1,13 +1,9 @@
 #pragma once
+
 #include "UserSymbol.h"
 #include "common.h"
-#include "lib/api/md/MarketDataConfig.pb.h"
-#include "lib/collections/Contains.h"
 #include "lib/config/config.h"
-#include "lib/config/protos/market_data.pb.h"
 #include "lib/config/protos/symbols.pb.h"
-#include "lib/core/FMT.h"
-#include "lib/domain/DomainSecurityUtils.h"
 #include "lib/domain/SecurityCriteria.h"
 #include "lib/domain_model/Security.pb.h"
 

src/lib/md/SyntheticSecurityService.cpp

@@ -1,19 +1,12 @@
 #ifndef _WIN32
 #include "SyntheticSecurityService.h"
-
-#include "lib/api/domain/SecurityType.pb.h"
-#include "lib/api/domain/Venue.pb.h"
 #include "lib/api/public/ServiceContext.h"
-#include "lib/api/services/PersistenceService.pb.h"
-#include "lib/config/config.h"
 #include "lib/domain/SecurityCriteria.h"
 #include "lib/md/SecurityDB.h"
 #include "lib/md/SecurityIDRecorder.h"
 #include "lib/md/SymbolLoader.h"
-#include "lib/md/common.h"
 #include "lib/utils/Dispatcher.h"
 #include "lib/utils/Event.h"
-#include <set>
 
 namespace bts {
 namespace api {

src/lib/md/SyntheticSecurityService.h

@@ -1,9 +1,10 @@
 #pragma once
+
 #include "ISyntheticSecurityService.h"
 #include "lib/api/services/SyntheticSecurityService.pb.h"
 #include "lib/api/services/SyntheticSecurityService.server.pb.h"
 #include "lib/domain_model/SecurityKey.h"
-#include "lib/md/common.h"
+
 #include <memory>
 #include <unordered_map>
 

src/lib/md/UserSymbol.h

@@ -1,7 +1,8 @@
 #pragma once
+
 #include "common.h"
 #include "lib/core/FMT_IMPL.h"
-#include <sstream>
+
 #include <string>
 
 namespace bts {

src/lib/md/relay/QueryServer.cpp

@@ -1,9 +1,9 @@
 #include "lib/domain/DomainSecurityUtils.h"
-#include "lib/domain_model/Security.pb.h"
 #include "lib/utils/bts_assert.h"
 #ifndef _WIN32
 #include "QueryServer.h"
 #include "lib/config/config.h"
+#include "lib/domain_model/Security.h"
 #include "lib/md/SymbolLoader.h"
 #include "lib/utils/AuthToken.h"
 #include "lib/utils/Dispatcher.h"

src/lib/md/relay/RelayRecorder.cpp

@@ -2,22 +2,18 @@
 
 #include "RelayRecorder.h"
 #include "lib/config/config.h"
+#include "lib/config/protos/market_data.pb.h"
+#include "lib/config/protos/system_config.pb.h"
 #include "lib/logging/logging.h"
+#include "lib/md/SecurityIDRecorder.h"
+#include "lib/md/protos/co2.pb.h"
 #include "lib/utils/HTTPStream.h"
 #include "lib/utils/bts_chrono.h"
 #include "lib/utils/datetime.h"
 
-#include "lib/config/protos/market_data.pb.h"
-#include "lib/config/protos/system_config.pb.h"
-#include "lib/md/SecurityIDRecorder.h"
-#include "lib/md/common.h"
-#include "lib/md/protos/co2.pb.h"
-#include "lib/utils/bts_chrono.h"
-
 #include <boost/filesystem.hpp>
 #include <google/protobuf/text_format.h>
 #include <memory>
-#include <string.h>
 #include <thread>
 
 using namespace std;

