Vesrsion: Update to v2.2.5 deploying to jame prod

So it doesn't need to be hardcoded per release

.devcontainer/devcontainer.json

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

src/client/spark/AW2/LiveTheoPublisher.cs

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

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

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

src/client/spark/Daemons/MDDaemon.cs

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

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

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

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

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

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

@@ -226,7 +226,7 @@ namespace mbts.spark {
             // notional value
             Add(notional_value_column = new NotionalValueColumn(
                new DoubleMinMax<OrderRecordTupleWithRoot>(
-                  ort => ort.order.order.notional_value(), nameof(OrderBookRowVM.notional_value))));
+                  ort => ort.notional_value, nameof(OrderBookRowVM.notional_value))));
             // edit quantity column
             // not usually part of the main order book, but it's useful to add it
             // rather than debugging the popup window
@@ -236,6 +236,10 @@ namespace mbts.spark {
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.filled_quantity(),
                   nameof(OrderBookRowVM.filled_quantity))));
+            // filled notional value
+            Add(filled_notional_value_column = new FilledNotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.filled_notional_value, nameof(OrderBookRowVM.filled_notional_value))));
             // price
             Add(price_column = new SimpleTextColumn<DoubleMinMaxState>(
                Columns.Price,
@@ -371,6 +375,7 @@ namespace mbts.spark {
          public EditableQtyColumn edit_qty_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> price_column { get; }
          public FilledColumn filled_qty_column { get; }
+         public FilledNotionalValueColumn filled_notional_value_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> last_price_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> avg_price_column { get; }
          public SimpleTextColumn<OrderStatus[]> status_column { get; }
@@ -399,6 +404,7 @@ namespace mbts.spark {
                notional_value = notional_value_column.filter.get_state(),
                price = price_column.filter.get_state(),
                qty_filled = filled_qty_column.filter.get_state(),
+               filled_notional_value = filled_notional_value_column.filter.get_state(),
                avg_price = avg_price_column.filter.get_state(),
                last_price = last_price_column.filter.get_state(),
                statuses = status_column.filter.get_state(),
@@ -423,6 +429,7 @@ namespace mbts.spark {
                qty_column.filter.load_state(fs.qty);
                notional_value_column.filter.load_state(fs.notional_value);
                filled_qty_column.filter.load_state(fs.qty_filled);
+               filled_notional_value_column.filter.load_state(fs.filled_notional_value);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
                root_algo_type_column.filter.load_state(fs.root_algo_types);
@@ -654,7 +661,14 @@ namespace mbts.spark {
 
       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)) { }
+            : base(
+                 Columns.NotionalValue,
+                 DefaultColumnHeaders.NotionalValue,
+                 r => r.notional_value_text,
+                 DefaultColumnWidths.NotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.notional_value)) { }
 
          public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
             CellRender.draw_text(
@@ -690,6 +704,32 @@ namespace mbts.spark {
                DefaultCellPadding);
       }
 
+      public class FilledNotionalValueColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
+         public FilledNotionalValueColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
+            : base(
+                 Columns.FilledNotionalValue,
+                 DefaultColumnHeaders.FilledNotionalValue,
+                 r => r.filled_notional_value_text,
+                 DefaultColumnWidths.FilledNotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.filled_notional_value)) { }
+
+         public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
+            CellRender.draw_text(
+               dc,
+               _get_glyph_context(row),
+               font_size,
+               row.filled_notional_value_text,
+               position,
+               row_height,
+               RenderUtils.get_side_brush(row),
+               background_brush,
+               horizontal_alignment,
+               VerticalAlignment.Center,
+               DefaultCellPadding);
+      }
+
       public class OrderBookOrderTypeColumn : OrderTypeColumn<Columns>, ICVOrderBookColumn {
          readonly BindingBase _foreground_binding;
          ListSortDirection? _cached_sort_direction;

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

@@ -108,7 +108,7 @@ 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 double notional_value => order_tuple.notional_value;
       public string notional_value_text => _fmt_price(notional_value);
       public TickDisplaySettingsImmutable quantity_display_settings {
          get => _quantity_display_settings;
@@ -130,6 +130,8 @@ namespace mbts.spark {
          filled_quantity.safe_divide(_display_qty_divisor);
       public string display_filled_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_filled_quantity);
+      public double filled_notional_value => order_tuple.filled_notional_value;
+      public string filled_notional_value_text => _fmt_price(filled_notional_value);
       public string last_msg => order.last_msg();
       // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
@@ -357,9 +359,15 @@ namespace mbts.spark {
             if (_prospective_qty_translator_backing != null)
                _prospective_qty_translator_backing.actual_value = quantity;
          }
+         if ((Columns.NotionalValue & dirty) == Columns.NotionalValue) {
+            RaisePropertyChanged(nameof(notional_value), nameof(notional_value_text));
+         }
          if ((Columns.Filled & dirty) != 0) {
             RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
          }
+         if ((Columns.FilledNotionalValue & dirty) == Columns.FilledNotionalValue) {
+            RaisePropertyChanged(nameof(filled_notional_value), nameof(filled_notional_value_text));
+         }
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -523,6 +531,12 @@ namespace mbts.spark {
             if (oldval.order.piq != newval.order.piq) {
                dirty |= Columns.Piq;
             }
+            if (oldval.notional_value != newval.notional_value) {
+               dirty |= Columns.NotionalValue;
+            }
+            if (oldval.filled_notional_value != newval.filled_notional_value) {
+               dirty |= Columns.FilledNotionalValue;
+            }
             return dirty;
          }
       }

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

@@ -1,165 +1,170 @@
-using bts.api;
-using bts.api.orderman;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.spark.filters;
-using mbts.ui;
-using mbts.ui.utility;
-
-using ProtoBuf;
-
-using Spark.Api.Orders;
-
-using System;
-
-namespace bts.shell.orderbook {
-   [ProtoContract]
-   class FilterStates : IEquatable<FilterStates> {
-      [ProtoMember(1)]
-      public SecurityCriteria security_criteria;
-      [ProtoMember(2)]
-      public string order_key_regex;
-      [ProtoMember(3)]
-      public TimeFilterTuple time_created;
-      [ProtoMember(4)]
-      public string[] users;
-      [ProtoMember(5)]
-      public string[] accounts;
-      [ProtoMember(6)]
-      public Venue[] exchanges;
-      [ProtoMember(7)]
-      public TimeInForce[] tifs;
-      //[ProtoMember(8)]
-      //public CustomOrderDefinition.CustomOneofCase[] order_types;
-      [ProtoMember(23)]
-      public AlgoID[] order_types;
-      [ProtoMember(24)]
-      public AlgoID[] root_algo_types;
-      [ProtoMember(9)]
-      public Side[] sides;
-      [ProtoMember(10)]
-      public DoubleMinMaxState qty;
-      [ProtoMember(26)]
-      public DoubleMinMaxState notional_value;
-      [ProtoMember(11)]
-      public DoubleMinMaxState price;
-      [ProtoMember(12)]
-      public DoubleMinMaxState qty_filled;
-      [ProtoMember(13)]
-      public DoubleMinMaxState avg_price;
-      [ProtoMember(14)]
-      public DoubleMinMaxState last_price;
-      [ProtoMember(15)]
-      public OrderStatus[] statuses;
-      [ProtoMember(16)]
-      public string exchange_message_regex;
-      [ProtoMember(17)]
-      public TimeFilterTuple last_change;
-      //[ProtoMember(18)]
-      //public string security_regex;
-      [ProtoMember(19)]
-      public api.orderman.OrderSubType[] order_sub_types;
-      [ProtoMember(20)]
-      public string[] symbols;
-      [ProtoMember(21)]
-      public string parent_key_regex;
-      [ProtoMember(22)]
-      public string attached_target_order_key_regex;
-      [ProtoMember(25)]
-      public UIntMinMaxState piq;
-
-      public bool Equals(FilterStates other) =>
-         other != null &&
-         security_criteria.safe_equals(other.security_criteria) &&
-         order_key_regex == other.order_key_regex &&
-         parent_key_regex == other.parent_key_regex &&
-         attached_target_order_key_regex == other.attached_target_order_key_regex &&
-         time_created.Equals(other.time_created) &&
-         EqualityComparer.safe_sequence_equals(users, other.users) &&
-         EqualityComparer.safe_sequence_equals(accounts, other.accounts) &&
-         EqualityComparer.safe_sequence_equals(exchanges, other.exchanges) &&
-         EqualityComparer.safe_sequence_equals(tifs, other.tifs) &&
-         EqualityComparer.safe_sequence_equals(order_types, other.order_types) &&
-         EqualityComparer.safe_sequence_equals(root_algo_types, other.root_algo_types) &&
-         EqualityComparer.safe_sequence_equals(sides, other.sides) &&
-         qty.safe_equals(other.qty) &&
-         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) &&
-         last_price.safe_equals(other.last_price) &&
-         EqualityComparer.safe_sequence_equals(statuses, other.statuses) &&
-         exchange_message_regex == other.exchange_message_regex &&
-         last_change.Equals(other.last_change) &&
-         EqualityComparer.safe_sequence_equals(order_sub_types, other.order_sub_types) &&
-         EqualityComparer.safe_sequence_equals(symbols, other.symbols) &&
-         piq.safe_equals(other.piq);
-
-      public override bool Equals(object obj) => Equals(obj as FilterStates);
-
-      public override int GetHashCode() =>
-         EqualityComparer.aggregate_hash(
-            security_criteria?.GetHashCode() ?? 0,
-            order_key_regex?.GetHashCode() ?? 0,
-            parent_key_regex?.GetHashCode() ?? 0,
-            attached_target_order_key_regex?.GetHashCode() ?? 0,
-            time_created.GetHashCode(),
-            EqualityComparer.safe_aggregate_hash(users),
-            EqualityComparer.safe_aggregate_hash(accounts),
-            EqualityComparer.safe_aggregate_hash(exchanges),
-            EqualityComparer.safe_aggregate_hash(tifs),
-            EqualityComparer.safe_aggregate_hash(order_types),
-            EqualityComparer.safe_aggregate_hash(root_algo_types),
-            EqualityComparer.safe_aggregate_hash(sides),
-            qty?.GetHashCode() ?? 0,
-            notional_value?.GetHashCode() ?? 0,
-            price?.GetHashCode() ?? 0,
-            qty_filled?.GetHashCode() ?? 0,
-            avg_price?.GetHashCode() ?? 0,
-            last_price?.GetHashCode() ?? 0,
-            EqualityComparer.safe_aggregate_hash(statuses),
-            exchange_message_regex?.GetHashCode() ?? 0,
-            last_change.GetHashCode(),
-            EqualityComparer.safe_aggregate_hash(order_sub_types),
-            EqualityComparer.safe_aggregate_hash(symbols),
-            piq?.GetHashCode() ?? 0);
-   }
-
-   static class FilterStatesExtensions {
-      public static Func<OrderRecordTupleWithRoot, bool> build_predicate(this FilterStates fs) {
-         var pb = new ColumnPredicateBuilder<OrderRecordTupleWithRoot>();
-         // security
-         pb.add_security_criteria(fs.security_criteria, o => o.order.security);
-         // regex
-         pb.add_regex(fs.order_key_regex, o => o.order.order.Key.ToString());
-         pb.add_regex(fs.exchange_message_regex, o => o.order.order.State.LastMsg);
-         pb.add_regex(fs.attached_target_order_key_regex, o => o.order.order.attached_target_order_key().ToString());
-         pb.add_regex(fs.parent_key_regex, o => o.order.order.ParentKey.ToString());
-         // time
-         pb.add_time_filter(fs.time_created, o => o.order.order.created());
-         pb.add_time_filter(fs.last_change, o => o.order.order.last_change());
-         // discrete values
-         pb.add_discrete_values(fs.users, o => o.order.order.user());
-         pb.add_discrete_values(fs.accounts, o => o.order.order.account());
-         pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
-         pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
-         pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
-         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
-         pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
-         pb.add_discrete_values(fs.sides, o => o.order.order.side());
-         pb.add_discrete_values(fs.statuses, o => o.order.order.status());
-         pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
-         // numeric
-         pb.add_numeric(fs.qty, o => o.order.order.quantity());
-         pb.add_numeric(fs.notional_value, o => o.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());
-         pb.add_numeric(fs.last_price, o => o.order.order.last_price());
-         pb.add_numeric(fs.piq, o => o.order.piq ?? uint.MaxValue);
-         return pb.to_predicate();
-      }
-   }
-}
+using bts.api;
+using bts.api.orderman;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.utility;
+
+using ProtoBuf;
+
+using Spark.Api.Orders;
+
+using System;
+
+namespace bts.shell.orderbook {
+   [ProtoContract]
+   class FilterStates : IEquatable<FilterStates> {
+      [ProtoMember(1)]
+      public SecurityCriteria security_criteria;
+      [ProtoMember(2)]
+      public string order_key_regex;
+      [ProtoMember(3)]
+      public TimeFilterTuple time_created;
+      [ProtoMember(4)]
+      public string[] users;
+      [ProtoMember(5)]
+      public string[] accounts;
+      [ProtoMember(6)]
+      public Venue[] exchanges;
+      [ProtoMember(7)]
+      public TimeInForce[] tifs;
+      //[ProtoMember(8)]
+      //public CustomOrderDefinition.CustomOneofCase[] order_types;
+      [ProtoMember(23)]
+      public AlgoID[] order_types;
+      [ProtoMember(24)]
+      public AlgoID[] root_algo_types;
+      [ProtoMember(9)]
+      public Side[] sides;
+      [ProtoMember(10)]
+      public DoubleMinMaxState qty;
+      [ProtoMember(26)]
+      public DoubleMinMaxState notional_value;
+      [ProtoMember(11)]
+      public DoubleMinMaxState price;
+      [ProtoMember(12)]
+      public DoubleMinMaxState qty_filled;
+      [ProtoMember(27)]
+      public DoubleMinMaxState filled_notional_value;
+      [ProtoMember(13)]
+      public DoubleMinMaxState avg_price;
+      [ProtoMember(14)]
+      public DoubleMinMaxState last_price;
+      [ProtoMember(15)]
+      public OrderStatus[] statuses;
+      [ProtoMember(16)]
+      public string exchange_message_regex;
+      [ProtoMember(17)]
+      public TimeFilterTuple last_change;
+      //[ProtoMember(18)]
+      //public string security_regex;
+      [ProtoMember(19)]
+      public api.orderman.OrderSubType[] order_sub_types;
+      [ProtoMember(20)]
+      public string[] symbols;
+      [ProtoMember(21)]
+      public string parent_key_regex;
+      [ProtoMember(22)]
+      public string attached_target_order_key_regex;
+      [ProtoMember(25)]
+      public UIntMinMaxState piq;
+
+      public bool Equals(FilterStates other) =>
+         other != null &&
+         security_criteria.safe_equals(other.security_criteria) &&
+         order_key_regex == other.order_key_regex &&
+         parent_key_regex == other.parent_key_regex &&
+         attached_target_order_key_regex == other.attached_target_order_key_regex &&
+         time_created.Equals(other.time_created) &&
+         EqualityComparer.safe_sequence_equals(users, other.users) &&
+         EqualityComparer.safe_sequence_equals(accounts, other.accounts) &&
+         EqualityComparer.safe_sequence_equals(exchanges, other.exchanges) &&
+         EqualityComparer.safe_sequence_equals(tifs, other.tifs) &&
+         EqualityComparer.safe_sequence_equals(order_types, other.order_types) &&
+         EqualityComparer.safe_sequence_equals(root_algo_types, other.root_algo_types) &&
+         EqualityComparer.safe_sequence_equals(sides, other.sides) &&
+         qty.safe_equals(other.qty) &&
+         notional_value.safe_equals(other.notional_value) &&
+         price.safe_equals(other.price) &&
+         qty_filled.safe_equals(other.qty_filled) &&
+         filled_notional_value.safe_equals(other.filled_notional_value) &&
+         avg_price.safe_equals(other.avg_price) &&
+         last_price.safe_equals(other.last_price) &&
+         EqualityComparer.safe_sequence_equals(statuses, other.statuses) &&
+         exchange_message_regex == other.exchange_message_regex &&
+         last_change.Equals(other.last_change) &&
+         EqualityComparer.safe_sequence_equals(order_sub_types, other.order_sub_types) &&
+         EqualityComparer.safe_sequence_equals(symbols, other.symbols) &&
+         piq.safe_equals(other.piq);
+
+      public override bool Equals(object obj) => Equals(obj as FilterStates);
+
+      public override int GetHashCode() =>
+         EqualityComparer.aggregate_hash(
+            security_criteria?.GetHashCode() ?? 0,
+            order_key_regex?.GetHashCode() ?? 0,
+            parent_key_regex?.GetHashCode() ?? 0,
+            attached_target_order_key_regex?.GetHashCode() ?? 0,
+            time_created.GetHashCode(),
+            EqualityComparer.safe_aggregate_hash(users),
+            EqualityComparer.safe_aggregate_hash(accounts),
+            EqualityComparer.safe_aggregate_hash(exchanges),
+            EqualityComparer.safe_aggregate_hash(tifs),
+            EqualityComparer.safe_aggregate_hash(order_types),
+            EqualityComparer.safe_aggregate_hash(root_algo_types),
+            EqualityComparer.safe_aggregate_hash(sides),
+            qty?.GetHashCode() ?? 0,
+            notional_value?.GetHashCode() ?? 0,
+            price?.GetHashCode() ?? 0,
+            qty_filled?.GetHashCode() ?? 0,
+            filled_notional_value?.GetHashCode() ?? 0,
+            avg_price?.GetHashCode() ?? 0,
+            last_price?.GetHashCode() ?? 0,
+            EqualityComparer.safe_aggregate_hash(statuses),
+            exchange_message_regex?.GetHashCode() ?? 0,
+            last_change.GetHashCode(),
+            EqualityComparer.safe_aggregate_hash(order_sub_types),
+            EqualityComparer.safe_aggregate_hash(symbols),
+            piq?.GetHashCode() ?? 0);
+   }
+
+   static class FilterStatesExtensions {
+      public static Func<OrderRecordTupleWithRoot, bool> build_predicate(this FilterStates fs) {
+         var pb = new ColumnPredicateBuilder<OrderRecordTupleWithRoot>();
+         // security
+         pb.add_security_criteria(fs.security_criteria, o => o.order.security);
+         // regex
+         pb.add_regex(fs.order_key_regex, o => o.order.order.Key.ToString());
+         pb.add_regex(fs.exchange_message_regex, o => o.order.order.State.LastMsg);
+         pb.add_regex(fs.attached_target_order_key_regex, o => o.order.order.attached_target_order_key().ToString());
+         pb.add_regex(fs.parent_key_regex, o => o.order.order.ParentKey.ToString());
+         // time
+         pb.add_time_filter(fs.time_created, o => o.order.order.created());
+         pb.add_time_filter(fs.last_change, o => o.order.order.last_change());
+         // discrete values
+         pb.add_discrete_values(fs.users, o => o.order.order.user());
+         pb.add_discrete_values(fs.accounts, o => o.order.order.account());
+         pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
+         pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
+         pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
+         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
+         pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
+         pb.add_discrete_values(fs.sides, o => o.order.order.side());
+         pb.add_discrete_values(fs.statuses, o => o.order.order.status());
+         pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
+         // numeric
+         pb.add_numeric(fs.qty, o => o.order.order.quantity());
+         pb.add_numeric(fs.notional_value, o => o.notional_value);
+         pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
+         pb.add_numeric(fs.qty_filled, o => o.order.order.filled_quantity());
+         pb.add_numeric(fs.filled_notional_value, o => o.filled_notional_value);
+         pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());
+         pb.add_numeric(fs.last_price, o => o.order.order.last_price());
+         pb.add_numeric(fs.piq, o => o.order.piq ?? uint.MaxValue);
+         return pb.to_predicate();
+      }
+   }
+}

