fix: Sum realized & unrealized pnl correctly in header rows

This is what we deploy to the alphaworx-zen-hk-live server

.devcontainer/Dockerfile

@@ -65,7 +65,7 @@ RUN \
    && apt-get install -y cmake
 
 # Dotnet
-RUN apt-get update && apt-get install -y dotnet7
+RUN apt-get update && apt-get install -y dotnet8
 
 # Node
 ARG node_major=18
@@ -90,6 +90,12 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
 # Databento (deps)
 RUN apt-get update && apt-get -y install libzstd-dev
 
+# Docker in Docker
+RUN apt-get update && apt-get install -y \
+    docker.io \
+    docker-compose \
+    docker-compose-v2
+
 # Set up default executables (update-alternatives)
 RUN \
    update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \

.devcontainer/devcontainer.json

@@ -1,15 +1,10 @@
 {
   "dockerFile": "Dockerfile",
-  // Creates local dir to mount to HOME in docker 
-  "initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
   "hostRequirements": {
-    "memory": "4gb",
-    "storage": "6gb"
+    "memory": "8gb",
+    "storage": "10gb"
   },
-  "postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
   "containerUser": "bts",
-  "workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
-  "workspaceFolder": "/home/bts/spark",
   "updateRemoteUserUID": true,
   "shutdownAction": "none",
   // Note: If running multiple containers on the same host, each must use a
@@ -17,34 +12,20 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "2gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003",
-    "-p",
-    "12345:12345"
+    "8gb"
   ],
   "mounts": [
-    "source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
+    "source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
   ],
   "customizations": {
     "vscode": {
-      "settings": {
-        "clangd.arguments": [
-          "--compile-commands-dir=${workspaceFolder}/build/clang/debug"
-        ]
-      },
       "extensions": [
         "eamodio.gitlens",
         "llvm-vs-code-extensions.vscode-clangd",
         "ms-vscode.cmake-tools",
-        "ms-vscode.cpptools"
+        "ms-vscode.cpptools",
+        "xaver.clang-format"
       ]
     }
   }
-}
+}

.env

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

.gitignore

@@ -59,3 +59,5 @@ trace_data/
 .devcontainer/
 *.Generated.cs
 *.lst
+.env.local
+.secrets

.gitmodules

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

.vscode/launch.json

@@ -1,6 +1,14 @@
 {
   "version": "0.2.0",
   "configurations": [
+    {
+      "name": "Python Debugger: Current File with Arguments",
+      "type": "debugpy",
+      "request": "launch",
+      "program": "${file}",
+      "console": "integratedTerminal",
+      "args": "${command:pickArgs}"
+    },
     {
       "name": ".NET Core Attach",
       "type": "coreclr",
@@ -22,7 +30,7 @@
         "--config",
         "${workspaceFolder}/src/DataStreamSuite/DataStreamPublisher/Configurations/${input:dataStreamPublisherConfig}.json"
       ],
-      "cwd": "build/Debug/bin/net7.0",
+      "cwd": "build/Debug/bin/net8.0",
       "stopAtEntry": false,
       "console": "integratedTerminal"
     },
@@ -82,7 +90,7 @@
           "--config",
           "${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json"
         ],
-        "cwd": "build/Debug/bin/net7.0-windows",
+        "cwd": "build/Debug/bin/net8.0-windows",
         "env": {
           "PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe"
         },
@@ -106,7 +114,7 @@
         "--config",
         "${workspaceFolder}/src/DataStreamSuite/PubSubServer/Configurations/${input:pubSubServerConfig}.json"
       ],
-      "cwd": "build/Debug/bin/net7.0",
+      "cwd": "build/Debug/bin/net8.0",
       "stopAtEntry": false,
       "console": "integratedTerminal"
     },
@@ -118,7 +126,7 @@
       "windows": {
         "preLaunchTask": "Build Spark (Debug)",
         "program": "Spark.exe",
-        "cwd": "build/Debug/bin/net7.0-windows",
+        "cwd": "build/Debug/bin/net8.0-windows",
       },
       "stopAtEntry": false,
       "console": "integratedTerminal"
@@ -130,7 +138,7 @@
       "program": "",
       "windows": {
         "program": "Spark.exe",
-        "cwd": "build/Debug/bin/net7.0-windows",
+        "cwd": "build/Debug/bin/net8.0-windows",
       },
       "stopAtEntry": false,
       "console": "integratedTerminal"
@@ -147,7 +155,7 @@
           "--sparkd",
           "${input:sparkConfigServer}"
         ],
-        "cwd": "build/Debug/bin/net7.0-windows",
+        "cwd": "build/Debug/bin/net8.0-windows",
       },
       "stopAtEntry": false,
       "console": "integratedTerminal"
@@ -160,7 +168,7 @@
       "windows": {
         "preLaunchTask": "Build Spark (Debug)",
         "program": "Spark.Console.exe",
-        "cwd": "build/Debug/bin/net7.0",
+        "cwd": "build/Debug/bin/net8.0",
         "args": [
           "test",
           "${input:sparkTest}"
@@ -176,7 +184,7 @@
       "program": "",
       "windows": {
         "program": "Spark.Console.exe",
-        "cwd": "build/Debug/bin/net7.0",
+        "cwd": "build/Debug/bin/net8.0",
         "args": [
           "test",
           "${input:sparkTest}"

CMakeLists.txt

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

CMakePresets.json

@@ -32,8 +32,8 @@
         "CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
         "EXTERNALS_ROOT": "${sourceDir}/externals/windows",
         "CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
-        "DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0",
-        "DOTNET_WINDOWS_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0-windows",
+        "DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0",
+        "DOTNET_WINDOWS_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0-windows",
         "EXPORT_MD_CONSUMER": {
           "type": "BOOL",
           "value": "ON"
@@ -64,6 +64,11 @@
         "CMAKE_INSTALL_RPATH": ".",
         "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
         "CMAKE_EXE_LINKER_FLAGS": "-Wno-undef",
+        "CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
+        "DATABENTO_USE_EXTERNAL_JSON": {
+          "type": "BOOL",
+          "value": "ON"
+        },
         "EXTERNALS_ROOT": "${sourceDir}/externals/linux",
         "BUILD_SDK": {
           "type": "BOOL",
@@ -182,7 +187,7 @@
         "CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3",
         "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
         "CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
-        "DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0",
+        "DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0",
         "EXPORT_MD_CONSUMER": {
           "type": "BOOL",
           "value": "ON"

cmake/GitVersion.cmake

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

cmake/version.h.in

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

compose.yaml

@@ -0,0 +1,104 @@
+services:
+  sparkd:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-symbols:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+      - ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/sparkdata/conf
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        ls -alh /home/bts/sparkdata/conf/
+        cat /home/bts/sparkdata/conf/.env.local
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      restart_policy:
+        condition: any
+        delay: 3s
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-tail:
+    image: bluetradingsystems/linux_dotnet7
+    volumes:
+      - type: volume
+        read_only: true
+        source: sparkd_data
+        target: /home/bts/sparkdata/data/logging.sparkd
+        volume:
+          subpath: logging.sparkd
+    command: ["tail", "-f", "/home/bts/sparkdata/data/logging.sparkd/log"]
+
+  sparkd-ping-test:
+    depends_on:
+      - sparkd
+    profiles:
+      - ping-test
+    build:
+      context: .
+      dockerfile_inline: |
+        FROM bluetradingsystems/linux_dotnet7
+        USER "root"
+        RUN apt-get update && apt-get -y install iputils-ping
+    command: [ "ping", "sparkd" ]
+
+volumes:
+  sparkd_data:
+    name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"

docker/images/bluetradingsystems/linux_dotnet7/Dockerfile

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

requirements.txt

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

src/DataStreamSuite/ArithmeticExpressions/ArithmeticExpressions.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/BaseUtilities/BaseUtilities.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/BlueRegistry/BlueRegistry.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/BooleanExpressions/BooleanExpressions.csproj