src/lib/orderman/actors/MDSource.cpp

@@ -0,0 +1,305 @@
+#include "MDSource.h"
+#include "lib/domain_model/Security.h"
+#include "lib/md/cme/MDP3Utils.h"
+
+namespace bts::orderman {
+
+MDSource::MDSource(
+    md::MDConsumer &consumer,
+    metrics::MetricsContainer &stats,
+    trace::PerfLog &log,
+    md::TradeSummarySignalDispatcher *trade_signal_dispatcher)
+    : _handles(), _trade_signal_dispatcher(trade_signal_dispatcher),
+      _pending_handles(), _status_subs(), _md_consumer(consumer),
+      _book_update(), _ticker_update(), _status_update(), _perf_log(log),
+      _stats(stats), _loop_timer(), _counter(0) {
+
+   _trades_buffer.Reserve(1000);
+   auto cme_channels = md::get_configured_cme_channels();
+   for (auto const &c : cme_channels)
+      for (auto const &s : c.symbols)
+         _symbol_to_channel[s] = c.id;
+}
+
+void MDSource::init() {
+   LOG(OrderMan, Warn, "Starting MDSource actor");
+   // TODO: why is this hitting?
+   bts_assert_msg(
+       _md_consumer.all_heartbeats_ok(),
+       "Marketdata heartbeats are bad. MDConsumer will not recover from "
+       "this condition.  Please run 'sparkd md cleanup' and restart sparkd");
+
+   std::array<double, 30> buckets;
+   auto i = 1;
+   for (auto &b : buckets)
+      b = (i *= 2);
+
+   _loop_timer = std::make_shared<metrics::HistogramMetric<30>>(
+       "spark_metrics_md_loop_us", buckets);
+   _stats.publish(_loop_timer);
+
+   auto security_count_metric = std::make_shared<metrics::CounterMetric<int>>(
+       "spark_mdsource_security_count");
+   auto synthetic_count_metric = std::make_shared<metrics::CounterMetric<int>>(
+       "spark_mdsource_synthetic_count");
+   auto ticker_channel_cout_metric =
+       std::make_shared<metrics::CounterMetric<int>>(
+           "spark_mdsource_ticker_channel_count");
+   auto status_count_metric = std::make_shared<metrics::CounterMetric<int>>(
+       "spark_mdsource_status_count");
+   _stats.publish(security_count_metric);
+   _stats.publish(synthetic_count_metric);
+   _stats.publish(ticker_channel_cout_metric);
+   _stats.publish(status_count_metric);
+
+   _book_update = make_stream<BookUpdateEvent>();
+   _trade_signal_update = make_stream<TradeSignalEvent>();
+   _ticker_update = make_stream<TickerUpdateEvent>();
+   _status_update = make_stream<StatusUpdateEvent>();
+   subscribe<MDRequestEvent>(
+       [this, security_count_metric, synthetic_count_metric,
+        ticker_channel_cout_metric, status_count_metric](auto const &update) {
+          if (update.events) {
+             for (auto const &ev : *update.events) {
+                auto k = ev.security_key;
+
+                switch (ev.md_type) {
+                case MDRequestType::BOOK:
+                   on_book_sub(k, *synthetic_count_metric);
+                   security_count_metric->set(_handles.size());
+                   break;
+                case MDRequestType::TICKER:
+                   on_ticker_sub(k, *ticker_channel_cout_metric);
+                   break;
+                case MDRequestType::STATUS:
+                   on_status_sub(k);
+                   status_count_metric->set(_status_subs.size());
+                   break;
+                }
+             }
+          }
+       });
+
+   security_count_metric->set(_handles.size());
+}
+
+void MDSource::on_poll(trace::PerfLog &log) {
+   auto scoped_do_work = trace::log_scope(
+       log, {}, "MDSource::on_poll",
+       utils::TimeStamp::Interval::from_microseconds(2));
+
+   // Book Updates
+   Book book;
+   auto start = utils::TimeStamp::now();
+   for (auto &h : _handles) {
+      auto &handle = h.handle;
+      if (handle.get_book(
+              h.last, std::tuple_size<BookSide>(), &book.bid()[0],
+              &book.ask()[0]) == md::HandleReadResult::SUCCESS) {
+         book._security_key = SecurityKey(handle.key());
+         trace::CorID trace{
+             h.external_event_channel, handle.sequence(), h.last};
+         _perf_log.log(trace, h.last, "md", handle.key());
+         _perf_log.log(trace, "md_r", h.last, h.symbol->c_str(), handle.key());
+         publish(_book_update, book, trace);
+      }
+
+      if (_trade_signal_dispatcher) {
+         auto tsignal = _trade_signal_dispatcher->poll(handle.key());
+         if (tsignal.ts > h.last_trade_signal && tsignal.ts > h.last) {
+            h.last_trade_signal = tsignal.ts;
+            trace::CorID trace{
+                h.external_event_channel, tsignal.packet_sn, tsignal.ts};
+            publish(_trade_signal_update, tsignal, trace);
+         }
+      }
+   }
+
+   // Ticker Updates
+   for (auto &c : _channels) {
+      auto &channel = c.channel;
+      _trades_buffer.Clear();
+      c.cursor = channel.read_trades(_trades_buffer, c.cursor);
+
+      for (auto const &trade : _trades_buffer) {
+         size_t trade_count = 0;
+         for (auto &per_sec_ev : c.securities) {
+            if (trade.key() == per_sec_ev.key().value()) {
+               trade_count++;
+               per_sec_ev.trades.emplace_back(Trade{
+                   datetime::utc_ll_to_timepoint(trade.time()),
+                   Price(
+                       md::IntPrice(trade.mantissa(), (int8_t)trade.exponent())
+                           .price()),
+                   Quantity(trade.size()), Quantity(trade.total_volume()),
+                   trade.aggressor_side()});
+            }
+         }
+
+         if (trade_count)
+            for (auto &per_sec_ev : c.securities)
+               if (!per_sec_ev.trades.empty()) {
+                  publish(_ticker_update, per_sec_ev);
+                  per_sec_ev.trades.clear();
+               }
+      }
+   }
+
+   // Status updates
+   for (auto &s : _status_subs) {
+      auto status = s.handle.trading_status();