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

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

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

@@ -1,271 +1,277 @@
-using bts.api.orderman;
-using bts.shell.fills;
-
-using mbts;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.settings;
-
-using ProtoBuf;
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Windows;
-
-using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
-using GridSettings = mbts.ui.settings.GridSettings;
-
-namespace bts.shell.orderbook {
-   using ColHeader = mbts.ui.controls.DIYGrid.DefaultColumnHeaders;
-   using ColWidth = mbts.ui.controls.DIYGrid.DefaultColumnWidths;
-
-   [ProtoContract]
-   class OrderBookStartupData {
-      const bool
-         _default_show_right_panel = true,
-         _default_show_order_params = true;
-      const double
-         _default_right_panel_width = 400,
-         _default_order_params_height = 250,
-         _default_fills_height = 300,
-         _default_ladder_height = 350;
-      [ProtoMember(16)]
-      OrderBookRightPanelSettings _right_panel;
-      // ALREADY USED TAGS
-      // [ProtoMember(5)]
-      // public readonly List<SortingCriteria> sort_criteria;
-
-      public OrderBookRightPanelSettings right_panel => _right_panel ?? (_right_panel = new OrderBookRightPanelSettings());
-      /// TODO: remove properties below, and redirect callers to <see cref="right_panel"/>
-      // right panel (host)
-      public bool show_right_panel { get => right_panel.show; set => right_panel.show = value; }
-      public double right_panel_width { get => right_panel.width; set => right_panel.width = value; }
-      // order params
-      public bool show_order_params { get => right_panel.stack.show_order_params; set => right_panel.stack.show_order_params = value; }
-      public double order_params_height { get; set; }
-      // ladder
-      public bool show_ladder { get; set; }
-      public double ladder_height { get => right_panel.stack.ladder_height; set => right_panel.stack.ladder_height = value; }
-      // fills
-      public bool show_fills { get => right_panel.stack.show_fills; set => right_panel.stack.show_fills = value; }
-      public double fills_height { get => right_panel.stack.fills_height; set => right_panel.stack.fills_height = value; }
-
-      // filters
-      [ProtoMember(10)]
-      public FilterStates filters;
-      // grid
-      [ProtoMember(15)]
-      [Obsolete]
-      public GridSettings grid { get; set; }
-      // orderbook grid
-      [ProtoMember(17)]
-      public OrderBookGridSettings orderbook_grid { get; set; }
-      // fills settings
-      [ProtoMember(26)]
-      public OrderBookFillsGridSettings fills_settings { get; set; }
-      // predicate animations
-      [ProtoMember(20)]
-      [Obsolete]
-      List<OrderRecordTuplePredicateAnimations> _predicate_animations;
-      // use defaults
-      [ProtoMember(25)]
-      public bool use_defaults;
-      // menu display
-      [ProtoMember(27)]
-      public SparkMenuDisplaySettings menu_display { get; set; }
-
-      /// <summary>
-      /// Please use <see cref="Default"/> to get a new instance (the only reason the default constructor still exists is for ProtoBuf deserialization).
-      /// </summary>
-      [Obsolete]
-      public OrderBookStartupData() {
-         show_right_panel = _default_show_right_panel;
-         show_order_params = _default_show_order_params;
-         right_panel_width = _default_right_panel_width;
-         order_params_height = _default_order_params_height;
-         fills_height = _default_fills_height;
-         ladder_height = _default_ladder_height;
-      }
-
-      public OrderBookStartupData(FilterStates filters, OrderBookGridSettings orderbook_grid = default, bool show_right_panel = false, double right_panel_width = 0, double fills_height = 0, bool show_fills = false, bool use_defaults = false) {
-         this.filters = filters;
-         this.use_defaults = use_defaults;
-         this.show_right_panel = show_right_panel;
-         this.right_panel_width = right_panel_width;
-         this.fills_height = fills_height;
-         this.show_fills = show_fills;
-         this.orderbook_grid = orderbook_grid;
-#pragma warning disable CS0612 // Type or member is obsolete
-         _predicate_animations = new List<OrderRecordTuplePredicateAnimations>();
-         if (predicate_animations != null)
-            _predicate_animations.AddRange(predicate_animations);
-#pragma warning restore CS0612 // Type or member is obsolete
-      }
-
-#pragma warning disable CS0612 // Type or member is obsolete
-      [Obsolete]
-      public IReadOnlyList<OrderRecordTuplePredicateAnimations> predicate_animations => _predicate_animations ?? (_predicate_animations = new List<OrderRecordTuplePredicateAnimations>());
-      public OrderBookGridSettings grid_settings_wrapper() {
-         if (use_defaults)
-            return null;
-         if (orderbook_grid == null) {
-            if (grid == null)
-               grid = _default_general_grid;
-            orderbook_grid = new OrderBookGridSettings(grid.Clone(), _predicate_animations);
-         }
-         return orderbook_grid;
-      }
-#pragma warning restore CS0612 // Type or member is obsolete
-
-      public static OrderBookStartupData Default =>
-        new OrderBookStartupData(
-           new FilterStates { statuses = new[] { OrderStatus.Working } },
-           DefaultGrid,
-           _default_show_right_panel,
-           _default_right_panel_width,
-           _default_fills_height,
-           use_defaults: true) {
-           show_order_params = _default_show_order_params,
-           order_params_height = _default_order_params_height,
-           fills_settings = DefaultFillsGrid
-        };
-
-      public static OrderBookGridSettings DefaultGrid => new OrderBookGridSettings(_default_general_grid) {
-         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
-      };
-
-      public static OrderBookFillsGridSettings DefaultFillsGrid {
-         get {
-            var default_fills = FillsSettings.Default();
-            var rv = new OrderBookFillsGridSettings {
-               sorting_criteria = default_fills.sorting_criteria.ToList(),
-               filters = default_fills.filters,
-               general = FillsSettings.MiniGridSettings
-            };
-            return rv;
-         }
-      }
-      static GridSettings _default_general_grid => GridSettings.Default.with(DefaultColumns.standard, DefaultColumns.sorting_criteria);
-      public static OrderBookGridSettings default_mini_grid => new OrderBookGridSettings(GridSettings.Default.with(DefaultColumns.mini, DefaultColumns.sorting_criteria)) {
-         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
-      };
-
-      static class DefaultColumns {
-         // standard
-         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.ToString(), DIYGrid.DefaultColumnHeaders.Security, width: DIYGrid.DefaultColumnWidths.Security);
-         public static GridColumnSettings symbol => new GridColumnSettings(Columns.Symbol.ToString(), DIYGrid.DefaultColumnHeaders.Symbol, width: DIYGrid.DefaultColumnWidths.Symbol, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings time_created => new GridColumnSettings(Columns.Time.ToString(), "Time", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings last_change => new GridColumnSettings(Columns.LastChange.ToString(), "Last Change", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings user => new GridColumnSettings(Columns.User.ToString(), DIYGrid.DefaultColumnHeaders.User, width: DIYGrid.DefaultColumnWidths.User, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings account => new GridColumnSettings(Columns.Account.ToString(), DIYGrid.DefaultColumnHeaders.Account, width: DIYGrid.DefaultColumnWidths.Account, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings exchange => new GridColumnSettings(Columns.Exchange.ToString(), DIYGrid.DefaultColumnHeaders.Exchange, width: DIYGrid.DefaultColumnWidths.Exchange, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings time_in_force => new GridColumnSettings(Columns.TimeInForce.ToString(), DIYGrid.DefaultColumnHeaders.TimeInForce, width: DIYGrid.DefaultColumnWidths.TimeInForce);
-         public static GridColumnSettings order_type => new GridColumnSettings(Columns.OrderType.ToString(), DIYGrid.DefaultColumnHeaders.OrderType, width: DIYGrid.DefaultColumnWidths.OrderType);
-         public static GridColumnSettings root_algo_type => new GridColumnSettings(Columns.RootAlgoType.ToString(), DIYGrid.DefaultColumnHeaders.RootAlgoType, width: DIYGrid.DefaultColumnWidths.OrderType);
-         public static GridColumnSettings sub_type => new GridColumnSettings(Columns.SubType.ToString(), "Sub Type", width: 80, horizontal_alignment: HorizontalAlignment.Left);
-
-         public static GridColumnSettings side => new(
-            Columns.Side.ToString(), ColHeader.Side,
-            width: ColWidth.Side,
-            horizontal_alignment: HorizontalAlignment.Left);
-
-         public static GridColumnSettings quantity => new GridColumnSettings(Columns.Size.ToString(), "Qty", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
-         public static GridColumnSettings 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(
-            Columns.Filled.ToString(),
-            ColHeader.FilledQuantity,
-            width: ColWidth.Filled,
-            horizontal_alignment: HorizontalAlignment.Right);
-
-         public static GridColumnSettings avg_price => new(
-            Columns.AvgFilled.ToString(),
-            ColHeader.AvgFilled,
-            width: ColWidth.AveragePrice,
-            horizontal_alignment: HorizontalAlignment.Right);
-
-         public static GridColumnSettings last_price => new GridColumnSettings(Columns.LastPrice.ToString(), "Last Filled", width: DIYGrid.DefaultColumnWidths.LastPrice, horizontal_alignment: HorizontalAlignment.Right);
-         public static GridColumnSettings status => new GridColumnSettings(Columns.Status.ToString(), "Status", width: 80, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings last_message => new GridColumnSettings(Columns.LastMessage.ToString(), "Last Message", width: DIYGrid.DefaultColumnWidths.LastMessage, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.ToString(), DIYGrid.DefaultColumnHeaders.SecurityKey, is_visible: false, width: DIYGrid.DefaultColumnWidths.SecurityKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings order_key => new GridColumnSettings(Columns.OrderKey.ToString(), DIYGrid.DefaultColumnHeaders.OrderKey, width: DIYGrid.DefaultColumnWidths.OrderKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings parent_key => new GridColumnSettings(Columns.ParentKey.ToString(), "Parent Key", width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings attached_target_order_key => new GridColumnSettings(Columns.AttachedTargetOrderKey.ToString(), DIYGrid.DefaultColumnHeaders.AttachedTargetOrderKey, width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
-         public static GridColumnSettings piq => new GridColumnSettings(Columns.Piq.ToString(), "PIQ", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
-         // editable
-         public static GridColumnSettings cancel => new GridColumnSettings(Columns.Cancel.ToString(), DIYGrid.DefaultColumnHeaders.Cancel, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Cancel);
-         public static GridColumnSettings attach_detach => new GridColumnSettings(Columns.Attach.ToString(), DIYGrid.DefaultColumnHeaders.AttachDetach, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.AttachDetach);
-         public static GridColumnSettings update => new GridColumnSettings(Columns.Update.ToString(), DIYGrid.DefaultColumnHeaders.Update, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Update);
-         public static GridColumnSettings edit_quantity => new GridColumnSettings(Columns.EditableQty.ToString(), DIYGrid.DefaultColumnHeaders.Qty, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditableSize);
-         public static GridColumnSettings edit_price => new GridColumnSettings(Columns.EditablePrice.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditablePrice);
-         public static GridColumnSettings commit => new GridColumnSettings(Columns.Commit.ToString(), width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Commit);
-
-         public static IEnumerable<SortingCriteria> sorting_criteria {
-            get {
-               yield return new SortingCriteria(time_created.id, false);
-            }
-         }
-
-         public static IEnumerable<GridColumnSettings> standard {
-            get {
-               yield return security;
-               yield return symbol;
-               yield return time_created;
-               yield return last_change;
-               yield return user;
-               yield return account;
-               yield return exchange;
-               yield return time_in_force;
-               yield return order_type;
-               yield return root_algo_type;
-               yield return sub_type;
-               yield return side;
-               yield return quantity;
-               yield return price;
-               yield return piq;
-               yield return filled_quantity;
-               yield return avg_price;
-               yield return last_price;
-               yield return status;
-               yield return last_message;
-               yield return security_key;
-               yield return order_key;
-               yield return parent_key;
-               yield return attached_target_order_key;
-            }
-         }
-
-         public static IEnumerable<GridColumnSettings> editable {
-            get {
-               yield return cancel;
-               yield return update;
-               yield return edit_quantity;
-               yield return edit_price;
-               yield return commit;
-               yield return attach_detach;
-            }
-         }
-
-         private static HashSet<GridColumnSettings> _mini_mode_columns_to_hide = new HashSet<GridColumnSettings> {
-               symbol, last_change, exchange, sub_type, quantity, price, avg_price, last_price, status, last_message, security_key, order_key, parent_key, attached_target_order_key
-            };
-
-         public static IEnumerable<GridColumnSettings> mini {
-            get {
-               foreach (var col_setting in editable)
-                  yield return col_setting;
-               foreach (var col_setting in standard) {
-                  if (_mini_mode_columns_to_hide.Contains(col_setting)) {
-                     yield return col_setting.with(is_visible: false);
-                  } else {
-                     yield return col_setting;
-                  }
-               }
-            }
-         }
-      }
-   }
-}
+using bts.api.orderman;
+using bts.shell.fills;
+
+using mbts;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.settings;
+
+using ProtoBuf;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows;
+
+using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
+using GridSettings = mbts.ui.settings.GridSettings;
+
+namespace bts.shell.orderbook {
+   using ColHeader = mbts.ui.controls.DIYGrid.DefaultColumnHeaders;
+   using ColWidth = mbts.ui.controls.DIYGrid.DefaultColumnWidths;
+
+   [ProtoContract]
+   class OrderBookStartupData {
+      const bool
+         _default_show_right_panel = true,
+         _default_show_order_params = true;
+      const double
+         _default_right_panel_width = 400,
+         _default_order_params_height = 250,
+         _default_fills_height = 300,
+         _default_ladder_height = 350;
+      [ProtoMember(16)]
+      OrderBookRightPanelSettings _right_panel;
+      // ALREADY USED TAGS
+      // [ProtoMember(5)]
+      // public readonly List<SortingCriteria> sort_criteria;
+
+      public OrderBookRightPanelSettings right_panel => _right_panel ?? (_right_panel = new OrderBookRightPanelSettings());
+      /// TODO: remove properties below, and redirect callers to <see cref="right_panel"/>
+      // right panel (host)
+      public bool show_right_panel { get => right_panel.show; set => right_panel.show = value; }
+      public double right_panel_width { get => right_panel.width; set => right_panel.width = value; }
+      // order params
+      public bool show_order_params { get => right_panel.stack.show_order_params; set => right_panel.stack.show_order_params = value; }
+      public double order_params_height { get; set; }
+      // ladder
+      public bool show_ladder { get; set; }
+      public double ladder_height { get => right_panel.stack.ladder_height; set => right_panel.stack.ladder_height = value; }
+      // fills
+      public bool show_fills { get => right_panel.stack.show_fills; set => right_panel.stack.show_fills = value; }
+      public double fills_height { get => right_panel.stack.fills_height; set => right_panel.stack.fills_height = value; }
+
+      // filters
+      [ProtoMember(10)]
+      public FilterStates filters;
+      // grid
+      [ProtoMember(15)]
+      [Obsolete]
+      public GridSettings grid { get; set; }
+      // orderbook grid
+      [ProtoMember(17)]
+      public OrderBookGridSettings orderbook_grid { get; set; }
+      // fills settings
+      [ProtoMember(26)]
+      public OrderBookFillsGridSettings fills_settings { get; set; }
+      // predicate animations
+      [ProtoMember(20)]
+      [Obsolete]
+      List<OrderRecordTuplePredicateAnimations> _predicate_animations;
+      // use defaults
+      [ProtoMember(25)]
+      public bool use_defaults;
+      // menu display
+      [ProtoMember(27)]
+      public SparkMenuDisplaySettings menu_display { get; set; }
+
+      /// <summary>
+      /// Please use <see cref="Default"/> to get a new instance (the only reason the default constructor still exists is for ProtoBuf deserialization).
+      /// </summary>
+      [Obsolete]
+      public OrderBookStartupData() {
+         show_right_panel = _default_show_right_panel;
+         show_order_params = _default_show_order_params;
+         right_panel_width = _default_right_panel_width;
+         order_params_height = _default_order_params_height;
+         fills_height = _default_fills_height;
+         ladder_height = _default_ladder_height;
+      }
+
+      public OrderBookStartupData(FilterStates filters, OrderBookGridSettings orderbook_grid = default, bool show_right_panel = false, double right_panel_width = 0, double fills_height = 0, bool show_fills = false, bool use_defaults = false) {
+         this.filters = filters;
+         this.use_defaults = use_defaults;
+         this.show_right_panel = show_right_panel;
+         this.right_panel_width = right_panel_width;
+         this.fills_height = fills_height;
+         this.show_fills = show_fills;
+         this.orderbook_grid = orderbook_grid;
+#pragma warning disable CS0612 // Type or member is obsolete
+         _predicate_animations = new List<OrderRecordTuplePredicateAnimations>();
+         if (predicate_animations != null)
+            _predicate_animations.AddRange(predicate_animations);
+#pragma warning restore CS0612 // Type or member is obsolete
+      }
+
+#pragma warning disable CS0612 // Type or member is obsolete
+      [Obsolete]
+      public IReadOnlyList<OrderRecordTuplePredicateAnimations> predicate_animations => _predicate_animations ?? (_predicate_animations = new List<OrderRecordTuplePredicateAnimations>());
+      public OrderBookGridSettings grid_settings_wrapper() {
+         if (use_defaults)
+            return null;
+         if (orderbook_grid == null) {
+            if (grid == null)
+               grid = _default_general_grid;
+            orderbook_grid = new OrderBookGridSettings(grid.Clone(), _predicate_animations);
+         }
+         return orderbook_grid;
+      }
+#pragma warning restore CS0612 // Type or member is obsolete
+
+      public static OrderBookStartupData Default =>
+        new OrderBookStartupData(
+           new FilterStates { statuses = new[] { OrderStatus.Working } },
+           DefaultGrid,
+           _default_show_right_panel,
+           _default_right_panel_width,
+           _default_fills_height,
+           use_defaults: true) {
+           show_order_params = _default_show_order_params,
+           order_params_height = _default_order_params_height,
+           fills_settings = DefaultFillsGrid
+        };
+
+      public static OrderBookGridSettings DefaultGrid => new OrderBookGridSettings(_default_general_grid) {
+         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
+      };
+
+      public static OrderBookFillsGridSettings DefaultFillsGrid {
+         get {
+            var default_fills = FillsSettings.Default();
+            var rv = new OrderBookFillsGridSettings {
+               sorting_criteria = default_fills.sorting_criteria.ToList(),
+               filters = default_fills.filters,
+               general = FillsSettings.MiniGridSettings
+            };
+            return rv;
+         }
+      }
+      static GridSettings _default_general_grid => GridSettings.Default.with(DefaultColumns.standard, DefaultColumns.sorting_criteria);
+      public static OrderBookGridSettings default_mini_grid => new OrderBookGridSettings(GridSettings.Default.with(DefaultColumns.mini, DefaultColumns.sorting_criteria)) {
+         algo_tree_display_mode = AlgoTreeDisplayMode.RootAndLeafNodes
+      };
+
+      static class DefaultColumns {
+         // standard
+         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.ToString(), DIYGrid.DefaultColumnHeaders.Security, width: DIYGrid.DefaultColumnWidths.Security);
+         public static GridColumnSettings symbol => new GridColumnSettings(Columns.Symbol.ToString(), DIYGrid.DefaultColumnHeaders.Symbol, width: DIYGrid.DefaultColumnWidths.Symbol, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings time_created => new GridColumnSettings(Columns.Time.ToString(), "Time", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings last_change => new GridColumnSettings(Columns.LastChange.ToString(), "Last Change", width: DIYGrid.DefaultColumnWidths.Time, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings user => new GridColumnSettings(Columns.User.ToString(), DIYGrid.DefaultColumnHeaders.User, width: DIYGrid.DefaultColumnWidths.User, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings account => new GridColumnSettings(Columns.Account.ToString(), DIYGrid.DefaultColumnHeaders.Account, width: DIYGrid.DefaultColumnWidths.Account, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings exchange => new GridColumnSettings(Columns.Exchange.ToString(), DIYGrid.DefaultColumnHeaders.Exchange, width: DIYGrid.DefaultColumnWidths.Exchange, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings time_in_force => new GridColumnSettings(Columns.TimeInForce.ToString(), DIYGrid.DefaultColumnHeaders.TimeInForce, width: DIYGrid.DefaultColumnWidths.TimeInForce);
+         public static GridColumnSettings order_type => new GridColumnSettings(Columns.OrderType.ToString(), DIYGrid.DefaultColumnHeaders.OrderType, width: DIYGrid.DefaultColumnWidths.OrderType);
+         public static GridColumnSettings root_algo_type => new GridColumnSettings(Columns.RootAlgoType.ToString(), DIYGrid.DefaultColumnHeaders.RootAlgoType, width: DIYGrid.DefaultColumnWidths.OrderType);
+         public static GridColumnSettings sub_type => new GridColumnSettings(Columns.SubType.ToString(), "Sub Type", width: 80, horizontal_alignment: HorizontalAlignment.Left);
+
+         public static GridColumnSettings side => new(
+            Columns.Side.ToString(), ColHeader.Side,
+            width: ColWidth.Side,
+            horizontal_alignment: HorizontalAlignment.Left);
+
+         public static GridColumnSettings quantity => new GridColumnSettings(Columns.Size.ToString(), "Qty", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings notional_value => new GridColumnSettings(Columns.NotionalValue.ToString(), DIYGrid.DefaultColumnHeaders.NotionalValue, width: DIYGrid.DefaultColumnWidths.NotionalValue, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings price => new GridColumnSettings(Columns.Price.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.Price, horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings filled_quantity => new(
+            Columns.Filled.ToString(),
+            ColHeader.FilledQuantity,
+            width: ColWidth.Filled,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings filled_notional_value => new(
+            Columns.FilledNotionalValue.ToString(),
+            ColHeader.FilledNotionalValue,
+            width: ColWidth.FilledNotionalValue,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings avg_price => new(
+            Columns.AvgFilled.ToString(),
+            ColHeader.AvgFilled,
+            width: ColWidth.AveragePrice,
+            horizontal_alignment: HorizontalAlignment.Right);
+
+         public static GridColumnSettings last_price => new GridColumnSettings(Columns.LastPrice.ToString(), "Last Filled", width: DIYGrid.DefaultColumnWidths.LastPrice, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings status => new GridColumnSettings(Columns.Status.ToString(), "Status", width: 80, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings last_message => new GridColumnSettings(Columns.LastMessage.ToString(), "Last Message", width: DIYGrid.DefaultColumnWidths.LastMessage, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.ToString(), DIYGrid.DefaultColumnHeaders.SecurityKey, is_visible: false, width: DIYGrid.DefaultColumnWidths.SecurityKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings order_key => new GridColumnSettings(Columns.OrderKey.ToString(), DIYGrid.DefaultColumnHeaders.OrderKey, width: DIYGrid.DefaultColumnWidths.OrderKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings parent_key => new GridColumnSettings(Columns.ParentKey.ToString(), "Parent Key", width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings attached_target_order_key => new GridColumnSettings(Columns.AttachedTargetOrderKey.ToString(), DIYGrid.DefaultColumnHeaders.AttachedTargetOrderKey, width: DIYGrid.DefaultColumnWidths.ParentKey, horizontal_alignment: HorizontalAlignment.Left);
+         public static GridColumnSettings piq => new GridColumnSettings(Columns.Piq.ToString(), "PIQ", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
+         // editable
+         public static GridColumnSettings cancel => new GridColumnSettings(Columns.Cancel.ToString(), DIYGrid.DefaultColumnHeaders.Cancel, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Cancel);
+         public static GridColumnSettings attach_detach => new GridColumnSettings(Columns.Attach.ToString(), DIYGrid.DefaultColumnHeaders.AttachDetach, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.AttachDetach);
+         public static GridColumnSettings update => new GridColumnSettings(Columns.Update.ToString(), DIYGrid.DefaultColumnHeaders.Update, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Update);
+         public static GridColumnSettings edit_quantity => new GridColumnSettings(Columns.EditableQty.ToString(), DIYGrid.DefaultColumnHeaders.Qty, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditableSize);
+         public static GridColumnSettings edit_price => new GridColumnSettings(Columns.EditablePrice.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.MiniOrderBook.EditablePrice);
+         public static GridColumnSettings commit => new GridColumnSettings(Columns.Commit.ToString(), width: DIYGrid.DefaultColumnWidths.MiniOrderBook.Commit);
+
+         public static IEnumerable<SortingCriteria> sorting_criteria {
+            get {
+               yield return new SortingCriteria(time_created.id, false);
+            }
+         }
+
+         public static IEnumerable<GridColumnSettings> standard {
+            get {
+               yield return security;
+               yield return symbol;
+               yield return time_created;
+               yield return last_change;
+               yield return user;
+               yield return account;
+               yield return exchange;
+               yield return time_in_force;
+               yield return order_type;
+               yield return root_algo_type;
+               yield return sub_type;
+               yield return side;
+               yield return quantity;
+               yield return price;
+               yield return piq;
+               yield return filled_quantity;
+               yield return avg_price;
+               yield return last_price;
+               yield return status;
+               yield return last_message;
+               yield return security_key;
+               yield return order_key;
+               yield return parent_key;
+               yield return attached_target_order_key;
+            }
+         }
+
+         public static IEnumerable<GridColumnSettings> editable {
+            get {
+               yield return cancel;
+               yield return update;
+               yield return edit_quantity;
+               yield return edit_price;
+               yield return commit;
+               yield return attach_detach;
+            }
+         }
+
+         private static HashSet<GridColumnSettings> _mini_mode_columns_to_hide = new HashSet<GridColumnSettings> {
+               symbol, last_change, exchange, sub_type, quantity, price, avg_price, last_price, status, last_message, security_key, order_key, parent_key, attached_target_order_key
+            };
+
+         public static IEnumerable<GridColumnSettings> mini {
+            get {
+               foreach (var col_setting in editable)
+                  yield return col_setting;
+               foreach (var col_setting in standard) {
+                  if (_mini_mode_columns_to_hide.Contains(col_setting)) {
+                     yield return col_setting.with(is_visible: false);
+                  } else {
+                     yield return col_setting;
+                  }
+               }
+            }
+         }
+      }
+   }
+}