@@ -1,14 +1,14 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>
 
   <ItemGroup>
     <PackageReference Include="Google.Protobuf" Version="3.24.3" />
-    <PackageReference Include="YaccLexTools" Version="1.2.0" />
+    <PackageReference Include="YaccLexTools" Version="1.2.3" />
   </ItemGroup>
 
   <ItemGroup>

src/DataStreamSuite/BooleanExpressions/GplexBuffers.cs

@@ -24,8 +24,6 @@ namespace QUT.GplexBuffers
         public BufferException(string message) : base(message) { }
         public BufferException(string message, Exception innerException)
             : base(message, innerException) { }
-        protected BufferException(SerializationInfo info, StreamingContext context)
-            : base(info, context) { }
     }
 
     internal abstract class ScanBuff
@@ -60,12 +58,10 @@ namespace QUT.GplexBuffers
             return new BuildBuffer(source);
         }
 
-#if (!BYTEMODE)
         public static ScanBuff GetBuffer(Stream source, int fallbackCodePage)
         {
             return new BuildBuffer(source, fallbackCodePage);
         }
-#endif // !BYTEMODE
 #endif // !NOFILES
     }
 
@@ -353,17 +349,15 @@ namespace QUT.GplexBuffers
         {
             FileStream fStrm = (stream as FileStream);
             if (fStrm != null) FileName = fStrm.Name;
-            NextBlk = BlockReaderFactory.Raw(stream);
+            NextBlk = BlockReaderFactory.Get(stream);
         }
 
-#if (!BYTEMODE)
         public BuildBuffer(Stream stream, int fallbackCodePage)
         {
             FileStream fStrm = (stream as FileStream);
             if (fStrm != null) FileName = fStrm.Name;
             NextBlk = BlockReaderFactory.Get(stream, fallbackCodePage);
         }
-#endif
 
         /// <summary>
         /// Marks a conservative lower bound for the buffer,
@@ -434,43 +428,19 @@ namespace QUT.GplexBuffers
     //
     internal static class BlockReaderFactory
     {
-        public static BlockReader Raw(Stream stream)
-        {
-            return delegate(char[] block, int index, int number)
-            {
-                byte[] b = new byte[number];
-                int count = stream.Read(b, 0, number);
-                int i = 0;
-                int j = index;
-                for (; i < count; i++, j++)
-                    block[j] = (char)b[i];
-                return count;
-            };
-        }
 
-#if (!BYTEMODE)
-        public static BlockReader Get(Stream stream, int fallbackCodePage)
+        public static BlockReader Get(Stream stream, int fallbackCodePage = -2)
         {
             Encoding encoding;
             int preamble = Preamble(stream);
 