+      if (status != s.status) {
+         s.status = status;
+         publish(_status_update, SecurityKey{s.handle.key()}, status);
+      }
+   }
+
+   // Publish stats
+   auto stop = utils::TimeStamp::now();
+   _loop_timer->observe((start - stop).nanoseconds());
+
+   _counter += 1;
+   if (_counter % (2 << 20) == 0) {
+      // Invoke periodic work every 2M calls on on_poll
+      // This is approximately 20-30 seconds
+      do_periodic_work();
+   }
+}
+
+void MDSource::do_periodic_work() {
+   if (!_pending_handles.empty()) {
+      for (auto iter = _pending_handles.begin(); iter != _pending_handles.end();
+           ++iter) {
+         if (iter->handle->is_initialized()) {
+            auto handle = *(iter->handle);
+            LOG(OrderMan, Info, "Found md for {}. Pending handle removed.",
+                handle.key());
+            switch (iter->type) {
+            case MDRequestType::BOOK:
+               _handles.push_back(
+                   {utils::TimeStamp(), utils::TimeStamp(), handle,
+                    get_external_event_channel(handle.get_usersymbol()),
+                    std::make_unique<std::string>(securities::descriptor(
+                        handle.get_normalized_security()))});
+               break;
+            case MDRequestType::STATUS:
+               for (auto &h : _status_subs) {
+                  // no need to reset status
+                  if (h.handle.key() == handle.key())
+                     break;
+               }
+               _status_subs.push_back(
+                   StatusRecord{handle, co2::TRADINGSTATUS_UNKNOWN});
+            case MDRequestType::TICKER:
+               // We aren't currently monitoring for pending ticker requests
+               break;
+            }
+         }
+      }
+      _pending_handles.erase(
+          std::remove_if(
+              _pending_handles.begin(), _pending_handles.end(),
+              [](const auto &h) { return h.handle->is_initialized(); }),
+          _pending_handles.end());
+   }
+}
+
+void MDSource::on_book_sub(
+    SecurityKey sk, metrics::CounterMetric<int> &synthetic_count_metric) {
+   auto k = sk.value();
+   for (auto &h : _handles)
+      if (h.handle.key() == k) {
+         // we want to resend this MD so that late joiners can
+         // catch up
+         h.last = utils::TimeStamp();
+         return;
+      }
+
+   LOG(OrderMan, Warn, "Starting to publish book updates for security key: {}",
+       k);
+
+   auto mhandle = _md_consumer.get_managed_handle(k);
+   if (mhandle->is_initialized()) {
+      auto handle = *mhandle;
+      _handles.push_back(
+          {utils::TimeStamp(), utils::TimeStamp(), handle,
+           get_external_event_channel(handle.get_usersymbol()),
+           std::make_unique<std::string>(
+               securities::descriptor(handle.get_normalized_security()))});
+      if (handle.is_synthetic())
+         synthetic_count_metric.increment();
+   } else {
+      // A pending handle is a handle for security we are reasonbly sure
+      // exists but we haven't yet found live market data for.
+      LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
+      _pending_handles.push_back({mhandle, MDRequestType::BOOK});
+   }
+}
+
+void MDSource::on_ticker_sub(
+    SecurityKey sk, metrics::CounterMetric<int> &channel_count_metric) {
+   auto handle = _md_consumer.get_managed_handle(sk.value());
+
+   if (!handle->is_initialized()) {
+      LOG(OrderMan, Warn,
+          "Received ticker subscription for security {} which does not have "
+          "valid market data. Ignoring",
+          sk.value());
+      return;
+   }
+
+   auto user_symbol = handle->get_usersymbol();
+   for (auto &ch : _channels) {
+      if (ch.user_symbol == user_symbol) {
+         auto it = std::find_if(
+             ch.securities.begin(), ch.securities.end(),
+             [sk](auto const &ev) { return ev.key() == sk; });
+         if (it == ch.securities.end()) {
+            // first time we are asked for this security, we will
+            // publish the trades for it next time around
+            LOG(OrderMan, Warn,
+                "Starting to publish ticker updates on user symbol {} for "
+                "security key: {} (sec count for the symbol: {} )",
+                user_symbol.to_string(), sk.value(), ch.securities.size() + 1);
+            ch.securities.push_back(sk);
+         }
+         return;
+      }
+   }
+
+   // this is a channel we are not subscribed to
+   channel_count_metric.increment();
+   LOG(OrderMan, Warn,
+       "Starting to publish ticker updates on user symbol {} for security "
+       "key: {}",
+       user_symbol.to_string(), sk.value());
+
+   // We do not want to get old trades so we drain the trades buffer at
+   // this point. This makes the first subscription to a channel
+   // consistent with subsquent ones in terms of late join semantics.
+   ChannelRecord c{0, _md_consumer.get_channel(user_symbol), {}, user_symbol};
+   _trades_buffer.Clear();
+   c.cursor = c.channel.read_trades(_trades_buffer, c.cursor);
+   c.securities.push_back(sk);
+   _channels.push_back(c);
+}
+
+void MDSource::on_status_sub(SecurityKey sk) {
+   auto k = sk.value();
+   for (auto &h : _status_subs) {
+      if (h.handle.key() == k) {
+         // reset status so it get resent next on_poll
+         h.status = co2::TRADINGSTATUS_UNKNOWN;
+         return;
+      }
+   }
+   auto handle = _md_consumer.get_managed_handle(k);
+   if (handle->is_initialized()) {
+      _status_subs.push_back(StatusRecord{*handle, co2::TRADINGSTATUS_UNKNOWN});
+   } else {
+      LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
+      _pending_handles.push_back({handle, MDRequestType::STATUS});
+   }
+}
+
+} // namespace bts::orderman