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

@@ -1,108 +1,109 @@
-using bts.api.orderman;
-
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.converters;
-
-using System.Windows;
-using System.Windows.Controls;
-using System.Windows.Data;
-using System.Windows.Media;
-
-namespace mbts.spark {
-   internal partial class OrderBookGridView : DIYGrid {
-      public const string
-         SubTypeFilterTemplateKey = "SubTypeFilterTemplate",
-         ExpandCollapseToggleStyleKey = "ExpandCollapseToggleStyle",
-         RowStyleKey = "RowStyle",
-         RowTemplateKey = "RowTemplateKey",
-         CVRowStyleKey = "CVRowStyle",
-         CVRowTemplateKey = "CVRowTemplateKey";
-
-      // IMPORTANT: these enums are stored as strings in the general-purpose GridColumnSettings proto, and are used to ID THE COLUMNS!
-      // Do NOT RENAME them!  However, if you must, be sure to write an IShellWindowMigrationRule or something to account for backwards compatability.
-      public enum ColumnKeys {
-         Security = 1,
-         Symbol = 1 << 1,
-         Time = 1 << 2,
-         LastChange = 1 << 3,
-         User = 1 << 4,
-         Account = 1 << 5,
-         Exchange = 1 << 6,
-         TimeInForce = 1 << 7,
-         OrderType = 1 << 8,
-         SubType = 1 << 9,
-         Side = 1 << 10,
-         Size = 1 << 11,
-         Price = 1 << 12,
-         Filled = 1 << 13,
-         AvgFilled = 1 << 14,
-         LastPrice = 1 << 15,
-         Status = 1 << 16,
-         LastMessage = 1 << 17,
-         SecurityKey = 1 << 18,
-         OrderKey = 1 << 19,
-         ParentKey = 1 << 20,
-         AttachedTargetOrderKey = 1 << 21,
-         Cancel = 1 << 22,
-         EditableQty = 1 << 23,
-         EditablePrice = 1 << 24,
-         Attach = 1 << 25,
-         Detach = 1 << 26,
-         Update = 1 << 27,
-         Commit = 1 << 28,
-         RootAlgoType = 1 << 29,
-         Piq = 1 << 30,
-         Check = 1 << 31,
-         NotionalValue = 1 & (1 << 1),
-      }
-
-      public OrderBookGridView() {
-         InitializeComponent();
-         var row_template_factory = new FrameworkElementFactory(typeof(OrderBookRowView));
-         row_template_factory.SetValue(OrderBookRowView.BackgroundProperty, RowBackgroundHelper.row_background_binding);
-         RowTemplate = new DataTemplate { VisualTree = row_template_factory };
-      }
-
-      static class RowBackgroundHelper {
-         public static readonly BindingBase row_background_binding;
-
-         static RowBackgroundHelper() {
-            var bg_binding = new MultiBinding();
-            bg_binding.Bindings.Add(new Binding(nameof(OrderBookRowVM.status)));
-            bg_binding.Bindings.Add(new Binding(nameof(ListBoxItem.IsSelected)) { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(ListBoxItem), 1) });
-            double overlay_opacity = config.Configuration.get<bts.config.OrderBookOptions>().StatusColorOpacityWhenSelected;
-            if (overlay_opacity > 0.1 && overlay_opacity < 0.9) {
-               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
-                  var color = _status_color(status);
-                  return color.HasValue ? new SolidColorBrush(color.Value) { Opacity = is_selected ? overlay_opacity : 1.0 } : null;
-               });
-            } else {
-               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
-                  if (is_selected)
-                     return null;
-                  var color = _status_color(status);
-                  return color.HasValue ? new SolidColorBrush(color.Value) : null;
-               });
-            }
-            row_background_binding = bg_binding;
-         }
-
-         static Color? _status_color(OrderStatus status) {
-            switch (status) {
-               case OrderStatus.Canceled: return BTSColors.Orders.canceled_order_background;
-               case OrderStatus.Completed: return BTSColors.Orders.completed_order_background;
-               case OrderStatus.Disconnected:
-               case OrderStatus.RejectedBySpark:
-               case OrderStatus.Error:
-                  return BTSColors.Orders.error_order_background;
-               default: return null;
-            }
-         }
-      }
-   }
-
-   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
-      public OrderBookRowView() : base() { }
-   }
-}
+using bts.api.orderman;
+
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.converters;
+
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+using System.Windows.Media;
+
+namespace mbts.spark {
+   internal partial class OrderBookGridView : DIYGrid {
+      public const string
+         SubTypeFilterTemplateKey = "SubTypeFilterTemplate",
+         ExpandCollapseToggleStyleKey = "ExpandCollapseToggleStyle",
+         RowStyleKey = "RowStyle",
+         RowTemplateKey = "RowTemplateKey",
+         CVRowStyleKey = "CVRowStyle",
+         CVRowTemplateKey = "CVRowTemplateKey";
+
+      // IMPORTANT: these enums are stored as strings in the general-purpose GridColumnSettings proto, and are used to ID THE COLUMNS!
+      // Do NOT RENAME them!  However, if you must, be sure to write an IShellWindowMigrationRule or something to account for backwards compatability.
+      public enum ColumnKeys : long {
+         Security = 1,
+         Symbol = 1 << 1,
+         Time = 1 << 2,
+         LastChange = 1 << 3,
+         User = 1 << 4,
+         Account = 1 << 5,
+         Exchange = 1 << 6,
+         TimeInForce = 1 << 7,
+         OrderType = 1 << 8,
+         SubType = 1 << 9,
+         Side = 1 << 10,
+         Size = 1 << 11,
+         Price = 1 << 12,
+         Filled = 1 << 13,
+         AvgFilled = 1 << 14,
+         LastPrice = 1 << 15,
+         Status = 1 << 16,
+         LastMessage = 1 << 17,
+         SecurityKey = 1 << 18,
+         OrderKey = 1 << 19,
+         ParentKey = 1 << 20,
+         AttachedTargetOrderKey = 1 << 21,
+         Cancel = 1 << 22,
+         EditableQty = 1 << 23,
+         EditablePrice = 1 << 24,
+         Attach = 1 << 25,
+         Detach = 1 << 26,
+         Update = 1 << 27,
+         Commit = 1 << 28,
+         RootAlgoType = 1 << 29,
+         Piq = 1 << 30,
+         Check = 1 << 31,
+         NotionalValue = 1L << 32,
+         FilledNotionalValue = 1L << 33,
+      }
+
+      public OrderBookGridView() {
+         InitializeComponent();
+         var row_template_factory = new FrameworkElementFactory(typeof(OrderBookRowView));
+         row_template_factory.SetValue(OrderBookRowView.BackgroundProperty, RowBackgroundHelper.row_background_binding);
+         RowTemplate = new DataTemplate { VisualTree = row_template_factory };
+      }
+
+      static class RowBackgroundHelper {
+         public static readonly BindingBase row_background_binding;
+
+         static RowBackgroundHelper() {
+            var bg_binding = new MultiBinding();
+            bg_binding.Bindings.Add(new Binding(nameof(OrderBookRowVM.status)));
+            bg_binding.Bindings.Add(new Binding(nameof(ListBoxItem.IsSelected)) { RelativeSource = new RelativeSource(RelativeSourceMode.FindAncestor, typeof(ListBoxItem), 1) });
+            double overlay_opacity = config.Configuration.get<bts.config.OrderBookOptions>().StatusColorOpacityWhenSelected;
+            if (overlay_opacity > 0.1 && overlay_opacity < 0.9) {
+               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
+                  var color = _status_color(status);
+                  return color.HasValue ? new SolidColorBrush(color.Value) { Opacity = is_selected ? overlay_opacity : 1.0 } : null;
+               });
+            } else {
+               bg_binding.Converter = ValueConverter.create<OrderStatus, bool, Brush>((status, is_selected) => {
+                  if (is_selected)
+                     return null;
+                  var color = _status_color(status);
+                  return color.HasValue ? new SolidColorBrush(color.Value) : null;
+               });
+            }
+            row_background_binding = bg_binding;
+         }
+
+         static Color? _status_color(OrderStatus status) {
+            switch (status) {
+               case OrderStatus.Canceled: return BTSColors.Orders.canceled_order_background;
+               case OrderStatus.Completed: return BTSColors.Orders.completed_order_background;
+               case OrderStatus.Disconnected:
+               case OrderStatus.RejectedBySpark:
+               case OrderStatus.Error:
+                  return BTSColors.Orders.error_order_background;
+               default: return null;
+            }
+         }
+      }
+   }
+
+   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
+      public OrderBookRowView() : base() { }
+   }
+}

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

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

src/client/spark/NMSheets/INMSheetGridFacingData.cs

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

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

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

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

@@ -32,6 +32,7 @@ namespace mbts.analytics {
          return now_asset_value - init_asset_value;
       }
 
+
       public double driver {
          get {
             if (tl_row.security_type == SecurityType.Option) {
@@ -44,13 +45,18 @@ namespace mbts.analytics {
       }
       public double theo {
          get {
-            if (tl_row.security_type == SecurityType.Option) {
-               return tl_row.call_put == PutOrCall.Call ?
-                  opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
-            } else if (tl_row.security_type == SecurityType.Future) {
-               return fut_theo.theo;
+            switch (tl_row.security_type) {
+               case SecurityType.Option:
+                  return tl_row.call_put == PutOrCall.Call ?
+                     opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
+               case SecurityType.Future:
+               //return fut_theo.theo;
+               case SecurityType.Spot:
+                  var bbo = top_of_book;
+                  return (bbo.Item1 + bbo.Item2) / 2;
+               default:
+                  return Double.NaN;
             }
-            return Double.NaN;
          }
       }
       public double pnl {
@@ -61,6 +67,8 @@ namespace mbts.analytics {
                   rv = _future_pnl(tl_row.price, theo);
                } else if (tl_row.security_type == SecurityType.Option) {
                   rv = _option_pnl(tl_row.price, theo);
+               } else if (tl_row.security_type == SecurityType.Spot) {
+                  rv = tl_row.size * (theo - tl_row.price);
                }
                return rv;
             }
@@ -69,7 +77,10 @@ namespace mbts.analytics {
                rv = _future_pnl(tl_row.price, theo);
             } else if (tl_row.security_type == SecurityType.Option) {
                rv = _option_pnl(tl_row.price, theo);
+            } else if (tl_row.security_type == SecurityType.Spot) {
+               rv = tl_row.size * tl_row.price - settle_price;
             }
+
             return rv;
          }
       }

src/client/spark/Security/SecurityExpirationHelper.cs

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

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

@@ -143,9 +143,21 @@ namespace BCG {
          return tp ?? mbts.spark.TheoPoint.getNulledObject();
       }
 
-      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price(DateTime option_expiration, double strike, bool is_call, OptionTheoInterpolationData sparse_theo_map, double driver_price) {
-         mbts.spark.TheoPoint tp = sparse_theo_map == null ? mbts.spark.TheoPoint.getNulledObject() : sparse_theo_map.interpolate_theos(option_expiration, strike, driver_price);
-         return tp ?? mbts.spark.TheoPoint.getNulledObject();
+      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price(DateTime option_expiration, double strike, bool is_call, OptionTheoInterpolationData sparse_theo_map,
+                                                                                    ExpStrikeKeyedData<mbts.spark.TheoPoint> live_symbol_theo_map, double driver_price) {
+         // mbts.spark.TheoPoint tp = sparse_theo_map == null ? mbts.spark.TheoPoint.getNulledObject() : sparse_theo_map.interpolate_theos(option_expiration, strike, driver_price);
+         // return tp ?? mbts.spark.TheoPoint.getNulledObject();
+         // TOD: config here
+         return _compute_single_option_leg_at_tied_price_from_live(option_expiration, strike, is_call, live_symbol_theo_map, driver_price);
+      }
+
+      private static mbts.spark.TheoPoint _compute_single_option_leg_at_tied_price_from_live(DateTime option_expiration, double strike, bool is_call,
+                                                                                             ExpStrikeKeyedData<mbts.spark.TheoPoint> live_symbol_theo_map, double driver_price) {
+         var tp = live_symbol_theo_map.get_data(option_expiration, strike);
+         if (tp == null)
+            return mbts.spark.TheoPoint.getNulledObject();
+         return TheoPoint.extrapolate(tp, driver_price, is_call);
+
       }
 