             if (preamble != 0)  // There is a valid BOM here!
                 encoding = Encoding.GetEncoding(preamble);
-            else if (fallbackCodePage == -1) // Fallback is "raw" bytes
-                return Raw(stream);
-            else if (fallbackCodePage != -2) // Anything but "guess"
+            else if (fallbackCodePage >= 0) // Anything but "guess"
                 encoding = Encoding.GetEncoding(fallbackCodePage);
             else // This is the "guess" option
-            {
-                int guess = new Guesser(stream).GuessCodePage();
-                stream.Seek(0, SeekOrigin.Begin);
-                if (guess == -1) // ==> this is a 7-bit file
-                    encoding = Encoding.ASCII;
-                else if (guess == 65001)
-                    encoding = Encoding.UTF8;
-                else             // ==> use the machine default
-                    encoding = Encoding.Default;
-            }
+                encoding = GuessEncoding(stream);
+
             StreamReader reader = new StreamReader(stream, encoding);
             return reader.Read;
         }
@@ -488,6 +458,14 @@ namespace QUT.GplexBuffers
             int b2 = stream.ReadByte();
             if (b0 == 0xef && b1 == 0xbb && b2 == 0xbf)
                 return 65001; // UTF8
+
+            int b3 = stream.ReadByte();
+            // Check for UTF-32 BOM (Byte Order Mark)
+            if (b0 == 0x00 && b1 == 0x00 && b2 == 0xFE && b3 == 0xFF)
+                return 12001; // UTF-32BE
+            if (b0 == 0xFF && b1 == 0xFE && b2 == 0x00 && b3 == 0x00)
+                return 12000; // UTF-32LE
+
             //
             // There is no unicode preamble, so we
             // return denoter for the machine default.
@@ -495,7 +473,150 @@ namespace QUT.GplexBuffers
             stream.Seek(0, SeekOrigin.Begin);
             return 0;
         }
-#endif // !BYTEMODE
+
+        private static Encoding GuessEncoding(Stream stream)
+        {
+            stream.Seek(0, SeekOrigin.Begin);
+            if (IsUtf16(stream, out Encoding encoding))
+            {
+                stream.Seek(0, SeekOrigin.Begin);
+                return encoding;
+            }
+
+            stream.Seek(0, SeekOrigin.Begin);
+            if (IsUtf8(stream))
+            {
+                stream.Seek(0, SeekOrigin.Begin);
+                return Encoding.UTF8;
+            }
+
+            stream.Seek(0, SeekOrigin.Begin);
+            if (IsAscii(stream))
+            {
+                stream.Seek(0, SeekOrigin.Begin);
+                return Encoding.ASCII;
+            }
+
+#if !NET462_OR_GREATER
+            stream.Seek(0, SeekOrigin.Begin);
+            if (IsLatin1(stream))
+            {
+                stream.Seek(0, SeekOrigin.Begin);
+                return Encoding.Latin1;
+            }
+#endif
+            stream.Seek(0, SeekOrigin.Begin);
+            return Encoding.Default;
+        }
+
+        private static bool IsUtf8(Stream stream)
+        {
+            int b;
+            while ((b = stream.ReadByte()) != -1)
+            {
+                if ((b & 0x80) == 0) // 0xxxxxxx
+                {
+                    continue;
+                }
+                else if ((b & 0xE0) == 0xC0) // 110xxxxx 10xxxxxx
+                {
+                    if (!IsValidUtf8ContinuationByte(stream)) return false;
+                }
+                else if ((b & 0xF0) == 0xE0) // 1110xxxx 10xxxxxx 10xxxxxx
+                {
+                    if (!IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream)) return false;
+                }
+                else if ((b & 0xF8) == 0xF0) // 11110xxx 10xxxxxx 10xxxxxx 10xxxxxx
+                {
+                    if (!IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream)) return false;
+                }
+                else
+                {
+                    return false;
+                }
+            }
+            return true;
+        }
+
+        private static bool IsValidUtf8ContinuationByte(Stream stream)
+        {
+            int b = stream.ReadByte();
+            return b != -1 && (b & 0xC0) == 0x80; // 10xxxxxx
+        }
+
+        private static bool IsUtf16(Stream stream, out Encoding encoding)
+        {
+            encoding = Encoding.Default;
+
+            if (stream.Length >= 2)
+            {
+                // Read the first two bytes
+                int b0 = stream.ReadByte();
+                int b1 = stream.ReadByte();
+
+                // Check for UTF-16 BOM (Byte Order Mark)
+                if (b0 == 0xFF && b1 == 0xFE)
+                {
+                    encoding = Encoding.Unicode;
+                    return true; // UTF-16LE
+                }
+                if (b0 == 0xFE && b1 == 0xFF)
+                {
+                    encoding = Encoding.BigEndianUnicode;
+                    return true; // UTF-16BE
+                }
+
+                // Reset the stream position
+                stream.Seek(0, SeekOrigin.Begin);
+
+                // Check for common UTF-16 patterns
+                byte[] buffer = new byte[2];
+                while (stream.Read(buffer, 0, 2) == 2)
+                {
+                    if (buffer[0] == 0x00 && buffer[1] != 0x00)
+                    {
+                        encoding = Encoding.BigEndianUnicode;
+                        return true; // Likely UTF-16BE
+                    }
+                    if (buffer[0] != 0x00 && buffer[1] == 0x00)
+                    {
+                        encoding = Encoding.Unicode;
+                        return true; // Likely UTF-16LE
+                    }
+                }
+            }
+
+            return false;
+        }
+
+        private static bool IsAscii(Stream stream)
+        {
+            int b;
+            while ((b = stream.ReadByte()) != -1)
+            {
+                // Latin1 includes byte values from 0x00 to 0xFF
+                if (b > 0x7F)
+                {
+                    return false;
+                }
+            }
+            return true;
+        }
+
+        private static bool IsLatin1(Stream stream)
+        {
+            int b;
+            while ((b = stream.ReadByte()) != -1)
+            {
+                // Latin1 includes byte values from 0x00 to 0xFF
+                if (b > 0xFF)
+                {
+                    return false;
+                }
+            }
+            return true;
+        }
+
     }
 #endif // !NOFILES
     #endregion Buffer classes
@@ -540,180 +661,6 @@ namespace QUT.GplexBuffers
             return 0;
         }
     }
-#region guesser
-#if (!BYTEMODE)
-    // ==============================================================
-    // ============          Encoding Guesser           =============
-    // ==============================================================
-
-    /// <summary>
-    /// This class provides a simple finite state automaton that
-    /// scans the file looking for (1) valid UTF-8 byte patterns,
-    /// (2) bytes >= 0x80 which are not part of a UTF-8 sequence.
-    /// The method then guesses whether it is UTF-8 or maybe some 
-    /// local machine default encoding.  This works well for the
-    /// various Latin encodings.
-    /// </summary>
-    internal class Guesser
-    {
-        ScanBuff buffer;
-
-        public int GuessCodePage() { return Scan(); }
-
-        const int maxAccept = 10;
-        const int initial = 0;
-        const int eofNum = 0;
-        const int goStart = -1;
-        const int INITIAL = 0;
-        const int EndToken = 0;
-
-        #region user code
-        /* 
-         *  Reads the bytes of a file to determine if it is 
-         *  UTF-8 or a single-byte code page file.
-         */
-        public long utfX;
-        public long uppr;
-        #endregion user code
-
-        int state;
-        int currentStart = startState[0];
-        int code;
-
-        #region ScannerTables
-        static int[] startState = new int[] { 11, 0 };
-
-        #region CharacterMap
-        static sbyte[] map = new sbyte[256] {
-/*     '\0' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*   '\x10' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*   '\x20' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*      '0' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*      '@' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*      'P' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*      '`' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*      'p' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
-/*   '\x80' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 
-/*   '\x90' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 
-/*   '\xA0' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 
-/*   '\xB0' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 
-/*   '\xC0' */ 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
-/*   '\xD0' */ 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
-/*   '\xE0' */ 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 
-/*   '\xF0' */ 4, 4, 4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 5, 5 };
-        #endregion
-
-        static sbyte[][] nextState = new sbyte[][] {
-            new sbyte[] {0, 0, 0, 0, 0, 0},
-            new sbyte[] {-1, -1, 10, -1, -1, -1},
-            new sbyte[] {-1, -1, -1, -1, -1, -1},
-            new sbyte[] {-1, -1, 8, -1, -1, -1},
-            new sbyte[] {-1, -1, 5, -1, -1, -1},
-            new sbyte[] {-1, -1, 6, -1, -1, -1},
-            new sbyte[] {-1, -1, 7, -1, -1, -1},
-            null,
-            new sbyte[] {-1, -1, 9, -1, -1, -1},
-            null,
-            null,
-            new sbyte[] {-1, 1, 2, 3, 4, 2}
-        };
-
-
-        [SuppressMessage("Microsoft.Performance", "CA1810:InitializeReferenceTypeStaticFieldsInline")]
-        // Reason for suppression: cannot have self-reference in array initializer.
-        static Guesser()
-        {
-            nextState[7] = nextState[2];
-            nextState[9] = nextState[2];
-            nextState[10] = nextState[2];
-        }
-
-        int NextState()
-        {
-            if (code == ScanBuff.EndOfFile)
-                return eofNum;
-            else
-                return nextState[state][map[code]];
-        }
-        #endregion
-
-        public Guesser(System.IO.Stream file) { SetSource(file); }
-
-        public void SetSource(System.IO.Stream source)
-        {
-            this.buffer = new BuildBuffer(source);
-            code = buffer.Read();
-        }
-
-        int Scan()
-        {
-            for (; ; )
-            {
-                int next;
-                state = currentStart;
-                while ((next = NextState()) == goStart)
-                    code = buffer.Read();
-
-                state = next;
-                code = buffer.Read();
-
-                while ((next = NextState()) > eofNum)
-                {
-                    state = next;
-                    code = buffer.Read();
-                }
-                if (state <= maxAccept)
-                {
-                    #region ActionSwitch
-#pragma warning disable 162
-                    switch (state)
-                    {
-                        case eofNum:
-                            switch (currentStart)
-                            {
-                                case 11:
-                                    if (utfX == 0 && uppr == 0) return -1; /* raw ascii */
-                                    else if (uppr * 10 > utfX) return 0;   /* default code page */
-                                    else return 65001;                     /* UTF-8 encoding */
-                                    break;
-                            }
-                            return EndToken;
-                        case 1: // Recognized '{Upper128}',	Shortest string "\xC0"
-                        case 2: // Recognized '{Upper128}',	Shortest string "\x80"
-                        case 3: // Recognized '{Upper128}',	Shortest string "\xE0"
-                        case 4: // Recognized '{Upper128}',	Shortest string "\xF0"
-                            uppr++;
-                            break;
-                        case 5: // Recognized '{Utf8pfx4}{Utf8cont}',	Shortest string "\xF0\x80"
-                            uppr += 2;
-                            break;
-                        case 6: // Recognized '{Utf8pfx4}{Utf8cont}{2}',	Shortest string "\xF0\x80\x80"
-                            uppr += 3;
-                            break;
-                        case 7: // Recognized '{Utf8pfx4}{Utf8cont}{3}',	Shortest string "\xF0\x80\x80\x80"
-                            utfX += 3;
-                            break;
-                        case 8: // Recognized '{Utf8pfx3}{Utf8cont}',	Shortest string "\xE0\x80"
-                            uppr += 2;
-                            break;
-                        case 9: // Recognized '{Utf8pfx3}{Utf8cont}{2}',	Shortest string "\xE0\x80\x80"
-                            utfX += 2;
-                            break;
-                        case 10: // Recognized '{Utf8pfx2}{Utf8cont}',	Shortest string "\xC0\x80"
-                            utfX++;
-                            break;
-                        default:
-                            break;
-                    }
-#pragma warning restore 162
-                    #endregion
-                }
-            }
-        }
-    } // end class Guesser
-    
-#endif // !BYTEMODE
-#endregion
 #endif // !NOFILES
 