src/lib/orderman/actors/MDSource.h

@@ -1,14 +1,9 @@
 #pragma once
 
-#include "lib/domain_model/Security.h"
-#include "lib/logging/logging.h"
-#include "lib/md/IntPrice.h"
 #include "lib/md/MDConsumer.h"
 #include "lib/md/MDConsumerHandle.h"
-#include "lib/md/cme/MDP3Utils.h"
 #include "lib/mercury/actors/Actor.h"
 #include "lib/mercury/actors/IPollableActor.h"
-#include "lib/mercury/events/TimerEvent.h"
 #include "lib/metrics/metrics.h"
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/MDRequestEvent.h"
@@ -34,239 +29,17 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
        md::MDConsumer &consumer,
        metrics::MetricsContainer &stats,
        trace::PerfLog &log,
-       md::TradeSummarySignalDispatcher *trade_signal_dispatcher)
-       : _handles(), _trade_signal_dispatcher(trade_signal_dispatcher),
-         _pending_handles(), _status_subs(), _md_consumer(consumer),
-         _book_update(), _ticker_update(), _status_update(), _perf_log(log),
-         _stats(stats), _loop_timer(), _counter(0) {
+       md::TradeSummarySignalDispatcher *trade_signal_dispatcher);
 
-      _trades_buffer.Reserve(1000);
-      auto cme_channels = md::get_configured_cme_channels();
-      for (auto const &c : cme_channels)
-         for (auto const &s : c.symbols)
-            _symbol_to_channel[s] = c.id;
-   }
-
-   void init() override {
-      LOG(OrderMan, Warn, "Starting MDSource actor");
-      // TODO: why is this hitting?
-      bts_assert_msg(
-          _md_consumer.all_heartbeats_ok(),
-          "Marketdata heartbeats are bad. MDConsumer will not recover from "
-          "this condition.  Please run 'sparkd md cleanup' and restart sparkd");
-
-      std::array<double, 30> buckets;
-      auto i = 1;
-      for (auto &b : buckets)
-         b = (i *= 2);
-
-      _loop_timer = std::make_shared<metrics::HistogramMetric<30>>(
-          "spark_metrics_md_loop_us", buckets);
-      _stats.publish(_loop_timer);
-
-      auto security_count_metric =
-          std::make_shared<metrics::CounterMetric<int>>(
-              "spark_mdsource_security_count");
-      auto synthetic_count_metric =
-          std::make_shared<metrics::CounterMetric<int>>(
-              "spark_mdsource_synthetic_count");
-      auto ticker_channel_cout_metric =
-          std::make_shared<metrics::CounterMetric<int>>(
-              "spark_mdsource_ticker_channel_count");
-      auto status_count_metric = std::make_shared<metrics::CounterMetric<int>>(
-          "spark_mdsource_status_count");
-      _stats.publish(security_count_metric);
-      _stats.publish(synthetic_count_metric);
-      _stats.publish(ticker_channel_cout_metric);
-      _stats.publish(status_count_metric);
-
-      _book_update = make_stream<BookUpdateEvent>();
-      _trade_signal_update = make_stream<TradeSignalEvent>();
-      _ticker_update = make_stream<TickerUpdateEvent>();
-      _status_update = make_stream<StatusUpdateEvent>();
-      subscribe<MDRequestEvent>([this, security_count_metric,
-                                 synthetic_count_metric,
-                                 ticker_channel_cout_metric,
-                                 status_count_metric](auto const &update) {
-         if (update.events) {
-            for (auto const &ev : *update.events) {
-               auto k = ev.security_key;
-
-               switch (ev.md_type) {
-               case MDRequestType::BOOK:
-                  on_book_sub(k, *synthetic_count_metric);
-                  security_count_metric->set(_handles.size());
-                  break;
-               case MDRequestType::TICKER:
-                  on_ticker_sub(k, *ticker_channel_cout_metric);
-                  break;
-               case MDRequestType::STATUS:
-                  on_status_sub(k);
-                  status_count_metric->set(_status_subs.size());
-                  break;
-               }
-            }
-         }
-      });
-
-      security_count_metric->set(_handles.size());
-   }
+   void init() override;
 
  private:
-   void on_poll(trace::PerfLog &log) override {
+   void on_poll(trace::PerfLog &log) override;
 