       /// this is the only relatively tricky thing here      
@@ -175,7 +187,7 @@ namespace BCG {
                   if (leg_price_spec.primaryFrozen)   /// tied
                   {
                      effective_driver = leg_price_spec.primary;
-                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, leg_price_spec.primary);
+                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, live_symbol_theo_map, leg_price_spec.primary);
                   } else {
                      mbts.spark.TheoPoint tp = _compute_single_option_leg_at_live_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, live_symbol_theo_map);
                      effective_driver = tp.driver;
@@ -189,7 +201,7 @@ namespace BCG {
                         future_theo_map.TryGetValue(driver_price_info.first, out symbol_future_theo_map);
                      double driver_price = StatelessFutureTheoCalculator.transform_price(symbol_future_theo_map, leg_price_spec.driverExpiration, leg_price_spec.primary, driver_price_info.second);
                      effective_driver = leg_price_spec.primary;
-                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, driver_price);
+                     return _compute_single_option_leg_at_tied_price(spread_option_leg.contract.expiration, spread_option_leg.contract.strike, spread_option_leg.contract.isCall, symbol_sparse_theo_map, live_symbol_theo_map, driver_price);
                   } else {
                      bts.Log.Ui.error(String.Format("This spread is live but the driver expiration {0} is different from the system driver expiration {1} for {2}",
                                                       spread_option_leg.legPriceSpec.driverExpiration, driver_price_info.second, spread_option_leg.contract.product));

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

@@ -26,7 +26,7 @@ namespace mbts.ui.controls {
          public const double
             Account = 62,
             CheckMark = 42,
-            Currency = 54,
+            Currency = 68,
             Exchange = 66,
             FillKey = 68,
             OrderKey = 78,
@@ -45,6 +45,7 @@ namespace mbts.ui.controls {
             MergedQty = 68,
             NotionalValue = 68,
             Filled = 56,
+            FilledNotionalValue = 81,
             Symbol = 60,
             Time = 112,
             TimeOfDay = 84,
@@ -146,6 +147,7 @@ namespace mbts.ui.controls {
             FillKind = "Fill Kind",
             FilledPrice = "Fill Price",
             FilledQuantity = "Fill Qty",
+            FilledNotionalValue = "Fill Notional",
             FillStatus = "Fill Status",
             Name = "Name",
             Description = "Description",

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

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

src/client/spark_api/Orders/OrderRecordTuple.cs

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

src/client/spark_api/Orders/OrdersExtensions.cs

@@ -51,6 +51,9 @@ namespace Spark.Api.Orders {
       public static double notional_value(this OrderRecordImmutable order) =>
          order.quantity() * order.ui_price();
 
+      public static double filled_notional_value(this OrderRecordImmutable order) =>
+         order.avg_price() * order.filled_quantity();
+
       public static double working_quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.working_quantity() : 0;
 

src/client/spark_core/utils_api/BTS.cs

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

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

@@ -0,0 +1,15 @@
+OkxExeCfg {
+    value{
+        account : "ACC A"
+        ops_id : "op_id_bts"
+        secret_key : "DAF6CBB09475D2520B88D2070788A976"
+        api_key : "4492a9ab-5784-454c-acc7-38dc2a503ed0"
+        passphrase : "Pakistan@123"
+        ws_url : "wss://wspap.okx.com:8443"
+        rest_url : "https://www.okx.com"
+        ws_ping_timeout_seconds : 10 
+        ws_ping_interval_seconds : 25
+        ws_reconnect_interval_seconds : 5
+        ws_reconnect_max_count : 5
+    }
+}

src/lib/config/protos/okx_exe_cfg.proto

@@ -0,0 +1,16 @@
+syntax = "proto3";
+package bts.config;
+message OkxExeCfg {
+    string account = 1;
+    string ops_id = 2;
+    string secret_key = 3;
+    string api_key = 4;
+    string passphrase = 5;
+    string ws_url = 6;
+    string rest_url = 7;
+    uint32 ws_ping_timeout_seconds = 8;
+    uint32 ws_ping_interval_seconds = 9;
+    uint32 ws_reconnect_interval_seconds = 10;
+    uint32 ws_reconnect_max_count = 11;
+
+}

src/lib/io/http/http_client.cpp

@@ -34,7 +34,31 @@ static size_t write_headers(
     void *ptr, size_t size, size_t nmemb, IHttpResponse *data) {
    return data->write_headers((char *)ptr, size, nmemb);
 }
-
+// static int curl_debug_callback(CURL *handle, curl_infotype type, char *data, size_t size, void *userptr) {
+//    (void)handle;
+//    (void)type;
+//    (void)userptr;
+//     switch (type) {
+//         case CURLINFO_TEXT:
+//             LOG(Http, Info, "CURLINFO_TEXT: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_HEADER_IN:
+//             LOG(Http, Info, "Header In: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_HEADER_OUT:
+//             LOG(Http, Info, "Header Out: {}", std::string(data, size));
+//             break;
+//         case CURLINFO_DATA_IN:
+//             LOG(Http, Info, "Data In: {} bytes, in: {}", size,std::string(data, size));
+//             break;
+//         case CURLINFO_DATA_OUT:
+//             LOG(Http, Info, "Data Out: {} bytes, out: {}", size, std::string(data, size));
+//             break;
+//         default:
+//             break;
+//     }
+//     return 0;
+// }
 void HttpClient::get(
     string url,
     unordered_map<string, string> headers,
@@ -91,6 +115,8 @@ void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
    CURL *curl = session.curl;
    CurlHeaders curl_headers{req.headers};
    // Prepare req
+   //to debug curl requests
+   // curl_easy_setopt(curl, CURLOPT_DEBUGFUNCTION, curl_debug_callback);
    curl_easy_setopt(curl, CURLOPT_FAILONERROR, true);
    curl_easy_setopt(curl, CURLOPT_URL, req.url.c_str());
    curl_easy_setopt(curl, CURLOPT_HTTPHEADER, curl_headers.data());
@@ -108,6 +134,7 @@ void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
       curl_easy_setopt(curl, CURLOPT_HTTPPOST, 1L);
       curl_easy_setopt(curl, CURLOPT_POSTFIELDS, req.body.c_str());
       curl_easy_setopt(curl, CURLOPT_POSTFIELDSIZE, req.body.size());
+      // curl_easy_setopt(curl, CURLOPT_VERBOSE, 1L);
       break;
    case io::http::HttpMethod::PUT:
       curl_easy_setopt(curl, CURLOPT_CUSTOMREQUEST, "PUT");

src/lib/io/websocket/websocket_client.cpp

@@ -8,6 +8,7 @@
 #include "lib/io/websocket/websocket_error_code.h"
 #include "lib/io/websocket/websocketpp_exception_formatter.h"
 #include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
 #include "lib/utils/formatters/exception_formatter.h"
 
 #include <atomic>
@@ -201,9 +202,10 @@ struct WebsocketClient::PImpl {
             }
          }
       } catch (const std::exception &ex) {
+         std::string str = ex.what();
          ERROR_FN(
              "connect_no_timeout. Failed to connect. {}; err: {}", snapshot(),
-             ex);
+             str);
          set_state(State::IDLE);
          // Don't wait for connect
          return;
@@ -236,11 +238,16 @@ struct WebsocketClient::PImpl {
          ERROR_FN(
              "io_thread. Websocket io threw websocketpp::exception. {}; "
              "err: {}",
-             snapshot(), ex);
+             snapshot(), std::string(ex.what()));
+             bts_assert_msgf(false, "io_thread. Websocket io threw websocketpp::exception. {}; "
+             "err: {}",
+               snapshot(), std::string(ex.what()));
       } catch (const std::exception &ex) {
          ERROR_FN(
              "io_thread. Websocket io threw std::exception. {}; err: {}",
-             snapshot(), ex);
+             snapshot(), std::string(ex.what()));
+         bts_assert_msgf(false, "io_thread. Websocket io threw std::exception. {}; err: {}",
+             snapshot(), std::string(ex.what()));
       } catch (...) {
          bts_assert_msgf(
              false,
@@ -300,6 +307,7 @@ struct WebsocketClient::PImpl {
       const auto ec = client.get_con_from_hdl(hdl)->get_ec();
       if (ec) {
          ERROR_FN("on_open. {}; err: {}", snapshot(), ec.message());
+         bts_assert(false);
       }
       switch (state.value) {
       case State::OPENING:

src/lib/md/GeneralMarketDataListener.cpp

@@ -682,6 +682,18 @@ static bool get_qty_info(
       qty_tick_unit = 1;
       qty_tick_base = 1000000;
       break;
+   case 10'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 10'000'000;
+      break;
+   case 100'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 100'000'000;
+      break;
+   case 1'000'000'000:
+      qty_tick_unit = 1;
+      qty_tick_base = 1'000'000'000;
+      break;
    case 4:
       qty_tick_unit = 25;
       qty_tick_base = 100;

src/lib/md/Shm/FixedSecurity.cpp

@@ -509,6 +509,91 @@ void convert_security(
    }
 }
 
+void to_json(nlohmann::json &j, const FixedSecurity &f) {
+   j = nlohmann::json{
+       {"key", f.key},
+       {"symbol", f.symbol()},
+       {"type", api::SecurityType_Name(f.type)},
+       {"venue", api::Venue_Name(f.exchange)},
+       {"alt_symbol", f.alt_symbol()},
+       {"cfi_code", f.cfi_code()},
+       {"security_desc", f.security_desc()},
+       {"platform_id", f.platform_id()},
+       {"display_factor", f.display_factor},
+       {"numeric_id", f.numeric_id},
+       {"cboe_class_key", f.cboe_class_key},
+       {"main_frac", (int)f.cme_main_fraction},
+       {"sub_frac", (int)f.cme_sub_fraction},
+       {"price_format", (int)f.cme_price_display_format},
+       {"market_segment", (int)f.cme_market_segment_id},
+
+       {"price_break", f.price_break},
+       {"low_tick", f.low_tick},
+       {"high_tick", f.high_tick},
+       {"cpp", f.cash_per_point},
+
+       {"ice_market_description", f.ice_market_description()},
+       {"ice_cleared_alias", f.ice_cleared_alias()},
+       {"ice_product_name", f.ice_product_name()},
+       {"ice_hub_alias", f.ice_hub_alias()},
+       {"ice_strip_name", f.ice_strip_name()},
+       {"mic_code", f.mic_code()},
+   };
+   // Qty Info
+   {
+      auto qty_infos_j = nlohmann::json::array();
+      float min_value, max_value, tick_unit, tick_base, max_price;
+      bool is_notional;
+      for (int8_t i = 0; f.get_quantity_info(
+               i, min_value, max_value, tick_unit, tick_base, max_price,
+               is_notional);
+           i++) {
+         auto qty_info_j = nlohmann::json::object();
+         qty_info_j["min_value"] = min_value;
+         qty_info_j["max_value"] = max_value;
+         qty_info_j["tick_unit"] = tick_unit;
+         qty_info_j["tick_base"] = tick_base;
+         qty_info_j["max_price"] = max_price;
+         qty_info_j["is_notional"] = is_notional;
+         qty_infos_j.push_back(std::move(qty_info_j));
+      }
+      j["qty_infos"] = std::move(qty_infos_j);
+   }
+
+   switch (f.type) {
+   case api::SECURITYTYPE_SPOT:
+      break;
+   case api::SECURITYTYPE_FUTURE: {
+      auto *fut = static_cast<const FixedFutureSecurity *>(&f);
+      core::TimeStamp exp;
+      core::TimeStamp::from_ymd(
+          fut->expiration_year, fut->expiration_month, fut->expiration_day,
+          &exp);
+      j["expiration"] = exp.to_iso_string();
+      break;
+   }
+   case api::SECURITYTYPE_OPTION: {
+      auto *opt = static_cast<const FixedOptionSecurity *>(&f);
+      core::TimeStamp exp;
+      core::TimeStamp::from_ymd(
+          opt->expiration_year, opt->expiration_month, opt->expiration_day,
+          &exp);
+      j["expiration"] = exp.to_iso_string();
+      j["strike"] = opt->strike;
+      j["callput"] = api::PutOrCall_Name(opt->call_put);
+      break;
+   }
+   case api::SECURITYTYPE_SPREAD: {
+      auto *spd = static_cast<const FixedSpreadSecurityXL *>(&f);
+      std::vector<FixedSpreadLeg> legs{spd->legs, spd->legs + spd->leg_count()};
+      j["legs"] = legs;
+      break;
+   }
+   default:
+      break;
+   }
+}
+
 } // namespace md
 } // namespace bts
 

src/lib/md/Shm/FixedSecurity.h

@@ -273,71 +273,6 @@ inline void to_json(nlohmann::json &j, const FixedSpreadLeg &f) {
    };
 }
 
-inline void to_json(nlohmann::json &j, const FixedSecurity &f) {
-   j = nlohmann::json{
-       {"key", f.key},
-       {"symbol", f.symbol()},
-       {"type", api::SecurityType_Name(f.type)},
-       {"venue", api::Venue_Name(f.exchange)},
-       {"alt_symbol", f.alt_symbol()},
-       {"cfi_code", f.cfi_code()},
-       {"security_desc", f.security_desc()},
-       {"platform_id", f.platform_id()},
-       {"display_factor", f.display_factor},
-       {"numeric_id", f.numeric_id},
-       {"cboe_class_key", f.cboe_class_key},
-       {"main_frac", (int)f.cme_main_fraction},
-       {"sub_frac", (int)f.cme_sub_fraction},
-       {"price_format", (int)f.cme_price_display_format},
-       {"market_segment", (int)f.cme_market_segment_id},
-
-       {"price_break", f.price_break},
-       {"low_tick", f.low_tick},
-       {"high_tick", f.high_tick},
-       {"cpp", f.cash_per_point},
-
-       {"ice_market_description", f.ice_market_description()},
-       {"ice_cleared_alias", f.ice_cleared_alias()},
-       {"ice_product_name", f.ice_product_name()},
-       {"ice_hub_alias", f.ice_hub_alias()},
-       {"ice_strip_name", f.ice_strip_name()},
-       {"mic_code", f.mic_code()},
-   };
-
-   switch (f.type) {
-   case api::SECURITYTYPE_SPOT:
-      break;
-   case api::SECURITYTYPE_FUTURE: {
-      auto *fut = static_cast<const FixedFutureSecurity *>(&f);
-      core::TimeStamp exp;
-      core::TimeStamp::from_ymd(
-          fut->expiration_year, fut->expiration_month, fut->expiration_day,
-          &exp);
-      j["expiration"] = exp.to_iso_string();
-      break;
-   }
-   case api::SECURITYTYPE_OPTION: {
-      auto *opt = static_cast<const FixedOptionSecurity *>(&f);
-      core::TimeStamp exp;
-      core::TimeStamp::from_ymd(
-          opt->expiration_year, opt->expiration_month, opt->expiration_day,
-          &exp);
-      j["expiration"] = exp.to_iso_string();
-      j["strike"] = opt->strike;
-      j["callput"] = api::PutOrCall_Name(opt->call_put);
-      break;
-   }
-   case api::SECURITYTYPE_SPREAD: {
-      auto *spd = static_cast<const FixedSpreadSecurityXL *>(&f);
-      std::vector<FixedSpreadLeg> legs{spd->legs, spd->legs + spd->leg_count()};
-      j["legs"] = legs;
-      break;
-   }
-   default:
-      break;
-   }
-}
-
 inline std::ostream &operator<<(
     std::ostream &out, const FixedSecurity &f) noexcept {
    out << io::JsonDumper::dump(f);

src/lib/orderman/actors/OrderStore.cpp

@@ -155,7 +155,7 @@ void OrderStore::store_and_publish_if_complete(
       auto &rec_info = me->known_orders[k];
       auto &rec = rec_info.rec;
       if (rec.has_def() && rec.has_state()) {
-         LOG(OrderMan, Info,
+         LOG(OrderMan, Diag,
              "OrderStore::store_and_publish_if_complete rec: {}",
              utils::pb::to_string(rec));
          publish(me->order_stream, rec);

src/lib/orderman/actors/order_manager/OrderManager.cpp

@@ -271,13 +271,14 @@ void OrderManager::on_execution_report(
             if (it == me->orders.end()) {
                LOG(OrderMan, Error,
                    "Received an execution report for an unknown order with key "
-                   "{}. Order state will be reconstructed from this report but "
+                   "{}. Order state USED TO be reconstructed from this report but "
                    "some "
                    "information will be lost, including CustomerOrFirm,CTI "
                    "code "
                    "and "
-                   "parent order id",
+                   "parent order id but now these are IGNORED",
                    k.value());
+               continue;
                auto order =
                    &me->services_data.order_factory.recreate_from_exe_report(
                        *report.data);

src/lib/orderman/gateways/ExecutionGatewayFactory.cpp

@@ -50,7 +50,7 @@ std::unique_ptr<IExecutionGateway> ExecutionGatewayFactory::create_gateway(
          }
       case bts::api::VENUE_OKX:
          {
-             std::unique_ptr<IExecutionGenericAdapter> adapter = std::make_unique<OkxExecutionAdapter>(o);
+             std::unique_ptr<IExecutionGenericAdapter> adapter = std::make_unique<okxexe::OkxExecutionAdapter>(o);
             return std::make_unique<GeneralExecutionGateway>(conn.venue(),std::move(adapter),o);
          }
       default:

src/lib/orderman/gateways/IExecutionGenericAdapter.h

@@ -22,7 +22,7 @@ class CancelReject;
 
 using OnExecutionReport = std::function<void(ExecutionReport const &, const trace::CorID &)>;
 
-// fix execution gateway for a single FIX session
+//  execution gateway for a single session
 class IExecutionGenericAdapter {
  public:
    IExecutionGenericAdapter() = default;

src/lib/orderman/gateways/OkxExecutionAdapter.cpp

@@ -1,95 +1,534 @@
 #include "OkxExecutionAdapter.h"
-#include "OnixS/FIXEngine/FIX/Engine.h"
-#include "lib/config/protos/marex_fix_cfg.pb.h"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/config/protos/okx_exe_cfg.pb.h"
 #include "lib/domain_model/Security.pb.h"
+#include "lib/domain_model/common.h"
+#include "lib/io/http/http_client.h"
+#include "lib/io/http/http_response.h"
+#include "lib/io/websocket/websocket_client.h"
+#include "lib/io/websocket/websocket_client_config.h"
 #include "lib/logging/logging.h"
+#include "lib/md/SecurityOracle.h"
 #include "lib/orderman/CancelOrderMsg.h"
 #include "lib/orderman/CancelReplaceOrderMsg.h"
 #include "lib/orderman/CreateOrderMsg.h"
-#include "lib/orderman/gateways/OnixFIXListener.h"
-#include "lib/orderman/gateways/TrafixOrderStateHandler.h"
+#include "lib/orderman/gateways/IExecutionGateway.h"
+#include "lib/orderman/orderman_utils/ExecutionReport.h"
+#include "lib/orderman/orderman_utils/OkxUtils.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/utils/Uuid.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/helper_macros.h"
 #include <OnixS/FIXEngine/FIX/Exception.h>
 #include <OnixS/FIXEngine/FIX/FIX42.h>
 #include <OnixS/FIXEngine/FIX/Message.h>
 #include <OnixS/FIXEngine/FIX/Numeric.h>
 #include <OnixS/FIXEngine/FIX/ProtocolVersion.h>
+#include <atomic>
+#include <boost/pool/object_pool.hpp>
 #include <cassert>
 #include <chrono>
+#include <cstddef>
+#include <ctime>
 #include <exception>
+#include <fmt/core.h>
+#include <map>
 #include <memory>
+#include <openssl/buffer.h>
+#include <openssl/evp.h>
+#include <openssl/hmac.h>
 #include <quickfix/FixFields.h>
-#include <ratio>
+#include <quickfix/Utility.h>
 #include <string>
 #include <unistd.h>
+#include <unordered_map>
+// Example namespace alias for nlohmann::json
+using json = nlohmann::json;
 