 // End of code copied from embedded resource

src/DataStreamSuite/Bts.ColumnExpressions/Bts.ColumnExpressions.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/Bts.ColumnSortExpressions/Bts.ColumnSortExpressions.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/ColumnMapExpressions/ColumnMapExpressions.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/DataStream/DataStream.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>enable</Nullable>
   </PropertyGroup>
 
@@ -23,6 +23,7 @@
     <PackageReference Include="MongoDB.Driver" Version="2.23.1" />
     <PackageReference Include="Parquet.Net" Version="5.0.1" />
     <PackageReference Include="System.Data.SQLite" Version="1.0.118" />
+    <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
   </ItemGroup>
 
 </Project>

src/DataStreamSuite/DataStream/Primitives/GroupBy/GroupByBundle.cs

@@ -4,42 +4,46 @@ namespace bts.SilverPine {
    using System;
    using System.Collections.Generic;
    using System.Linq;
+   //using MathNet.Numerics.Statistics;
 
-   using ZstdSharp.Unsafe;
 
-   public enum GroupByBundleOp {
+   public enum MultiRowOp {
       Mean,
       Median,
       Mode,
+      Range,
       StdDev,
       Max,
       Min,
       First,
       Last,
-      Sum
+      Sum,
+      EdgeDiff,
+      EdgeDiffPercentage,
+      //IsEdgeDiff,
    }
-   public class GroupByBundle {
-      public readonly List<Tuple<string, GroupByBundleOp>> operations;
+   public class MultiRowOpHelper {
+      public readonly List<Tuple<string, MultiRowOp>> operations;
 
-      public static GroupByBundle parse(string text) {
+      public static MultiRowOpHelper parse(string text) {
          // text is inp_col: op, inp_col: op, inp_col:op
-         List<Tuple<string, GroupByBundleOp>> rv = new List<Tuple<string, GroupByBundleOp>>();
+         List<Tuple<string, MultiRowOp>> rv = new List<Tuple<string, MultiRowOp>>();
          string[] calcs = text.Split(',');
          foreach (string c in calcs) {
             string[] toks = c.Split(':');
             string inp_col = toks[0].Trim();
             string op_txt = toks[1].Trim();
-            GroupByBundleOp op = Enum.Parse<GroupByBundleOp>(op_txt, true);
+            MultiRowOp op = Enum.Parse<MultiRowOp>(op_txt, true);
             rv.Add(Tuple.Create(inp_col, op));
          }
-         return new GroupByBundle(rv);
+         return new MultiRowOpHelper(rv);
       }
 
-      public GroupByBundle(List<Tuple<string, GroupByBundleOp>> operations_) {
+      public MultiRowOpHelper(List<Tuple<string, MultiRowOp>> operations_) {
          operations = operations_;
       }
 
-      public static IBlueRow group_by(List<IBlueRow> rows, GroupByBundle parameters) {
+      public static IBlueRow group_by(List<IBlueRow> rows, MultiRowOpHelper parameters) {
          if (rows.Count() == 0) {
             return null;
          }
@@ -47,8 +51,8 @@ namespace bts.SilverPine {
          IBlueRow ir = rows.ElementAt(0);
          IBlueTableSchema in_schema = ir.schema;
          IBlueTableSchema out_schema = in_schema;
-         IDictionary<string, Tuple<string, GroupByBundleOp>> out_col_map =
-            new Dictionary<string, Tuple<string, GroupByBundleOp>>();
+         IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
+            new Dictionary<string, Tuple<string, MultiRowOp>>();
          foreach (var t in parameters.operations) {
             string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
             out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
@@ -58,7 +62,7 @@ namespace bts.SilverPine {
          foreach (var kv in out_col_map) {
             string out_col_name = kv.Key;
             string in_col_name = kv.Value.Item1;
-            GroupByBundleOp op = kv.Value.Item2;
+            MultiRowOp op = kv.Value.Item2;
             IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rows, in_col_name);
             double comp_res = compute_op(col_vals, op);
             or.setValue(out_col_name, comp_res);
@@ -66,20 +70,51 @@ namespace bts.SilverPine {
          return or;
       }
 
-      public static double compute_op(IEnumerable<double> col_vals, GroupByBundleOp op) {
+      // rolling_rows are the rolling window of rows. the 0th row is the one thats gettin
+      // calculated. rows 1 - n-1 are its window rows. the schema is based on the operations.
+
+      public IBlueRow rolling_calc(List<IBlueRow> rolling_rows) {
+         if (rolling_rows.Count() == 0) {
+            return null;
+         }
+         IBlueRow ir = rolling_rows.ElementAt(0);
+         IBlueTableSchema in_schema = ir.schema;
+         IBlueTableSchema out_schema = in_schema;
+         IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
+            new Dictionary<string, Tuple<string, MultiRowOp>>();
+         foreach (var t in operations) {
+            string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
+            out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
+            out_col_map[out_col_name] = t;
+         }
+         MutableBlueRow or = new MutableBlueRow(out_schema, ir);
+         foreach (var kv in out_col_map) {
+            string out_col_name = kv.Key;
+            string in_col_name = kv.Value.Item1;
+            MultiRowOp op = kv.Value.Item2;
+            IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rolling_rows, in_col_name);
+            double comp_res = compute_op(col_vals, op);
+            or.setValue(out_col_name, comp_res);
+         }
+         return or;
+      }
+
+      public static double compute_op(IEnumerable<double> col_vals, MultiRowOp op) {
          switch (op) {
-            case GroupByBundleOp.Max:
+            case MultiRowOp.Max:
                return col_vals.Max<double>();
-            case GroupByBundleOp.Min:
+            case MultiRowOp.Min:
                return col_vals.Min<double>();
-            case GroupByBundleOp.Mean:
+            case MultiRowOp.Mean:
                return col_vals.Sum() / col_vals.Count();
-            case GroupByBundleOp.Sum:
+            case MultiRowOp.Sum:
                return col_vals.Sum();
-            case GroupByBundleOp.First:
+            case MultiRowOp.First:
                return col_vals.First();
-            case GroupByBundleOp.Last:
+            case MultiRowOp.Last:
                return col_vals.Last();
+            case MultiRowOp.StdDev:
+               return MathNet.Numerics.Statistics.Statistics.StandardDeviation(col_vals);
             default:
                // TODO
                Log.assert(false);