-      auto scoped_do_work = trace::log_scope(
-          log, {}, "MDSource::on_poll",
-          utils::TimeStamp::Interval::from_microseconds(2));
-
-      // Book Updates
-      Book book;
-      auto start = utils::TimeStamp::now();
-      for (auto &h : _handles) {
-         auto &handle = h.handle;
-         if (handle.get_book(
-                 h.last, std::tuple_size<BookSide>(), &book.bid()[0],
-                 &book.ask()[0]) == md::HandleReadResult::SUCCESS) {
-            book._security_key = SecurityKey(handle.key());
-            trace::CorID trace{
-                h.external_event_channel, handle.sequence(), h.last};
-            _perf_log.log(trace, h.last, "md", handle.key());
-            _perf_log.log(
-                trace, "md_r", h.last, h.symbol->c_str(), handle.key());
-            publish(_book_update, book, trace);
-         }
-
-         if (_trade_signal_dispatcher) {
-            auto tsignal = _trade_signal_dispatcher->poll(handle.key());
-            if (tsignal.ts > h.last_trade_signal && tsignal.ts > h.last) {
-               h.last_trade_signal = tsignal.ts;
-               trace::CorID trace{
-                   h.external_event_channel, tsignal.packet_sn, tsignal.ts};
-               publish(_trade_signal_update, tsignal, trace);
-            }
-         }
-      }
-
-      // Ticker Updates
-      for (auto &c : _channels) {
-         auto &channel = c.channel;
-         _trades_buffer.Clear();
-         c.cursor = channel.read_trades(_trades_buffer, c.cursor);
-
-         for (auto const &trade : _trades_buffer) {
-            size_t trade_count = 0;
-            for (auto &per_sec_ev : c.securities) {
-               if (trade.key() == per_sec_ev.key().value()) {
-                  trade_count++;
-                  per_sec_ev.trades.emplace_back(Trade{
-                      datetime::utc_ll_to_timepoint(trade.time()),
-                      Price(md::IntPrice(
-                                trade.mantissa(), (int8_t)trade.exponent())
-                                .price()),
-                      Quantity(trade.size()), Quantity(trade.total_volume()),
-                      trade.aggressor_side()});
-               }
-            }
-
-            if (trade_count)
-               for (auto &per_sec_ev : c.securities)
-                  if (!per_sec_ev.trades.empty()) {
-                     publish(_ticker_update, per_sec_ev);
-                     per_sec_ev.trades.clear();
-                  }
-         }
-      }
-
-      // Status updates
-      for (auto &s : _status_subs) {
-         auto status = s.handle.trading_status();
-         if (status != s.status) {
-            s.status = status;
-            publish(_status_update, SecurityKey{s.handle.key()}, status);
-         }
-      }
-
-      // Publish stats
-      auto stop = utils::TimeStamp::now();
-      _loop_timer->observe((start - stop).nanoseconds());
-
-      _counter += 1;
-      if (_counter % (2 << 20) == 0) {
-         // Invoke periodic work every 2M calls on on_poll
-         // This is approximately 20-30 seconds
-         do_periodic_work();
-      }
-   }
-
-   void do_periodic_work() {
-      if (!_pending_handles.empty()) {
-         for (auto iter = _pending_handles.begin();
-              iter != _pending_handles.end(); ++iter) {
-            if (iter->handle->is_initialized()) {
-               auto handle = *(iter->handle);
-               LOG(OrderMan, Info, "Found md for {}. Pending handle removed.",
-                   handle.key());
-               switch (iter->type) {
-               case MDRequestType::BOOK:
-                  _handles.push_back(
-                      {utils::TimeStamp(), utils::TimeStamp(), handle,
-                       get_external_event_channel(handle.get_usersymbol()),
-                       std::make_unique<std::string>(securities::descriptor(
-                           handle.get_normalized_security()))});
-                  break;
-               case MDRequestType::STATUS:
-                  for (auto &h : _status_subs) {
-                     // no need to reset status
-                     if (h.handle.key() == handle.key())
-                        break;
-                  }
-                  _status_subs.push_back(
-                      StatusRecord{handle, co2::TRADINGSTATUS_UNKNOWN});
-               case MDRequestType::TICKER:
-                  // We aren't currently monitoring for pending ticker requests
-                  break;
-               }
-            }
-         }
-         _pending_handles.erase(
-             std::remove_if(
-                 _pending_handles.begin(), _pending_handles.end(),
-                 [](const auto &h) { return h.handle->is_initialized(); }),
-             _pending_handles.end());
-      }
-   }
+   void do_periodic_work();
 
    void on_book_sub(
-       SecurityKey sk, metrics::CounterMetric<int> &synthetic_count_metric) {
-      auto k = sk.value();
-      for (auto &h : _handles)
-         if (h.handle.key() == k) {
-            // we want to resend this MD so that late joiners can
-            // catch up
-            h.last = utils::TimeStamp();
-            return;
-         }
-
-      LOG(OrderMan, Warn,
-          "Starting to publish book updates for security key: {}", k);
-
-      auto mhandle = _md_consumer.get_managed_handle(k);
-      if (mhandle->is_initialized()) {
-         auto handle = *mhandle;
-         _handles.push_back(
-             {utils::TimeStamp(), utils::TimeStamp(), handle,
-              get_external_event_channel(handle.get_usersymbol()),
-              std::make_unique<std::string>(
-                  securities::descriptor(handle.get_normalized_security()))});
-         if (handle.is_synthetic())
-            synthetic_count_metric.increment();
-      } else {
-         // A pending handle is a handle for security we are reasonbly sure
-         // exists but we haven't yet found live market data for.
-         LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
-         _pending_handles.push_back({mhandle, MDRequestType::BOOK});
-      }
-   }
+       SecurityKey sk, metrics::CounterMetric<int> &synthetic_count_metric);
 
    const char *get_external_event_channel(const md::UserSymbol &user_symbol) {
       auto &channel = _symbol_to_channel[user_symbol];
@@ -276,73 +49,9 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
    }
 
    void on_ticker_sub(
-       SecurityKey sk, metrics::CounterMetric<int> &channel_count_metric) {
-      auto handle = _md_consumer.get_managed_handle(sk.value());
+       SecurityKey sk, metrics::CounterMetric<int> &channel_count_metric);
 