-namespace bts::orderman {
+namespace bts::orderman::okxexe {
 
-OkxExecutionAdapter::OkxExecutionAdapter(md::SecurityOracle){}//listener() {}
+OkxExecutionAdapter::OkxExecutionAdapter(md::SecurityOracle o)
+    : me_(std::make_unique<PImpl>(o)) {
+   LOG(OrderMan, Info, "OkxExecutionAdapter::constructor ");
+} //listener() {}
 OkxExecutionAdapter::~OkxExecutionAdapter() {}
-inline void handleOkException(
-    const std::string &context, const std::string &error) {
-   bts_assert_msgf(false, "{} Exception: {}", context, error);
-}
-void OkxExecutionAdapter::start() {
-    int attempt = 0;
 
-    while (true) {
-        try {
-            LOG(OrderMan, Warn, "OkxExecutionAdapter::start Attempting login (Attempt: {})", attempt + 1);
-            LOG(OrderMan, Warn, "OkxExecutionAdapter::start Login successful");
-            break; // Exit loop on success
-        } catch (const std::exception &ex) {
-            const std::string err = ex.what();
-            LOG(OrderMan, Error, "OkxExecutionAdapter::start Login failed: {}. Retrying in {} seconds.", err, 10);
+enum class OkxExecutionState { OFF, STARTED, LOGGED_IN, SUBSCIRBED };
+struct OkxExecutionAdapter::PImpl {
+   const std::string api_key = config::get<config::OkxExeCfg>().api_key();
+   const std::string secret_key = config::get<config::OkxExeCfg>().secret_key();
+   const std::string passphrase = config::get<config::OkxExeCfg>().passphrase();
+   const std::string url =
+       config::get<config::OkxExeCfg>().ws_url() + "/ws/v5/private";
+   const core::TimeSpan connect_timeout = core::TimeSpan::from_seconds(0);
+   const core::TimeSpan pong_timeout = core::TimeSpan::from_seconds(
+       config::get<config::OkxExeCfg>().ws_ping_interval_seconds());
+   websocket::WebsocketClient ws_client;
+   boost::object_pool<ExecutionReport> exe_report_pool;
+   OnExeReport cb;
+   md::SecurityOracle o;
+   std::atomic<OkxExecutionState> state = OkxExecutionState::OFF;
 
-            // if (maxRetries > 0 && ++attempt >= maxRetries) {
-            //     LOG(OrderMan, Error, "OkxExecutionAdapter::start Exceeded max retries ({}). Aborting.", maxRetries);
-            //     handleOkException("OkxExecutionAdapter::start", err);
-            //     break; // Exit if retries are exhausted
-            // }
-            // std::this_thread::sleep_for(std::chrono::seconds(std::max(60,retryInterval)));
+   PImpl(md::SecurityOracle o)
+       : ws_client(
+             websocket::WebsocketClient({url, connect_timeout, pong_timeout})),
+         cb(dummy), o(o) {
+      ws_client.message_handler().bind<&PImpl::on_message>(*this);
+      ws_client.close_handler().bind<&PImpl::on_close>(*this);
+   };
+   static void dummy(const ExecutionReport &, const trace::CorID &) {
+      LOG(OrderMan, Error, "OnixFixListener::Dummy fired");
+   }
+   void setCallback(const OnExeReport &callback) {
+      LOG(OrderMan, Info,
+          "OkxExecutionAdapter::setCallback callback registered");
+      cb = callback;
+   }
+
+   std::optional<std::thread> ws_run_thread;
+   std::optional<std::thread> ws_ping_thread;
+
+   void get_exe_report(
+       const nlohmann::basic_json<> &order, ExecutionReport &report) {
+      report.exchange = api::VENUE_OKX;
+      std::string account_name = config::get<config::OkxExeCfg>().account();
+      std::string ops_id = config::get<config::OkxExeCfg>().ops_id();
+
+      std::array<char, 12> account_array = {};
+      std::copy_n(
+          account_name.begin(),
+          std::min(account_name.size(), account_array.size()),
+          account_array.begin());
+      report.account_name = AccountName(account_array);
+
+      to_array(ops_id, &report.operator_id.value());
+
+      report.order_key =
+          OrderKey(std::stoi(order.at("clOrdId").get<std::string>()));
+
+      auto insttype =
+          OkxUtils::getInstType(order.at("instType").get<std::string>());
+      auto venue = api::VENUE_OKX;
+      auto inst_id = order.at("instId").get<std::string>();
+
+      // report.msg_seq_num = /* Generate or map message sequence */;
+      bts_assert(o.get_securities(venue, insttype, inst_id).size() == 1);
+
+      report.security = o.get_securities(venue, insttype, inst_id)[0];
+
+      report.side = (order.at("side").get<std::string>() == "buy")
+                        ? api::Side::SIDE_BUY
+                        : api::Side::SIDE_SELL;
+      report.order_type =
+          OkxUtils::getOrdType(order.at("ordType").get<std::string>());
+      OkxUtils::populateExecTypeAndOrderStatus(
+          report, order.at("state").get<std::string>());
+
+      report.exchange_order_id = ExchangeOrderID(
+          OkxUtils::stringToFixedArray(order.at("ordId").get<std::string>()));
+
+      report.price = Price(std::stod(order.at("px").get<std::string>()));
+
+      report.quantity =
+          Quantity::create_new(std::stod(order.at("sz").get<std::string>()));
+      report.filled_quantity = Quantity::create_new(
+          std::stod(order.at("accFillSz").get<std::string>()));
+      report.last_price =
+          Price(std::stod(order.at("lastPx").get<std::string>()));
+      report.avg_price = Price(std::stod(order.at("avgPx").get<std::string>()));
+      report.last_shares = Quantity::create_new(
+        std::stod(order.at("fillSz").get<std::string>()));
+
+      //there are algos, like spreader
+      // that are super sensitive to messages and cancel themselves. To avoid
+      // this we only pass on the error messages when the order has terminated.
+      // The assumption being that if the order has not terminated it is OK to
+      // ignore the message.
+      // Alternatively we can change the spreader to not do that. Right not this
+      // seems to be the better choice
+      if (!(order.at("code").get<std::string>() == "0")) {
+        report.msg = order.at("msg").get<std::string>();
+     }
+
+
+     //report can be new order, cancel order, order filled, replace order, and partial fill or errror
+     //new order, cancelled and order filled dont need special handling, error gets handled above 
+     //for other three we will look for fields that are only specific to the respectives types
+    //   if (!(order.at("cancelSource").get<std::string>() == "")) {
+
+    //   } 
+      if (!(order.at("amendSource").get<std::string>() == "")) {
+        if((order.at("amendResult").get<std::string>() == "0"))
+            report.exec_type = api::orderman::ExecType::EXEC_TYPE_REPLACED;
+        else{
+            LOG(OrderMan, Warn, "order:{} replace rejected", report.order_key);
+            report.msg = order.at("msg").get<std::string>();
         }
-    }
-}
+      } else if (!(order.at("fillSz").get<std::string>() == "0")) {
+        utils::Uuid guid;
+        std::string fill_id = guid.to_text_string();
+        to_array(fill_id, &report.exchange_fill_id.value());
+      }
+      
+      // report.transact_time = ExchangeTimeStampVar(std::stoll(order.at("uTime").get<std::string>()));
+      ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
+      report.transact_time = now;
+      std::string er = report.to_string();
+      LOG(OrderMan, Info, "Created ExecutionReport: {}", er);
+   }
+   void on_close(const std::error_code &ec) {
+      bts_assert_msgf(
+          false, "Websocket stream client disconnected. {}", ec.message());
+   }
+   void on_message(const std::string &msg_str) {
+      LOG(OrderMan, Info, "okxlistener::on_message. {}", msg_str);
+      nlohmann::json msg;
+      try {
+         msg = nlohmann::json::parse(msg_str);
+      } catch (const std::exception &ex) {
+         std::string s = ex.what();
+         LOG(OrderMan, Error, "Failed to parse json. {}\n{}", s, msg_str);
+         return;
+      }
+      const auto event_type_it = msg.find("event");
+      if (event_type_it != msg.end()) {
+         const auto event_type = event_type_it->get<std::string>();
+         if (event_type == "login") {
+            bts_assert(state == OkxExecutionState::STARTED);
+            const auto code_it = msg.find("code");
+            const auto code = code_it->get<std::string>();
+            if (code == "0") {
+               LOG(OrderMan, Info, "Succefully logged in {}", msg_str);
+               state = OkxExecutionState::LOGGED_IN;
+            }
+
+            return;
+         }
+         if (event_type == "subscribe") {
+            bts_assert(state == OkxExecutionState::LOGGED_IN);
+            state = OkxExecutionState::SUBSCIRBED;
+            return;
+         }
+         if (event_type == "channel-conn-count") { //ignore for now
+            return;
+         }
+      }
+      // Handle order updates
+
+      const auto channel_it = msg.find("arg");
+      if (channel_it == msg.end() ||
+          channel_it->at("channel").get<std::string>() != "orders") {
+         LOG(OrderMan, Error, "Unexpected response id:\n{}", msg_str);
+         return;
+      }
+
+      const auto &data = msg.at("data");
+
+      for (const nlohmann::basic_json<> &order : data) {
+         ExecutionReport *er_p = exe_report_pool.construct();
+         ExecutionReport &report = *er_p;
+         get_exe_report(order, report);
+         cb(report, {});
+      }
+   }
+   void start() {
+      size_t attempt = 0;
+      state = OkxExecutionState::STARTED;
+      while (state != OkxExecutionState::OFF) {
+         try {
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::start Attempting login (Attempt: {})",
+                attempt + 1);
+            ws_client.connect({}, true);
+            sleep(2);
+            if (ws_ping_thread.has_value()) {
+               if (ws_ping_thread->joinable()) {
+                  ws_ping_thread
+                      ->join(); // Ensure the previous thread exits cleanly
+               }
+               ws_ping_thread
+                   .reset(); // Reset the optional before creating a new thread
+            }
+
+            ws_ping_thread.emplace([&]() {
+               LOG(OrderMan, Warn,
+                   "OkxExecutionAdapter::ws_ping_thread thread starting. url: "
+                   "{}",
+                   url);
+               auto last_ping_time = core::TimeStamp::now();
+               auto ping_interval = core::TimeSpan::from_seconds(
+                   config::get<config::OkxExeCfg>().ws_ping_interval_seconds());
+               std::this_thread::sleep_for(
+                   std::chrono::milliseconds(ping_interval.millis()));
+
+               while (ws_client.is_connected()) {
+                  const auto now = bts::core::TimeStamp::now();
+                  if ((now - last_ping_time) > ping_interval) {
+                     LOG(OrderMan, Warn,
+                         "OkxExecutionAdapter::ws_ping_thread Pinging "
+                         "websocket. url: {}",
+                         url);
+                     ws_client.ping();
+                     last_ping_time = now;
+                  }
+                  std::this_thread::sleep_for(
+                      std::chrono::seconds(ping_interval.seconds() / 10));
+               }
+               LOG(OrderMan, Warn,
+                   "OkxExecutionAdapter::ws_ping_thread thread exiting. url: "
+                   "{}",
+                   url);
+            });
+
+            auto [timestamp, sign] = OkxUtils::getLoginSignTime(secret_key);
+            static constexpr const char *AUTH_REQ_TEMPLATE =
+                R"({{"op": "login", "args": [{{ "apiKey": "{}", "passphrase": "{}", "timestamp": "{}", "sign": "{}" }}] }})";
+
+            const std::string auth_req = fmt::format(
+                AUTH_REQ_TEMPLATE, api_key, passphrase, timestamp, sign);
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::start Attempting login (req: {})",
+                auth_req);
+            const auto auth_res = ws_client.send_text(auth_req);
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::start Attempting login {}, {}, {}",
+                std::to_string(auth_res.value()),
+                std::string(auth_res.category().name()), auth_res.message());
+            if (auth_res.value()) {
+               LOG(md, Info, "okx authentication failed. {}",
+                   auth_res.message());
+               attempt++;
+               throw std::runtime_error(
+                   "okx authentication failed: " + auth_res.message());
+            }
+            while (state == OkxExecutionState::STARTED) {
+               LOG(OrderMan, Warn,
+                   "OkxExecutionAdapter::start waiting to login");
+               std::this_thread::sleep_for(1s);
+            }
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::start Login successful {}",
+                auth_res.message());
+            std::string subscribe_req = R"({
+                  "op": "subscribe",
+                  "args": [{"channel": "orders", "instType": "ANY"}]
+               })";
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::start AGttempting sub (req: {})",
+                subscribe_req);
+            const auto auth_res2 = ws_client.send_text(subscribe_req);
+            LOG(OrderMan, Warn, "OkxExecutionAdapter::subscribing to orders{}",
+                auth_res2.message());
+            while (state != OkxExecutionState::SUBSCIRBED) {
+               LOG(OrderMan, Warn,
+                   "OkxExecutionAdapter::start waiting to subscribe");
+
+               std::this_thread::sleep_for(1s);
+            }
+            LOG(OrderMan, Warn,
+                "OkxExecutionAdapter::subscribing to orders successful{}",
+                auth_res2.message());
+            break; // Exit loop on success
+         } catch (const std::exception &ex) {
+            const std::string err = ex.what();
+            LOG(OrderMan, Error,
+                "OkxExecutionAdapter::start Login failed: {}. Retrying in {} "
+                "seconds.",
+                err,
+                config::get<config::OkxExeCfg>()
+                    .ws_reconnect_interval_seconds());
+
+            size_t maxRetries =
+                config::get<config::OkxExeCfg>().ws_reconnect_max_count();
+            if (maxRetries > 0 && ++attempt >= maxRetries) {
+               LOG(OrderMan, Error,
+                   "OkxExecutionAdapter::start Exceeded max retries ({}). "
+                   "Aborting.",
+                   maxRetries);
+               OkxUtils::handleOkException("OkxExecutionAdapter::start", err);
+               break; // Exit if retries are exhausted
+            }
+            std::this_thread::sleep_for(
+                std::chrono::seconds(config::get<config::OkxExeCfg>()
+                                         .ws_reconnect_interval_seconds()));
+         }
+      }
+   }
+};
+void OkxExecutionAdapter::start() { me_->start(); }
 
 void OkxExecutionAdapter::modify_order(
     const CancelReplaceOrderMsg &msg) { //confirm will have everything
    try {
       LOG(OrderMan, Warn, "OkxExecutionAdapter::modify_order modifying order{}",
           msg);
+      http::HttpResponse res;
+      // static constexpr const char *body_template = R"({"instId": "BTC-USDT", "tdMode": "cash", "side": "buy", "ordType": "limit", "px": "1000", "sz": "0.01"})";
+      static constexpr const char *body_template =
+          R"({{"instId": "{}",  "clordId": "{}", "newPx": "{}", "newSz": "{}"}})";
+      const std::string REQUEST_PATH = "/api/v5/trade/amend-order";
+      const std::string body = fmt::format(
+          body_template, msg.create_fields.security->okx().security_desc(),
+          msg.create_fields.key, msg.create_fields.price,
+          msg.create_fields.quantity.full_value());
+      auto headers = OkxUtils::createHeaders(
+          me_->api_key, me_->passphrase, me_->secret_key, "POST", REQUEST_PATH,
+          body);
+      // Generate and log the curl command
+      std::string curlCommand = OkxUtils::generateCurlCommand(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, headers,
+          body);
+      LOG(OrderMan, Warn, "Curl Command: \n{}", curlCommand);
+      http::HttpClient::post(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, body,
+          headers, &res);
+      const auto &[suc, top_msg] = OkxUtils::orderAccepted(res.body);
+
+      //   ExecutionReport *er_p = me_->exe_report_pool.construct();
+      //   ExecutionReport &er = *er_p;
+      //   OkxUtils::populateCreateOrderFields(er, msg.create_fields);
+      //   er.price = msg.create_fields.price;
+      //   er.quantity = msg.create_fields.quantity;
+
+      //   er.order_key = msg.create_fields.key;
+      //   const auto &[id, ts, ex_msg] = OkxUtils::extractOrderInfo(res.body);
+
+      if (suc) {
+         LOG(md, Info, "Http get succeeded {}", res.body);
+         //  er.exec_type = api::orderman::ExecType::EXEC_TYPE_PENDING_REPLACE;
+         //  er.order_status = api::orderman::NATIVE_ORDER_STATUS_PENDING_REPLACE;
+      } else {
+         LOG(md, Info, "Http get failed {},,,{}", res.errors, res.body);
+         //  er.exec_type = api::orderman::ExecType::EXEC_TYPE_REJECTED;
+         //  er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
+         //  er.msg = ex_msg + " " + top_msg;
+      }
+      //   me_->cb(er, {});
    } catch (const std::exception &ex) {
-     const std::string err = ex.what();
-      handleOkException("Modify order", err);
+      const std::string err = ex.what();
+      OkxUtils::handleOkException("Amend order", err);
    }
 }
 