src/DataStreamSuite/DataStream/Primitives/GroupBy/NonIncremental/AggregationSteam.cs

@@ -0,0 +1,20 @@
+namespace bts.SilverPine {
+   using BCG;
+
+   using System;
+
+   [DataStreamUserRespresentation("AggregationStream")]
+   public class AgregationStream : ViewStream {
+
+      public AgregationStream(ViewStream parent_str, string operation_txt) {
+         ViewStream rs = new NonIncGroupByStream(parent_str, String.Empty, operation_txt);
+         mySetRealSource(rs);
+      }
+
+      public AgregationStream(ViewStream parent_str, string groupby_col, string operation_txt) {
+         ViewStream rs = new NonIncGroupByStream(parent_str, groupby_col, operation_txt);
+         mySetRealSource(rs);
+      }
+   }
+
+}

src/DataStreamSuite/DataStream/Primitives/GroupBy/NonIncremental/NonIncGroupByStream.cs

@@ -8,7 +8,7 @@ using bts;
 using bts.SilverPine;
 
 namespace BCG {
-   [DataStreamUserRespresentation("aggregate")]
+   [DataStreamUserRespresentation("AggregateStream")]
    public class NonIncGroupByStream : ViewStream {
       private class DelNonIncGroupByEvaluator : INonIncGroupByEvaluator {
          Func<string[]> _groupby_cols_func;
@@ -53,15 +53,18 @@ namespace BCG {
                                  Func<List<IBlueRow>, List<IBlueRow>> evaluate_func)
                                  : this(main_stream, new DelNonIncGroupByEvaluator(groupby_cols_func, evaluate_func)) { }
 
-      public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col = null) {
-         GroupByBundle std_group_by = GroupByBundle.parse(standard_group_by_text);
+      public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text)
+      : this(parent_str, groupby_col, standard_group_by_text, String.Empty) { }
+
+      public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col) {
+         MultiRowOpHelper std_group_by = MultiRowOpHelper.parse(standard_group_by_text);
          Func<string[]> groupby_cols_func = () => {
             return String.IsNullOrEmpty(groupby_col) ? null : new string[] { groupby_col };
          };
          Func<List<IBlueRow>, List<IBlueRow>> evaluate_func = (group_rows) => {
             if (!String.IsNullOrEmpty(optional_sort_col))
                group_rows.Sort((r1, r2) => BlueDataUtility.compare_rows(r2, r1, optional_sort_col));
-            IBlueRow rv = GroupByBundle.group_by(group_rows, std_group_by);
+            IBlueRow rv = MultiRowOpHelper.group_by(group_rows, std_group_by);
             return new IBlueRow[] { rv }.ToList();
          };
          ViewStream rs = new NonIncGroupByStream(parent_str, groupby_cols_func, evaluate_func);

src/DataStreamSuite/DataStream/Primitives/Map/GlobalMapStream.cs

@@ -69,4 +69,6 @@ namespace bts {
          myFireEvent(dp_out);
       }
    }
+
+
 }

src/DataStreamSuite/DataStream/Primitives/Map/MapStream.cs

@@ -13,9 +13,8 @@ namespace BCG {
    /// desired row ie newRow = f(row), where f is the mapping fucntion. Note that the id 
    /// is preserved across the rows, ie row["id"] = f(row)["id"]
    /// </summary>
-   [DataStreamUserRespresentation (false)]
-   public class MapStream : MethodDrivenStream
-   {
+   [DataStreamUserRespresentation(false)]
+   public class MapStream : MethodDrivenStream {
       protected IStreamMapper myMapper;
       protected IChangeableStreamMapper myChangeableMapper = null;
       private bool myUseNewMap = Configuration.get<DataStreamConfig>().UseNewMap;

src/DataStreamSuite/DataStream/Primitives/Map/RollingComputationStream

@@ -0,0 +1,14 @@
+namespace bts.SilverPine
+{
+   using BCG;
+
+   [DataStreamUserRespresentation("RollingComputationStream")]
+   public class RollingComputationStream : ViewStream
+   {
+      private ViewStream _parent_str;
+      public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz)
+      {
+
+      }
+   }
+}

src/DataStreamSuite/DataStream/Primitives/Map/RollingComputationStream.cs

@@ -0,0 +1,10 @@
+namespace bts.SilverPine {
+   using BCG;
+
+
+   [DataStreamUserRespresentation("RollingComputationStream")]
+   public class RollingComputationStream : ViewStream {
+      public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz) {
+      }
+   }
+}

src/DataStreamSuite/DataStream/Primitives/Project/New/NewProjectStream.cs

@@ -108,6 +108,7 @@ namespace bts {
 
    }
 
+   [DataStreamUserRespresentation("Project")]
    public class NewProjectStream : ViewStream, IStreamMapper {
 
       private ViewStream _stream;

src/DataStreamSuite/DataStream/Primitives/Union/MutableAppendStream.cs

@@ -1,18 +1,15 @@
 using System;
 using System.Collections.Generic;
+
 using mbts;
 
-namespace BCG
-{
-   internal class MutableAppendTable : IBlueRowCollection
-   {
-      private class MyRow : IBlueRow
-      {
+namespace BCG {
+   internal class MutableAppendTable : IBlueRowCollection {
+      private class MyRow : IBlueRow {
          private IBlueRow myRow;
          private int myID;
 
-         public MyRow(IBlueRow r, int id)
-         {
+         public MyRow(IBlueRow r, int id) {
             myRow = r;
             myID = id;
          }
@@ -21,10 +18,8 @@ namespace BCG
 
          public IBlueTableSchema schema { get { return myRow.schema; } }
 
-         public object this[int index]
-         {
-            get
-            {
+         public object this[int index] {
+            get {
                if (myRow.schema[index].colName == "id")
                   return myID;
                else
@@ -52,20 +47,17 @@ namespace BCG
 
          public System.Collections.ICollection Keys { get { return myRow.Keys; } }
 
-         public void Remove(object key) {throw new Exception("The method or operation is not implemented.");}
+         public void Remove(object key) { throw new Exception("The method or operation is not implemented."); }
 