-      if (!handle->is_initialized()) {
-         LOG(OrderMan, Warn,
-             "Received ticker subscription for security {} which does not have "
-             "valid market data. Ignoring",
-             sk.value());
-         return;
-      }
-
-      auto user_symbol = handle->get_usersymbol();
-      for (auto &ch : _channels) {
-         if (ch.user_symbol == user_symbol) {
-            auto it = std::find_if(
-                ch.securities.begin(), ch.securities.end(),
-                [sk](auto const &ev) { return ev.key() == sk; });
-            if (it == ch.securities.end()) {
-               // first time we are asked for this security, we will
-               // publish the trades for it next time around
-               LOG(OrderMan, Warn,
-                   "Starting to publish ticker updates on user symbol {} for "
-                   "security key: {} (sec count for the symbol: {} )",
-                   user_symbol.to_string(), sk.value(),
-                   ch.securities.size() + 1);
-               ch.securities.push_back(sk);
-            }
-            return;
-         }
-      }
-
-      // this is a channel we are not subscribed to
-      channel_count_metric.increment();
-      LOG(OrderMan, Warn,
-          "Starting to publish ticker updates on user symbol {} for security "
-          "key: {}",
-          user_symbol.to_string(), sk.value());
-
-      // We do not want to get old trades so we drain the trades buffer at
-      // this point. This makes the first subscription to a channel
-      // consistent with subsquent ones in terms of late join semantics.
-      ChannelRecord c{
-          0, _md_consumer.get_channel(user_symbol), {}, user_symbol};
-      _trades_buffer.Clear();
-      c.cursor = c.channel.read_trades(_trades_buffer, c.cursor);
-      c.securities.push_back(sk);
-      _channels.push_back(c);
-   }
-
-   void on_status_sub(SecurityKey sk) {
-      auto k = sk.value();
-      for (auto &h : _status_subs) {
-         if (h.handle.key() == k) {
-            // reset status so it get resent next on_poll
-            h.status = co2::TRADINGSTATUS_UNKNOWN;
-            return;
-         }
-      }
-      auto handle = _md_consumer.get_managed_handle(k);
-      if (handle->is_initialized()) {
-         _status_subs.push_back(
-             StatusRecord{*handle, co2::TRADINGSTATUS_UNKNOWN});
-      } else {
-         LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
-         _pending_handles.push_back({handle, MDRequestType::STATUS});
-      }
-   }
+   void on_status_sub(SecurityKey sk);
 
    struct HandleRecord {
       utils::TimeStamp last;
@@ -361,7 +70,7 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
 
    struct ChannelRecord {
       int64_t cursor;
-      co2::MDConsumerChannel channel;
+      md::MDConsumerChannel channel;
       boost::container::small_vector<TickerUpdateEvent, 5> securities;
       md::UserSymbol user_symbol;
    };

src/lib/orderman/ccapi/CCAPIOrderCallbackMsgs.cpp

@@ -4,7 +4,8 @@
 
 namespace bts::orderman {
 
-const std::string &getm(const NVMap &map, char const *key_name) {
+const std::string &getm(
+    const std::map<std::string, std::string> &map, char const *key_name) {
    auto it = map.find(key_name);
    bts_assert_msg(
        it != map.end(), "Could not find key_name" + std::string(key_name));
@@ -59,4 +60,4 @@ std::ostream &operator<<(
    return out;
 }
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/ccapi/CCAPIOrderCallbackMsgs.h

@@ -1,14 +1,8 @@
 #pragma once
 
-#include "ccapi_cpp/ccapi_message.h"
-#include "ccapi_cpp/ccapi_session.h"
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/io/JsonReader.h"
-#include "lib/logging/logging.h"
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/utils/PBUtils.h"
-#include "lib/utils/bts_assert.h"
+
 #include <ccapi_cpp/ccapi_element.h>
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
@@ -17,14 +11,11 @@
 #include <nlohmann/json.hpp>
 #include <optional>
 #include <string>
-#include <variant>
 
-using namespace std;
 namespace bts::orderman {
 
-using NVMap = std::map<std::string, std::string>;
-
-const std::string &getm(const NVMap &map, char const *key_name);
+const std::string &getm(
+    const std::map<std::string, std::string> &map, char const *key_name);
 bts::api::orderman::OrderStatus convert_ccapi_status(const std::string &status);
 