 void OkxExecutionAdapter::launch_new_order(const CreateOrderMsg &msg) {
    LOG(OrderMan, Warn, "launch order {}", msg);
    try {
-      LOG(OrderMan, Warn, "OkxExecutionAdapter::launch_new_order creating order");
+      LOG(OrderMan, Warn,
+          "OkxExecutionAdapter::launch_new_order creating order");
+      static constexpr const char *body_template =
+          R"({{"instId": "{}", "tdMode": "cash", "side": "{}", "ordType": "{}", "px": "{}", "sz": "{}", "clordId": "{}"}})";
+      const std::string REQUEST_PATH = "/api/v5/trade/order";
+      const std::string side = msg.side == api::Side::SIDE_BUY ? "buy" : "sell";
+      const std::string quantity = std::to_string(msg.quantity.full_value());
+      const std::string price = std::to_string(msg.price.value());
+      std::string suffix = "ORDER_TYPE_";
+      auto ord_full_name = NativeOrderType_Name(msg.order_type);
+      auto pos = ord_full_name.find(suffix);
+      const std::string ord_type =
+          FIX::string_toLower(ord_full_name.substr(pos + suffix.size()));
+      const std::string body = fmt::format(
+          body_template, msg.security->okx().security_desc(), side, ord_type,
+          price, quantity, msg.key);
+      http::HttpResponse res;
+      auto headers = OkxUtils::createHeaders(
+          me_->api_key, me_->passphrase, me_->secret_key, "POST", REQUEST_PATH,
+          body);
+      // Generate and log the curl command
+      std::string curlCommand = OkxUtils::generateCurlCommand(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, headers,
+          body);
+      LOG(OrderMan, Warn, "Curl Command: \n{}", curlCommand);
+      http::HttpClient::post(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, body,
+          headers, &res);
+      ExecutionReport *er_p = me_->exe_report_pool.construct();
+      ExecutionReport &er = *er_p;
+      const auto &[suc, top_msg] = OkxUtils::orderAccepted(res.body);
+
+      OkxUtils::populateCreateOrderFields(er, msg);
+      er.price = msg.price;
+      er.quantity = msg.quantity;
+      er.filled_quantity = 0;
+      er.last_shares = 0;
+      er.avg_price = Price(0);
+      ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
+      er.transact_time = now;
+
+      er.order_key = msg.key;
+      const auto &[id, ts, ex_msg] = OkxUtils::extractOrderInfo(res.body);
+      er.exchange_order_id = ExchangeOrderID{OkxUtils::stringToFixedArray(id)};
+
+      if (suc) {
+         LOG(md, Info, "Http get succeeded {}", res.body);
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_PENDING_NEW;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_PENDING_NEW;
+      } else {
+         LOG(md, Info, "Http get failed {},,,{}", res.errors, res.body);
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_REJECTED;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
+         er.msg = ex_msg + " " + top_msg;
+      }
+      me_->cb(er, {});
    }
    // Shut down all reactors if they exist.
    catch (const std::exception &ex) {
-    const std::string err = ex.what();
-      handleOkException("Launch order", err);
+      const std::string err = ex.what();
+      OkxUtils::handleOkException("Launch order", err);
    }
 }
-void OkxExecutionAdapter::register_callback([[maybe_unused]]const OnExecutionReport &cb) {
-   LOG(OrderMan, Warn, "OkxExecutionAdapter::register_callback callback registered");
-   // listener.setCallback(cb);
+void OkxExecutionAdapter::register_callback(
+    [[maybe_unused]] const OnExecutionReport &cb) {
+   LOG(OrderMan, Warn,
+       "OkxExecutionAdapter::register_callback callback registered");
+   me_->setCallback(cb);
 }
 void OkxExecutionAdapter::cancel_order(const CancelOrderMsg &msg) {
    LOG(OrderMan, Warn, "cancel order {}", msg);
    try {
-      LOG(OrderMan, Warn, "order cancel sent");
+      http::HttpResponse res;
+      // static constexpr const char *body_template = R"({"instId": "BTC-USDT", "tdMode": "cash", "side": "buy", "ordType": "limit", "px": "1000", "sz": "0.01"})";
+      static constexpr const char *body_template =
+          R"({{"instId": "{}",  "clordId": "{}"}})";
+      const std::string REQUEST_PATH = "/api/v5/trade/cancel-order";
+      const std::string body = fmt::format(
+          body_template, msg.security->okx().security_desc(), msg.key);
+      auto headers = OkxUtils::createHeaders(
+          me_->api_key, me_->passphrase, me_->secret_key, "POST", REQUEST_PATH,
+          body);
+      // Generate and log the curl command
+      std::string curlCommand = OkxUtils::generateCurlCommand(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, headers,
+          body);
+      LOG(OrderMan, Warn, "Curl Command: \n{}", curlCommand);
+      http::HttpClient::post(
+          config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, body,
+          headers, &res);
+      const auto &[suc, top_msg] = OkxUtils::orderAccepted(res.body);
+      //   ExecutionReport *er_p = me_->exe_report_pool.construct();
+      //   ExecutionReport &er = *er_p;
+      //   er.security = msg.security;
+      //   er.side = msg.side;
+      //   er.order_key = msg.key;
+      //   to_array(msg.routing_record->account(), &er.account_name.value());
+      //   to_array(msg.routing_record->operator_id(), &er.operator_id.value());
+      //   er.exchange = msg.security->exchange();
+      //   er.order_key = msg.key;
+      //   const auto &[id, ts, ex_msg] = OkxUtils::extractOrderInfo(res.body);
+      if (suc) {
+         LOG(md, Info, "Http get succeeded {}", res.body);
+         //  er.exec_type = api::orderman::ExecType::EXEC_TYPE_PENDING_CANCEL;
+         //  er.order_status = api::orderman::NATIVE_ORDER_STATUS_PENDING_CANCEL;
+      } else {
+         LOG(md, Info, "Http get failed {},,,{}", res.errors, res.body);
+         //  er.exec_type = api::orderman::ExecType::EXEC_TYPE_REJECTED;
+         //  er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
+         //  er.msg = ex_msg + " " + top_msg;
+      }
+      //   me_->cb(er, {});
    }
    // Shut down all reactors if they exist.
    catch (const std::exception &ex) {
-    const std::string err = ex.what();
-      handleOkException("Cacnel order", err);
+      const std::string err = ex.what();
+      OkxUtils::handleOkException("Cacnel order", err);
    }
 }
-} // namespace bts::orderman
+} // namespace bts::orderman::okxexe

src/lib/orderman/gateways/OkxExecutionAdapter.h

@@ -2,7 +2,7 @@
 
 #include "IExecutionGenericAdapter.h"
 #include "lib/md/SecurityOracle.h"
-namespace bts::orderman {
+namespace bts::orderman::okxexe {
 
 class OkxExecutionAdapter : public IExecutionGenericAdapter {
  public:
@@ -14,6 +14,8 @@ class OkxExecutionAdapter : public IExecutionGenericAdapter {
    void modify_order(const CancelReplaceOrderMsg &) override;
    void start() override;
  private:
+  struct PImpl;
+  std::unique_ptr<PImpl> me_;
 };
 
 } // namespace bts::orderman

src/lib/orderman/gateways/OnixFIXAdapter.cpp

@@ -271,7 +271,10 @@ void OnixFIXAdapter::modify_order(
       populate_common_order_fields(order, msg.create_fields);
       order.validate();
       LOG(OrderMan, Warn, "order Validated");
-      order.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART");
+      order.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART").set(
+              OnixS::FIX::FIX42::Tags::SendingTime,
+              OnixS::FIX::Timestamp::utc(),
+              OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
       std::string order_string = order.toString('|');
       state_handler->modifyOrder(msg, new_id);
       session->send(&order);
@@ -310,7 +313,11 @@ void OnixFIXAdapter::launch_new_order(const CreateOrderMsg &msg) {
       std::string order_json = order.toJson();
       order.validate();
       LOG(OrderMan, Warn, "order Validated");
-      order.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART");
+
+      order.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART").set(
+              OnixS::FIX::FIX42::Tags::SendingTime,
+              OnixS::FIX::Timestamp::utc(),
+              OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
       state_handler->launchOrder(msg, new_id);
       //   listener.fire_dummy_report(msg);
       session->send(&order);
@@ -362,7 +369,10 @@ void OnixFIXAdapter::cancel_order(const CancelOrderMsg &msg) {
       LOG(OrderMan, Warn, "order_cancel Created: {}", order_str);
       // order_cancel.validate(); fails becasuse of HandlInst
       LOG(OrderMan, Warn, "order Validated");
-      order_cancel.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART");
+      order_cancel.set(OnixFIXAdapter::FIX_TAG_SMART_ROUTING, "SMART").set(
+              OnixS::FIX::FIX42::Tags::SendingTime,
+              OnixS::FIX::Timestamp::utc(),
+              OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
       state_handler->cancelOrder(msg, new_id);
       session->send(&order_cancel);
       LOG(OrderMan, Warn, "order cancel sent");

src/lib/orderman/orderman_utils/OkxUtils.h

@@ -0,0 +1,268 @@
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/logging/logging.h"
+#include "lib/md/SecurityOracle.h"
+#include "lib/orderman/CreateOrderMsg.h"
+#include "lib/orderman/gateways/IExecutionGateway.h"
+#include "lib/orderman/orderman_utils/ExecutionReport.h"
+#include "lib/utils/bts_assert.h"
+#include <OnixS/FIXEngine/FIX/Exception.h>
+#include <OnixS/FIXEngine/FIX/FIX42.h>
+#include <OnixS/FIXEngine/FIX/Message.h>
+#include <OnixS/FIXEngine/FIX/Numeric.h>
+#include <OnixS/FIXEngine/FIX/ProtocolVersion.h>
+#include <boost/pool/object_pool.hpp>
+#include <cassert>
+#include <cstddef>
+#include <ctime>
+#include <exception>
+#include <fmt/core.h>
+#include <map>
+#include <nlohmann/json_fwd.hpp>
+#include <openssl/buffer.h>
+#include <openssl/evp.h>
+#include <openssl/hmac.h>
+#include <quickfix/FixFields.h>
+#include <quickfix/Utility.h>
+#include <regex>
+#include <sstream>
+#include <string>
+#include <tuple>
+#include <unistd.h>
+#include <unordered_map>
+namespace bts::orderman::okxexe {
+using json = nlohmann::json;
+class OkxUtils {
+ public:
+   // Function template to get a value from a JSON object by key
+   template <typename T>
+   static inline T getJsonValue(
+       const json &jsonObject,
+       const std::string &key,
+       const T &defaultValue = T()) {
+      if (jsonObject.contains(key) && jsonObject[key].is_primitive()) {
+         return jsonObject.value(key, defaultValue);
+      }
+      return defaultValue;
+   }
+
+   // Function to parse JSON safely
+   static inline std::optional<json> parseJsonSafely(
+       const std::string &jsonString) {
+      try {
+         return json::parse(jsonString);
+      } catch (const std::exception &e) {
+         std::string s = e.what();
+         LOG(OrderMan, bts::Error, "Failed to parse JSON: {}", s);
+         return std::nullopt;
+      }
+   }
+
+   struct OrderResponse {
+      bool accepted;
+      std::string message;
+   };
+
+   static inline OrderResponse orderAccepted(const std::string &jsonString) {
+      auto body = parseJsonSafely(jsonString);
+      if (!body)
+         return {false, "NO Body"};
+      auto &jsonResponse = *body;
+
+      return {
+          jsonResponse.value("code", "1") == "0",
+          jsonResponse.value("msg", "NO code or message")};
+   }
+
+   // Function to extract order information from JSON
+   static inline std::tuple<std::string, std::string, std::string> extractOrderInfo(
+       const std::string &jsonString) {
+      auto body = parseJsonSafely(jsonString);
+      if (!body.has_value()) {
+         return {"", "", "json parsing error no body"};
+      }
+      auto jsonResponse = body.value();
+      if (jsonResponse.contains("data") && jsonResponse["data"].is_array()) {
+         const auto &dataArray = jsonResponse["data"];
+         if (!dataArray.empty() && dataArray[0].is_object()) {
+            const auto &firstItem = dataArray[0];
+
+            // Extract values using the templated function
+            std::string ordId =
+                OkxUtils::getJsonValue(firstItem, "ordId", std::string());
+            std::string timestamp =
+                OkxUtils::getJsonValue(firstItem, "ts", std::string());
+            std::string sMsg =
+                OkxUtils::getJsonValue(firstItem, "sMsg", std::string());
+
+            return {ordId, timestamp, sMsg};
+         }
+      }
+      return {"", "", "json parsing error"};
+   }
+   // Function to encode a byte array to Base64
+   static std::string base64Encode(const unsigned char *buffer, size_t length) {
+      BIO *bmem = BIO_new(BIO_s_mem());
+      BIO *b64 = BIO_new(BIO_f_base64());
+      BIO_set_flags(b64, BIO_FLAGS_BASE64_NO_NL); // No newlines
+      BIO_push(b64, bmem);
+      BIO_write(b64, buffer, static_cast<int>(length));
+      BIO_flush(b64);
+
+      BUF_MEM *bptr;
+      BIO_get_mem_ptr(b64, &bptr);
+      std::string result(bptr->data, bptr->length);
+
+      BIO_free_all(b64);
+      return result;
+   }
+
+   static inline std::vector<unsigned char> generateSignature(
+       const std::string &prehash, const std::string &secretKey) {
+      unsigned int len = EVP_MAX_MD_SIZE;
+      std::vector<unsigned char> result(len);
+      HMAC(
+          EVP_sha256(), secretKey.c_str(), static_cast<int>(secretKey.length()),
+          reinterpret_cast<const unsigned char *>(prehash.c_str()),
+          prehash.length(), result.data(), &len);
+      result.resize(len);
+      return result;
+   }
+   static inline std::string getSign(
+       std::string message, const std::string &secret_key = "your_secret_key") {
+      auto signature = generateSignature(message, secret_key);
+      std::string sign = base64Encode(signature.data(), signature.size());
+
+      return sign;
+   }
+   static std::tuple<long, std::string> getLoginSignTime(
+       const std::string &secret_key = "your_secret_key",
+       const std::string &method = "GET",
+       const std::string &path = "/users/self/verify") {
+      auto seconds = bts::core::TimeStamp::now().seconds();
+      std::string message = std::to_string(seconds) + method + path;
+      return {seconds, getSign(message, secret_key)};
+   }
+   static std::string getUTCTimestamp(bts::core::TimeStamp t) {
+      auto rawTimestamp =
+          t.to_iso_string() +
+          "Z"; //gives 20241213T175033.840123Z should be  2024-12-13T17:50:33.840Z
+               // Use regex to parse and reformat
+      std::regex re(
+          R"((\d{4})(\d{2})(\d{2})T(\d{2})(\d{2})(\d{2})\.(\d{3})\d*Z)");
+      std::string formattedTimestamp =
+          std::regex_replace(rawTimestamp, re, "$1-$2-$3T$4:$5:$6.$7Z");
+
+      return formattedTimestamp;
+   }
+   static std::array<char, 17> stringToFixedArray(const std::string &s) {
+      std::array<char, 17> idAsArray{};
+      std::copy_n(
+          s.begin(), std::min(s.size(), idAsArray.size() - 1),
+          idAsArray.begin());
+      return idAsArray;
+   }
+   static std::unordered_map<std::string, std::string> createHeaders(
+       const std::string &apiKey,
+       const std::string &passphrase,
+       const std::string &secretKey,
+       const std::string &method,
+       const std::string &requestPath,
+       const std::string &body = "") {
+      auto ts = bts::core::TimeStamp::now();
+      std::string timestamp = getUTCTimestamp(ts);
+      std::string prehash = timestamp + method + requestPath + body;
+      auto signature = getSign(prehash, secretKey);
+      LOG(OrderMan, bts::Info, "prehash '{}' , key '{}'", prehash, signature);
+
+      // Prepare headers
+      std::unordered_map<std::string, std::string> headers = {
+          {"accept", "application/json"},
+          {"Content-Type", "application/json"},
+          {"x-simulated-trading", "1"},
+          {"OK-ACCESS-KEY", apiKey},
+          {"OK-ACCESS-SIGN", signature},
+          {"OK-ACCESS-TIMESTAMP", timestamp},
+          {"OK-ACCESS-PASSPHRASE", passphrase}};
+
+      return headers;
+   }
+   static std::string generateCurlCommand(
+       const std::string &url,
+       const std::unordered_map<std::string, std::string> &headers,
+       const std::string &body) {
+      std::ostringstream oss;
+
+      // Start with the curl command
+      std::string curlCommand = "curl -X POST " + url + " \\\n";
+
+      // Add headers to the curl command
+      for (const auto &header : headers) {
+         curlCommand +=
+             "  -H \"" + header.first + ": " + header.second + "\" \\\n";
+      }
+
+      // Add bodyl
+      curlCommand += "  -d '" + body + "'";
+
+      return curlCommand;
+   }
+   static inline api::SecurityType getInstType(const std::string &type) {
+      static const std::unordered_map<std::string, api::SecurityType> type_map =
+          {{"SPOT", api::SECURITYTYPE_SPOT},
+           {"OPTION", api::SECURITYTYPE_OPTION},
+           {"FUTURES", api::SECURITYTYPE_FUTURE},
+           {"SWAP", api::SECURITYTYPE_FUTURE}};
+
+      auto it = type_map.find(type);
+      return it != type_map.end() ? it->second : api::SECURITYTYPE_UNSET;
+   }
+   static inline api::orderman::NativeOrderType getOrdType(const std::string &type) {
+      static const std::unordered_map<std::string, api::orderman::NativeOrderType> type_map =
+          {{"limit", api::orderman::NATIVE_ORDER_TYPE_LIMIT},
+           {"market", api::orderman::NATIVE_ORDER_TYPE_MARKET}};
+
+      auto it = type_map.find(type);
+      return it != type_map.end() ? it->second : api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_UNDEFINED;
+   }
+   static void populateCreateOrderFields(
+       ExecutionReport &er, const CreateOrderMsg &create_order_msg) {
+      er.security = create_order_msg.security;
+      er.order_type = create_order_msg.order_type;
+      er.time_in_force = create_order_msg.time_in_force;
+      er.manual_order_indicator = create_order_msg.manual_order_indicator;
+      er.side = create_order_msg.side;
+      er.order_key = create_order_msg.key;
+      to_array(
+          create_order_msg.routing_record->account(), &er.account_name.value());
+      to_array(
+          create_order_msg.routing_record->operator_id(),
+          &er.operator_id.value());
+      er.exchange = create_order_msg.security->exchange();
+   }
+   static void populateExecTypeAndOrderStatus(
+       ExecutionReport &er, const std::string &state) {
+      if (state == "canceled") {
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_CANCELED;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_CANCELED;
+      } else if (state == "live") {
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_NEW;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_NEW;
+      } else if (state == "partially_filled") {
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_PARTIAL_FILL;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_PARTIALLY_FILLED;
+      } else if (state == "filled") {
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_FILL;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_FILLED;
+      } else {
+         er.exec_type = api::orderman::ExecType::EXEC_TYPE_UNDEFINED;
+         er.order_status = api::orderman::NATIVE_ORDER_STATUS_UNDEFINED;
+      }
+   }
+   static inline void handleOkException(
+       const std::string &context, const std::string &error) {
+      bts_assert_msgf(false, "{} Exception: {}", context, error);
+   }
+};
+
+} // namespace bts::orderman::okxexe

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

@@ -12,7 +12,6 @@
 #include "lib/orderman/orderman_utils/orderman_utils.h"
 #include "lib/orderman/orders/algo/IAlgoOrder.h"
 #include "lib/orderman/orders/algo/IAlgoServices.h"
-#include "lib/orderman/orders/algo/algo_orders/QuotingAlgo.h"
 #include "lib/utils/PBUtils.h"
 #include "lib/utils/bts_assert.h"
 #include <bits/stdint-intn.h>
@@ -20,7 +19,6 @@
 #include <boost/circular_buffer.hpp>
 #include <boost/tokenizer.hpp>
 #include <cmath>
-#include <cstddef>
 #include <cstdint>
 #include <cstdlib>
 #include <fcntl.h>
@@ -29,9 +27,10 @@
 #include <optional>
 #include <stdint.h>
 #include <string>
+
 namespace bts {
 namespace orderman {
-
+   
 using namespace api::orderman;
 using namespace google::protobuf;
 using namespace boost;
@@ -41,29 +40,23 @@ bool from_string(const std::string &str, T *out) {
 }
 //All information required from user
 struct QuotingAlgoParams {
-
    SecurityKey security_key_id;
    std::string security_name_str;
-   size_t n_ticks;
-   bool quote_around_market;
-   bool quote_around_theo;
+   int n_ticks;
    ChildTemplate *child_template = nullptr;
    api::Side side;
 