-         public System.Collections.ICollection Values
-         {
-            get
-            {
+         public System.Collections.ICollection Values {
+            get {
                object[] vals = new object[myRow.Count];
                CopyTo(vals, 0);
                return vals;
             }
          }
 
-         public object this[object key]
-         {
+         public object this[object key] {
             get { return key is string ? this[key as string] : this[(int)key]; }
             set { throw new Exception("The method or operation is not implemented."); }
          }
@@ -74,8 +66,7 @@ namespace BCG
 
          #region ICollection Members
 
-         public void CopyTo(Array array, int index)
-         {
+         public void CopyTo(Array array, int index) {
             myRow.CopyTo(array, index);
             array.SetValue(myID, index + myRow.schema["id"].colNo);
          }
@@ -90,8 +81,7 @@ namespace BCG
 
          #region IEnumerable Members
 
-         System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator()
-         { return new BlueRowEnumerator(this); }
+         System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
 
          #endregion
       }
@@ -106,8 +96,7 @@ namespace BCG
 
       public MutableAppendTable(IBlueTableSchema schema) { myRows = new BlueTable(schema); }
 
-      public IBlueRow addRow(IBlueRow r, int tableNo)
-      {
+      public IBlueRow addRow(IBlueRow r, int tableNo) {
          if (!myIDMap.ContainsKey(tableNo))
             myIDMap.Add(tableNo, new Dictionary<int, IBlueRow>());
          IBlueRow nr = new MyRow(r, myID++); // BlueDataUtility.getNewReplacedRow(r, myID++, "id");
@@ -116,20 +105,17 @@ namespace BCG
          return nr;
       }
 
-      public IBlueRow removeRow(IBlueRow r, int tableNo)
-      {
+      public IBlueRow removeRow(IBlueRow r, int tableNo) {
          IBlueRow dr = myIDMap[tableNo][(int)r["id"]];
          myRows.deleteRow(dr);
          myIDMap[tableNo].Remove((int)r["id"]);
          return dr;
       }
 
-      public IBlueRowCollection removeTable(int tableNo)
-      {
+      public IBlueRowCollection removeTable(int tableNo) {
          if (!myIDMap.ContainsKey(tableNo))
             return null;
-         else
-         {
+         else {
             BlueTable rv = new BlueTable(myRows.schema);
             foreach (IBlueRow r in myIDMap[tableNo].Values)
                rv.addRow(r);
@@ -139,8 +125,7 @@ namespace BCG
          }
       }
 
-      public void clear()
-      {
+      public void clear() {
          myRows.clear();
          myIDMap.Clear();
       }
@@ -151,7 +136,7 @@ namespace BCG
 
       public IBlueTableSchema schema { get { return myRows.schema; } }
 
-      public bool containsID(int id) {return myRows.containsID(id);}
+      public bool containsID(int id) { return myRows.containsID(id); }
 
       #endregion
 
@@ -169,7 +154,7 @@ namespace BCG
 
       #region IEnumerable Members
 
-      public System.Collections.IEnumerator GetEnumerator() {return myRows.GetEnumerator();}
+      public System.Collections.IEnumerator GetEnumerator() { return myRows.GetEnumerator(); }
 
       #endregion
    }
@@ -179,8 +164,8 @@ namespace BCG
    /// to append (or remove) more streams at
    /// runtime
    /// </summary>
-   public class MutableAppendStream : ViewStream
-   {
+   [DataStreamUserRespresentation("UnionStream")]
+   public class MutableAppendStream : ViewStream {
       private bool mySubscriptionActive = false;
       private MutableAppendTable myTable;
       private int myMovingIndex;
@@ -188,22 +173,17 @@ namespace BCG
       private bool _allign_col_orders = true;
 
       public MutableAppendStream(params ViewStream[] streams)
-         : this(new List<ViewStream>(streams))
-      { }
+         : this(new List<ViewStream>(streams)) { }
 
       public MutableAppendStream(bool allign_col_order, params ViewStream[] streams)
-         : this(allign_col_order, new List<ViewStream>(streams))
-      { }
+         : this(allign_col_order, new List<ViewStream>(streams)) { }
 
       public MutableAppendStream(ICollection<ViewStream> streams)
-         : this(true, streams)
-      { }
+         : this(true, streams) { }
 
-      public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams)
-      {
+      public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams) {
          _allign_col_orders = allign_col_orders;
-         foreach (ViewStream vs in streams)
-         {
+         foreach (ViewStream vs in streams) {
             myMovingIndex++;
             ViewStream pj = new ChangeTableNameStream(vs, myMovingIndex.ToString());
             if (_allign_col_orders)
@@ -212,8 +192,7 @@ namespace BCG
          }
       }
 
-      public void addStream(ViewStream vs)
-      {
+      public void addStream(ViewStream vs) {
          myMovingIndex++;
          ///the change name is done to identify the callbacks, and the project to
          ///make all the schemas col orders the same
@@ -225,19 +204,14 @@ namespace BCG
             pj.onChange += new ChangeDelegate(myHandleStreamChanges);
       }
 
-      public void removeStream(ViewStream vs)
-      {
+      public void removeStream(ViewStream vs) {
          int index = -1;
-         foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
-         {
-            if (p.Value.first == vs)
-            {
+         foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex) {
+            if (p.Value.first == vs) {
                index = p.Key;
-               if (mySubscriptionActive)
-               {
+               if (mySubscriptionActive) {
                   p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
-                  if (myTable != null)
-                  {
+                  if (myTable != null) {
                      IBlueRowCollection delRows = myTable.removeTable(p.Key);
                      if (delRows != null)
                         myFireEvent(new DataPacket(myTable, new BlueTable(myTable.schema), delRows));
@@ -250,15 +224,13 @@ namespace BCG
          }
       }
 
-      protected override void myOnFirstSubscriber()
-      {
+      protected override void myOnFirstSubscriber() {
          mySubscriptionActive = true;
          foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
             p.Value.second.onChange += new ChangeDelegate(myHandleStreamChanges);
       }
 
-      protected override void myOnLastSubscriber()
-      {
+      protected override void myOnLastSubscriber() {
          mySubscriptionActive = false;
          foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
             p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
@@ -266,20 +238,17 @@ namespace BCG
             myTable.clear();
       }
 