 // 1.
@@ -66,7 +57,9 @@ struct CCAPICreateOrderMsg {
    double cumm_filled_qty;
    bts::api::orderman::OrderStatus status;
    std::string corr_id;
-   CCAPICreateOrderMsg(const NVMap &map, const std::string &corr_id)
+   CCAPICreateOrderMsg(
+       const std::map<std::string, std::string> &map,
+       const std::string &corr_id)
        : order_id(getm(map, CCAPI_EM_ORDER_ID)),
          instrument(getm(map, CCAPI_INSTRUMENT)),
          side(
@@ -159,7 +152,7 @@ struct CCAPIOrderUpdateMsg {
    double cumm_filled_price;
    double cumm_filled_qty;
    api::orderman::OrderStatus status;
-   CCAPIOrderUpdateMsg(const NVMap &map)
+   CCAPIOrderUpdateMsg(const std::map<std::string, std::string> &map)
        : order_id(getm(map, CCAPI_EM_ORDER_ID)),
          side(
              getm(map, CCAPI_EM_ORDER_SIDE) == CCAPI_EM_ORDER_SIDE_BUY
@@ -211,7 +204,7 @@ struct CCAPITradeMsg {
    double last_exec_price;
    double last_exec_qty;
    std::string trade_id;
-   CCAPITradeMsg(const NVMap &map)
+   CCAPITradeMsg(const std::map<std::string, std::string> &map)
        : order_id(getm(map, CCAPI_EM_ORDER_ID)),
          side(
              getm(map, CCAPI_EM_ORDER_SIDE) == CCAPI_EM_ORDER_SIDE_BUY
@@ -261,4 +254,4 @@ void to_json(nlohmann::json &j, const DeribitOpenPosition &dop);
 std::ostream &operator<<(
     std::ostream &out, const DeribitOpenPosition &dob) noexcept;
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/gateways/CCAPIExecutionGateway.cpp

@@ -88,7 +88,7 @@ struct SingleOrderMux {
 
 struct InitState {
    enum class StateType { Start = 0, Securities = 1, Admin = 2 };
-   map<StateType, bool> state_map = {
+   std::map<StateType, bool> state_map = {
        {StateType::Start, false},
        {StateType::Securities, false},
        {StateType::Admin, false}};
@@ -492,4 +492,4 @@ SingleOrderMux *CCAPIExecutionGateway::_find_mux_from_orderkey(OrderKey key) {
    return _find_mux(it->second.routing_record);
 }
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/gateways/sim/SimExecutionGatewayFactory.cpp

@@ -2,10 +2,9 @@
 #include "SimExecutionGateway.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/logging/logging.h"
-#include "lib/md/common.h"
 #include "lib/utils/LockBox.h"
 #include "lib/utils/bts_assert.h"
-#include <chrono>
+
 #include <memory>
 #include <mutex>
 
@@ -71,4 +70,4 @@ bool SimExecutionGatewayFactory::is_sim_execution_on(api::Venue venue) {
    return true;
 }
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/orders/spreader_orders/SpreaderOrder.cpp

@@ -152,6 +152,12 @@ void SpreaderOrder::_on_time(const bts::mercury::TimerEvent &t_event) {
    }
 }
 void SpreaderOrder::_on_book_update(const BookUpdateEvent &book_event) {
+   // TODO: rmeove
+   LOG(OrderMan, Diag,
+       "SpreaderOrder::_on_book_update skey: {} bid: {}/{} a: {}/{}",
+       book_event.key(), book_event.book.bid().at(0).price(),
+       book_event.book.bid().at(0).size(), book_event.book.ask().at(0).price(),
+       book_event.book.ask().at(0).size());
    if (!_active)
       return;
    auto scoped = _order_services->log_scope(
@@ -429,13 +435,18 @@ void SpreaderOrder::_compute_hedge_price_quantity(
        _bookkeeping_data().get_leg_data(filled_leg_index);
    SpreaderLegData &hedged_leg_data =
        _bookkeeping_data().get_leg_data(hedge_leg_index);
-   if (_bookkeeping_data().n_legs() == 2)
+   if (_bookkeeping_data().n_legs() == 2) {
       SpreaderUtils::compute_hedge_price_size_2_legs(
           _bookkeeping_data().effective_price(),
           filled_leg_data.leg_property_data(), fill_price, fill_quantity,
           hedged_leg_data.leg_property_data(), computed_hedge_price,
           hedge_quantity);
-   else {
+      LOG(OrderMan, Info,
+          "SpreaderOrder::_compute_hedge_price_quantity effective_price: {} "
+          "fill_price: {} fill_qty: hedge_price: {} hedge_qty: {}",
+          _bookkeeping_data().effective_price(), fill_price, fill_quantity,
+          computed_hedge_price, hedge_quantity);
+   } else {
       NLegsHedgeRecompData &recomp_data =
           _bookkeeping_data().hedge_recomp_data();
       if (recomp_data.activated && recomp_data.last_call_succ()) {

src/lib/orderman/orders/spreader_orders/SpreaderOrder.h

@@ -180,7 +180,7 @@ class SpreaderOrder : public Order, public ISpreaderManager {
    void _on_book_update(const BookUpdateEvent &);
    void _on_settlement_update(const SettlementUpdateEvent &);
    void _on_child_order_update(const OrderStateUpdateEvent &);
-   // order handling
+   // order handling for quoter order update events
    inline void _on_quoter_order(
        const OrderStateUpdateEvent &ord_ev,
        SpreaderLegData &leg_data,

src/lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h

@@ -54,6 +54,9 @@ class LegPropertyData {
    bool is_net_change() const {
       return _price_calc == bts::api::SyntheticContract::PRICECALC_NET_CHANGE;
    }
+   bool is_notional() const {
+      return _price_calc == bts::api::SyntheticContract::PRICECALC_NOTIONAL_LEG;
+   }
    bts::spark::LegSpreaderParams::MarketDataType md_type() const {
       return _leg_params.market_data_type();
    }
@@ -67,9 +70,7 @@ class LegPropertyData {
    uint32_t n_queue_holder_orders() const {
       return _leg_params.quote_params().n_queue_holder_orders();
    }
-   const bts::api::ContractLeg& leg () const{
-      return _leg_contract;
-   }
+   const bts::api::ContractLeg &leg() const { return _leg_contract; }
 };
 