    QuotingAlgoParams(
        SecurityKey security_key_id,
        std::string security_name_str,
-       size_t n_ticks,
-       bool quote_around_market,
-       bool quote_around_theo,
+       int n_ticks,
        ChildTemplate* child, 
        api::Side side
        )
        : security_key_id(security_key_id), security_name_str(security_name_str),
-         n_ticks(n_ticks), quote_around_market(quote_around_market),
-         quote_around_theo(quote_around_theo), child_template(child),side(side) {}
+         n_ticks(n_ticks), child_template(child),side(side) {}
+
 
-   
    std::string print() {
       std::string sep_obj = ", ";
       std::string sep_key_val = ":";
@@ -73,42 +66,31 @@ struct QuotingAlgoParams {
             s += sep_obj;
          }
          s += desc + sep_key_val + val;
-      };
+};
       add_to_s("security_key_id", std::to_string(security_key_id.value()));
-      add_to_s("quote_around_market", std::to_string(quote_around_market));
-      add_to_s("quote_around_theo", std::to_string(quote_around_theo));
       add_to_s("n_ticks", std::to_string(n_ticks));
       return s;
    }
 };
 
-// enum class QuotingAlgoParams::State { WORKING, DONE };
 
 // All state information needed for this algo
 struct QuotingAlgo::PImpl {
-
-
    OrderKey self_key = null_order_key();
    OrderDefinition self_def;
    google::protobuf::uint32 self_security_key;
    IBeforeLaunchAlgoServices *servg;
-   bts::orderman::OrderKey child_order_key=null_order_key();
-   Price child_order_price=Price(0);
+   OrderKey child_order_key = null_order_key();
+   Price child_order_price = Price(0);
    google::protobuf::TextFormat::Printer printer;
-
-
+   State state = State::UPDATING_PARAMS;
    double tick_size;
    IAlgoServices *algo = nullptr;
-   analytics::ITheoCalculator const *theo_calc = nullptr;
-   SecurityKey driver_sec_key;
-   bool subbed_to_driver = false;
-   std::optional<Book> driver_book = std::nullopt;
-   std::optional<Book> sec_book = std::nullopt;
+   std::optional<Book> sec_book;
    std::unique_ptr<QuotingAlgoParams> algo_params;
-   std::optional<double> current_mid;
 
    PImpl() { printer.SetSingleLineMode(true); }
-}; 
+};
 
 QuotingAlgo::QuotingAlgo() : me(new PImpl()) {}
 QuotingAlgo::~QuotingAlgo() {}
@@ -143,15 +125,13 @@ bool _convert_params(
    const DynamicOrderDefinition &def = cod.dynamic();
    const auto &params = def.order_params();
 
-   auto quote_around_theo = get_if<bool>(params, "quote_around_theo");
-   auto quote_around_market = get_if<bool>(params, "quote_around_market");
-   auto n_ticks = get_if<uint32_t>(params, "n_ticks");
+   auto n_ticks = get_if<int32_t>(params, "n_ticks");
    auto custom_ord = get_if<CustomOrderDefinition>(params,"child_order");
 
-   if ( !n_ticks.has_value() || !quote_around_theo.has_value() || !quote_around_market.has_value() || quote_around_theo.value() == quote_around_market.value()){
+   if ( !n_ticks.has_value() ){
        LOG(OrderMan, Info,
-          "QuotingAlgo::convert_params failed n_ticks:{}, quote_around_theo:{}, quote_around_market:{}",
-          n_ticks.has_value(), quote_around_theo.has_value(), quote_around_market.has_value());
+          "QuotingAlgo::convert_params failed n_ticks:{}",
+          n_ticks.has_value());
        return false;
    }
    auto key = SecurityKey(serv.security().id());
@@ -162,8 +142,6 @@ bool _convert_params(
       key,
       serv.security().glbx().security_desc(),
       n_ticks.value(),
-      quote_around_market.value(),
-      quote_around_theo.value(),
       child_template,
       side
       );
@@ -192,7 +170,6 @@ OrderOpResult QuotingAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) {
           _convert_params(serv, def.custom_def(), me->algo_params)) {
          
          me->tick_size = serv.security().contract_spec().low_tick();
-
          me->self_def = serv.definition();
          me->self_security_key = serv.security().id();
          return {};
@@ -215,14 +192,13 @@ OrderOpResult QuotingAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) {
 // Called in the latency sensitive path, once, when the algo is first launched.
 void QuotingAlgo::do_launch(IAlgoServices &algo_services) {
    // Cache our algo services
-   me->algo = &algo_services; 
+   me->algo = &algo_services;
 
 
    // Subscribe to market data
    me->algo->subscribe_book(me->algo_params->security_key_id);
-   if(me->algo_params->quote_around_theo){
-      me->algo->subscribe_theos();
-   }
+   me->state = State::WORKING;
+   
 }
 
 void QuotingAlgo::do_launch_attached( // not needed right now
@@ -234,57 +210,20 @@ void QuotingAlgo::do_launch_attached( // not needed right now
    _cxl_and_end(true, "QuotingAlgo can not be attached to working orders");
 }
 
-void QuotingAlgo::on_theos(const analytics::ITheoCalculator *theo_calculator){
-
-   if(theo_calculator==NULL){
-      return;
-   }
-
-   me->theo_calc = theo_calculator;
-   
-   if (me->subbed_to_driver) {
-      const md::PriceSize &driver_bid = me->driver_book->bid().at(0);
-      const md::PriceSize &driver_ask = me->driver_book->ask().at(0);
-      double driver = (driver_bid.price() + driver_ask.price())/2;
-      bts::api::orderman::PrecomputedTheoPoint result;
-      if(!theo_calculator->get_theo(me->algo_params->security_key_id.value(),driver, result)){
-         LOG(OrderMan, Error, "QuotingAlgo::on_theos CANT GET THEOS");
-         return;
-      }
-      me->current_mid = result.theo();
-      quote(me->current_mid.value());
-      return;
-   }
-   auto driver_sec = me->theo_calc->get_driver_sec(me->algo_params->security_key_id.value());
-   if (driver_sec.has_value()) {
-      LOG(OrderMan, Info,
-          "QuotingAlgo::on_theos order_key: {} subscribing to driver sec_key: {}",
-          me->algo->order_key(), driver_sec.value());
-      me->subbed_to_driver = true;
-      me->driver_sec_key = SecurityKey(driver_sec.value());
-      me->algo->subscribe_book(SecurityKey(me->driver_sec_key));
-   }
-}
 
 // Called when the book for the specified security has changed
 void QuotingAlgo::on_book(SecurityKey sec_key, Book const &book) {
 
-   if (sec_key == me->driver_sec_key) {
-      me->driver_book = book;
-      return;
-   }
-
+  
    if (sec_key != me->algo_params->security_key_id) 
       return;
    me->sec_book = book;
-
-   if(!me->algo_params->quote_around_market)
-      return;
    const md::PriceSize &bid = me->sec_book->bid().at(0);
    const md::PriceSize &ask = me->sec_book->ask().at(0);
-   
-   double mid_price=(bid.price() + ask.price())/2;
-   quote(mid_price);
+   if ( me->algo_params->side==api::Side::SIDE_BUY)
+      quote(bid.price());
+   else
+      quote(ask.price());
    
 }
 // Round the price to the nearest tick
@@ -294,14 +233,16 @@ double normalizePrice(double price, double tickSize) {
 }
 
 void QuotingAlgo::quote(double price){
-   double normalized= normalizePrice(price,me->tick_size);
+   if(me->state!=State::WORKING){
+      return;
+   }
    double offset = me->algo_params->n_ticks*me->tick_size;
-   double price_with_offset = normalized + offset*(me->algo_params->side==api::Side::SIDE_BUY?-1:1);
+   double price_with_offset = price + offset*(me->algo_params->side==api::Side::SIDE_BUY?-1:1);
    _fire_orders(price_with_offset);
 }
 
 void QuotingAlgo::_fire_orders(double price){
-   if(price == me->child_order_price.value()){
+   if(price == me->child_order_price.value() || me->state != State::WORKING){
       return;//avoid unnecessary updates
    }
    me->child_order_price = Price(price);
@@ -324,12 +265,30 @@ void QuotingAlgo::on_ticker(SecurityKey, TradeVector const &) {}
 void QuotingAlgo::report_state() {}
 
 void QuotingAlgo::do_update(
-    api::orderman::Update const &upd) { // not needed right now
-   LOG(OrderMan, Warn,
-       "QuotingAlgo::do_update order: {} update not allowed, please "
-       "cxl and re-enter {} upd key: {}",
-       me->algo->order_key().value(), upd.order_key());
-   _cxl_and_end(true, " update not allowed");
+    api::orderman::Update const &upd) { 
+   me->state = State::UPDATING_PARAMS;
+   LOG(OrderMan, Diag, "QuotingAlgo order {} receiving update: {}",
+       _algo().order_key().value(), utils::pb::to_string(upd));
+   if (!upd.has_custom() || !upd.custom().has_dynamic()) {
+      _algo().terminate_error("Invalid update");
+      return;
+   }
+   const auto &params = upd.custom().dynamic().order_params();
+
+   auto n_ticks = get_if<int32_t>(params, "n_ticks");
+
+   if ( !n_ticks.has_value() ){
+       LOG(OrderMan, Info,
+          "QuotingAlgo::convert_params failed n_ticks:{}",
+          n_ticks.has_value());
+       _algo().terminate_error("Invalid update no value for n ticks");
+      return;
+   }
+
+   me->algo_params->n_ticks = n_ticks.value();
+   me->state = State::WORKING;
+   if(me->sec_book.has_value())
+      on_book(SecurityKey(me->self_security_key),me->sec_book.value());
 }
 
 void QuotingAlgo::on_child_change(OrderKey key, const ChildState &state) {
@@ -340,14 +299,14 @@ void QuotingAlgo::on_child_change(OrderKey key, const ChildState &state) {
       }
    }
 }
-
+// updates states every 500 ms, state visible if algo tree checked on front
+// end
 void QuotingAlgo::on_status(SecurityKey key, co2::TradingStatus s) {
    LOG(OrderMan, Info, "QuotingAlgo::on_status key: {} status: {}", key.value(),
        static_cast<int>(s));
 }
 
-// updates states every 500 ms, state visible if algo tree checked on front
-// end
+
 void QuotingAlgo::on_timer() {}
 
 void QuotingAlgo::_cxl_and_end(bool is_error, const std::string &err_msg) {
@@ -358,4 +317,4 @@ void QuotingAlgo::_cxl_and_end(bool is_error, const std::string &err_msg) {
 }
 
 } // namespace orderman
-} // namespace bts
+} // namespace bts

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

@@ -18,7 +18,6 @@ class QuotingAlgo : public IAlgoOrder {
    void on_status(SecurityKey, co2::TradingStatus) override;
    void on_timer() override;
    void on_book(SecurityKey, Book const &) override;
-   void on_theos(const analytics::ITheoCalculator *theo_calculator) override;
    void on_ticker(SecurityKey, TradeVector const &) override;
    void report_state();
    void run_algo();
@@ -26,7 +25,7 @@ class QuotingAlgo : public IAlgoOrder {
 
  private:
    struct PImpl;
-   enum class State;
+   enum class State { WORKING, DONE, UPDATING_PARAMS };
    std::unique_ptr<PImpl> me;
 
  private:

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

@@ -236,9 +236,7 @@ extern "C" void init_limit_cover(bts::SparkServices &srv) {
 extern "C" void init_quoting_algo_plugin(bts::SparkServices &srv) {
    DynamicOrderDescriptor quoting_algo;
    quoting_algo.set_dynamic_order_type("QuotingAlgo");
-   *quoting_algo.add_param_desc() = param_uint32("n_ticks");
-   *quoting_algo.add_param_desc() = param_bool("quote_around_theo");
-   *quoting_algo.add_param_desc() = param_bool("quote_around_market");
+   *quoting_algo.add_param_desc() = param_int32("n_ticks");
    *quoting_algo.add_param_desc() = param_order("child_order");
    srv.register_dynamic_algo_order(
        quoting_algo, []() { return std::make_unique<orderman::QuotingAlgo>(); });
@@ -373,7 +371,7 @@ extern "C" void init_spark_plugin(bts::SparkServices &srv) {
    // init_sniper_plugin(srv);
    init_task_eye_plugin(srv);
    init_vol_algo_plugin(srv);
-   // init_quoting_algo_plugin(srv);
+   init_quoting_algo_plugin(srv);
 }
 
 } // namespace dorman

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

@@ -3,6 +3,7 @@
 #include "lib/config/protos/spreader.pb.h"
 #include "lib/logging/logging.h"
 #include "lib/orderman/events/SettlementUpdateEvent.h"
+#include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h"
 #include "lib/orderman/orders/spreader_orders/spreader/NLegsHedgeRecompData.h"
 #include "lib/orderman/orders/spreader_orders/spreader/SpreaderBookkeepingData.h"
@@ -491,15 +492,18 @@ void SpreaderOrder::_comp_and_report_state() {
          reported_state.set_status(status);
          reported_state.set_price(bookkeeping_data.input_price().value());
          reported_state.set_quantity(bookkeeping_data.quantity().value());
-         reported_state.set_filled_quantity(filled_qty.value());
+         bts::orderman::set_quantity(
+             reported_state, StateQuantityType::FilledQuantity,
+             filled_qty.full_value());
+         //reported_state.set_filled_quantity(filled_qty.value());
          reported_state.set_avg_price(avg_filled_price.value());
          reported_state.set_last_price(avg_filled_price.value());
       }
       // if order is cons'ed from disc, with inited_new==false,
       // we just publish what was given to us
       LOG(OrderMan, Info,
-          "SpreaderOrder::_report_state key:{} status:{} "
-          "price:{} qty:{} filled:{} avg_price:{}",
+          "SpreaderOrder::_report_state key: {} status: {} "
+          "price: {} qty: {} filled: {} avg_price: {}",
           key(), status, reported_state.price(), reported_state.quantity(),
           reported_state.filled_quantity(), reported_state.avg_price());
       auto rerported_state_adj = reported_state;

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

@@ -1,4 +1,6 @@
 #include "SpreaderBookkeepingData.h"
+#include "lib/domain_model/common.h"
+#include "lib/logging/logging.h"
 #include "lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h"
 #include "lib/orderman/orders/spreader_orders/spreader/SpreaderFractionalQtyHelper.h"
 #include "lib/os/os.h"
@@ -25,7 +27,9 @@ SpreaderBookkeepingData::SpreaderBookkeepingData(
                                                         .spreader()
                                                         .execution_strategy()
                                                         .hedge_pricing()),
-      _fqty_helper(spreader_order_key, legs) {
+      _fqty_helper(
+          spreader_order_key, order_def.custom_def().spreader(), legs) {
+   //_order_def.custom_def().spreader()
    LOG(OrderMan, Info,
        "SpreaderBookkeepingData.cons started "
        "key: {} n_legs: {}",
@@ -97,8 +101,12 @@ void SpreaderBookkeepingData::total_fills(
          avg_price += leg_fill_price.value() *
                       leg_data.leg_property_data().price_multiplier();
    }
+   LOG(OrderMan, Info,
+       "SpreaderBookkeepingData::total_fills avg_price: {} fills: {}",
+       avg_price, fills);
+
    avg_price = fills == 0 ? 0.0 : avg_price; // should it be nan?
-   out_quantity = Quantity(fills);
+   out_quantity = Quantity::create_new(fills);
    out_price = Price(avg_price);
 }
 } // namespace orderman

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

@@ -5,6 +5,7 @@
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/domain_model/SecurityKey.h"
 #include "lib/domain_model/common.h"
+#include "lib/logging/logging.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/orderman/orders/spreader_orders/spreader/ISpreaderManager.h"
@@ -152,7 +153,13 @@ class SpreaderChildOrderState {
    // last filled price
    void on_order_update(const OrderStateUpdateEvent &e) {
       bts_assert(!_is_live || e.key == order_key());
-      bts_assert(e.filled_quantity >= _filled_quantity.value());
+      //bts_assert(e.filled_quantity >= _filled_quantity.value());
+      if (!(e.filled_quantity >= _filled_quantity.value())) {
+         LOG(OrderMan, Error,
+             "assert condition e.ok: {} e.qty: {} e.filled_qty: {} "
+             "_filled_quantity: {}",
+             e.key, e.quantity, e.filled_quantity, _filled_quantity);
+      }
       _status = e.status;
       _last_filled_quantity =
           Quantity(e.filled_quantity - _filled_quantity.value());

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

@@ -8,6 +8,7 @@
 #include "lib/md/PriceSize.h"
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
+//#include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
 #include "lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h"
 #include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
 #include "lib/os/os.h"
@@ -36,15 +37,6 @@ bool has_crypto_leg(const std::vector<LegPropertyData> &legs) {
    return false;
 }
 
-bool has_notional_leg(const std::vector<LegPropertyData> &legs) {
-   return has_crypto_leg(legs);
-   // TODO
-   // for (const auto &l : legs) {
-   //    return l.is_notional();
-   // }
-   // return false;
-}
-
 struct QtyTickInfo {
  public:
    const double tick_base;
@@ -76,17 +68,13 @@ struct SpreaderFractionalQtyHelper ::PImpl {
    const QtyTickInfo def_qty_tick_info = QtyTickInfo(10000.0, 1.0);
    std::map<bts::SecurityKey, QtyTickInfo> qty_info_map = {};
 
-   PImpl(const std::vector<LegPropertyData> &lpd_vec)
-       : passthrough(has_crypto_leg(lpd_vec) ? false : true),
-         // in_qty_mult(
-         //     has_crypto_leg(lpd_vec)
-         //         ? static_cast<double>(
-         //               config::get<bts::config::Spreader>().qty_multiplier())
-         //         : 1.0),
-         is_notional(has_notional_leg(lpd_vec)) {
-      // LOG(OrderMan, Info,
-      //     "SpreaderFractionalQtyHelper::cons, in_qty_mult: {} is_notional: {}",
-      //     in_qty_mult, is_notional);
+   PImpl(
+       const api::orderman::SpreaderOrderDefinition &spreader_order_def,
+       const std::vector<LegPropertyData> &lpd_vec)
+       : passthrough(!has_crypto_leg(lpd_vec)),
+         is_notional(
+             spreader_order_def.security().synthetic().price_calc() ==
+             api::SyntheticContract_PriceCalc_PRICECALC_NOTIONAL_LEG) {
       auto i = 0;
       for (const auto &l : lpd_vec) {
          const auto &qiv = l.security().contract_spec().quantity_infos();
@@ -126,19 +114,26 @@ std::vector<LegPropertyData> SpreaderFractionalQtyHelper::get_transformed_legs(
 }
 