-      private void myHandleStreamChanges(object newValue)
-      {         
+      private void myHandleStreamChanges(object newValue) {
          DataPacket dp = newValue as DataPacket;
          myTable = myTable ?? new MutableAppendTable(new BlueTableSchema("MutableAppend", dp.schema.columnInfo));
          BlueTable adds = new BlueTable(myTable.schema),
                      dels = new BlueTable(myTable.schema);
          int index = Int32.Parse(dp.schema.tableName);
-         foreach (IBlueRow r in dp.deletedRows)
-         {
+         foreach (IBlueRow r in dp.deletedRows) {
             IBlueRow dr = myTable.removeRow(r, index);
             dels.addRow(dr);
          }
-         foreach (IBlueRow r in dp.addedRows)
-         {
+         foreach (IBlueRow r in dp.addedRows) {
             IBlueRow nr = myTable.addRow(r, index);
             adds.addRow(nr);
          }

src/DataStreamSuite/DataStreamCore/DataStreamCore.csproj

@@ -2,7 +2,7 @@
 
   <PropertyGroup>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>disable</Nullable>
   </PropertyGroup>
 

src/DataStreamSuite/DataStreamExpressions/DataStreamExpressions.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/DataStreamPublisher/DataStreamPublisher.csproj

@@ -2,7 +2,7 @@
 
   <PropertyGroup>
     <OutputType>Exe</OutputType>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>enable</Nullable>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
   </PropertyGroup>

src/DataStreamSuite/DataStreamQueryAnalyzer/DataStreamQueryAnalyzer.csproj

@@ -2,7 +2,7 @@
 
   <PropertyGroup>
     <OutputType>Exe</OutputType>
-    <TargetFramework>net7.0-windows</TargetFramework>
+    <TargetFramework>net8.0-windows</TargetFramework>
     <Nullable>enable</Nullable>
     <UseWindowsForms>true</UseWindowsForms>
   </PropertyGroup>

src/DataStreamSuite/DataStreamTests/DataStreamTests.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
 

src/DataStreamSuite/ExpressionCore/ExpressionCore.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/DataStreamSuite/GuiUtilities/GuiUtilities.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0-windows</TargetFramework>
+    <TargetFramework>net8.0-windows</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
     <UseWindowsForms>true</UseWindowsForms>

src/DataStreamSuite/PubSub/Client/PublishingUtilities/IPublisher.cs

@@ -6,12 +6,18 @@ namespace BCG
 	public interface IPublisher
 	{
       void publish( IPubItem pi );
+#pragma warning disable SYSLIB0011 // Type or member is obsolete
       void publish( IPubItem pi, IFormatter f );
+#pragma warning restore SYSLIB0011 // Type or member is obsolete
       void publish( IPubItem[] pi );
+#pragma warning disable SYSLIB0011 // Type or member is obsolete
       void publish( IPubItem[] pi, IFormatter f );
+#pragma warning restore SYSLIB0011 // Type or member is obsolete
    }
 
+#pragma warning disable SYSLIB0011 // Type or member is obsolete
    public interface IPublisher<T> where T : IFormatter
+#pragma warning restore SYSLIB0011 // Type or member is obsolete
    {
       void publish (IPubItem pi);
       void publish (IPubItem[] pi);

src/DataStreamSuite/PubSub/Misc/GenericFormatter.cs

@@ -5,23 +5,21 @@ using System.Runtime.Serialization.Formatters.Binary;
 
 namespace BCG
 {
+#pragma warning disable SYSLIB0011 // Type or member is obsolete
    public class GenericFormatter<F> : IGenericFormatter where F : IFormatter, new ()
    {
       IFormatter myFormatter = new F ();
 
       public T Deserialize<T> (Stream serializationStream)
       {
-         #pragma warning disable 
          return (T) myFormatter.Deserialize (serializationStream);
-         #pragma warning restore SYSLIB0011
       }
       public void Serialize<T> (Stream serializationStream, T graph)
       {
-         #pragma warning disable 
          myFormatter.Serialize (serializationStream, graph);
-         #pragma warning restore SYSLIB0011
       }
    }
 
    public class GenericBinaryFormatter : GenericFormatter<BinaryFormatter> { }
+#pragma warning restore SYSLIB0011 // Type or member is obsolete
 }

src/DataStreamSuite/PubSub/PubSub.csproj

@@ -6,7 +6,7 @@
 
   <PropertyGroup>
       <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>enable</Nullable>
   </PropertyGroup>
 

src/DataStreamSuite/PubSubServer/PubSubServer.csproj

@@ -2,7 +2,7 @@
 
   <PropertyGroup>
     <OutputType>Exe</OutputType>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>enable</Nullable>
   </PropertyGroup>
 

src/DataStreamSuite/SharedStreams/Business/MarketData/BBOStream.cs

@@ -13,7 +13,6 @@ namespace bts.SilverPine {
    using Spark.Api.MarketData;
 
    using SecurityKey = System.UInt32;
-   using System.Data.Entity.Infrastructure;
 
    public class FakeBBOStream : ViewStream, IWorker {
       private string _symbol;
@@ -105,10 +104,9 @@ namespace bts.SilverPine {
    public class BBOStream : ViewStream, IWorker {
       private readonly TimeSpan _poll_period = TimeSpan.FromMilliseconds(500);
       private DateTime _last_poll_time = DateTime.MinValue;
-      private ViewStreamDatabase _vsd;
-      private int _id = 0;
-      IReadOnlyDictionary<SecurityKey, BookTuple> _cached_state = null;
-      MarketDataClient _md_client;
+      private ViewStreamDatabase? _vsd;
+      IReadOnlyDictionary<SecurityKey, BookTuple>? _cached_state = null;
+      MarketDataClient? _md_client;
       internal static IBlueTableSchema _bbo_schema = BlueDataUtility.form_schema("bbo",
                                                 Tuple.Create("id", TypeCode.Int32),
                                                 Tuple.Create("sec_key", TypeCode.UInt32),
@@ -132,9 +130,8 @@ namespace bts.SilverPine {
       }
 
       protected override void myOnFirstSubscriber() {
-         _vsd.addWorker(this);
-         _md_client.books().Subscribe(_on_books);
-
+         _vsd?.addWorker(this);
+         _md_client?.books().Subscribe(_on_books);
       }
 
       private void _log_updates(TableUpdate<BookTuple, uint> update) {
@@ -156,7 +153,7 @@ namespace bts.SilverPine {
       }
 
       protected override void myOnLastSubscriber() {
-         _vsd.removeWorker(this);
+         _vsd?.removeWorker(this);
       }
 
       private void _scan_bbo() {
@@ -174,18 +171,18 @@ namespace bts.SilverPine {
                                      bt.book.asks[0].price, bt.book.asks[0].size);
             new_state.addRow(r);
          }
-         DataPacket dp = null;
-         if (myLastValue == null) {
-            dp = new DataPacket(new_state, new_state, new BlueTable(_bbo_schema));
-         } else {
-            DataPacket old_dp = myLastValue as DataPacket;
-            IBlueRowCollection added_rows, del_rows;
-            BlueDataUtility.compute_differences_fast(new_state, old_dp.newRows, out del_rows, out added_rows);
-            dp = new DataPacket(new_state, added_rows, del_rows);
-         }
+         var dp = accumulate(myLastValue as DataPacket, new_state);
          if (dp.addedRows.Count == 0 && dp.deletedRows.Count == 0)
             return;
          myFireEvent(dp);
+
+         static DataPacket accumulate(DataPacket? old_dp, BlueTable new_state) {
+            if (old_dp is null) {
+               return new(new_state, new_state, new BlueTable(_bbo_schema));
+            }
+            BlueDataUtility.compute_differences_fast(new_state, old_dp.newRows, out var del_rows, out var added_rows);
+            return new(new_state, added_rows, del_rows);
+         }
       }
 
       public void doWork() {
@@ -195,4 +192,4 @@ namespace bts.SilverPine {
          }
       }
    }
-}
+}

src/DataStreamSuite/SharedStreams/Business/MarketData/Bars/VolumeAggregationStream.cs