 } // namespace orderman

src/lib/orderman/orders/spreader_orders/spreader/QuoteLegPriceQuantityState.h

@@ -1,7 +1,10 @@
 #pragma once
 
+#include "lib/domain_model/common.h"
+#include "lib/logging/logging.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.h"
+#include "lib/utils/bts_assert.h"
 
 namespace bts {
 namespace orderman {
@@ -65,7 +68,25 @@ class QuoteLegPriceQuantityState {
          rv = _in_target_leg_quantity.value() - accounted_for;
       return Quantity(rv);
    }
+   Quantity remaining_to_fill_raw() const {
+      Quantity rem = remaining_to_fill();
+      SpreaderFractionalQtyHelper const *qty_helper =
+          _order.spreader_qty_helper();
+      bts_assert(qty_helper != nullptr);
+      Quantity raw_qty = qty_helper->out_transform_leg_order_qty(
+          _order.sec_key(), _order.total_filled_price(), rem);
+      return raw_qty;
+   }
+   // TODO here, if the rmeainder is > min qty size, do the same
    bool target_reached() const { return remaining_to_fill().value() == 0; }
+
+   bool target_reached_raw() const {
+      Quantity rem_raw = remaining_to_fill_raw();
+      LOG(OrderMan, Info,
+          "QuoteLegPriceQuantityState::target_reached_raw() rem_raw: {}",
+          rem_raw.full_value());
+      return rem_raw.is_zero();
+   }
    // mutators ////////////////////////////////////////////
    ////////////////////////////////////////////////////////
    // the 2 mutators, called by SingleLegQuoter (and the various QuoterStateWorkers)

src/lib/orderman/orders/spreader_orders/spreader/SingleLegQuoter.cpp

@@ -290,6 +290,11 @@ void SingleLegQuoter::_transform_to_WAITING_FOR_CANCEL_ACK() {
 }
 void SingleLegQuoter::_transform_to_END() {
    bts_assert(_worker->state() != QuoterState::END);
+   std::string curr_state = _worker == nullptr ? "NULL" : _worker->state_text();
+   LOG(OrderMan, Info,
+       "SingleLegQuoter::_transform_to_END "
+       "spread_key:{} leg_idx:{}",
+       _spreader.spreader_order_key(), _this_leg_data.leg_index());
    _switch_state(&_end_state_worker);
 }
 void SingleLegQuoter::_switch_state(IQuoterStateWorker *new_state) {

src/lib/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.h

@@ -3,10 +3,12 @@
 #include "SpreaderUtils.h"
 #include "external_interfacing/IAlternateOrderGateway.h"
 #include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/SecurityKey.h"
 #include "lib/domain_model/common.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/orderman/orders/spreader_orders/spreader/ISpreaderManager.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderFractionalQtyHelper.h"
 
 namespace bts {
 namespace orderman {
@@ -80,6 +82,7 @@ class SpreaderChildOrderState {
       else
          return _test_only_order_key;
    }
+   SecurityKey sec_key() const { return _sec_key; }
    api::orderman::OrderStatus status() const { return _status; }
    // if the last fill was a status change
    // this will be zero
@@ -112,11 +115,20 @@ class SpreaderChildOrderState {
    Quantity total_fills() const {
       return Quantity(_base_quantity.value() + _filled_quantity.value());
    }
+   Price total_filled_price() const {
+      Quantity filled_qty;
+      Price rv;
+      total_fills(filled_qty, rv);
+      return rv;
+   }
    void total_fills(Quantity &out_filled, Price &out_price) const {
       SpreaderUtils::compute_average_price(
           _base_price, _base_quantity, _filled_price, _filled_quantity,
           out_price, out_filled);
    }
+   SpreaderFractionalQtyHelper const *spreader_qty_helper() {
+      return _spreader_manager->spreader_qty_helper();
+   }
    // this is the fills from the current active order
    Quantity current_fills() const { return _filled_quantity; }
    Price out_price() const { return _out_price; }
@@ -161,7 +173,7 @@ class SpreaderChildOrderState {
       _n_place_orders++;
       auto const *qty_helper = _spreader_manager->spreader_qty_helper();
       auto adj_qty =
-          qty_helper->out_transform_leg_order_qty(_sec_key, quantity);
+          qty_helper->out_transform_leg_order_qty(_sec_key, price, quantity);
       if (_is_live) {
          if (_spreader_manager != nullptr)
             _spreader_manager->place_order(
@@ -187,7 +199,7 @@ class SpreaderChildOrderState {
       _n_modify_orders++;
       auto const *qty_helper = _spreader_manager->spreader_qty_helper();
       auto adj_qty =
-          qty_helper->out_transform_leg_order_qty(_sec_key, quantity);
+          qty_helper->out_transform_leg_order_qty(_sec_key, price, quantity);
       if (_is_live) {
          if (_spreader_manager != nullptr) {
             _spreader_manager->update_order(