 SpreaderFractionalQtyHelper::SpreaderFractionalQtyHelper(
-    OrderKey /*spreader_ord_key*/, const std::vector<LegPropertyData> &lpd_vec)
-    : me(new PImpl(lpd_vec)) {}
+    OrderKey spreader_ord_key,
+    const api::orderman::SpreaderOrderDefinition &spreader_order_def,
+    const std::vector<LegPropertyData> &lpd_vec)
+    : me(new PImpl(spreader_order_def, lpd_vec)) {
+   LOG(OrderMan, Info,
+       "SpreaderFractionalQtyHelper::cons spreader_ord_key: {} passthrough: {} "
+       "is_notional: {}",
+       spreader_ord_key, me->passthrough, me->is_notional);
+}
 
 const Book &SpreaderFractionalQtyHelper::in_transform_book(
     const Book &bk) const {
    if (me->passthrough) {
-      LOG(OrderMan, Info,
+      LOG(OrderMan, Diag,
           "SpreaderFractionalQtyHelper::in_transform_book passthrough");
       return bk;
    }
    if (me->is_notional) {
       SpreaderUtils::compute_notional_book(bk, me->op_book);
-      LOG(OrderMan, Info,
+      LOG(OrderMan, Diag,
           "SpreaderFractionalQtyHelper::in_transform_book sec: {} bk: {} "
           "notional: {}",
           bk.security_key().value(), bk, me->op_book);
@@ -155,7 +150,7 @@ const Book &SpreaderFractionalQtyHelper::in_transform_book(
       ps = bts::md::PriceSize(ps.int_price(), ps.size() * qm);
    }
    // mult by leg_mult
-   LOG(OrderMan, Info,
+   LOG(OrderMan, Diag,
        "SpreaderFractionalQtyHelper::in_transform_book bk: {} output: {}", bk,
        me->op_book);
    return me->op_book;
@@ -177,14 +172,16 @@ SpreaderFractionalQtyHelper::in_transform_order_event(
       log_ev(sec_key, ev, ev);
       return ev;
    }
-   me->op_ord = ev;
    // if notional, then order qtys needs to be converted to notional, since spreader sees books
    // in notionals and fire orders in notionals
-   me->op_ord.quantity =
-       SpreaderUtils::to_notional(Price(ev.price), ev.quantity);
-   me->op_ord.filled_quantity =
-       SpreaderUtils::to_notional(Price(ev.avg_price), ev.filled_quantity);
-   me->op_ord.filled_at_attach_time_quantity = os::nan();
+   me->op_ord = ev;
+   if (me->is_notional) {
+      me->op_ord.quantity =
+          SpreaderUtils::to_notional(Price(ev.price), ev.quantity);
+      me->op_ord.filled_quantity =
+          SpreaderUtils::to_notional(Price(ev.avg_price), ev.filled_quantity);
+      me->op_ord.filled_at_attach_time_quantity = os::nan();
+   }
    // factor mult
    const auto &q_tinfo =
        get_qty_tick_info(me->qty_info_map, sec_key, me->def_qty_tick_info);
@@ -236,7 +233,12 @@ Quantity SpreaderFractionalQtyHelper::out_transform_leg_order_qty(
 }
 
 void SpreaderFractionalQtyHelper::out_transform_order_state(
-    bts::api::orderman::OrderState &) const {
+    bts::api::orderman::OrderState &s) const {
+   auto s_txt = utils::pb::to_string(s);
+   LOG(OrderMan, Info,
+       "SpreaderFractionalQtyHelper::out_transform_order_state state: "
+       "{} filled_qty: {} avg_price: {}",
+       s_txt, s.filled_quantity(), s.avg_price());
    // todo:
    // this needs to divide the filled qty of the spreader
    // if (me->passthrough)

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

@@ -3,7 +3,9 @@
 //#include "SpreaderLegData.h"
 //#include "lib/domain_model/common.h"
 //#include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/api/services/OrderService.pb.h"
 #include "lib/domain_model/SecurityKey.h"
+//#include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
 #include "lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h"
 
 namespace bts::api::orderman {
@@ -19,7 +21,9 @@ class OrderStateUpdateEvent;
 class SpreaderFractionalQtyHelper {
  public:
    SpreaderFractionalQtyHelper(
-       OrderKey spreader_ord_key, const std::vector<LegPropertyData> &legs);
+       OrderKey spreader_ord_key,
+       const api::orderman::SpreaderOrderDefinition &spreader_order_def,
+       const std::vector<LegPropertyData> &legs);
    // the leg qtys need to be translated
    std::vector<LegPropertyData> get_transformed_legs(
        const std::vector<LegPropertyData> &legs) const;

src/lib/utils/Dispatcher.cpp

@@ -1,21 +1,15 @@
 #ifndef NO_CPP0X
 
 #include "Dispatcher.h"
-#include "../os/os.h"
 #include "defer.h"
-#include "lib/logging/logging.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/bts_chrono.h"
 #include "lib/utils/thread_manager.h"
 #include "lib/utils/type_name.h"
+
 #include <boost/asio.hpp>
-
-#include <memory>
-#include <stdexcept>
-
 #include <boost/thread.hpp>
-#include <chrono>
 #include <condition_variable>
+#include <memory>
 #include <mutex>
 #include <thread>
 

src/server/sparkd/cmds/Run.cpp

@@ -82,7 +82,7 @@ static OrderServiceServer create_order_service_server(
 static void execute() {
    using namespace bts;
    LOG(Gen, Warn,
-       "------------------------------------ Sparkd launched "
+       "------------------------------------ Sparkd v2.2.5 launched "
        "--------------------------------");
 
    auto qb_cfg = config::get<config::QuickbusCfg>().node();

src/server/sparkd/md/binance/BinanceSubscription.cpp

@@ -3,7 +3,6 @@
 #include "lib/api/md/BinanceMarketDataConfig.pb.h"
 #include "lib/collections/Contains.h"
 #include "lib/collections/Remove.h"
-#include "lib/collections/UnorderedSetFactory.h"
 #include "lib/core/FMT.h"
 #include "lib/domain/Security.h"
 #include "lib/domain/SecurityCriteria.h"
@@ -35,6 +34,7 @@
 #include <range/v3/view.hpp>
 #include <range/v3/view/transform.hpp>
 #include <string>
+#include <thread>
 #include <unordered_map>
 
 namespace bts::md::binance {
@@ -293,6 +293,20 @@ struct BinanceSubscription::PImpl {
           {mk_stats_req(sec_descs, hnd_id),
            &mk_stats_handler(sec_descs, hnd_id)});
    }
+   /**
+   * @brief wrapper method to batch securities so sub limits are not reached
+   */
+   template <class SecDescs>
+   void batch_subscribe_market_data(SecDescs securities, size_t n = 16) {
+    auto it = securities.begin();
+    while (it != securities.end()) {
+        auto batch_end = std::next(it, std::min(n, static_cast<size_t>(std::distance(it, securities.end()))));
+        SecDescs batch(it, batch_end);
+        subscribe_market_data(batch);
+        it = batch_end;
+        std::this_thread::sleep_for(500ms);
+    }
+}
 
    /**
     * @brief Subscribes to depth, ticker, and price data for a list of
@@ -360,6 +374,8 @@ struct BinanceSubscription::PImpl {
       }
 
       listener->on_securities(sec_ptrs);
+      // batch_subscribe_market_data(sec_descs,4);
+      bts_assert(sec_descs.size() < 256);
       subscribe_market_data(sec_descs);
    }
 };

src/server/sparkd/md/databento/DatabentoDataHandler.cpp

@@ -4,15 +4,19 @@
 #include "databento/exceptions.hpp"
 #include "databento/live_blocking.hpp"
 #include "databento/log.hpp"
+#include "databento/record.hpp"
 #include "databento/timeseries.hpp"
 #include "lib/api/domain/Venue.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/system_config.pb.h"
 #include "lib/core/TimeStamp.h"
+#include "lib/domain/AggressorSide.h"
 #include "lib/domain/Book.h"
 #include "lib/domain/Quantity.h"
 #include "lib/domain/Security.h"
 #include "lib/domain/SecurityID.h"
+#include "lib/domain/Side.h"
+#include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/logging/logging.h"
 #include "lib/utils/TimeStamp.h"
@@ -190,6 +194,48 @@ void DatabentoDatahandler::run(
           utils::TimeStamp{datetime::ptime_to_timestamp(recv_time.to_ptime())});
       return databento::KeepGoing::Continue;
    };
+   auto process_trades = [&](const databento::Record &record) {
+      const auto &msg = record.Get<databento::TradeMsg>();
+      // The security type to is needed to get the id. Since the sec type isn't known,
+      // check for an id using both types (OPTION and FUTURE). This is safe to do since
+      // options and futures never have common names (instrument ids).
+      const auto name = std::to_string(msg.hd.instrument_id);
+      auto sec_id_opt =
+          sec_id_store->get_id(venue, SEC_TYPE(OPTION), name, false);
+      if (!sec_id_opt.has_value()) {
+         sec_id_opt =
+             sec_id_store->get_id(venue, SEC_TYPE(FUTURE), name, false);
+         if (!sec_id_opt.has_value()) {
+            return databento::KeepGoing::Continue;
+         }
+      }
+
+      sleep_for(sleep_duration_updated);
+      bts::domain::SecurityID sec_id =
+          bts::domain::SecurityID(sec_id_opt.value());
+      domain::TradeRecord trade;
+      trade.trade_price = bts::domain::Price(msg.price, -9);
+      trade.trade_quantity = bts::domain::Quantity(msg.size);
+      trade.sec_id =  sec_id;
+      switch(msg.side){
+         case databento::Side::Ask:
+            trade.agg_side = domain::AggressorSide::Sell;
+            break;
+         case databento::Side::Bid:
+            trade.agg_side = domain::AggressorSide::Buy;
+            break;
+         case databento::Side::None:
+            trade.agg_side = domain::AggressorSide::None;
+            break;
+      }
+      trade.time_stamp = bts::core::TimeStamp::from_iso_string(
+          databento::ToIso8601(msg.ts_recv));
+      std::vector<const domain::TradeRecord *> trade_ptrs;
+      trade_ptrs.push_back(&trade);
+      listener->on_trades(trade_ptrs);
+     
+      return databento::KeepGoing::Continue;
+   };
    if (use_file) {
       auto client = databento::HistoricalBuilder{}.SetKey(key).Build();
       databento::DbnFileStore dbn_file_store(securities_path);
@@ -221,6 +267,7 @@ void DatabentoDatahandler::run(
          client.Subscribe(symbols, databento::Schema::Definition, databento::SType::Parent,databento::UnixNanos{});
     else client.Subscribe(symbols, databento::Schema::Definition, databento::SType::Parent);
     client.Subscribe(symbols, databento::Schema::Mbp1, databento::SType::Parent);
+    client.Subscribe(symbols, databento::Schema::Trades, databento::SType::Parent);
     client.Start();
     while (true) {
     try {
@@ -235,6 +282,9 @@ void DatabentoDatahandler::run(
     if (record->Holds<databento::InstrumentDefMsg>()) {
         process_security(*record);
     }
+    if (record->Holds<databento::TradeMsg>()) {
+        process_trades(*record);
+    }
   } catch (const databento::TcpError& error) {
     std::string err = error.what();
     LOG(md, Error, "Caught TCP error: {} \nAttempting reconnect\n",err);

src/server/sparkd/md/okx/OkxInstrumentStore.cpp

@@ -41,8 +41,8 @@ static void instrument_to_sec(const OkxInstrument &oi, Security &sec) {
    scomm.exchange_sec_id = oi.instId;
    scomm.desc = oi.instId;
    scomm.min_price_increment = oi.tickSz;
-   scomm.min_quantity = oi.lotSz;
-   scomm.min_quantity_increment = oi.minSz;
+   scomm.min_quantity = oi.minSz;
+   scomm.min_quantity_increment = oi.lotSz;
    scomm.currency = oi.quoteCcy;
 
    switch (oi.instType.value) {
@@ -51,9 +51,13 @@ static void instrument_to_sec(const OkxInstrument &oi, Security &sec) {
       sec.security.emplace<SpotSecurity>();
       break;
    case bts::md::okx::OkxInstrumentType::SWAP:{
-      sec.security_common.symbol = oi.settleCcy;
       auto &fut = sec.security.emplace<FutureSecurity>();
       core::TimeStamp::from_ymd(3000, 1, 1,&fut.expiration);
+      if(oi.instId.find("USDT")!=std::string::npos){
+         sec.security_common.symbol = oi.instId.substr(0,oi.instId.find_first_of("-"));
+         break;
+      }
+      sec.security_common.symbol = oi.settleCcy;
       break;
    }
    case OkxInstrumentType::FUTURES: {

tools/binance/binance.env

@@ -0,0 +1,43 @@
+BINANCE_USDS_FUTURES_PROD_URL="https://fapi.binance.com"
+BINANCE_USDS_FUTURES_DEV_URL="https://testnet.binancefuture.com"
+BINANCE_USDS_FUTURES_EXCHANGE_INFO_PATH="/fapi/v1/exchangeInfo"
+
+BINANCE_USDS_FUTURES_DEPTH_PATH="/fapi/v1/depth"
+BINANCE_USDS_FUTURES_DEPTH_PARAMS='symbol=${SYMBOL}&limit=${LIMIT:-5}'
+
+BINANCE_USDS_FUTURES_RECENT_TRADES_PATH="/fapi/v1/trades"
+BINANCE_USDS_FUTURES_RECENT_TRADES_PARAMS='symbol=${SYMBOL}&limit=${LIMIT:-500}'
+
+BINANCE_USDS_FUTURES_HISTORICAL_TRADES_PATH="/fapi/v1/historicalTrades"
+BINANCE_USDS_FUTURES_HISTORICAL_TRADES_PARAMS='symbol=${SYMBOL}&limit=${LIMIT:-500}'
+
+BINANCE_USDS_FUTURES_MARK_PRICE_PATH="/fapi/v1/premiumIndex"
+BINANCE_USDS_FUTURES_MARK_PRICE_PARAMS='symbol=${SYMBOL}'
+
+BINANCE_USDS_FUTURES_PRICE_TICKER_PATH="/fapi/v1/ticker/price"
+BINANCE_USDS_FUTURES_PRICE_TICKER_PARAMS='symbol=${SYMBOL}'
+
+BINANCE_USDS_FUTURES_BBO_PATH="/fapi/v1/ticker/bookTicker"
+BINANCE_USDS_FUTURES_BBO_PARAMS='symbol=${SYMBOL}'
+
+BINANCE_USDS_FUTURES_OPEN_INTEREST_PATH="/dapi/v1/openInterest"
+BINANCE_USDS_FUTURES_OPEN_INTEREST_PARAMS='symbol=${SYMBOL}'
+
+BINANCE_USDS_FUTURES_LONG_SHORT_RATIO_PATH="/futures/data/globalLongShortAccountRatio"
+BINANCE_USDS_FUTURES_LONG_SHORT_RATIO_PATH='symbol=${SYMBOL}&period=${PERIOD:-30}&limit=${LIMIT:-10}'
+
+BINANCE_COIN_FUTURES_PROD_URL="https://dapi.binance.com"
+BINANCE_COIN_FUTURES_DEV_URL="https://testnet.binancefuture.com"
+BINANCE_COIN_FUTURES_EXCHANGE_INFO_PATH="/dapi/v1/exchangeInfo"
+BINANCE_COIN_FUTURES_DEPTH_PATH="/dapi/v1/depth"
+BINANCE_COIN_FUTURES_RECENT_TRADES_PATH="/dapi/v1/trades"
+BINANCE_COIN_FUTURES_HISTORICAL_TRADES_PATH="/dapi/v1/historicalTrades"
+BINANCE_COIN_FUTURES_MARK_PRICE_PATH="/dapi/v1/premiumIndex"
+BINANCE_COIN_FUTURES_PRICE_TICKER_PATH="/dapi/v1/ticker/price"
+BINANCE_COIN_FUTURES_BBO_PATH="/dapi/v1/ticker/bookTicker"
+BINANCE_COIN_FUTURES_OPEN_INTEREST_PATH="/dapi/v1/openInterest"
+BINANCE_COIN_FUTURES_LONG_SHORT_RATIO_PATH="/futures/data/globalLongShortAccountRatio"
+
+BINANCE_PROD_URL="https://api.binance.com"
+BINANCE_DEV_URL="https://testnet.binance.vision"
+BINANCE_PATH="/api/v3/depth"

tools/binance/get_binance_md.sh

@@ -0,0 +1,141 @@
+#!/usr/bin/env bash
+
+help_text="\
+Get Binance market data.
+
+Usage: get_binance_md.sh [OPTIONS]
+
+Options:
+  --usds-future     Indicates the symbol is a USDS Future
+  --coin-future     Indicates the symbol is a Coin Future
+  --spot            Indicates the symbol is a Spot
+  --us              Indicates the symbol is a Binance US Spot
+  --prod            Use production url
+  --dev             Use development url
+  --dry             Print the command to console without actually running it
+  --data            DEPTH | RECENT_TRADES | HISTORICAL_TRADES | MARK_PRICE | PRICE_TICKER
+  --<key>=<value>   Query parameter (e.g., --symbol=btcusdt, --limit=5)
+
+"
+
+function print_help_and_exit() {
+  echo "$help_text"
+  exit "$1"
+}
+
+declare this_dir="$(readlink -f $(dirname ${BASH_SOURCE[0]}))"
+source "$this_dir/binance.env"
+
+env_name="binance"
+venue="BINANCE"
+declare -u mode
+declare -u data
+declare -A query_params
+declare -i dry
+dry=0
+
+while [[ $# -gt 0 ]]; do
+  case "$1" in
+    --usds-future)
+      venue="BINANCE_USDS_FUTURES"
+      shift 1
+      ;;
+    --coin-future)
+      venue="BINANCE_COIN_FUTURES"
+      shift 1
+      ;;
+    --spot)
+      venue="BINANCE"
+      shift 1
+      ;;
+    --us)
+      venue="BINANCE_US"
+      shift 1
+      ;;
+    --prod)
+      mode="PROD"
+      shift 1
+      ;;
+    --dev)
+      mode="DEV"
+      shift 1
+      ;;
+    --data)
+      if [[ -n "$data" ]]; then
+        echo "Unexpected argument '$1'"
+        print_help_and_exit 1
+      elif [[ -z "$2" ]]; then
+        echo "Data (--data) must be non-empty"
+        print_help_and_exit 1
+      fi
+      data="$2"
+      shift 2
+      ;;
+    --*=*)
+      key="${1%%=*}"
+      key="${key#--}"
+      value="${1#*=}"
+      if [[ -z "$key" ]]; then
+        echo "Invalid --key=value arg (key is empty). $1"
+        print_help_and_exit 1
+      fi
+      query_params["$key"]="$value"
+      shift 1
+      ;;
+    --dry)
+      dry=1
+      shift 1
+      ;;
+    -h)
+      ;&
+    --help)
+      print_help_and_exit 0
+      ;;
+    *)
+      if [[ -z "$1" ]]; then
+        echo "Invalid positional argument '$1'"
+        print_help_and_exit 1
+      elif [[ -z "$symbol" ]]; then
+        symbol="$1"
+      else
+        echo "Unexpected argument '$1'"
+        print_help_and_exit 1
+      fi
+      shift 1
+    ;;
+  esac
+done
+
+if [ -z "$mode" ]; then
+  mode="DEV"
+fi
+if [ -z "$data" ]; then
+  data="DEPTH"
+fi
+
+base_url_name="${venue}_${mode}_URL"
+base_url_name="${venue}_${mode}_URL"
+path_name="${venue}_${data}_PATH"
+params_name="${venue}_${data}_PARAMS"
+if [ ! -f "$this_dir/$env_name.env" ]; then
+  echo "Env file '$this_dir/$env_name.env' does not exist"
+  print_help_and_exit 1
+fi
+
+for key in "${!query_params[@]}"; do
+  val=${query_params[$key]}
+  declare -u keyu
+  keyu="$key"
+  eval "$keyu=$val"
+done
+
+source "$this_dir/$env_name.env"
+
+params_template=${!params_name}
+eval "params=\"$params_template\""
+url="${!base_url_name}${!path_name}?${params}"
+if [ $dry -ne 0 ]; then
+  echo curl --get $url
+else
+  curl --get $url
+fi