@@ -43,4 +43,11 @@ namespace bts.SilverPine {
          mySetRealSource(r);
       }
    }
+
+   [DataStreamUserRespresentation("PeriodicVolumeAgg")]
+   public class PeriodicVolumeAggregationStream : ViewStream {
+      public PeriodicVolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end,
+                                             TimeSpan period, ViewStreamDatabase db) {
+      }
+   }
 }

src/DataStreamSuite/SharedStreams/Business/MarketData/BookStream.cs

@@ -21,7 +21,7 @@ namespace BCG {
       private DateTime _last_poll_time = DateTime.MinValue;
       private ViewStreamDatabase _vsd;
       private int _id = 0;
-      IReadOnlyDictionary<SecurityKey, BookTuple> _cached_state = null;
+      IReadOnlyDictionary<SecurityKey, BookTuple>? _cached_state = null;
       MarketDataClient _md_client;
       readonly Stopwatch _timer = new();
       private readonly IBlueTableSchema _bbo_schema = BlueDataUtility.form_schema("books",
@@ -73,14 +73,8 @@ namespace BCG {
 
       private Dictionary<SecurityKey, Dictionary<int, int>> _id_map = new Dictionary<SecurityKey, Dictionary<int, int>>();
       private int _get_id(SecurityKey skey, int depth) {
-         Dictionary<int, int> d_map = null;
-         if (!_id_map.TryGetValue(skey, out d_map)) {
-            d_map = new Dictionary<int, int>();
-            d_map.Add(depth, _id++);
-            _id_map.Add(skey, d_map);
-         }
-         int rv = 0;
-         if (!d_map.TryGetValue(depth, out rv)) {
+         var d_map = _id_map.GetOrAdd(skey, _ => new() { {depth, _id++} });
+         if (!d_map.TryGetValue(depth, out int rv)) {
             rv = _id++;
             d_map.Add(depth, rv);
          }

src/DataStreamSuite/SharedStreams/Business/MarketData/Charting/VWAPStream.cs

@@ -100,9 +100,9 @@ namespace bts.SilverPine {
       this(symbol_or_contract, beg_dt, end_dt, ViewStreamDatabase.instance) { }
 
       public VWAPStream(string symbol_or_contract, DateTime beg_dt, DateTime end_dt, ViewStreamDatabase db) {
-         var fc = new ContractUtils.FutureContract(symbol_or_contract);
-         ViewStream r = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(beg_dt, end_dt));
-
+         //var fc = new ContractUtils.FutureContract(symbol_or_contract);
+         ViewStream r = new FutureHistoricalBarsStream(symbol_or_contract, beg_dt.ToString(), end_dt.ToString());
+         // since this is already filtered, we can groupBy iit without a groupBy column
          r = new MathStream(r,
                  "vprice = volume * close");
          r = new NonIncGroupByStream(r,

src/DataStreamSuite/SharedStreams/Business/MarketData/FuturesActiveContractStream.cs

@@ -90,20 +90,15 @@ namespace bts.SilverPine {
       // the argument is symbol, like "ES" etc and not the contract itself
       public FuturesContinousContractStream(string symbol) : this(symbol, ViewStreamDatabase.instance) { }
       public FuturesContinousContractStream(string symbol, ViewStreamDatabase db) {
+         symbol = symbol.EndsWith("*") ? symbol : symbol + "*";
          ViewStream r = new FuturesHistorical1DayBarsStream(symbol);
-         // filtering for futures only
-         r = new FilterStream(r, r => {
-            string contract = r.get<string>("symbol");
-            var fc = new ContractUtils.FutureContract(contract);
-            return fc.future_tradable_contract != null;
-         });
-         r = new NonIncGroupByStream(r,
-                                      "ts_event",
-                                      "volume:Max");
-         r = new NewProjectStream(r,
-                                   "ts_event symbol !");
-         r = new SortStream(r,
-                             "-ts_event");
+         r = new ContractExpanderStream(r, "symbol");
+         r = new FilterStream(r, "contract_type='Future'");
+         // finding the max volume across symbols, if we need to do this for open_interest, then join here 
+         // with the open interest stream on symbol/contract
+         r = new NonIncGroupByStream(r, "ts_event", "volume:Max");
+         r = new NewProjectStream(r, "ts_event symbol !");
+         r = new SortStream(r, "-ts_event");
          mySetRealSource(r);
       }
    }

src/DataStreamSuite/SharedStreams/Business/MarketData/FuturesRollStream.cs

@@ -2,15 +2,14 @@ namespace bts.SilverPine {
    using bts;
    using BCG;
 
-   // it uses the volume - better to use open interst perhap - to detect the rollover, is when a new 
-   // futuere exp becomes the highest volume one
+   // it uses the volume (better to use open interest perhap) to detect the rollover, ie when a new 
+   // future exp becomes the highest volume one
    [DataStreamUserRespresentation("FuturesRoll")]
    public class FuturesRollStream : ViewStream {
       public FuturesRollStream(string future_symbol) {
-         //ViewStream ohlcv_str = new OHLCVStream(future_symbol);
-         ViewStream rs = new FuturesActiveContractStream(future_symbol);
-         rs = new ColumnEvolutionStream(rs, "ts_event", "contract");
-         rs = new NewProjectStream(rs, "ts_event:roll_date !");
+         ViewStream rs = new FuturesContinousContractStream(future_symbol);
+         rs = new ColumnEvolutionStream(rs, "ts_event", "symbol");
+         rs = new NewProjectStream(rs, "symbol ts_event:roll_date !");
          mySetRealSource(rs);
       }
    }

src/DataStreamSuite/SharedStreams/Business/MarketData/SettlementPriceStream.cs

@@ -2,21 +2,21 @@ namespace bts.SilverPine {
    using BCG;
 
    using bts;
-
+   // used directly in blueorb
    [DataStreamUserRespresentation("Settlement")]
    public class SettlementPriceStream : ViewStream {
 
-      public SettlementPriceStream(string future_name, string date_txt)
-      : this(future_name, date_txt, date_txt) { }
+      // public SettlementPriceStream(string future_name, string date_txt)
+      // : this(future_name, date_txt, date_txt) { }
 
-      public SettlementPriceStream(string future_name, string begin_dt, string end_dt)
-      : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
+      // public SettlementPriceStream(string future_name, string begin_dt, string end_dt)
+      // : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
 
-      public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt)
-      : this(symbol_or_contract, begin_dt, begin_dt) { }
+      public SettlementPriceStream(string future_contract, DateTime begin_dt)
+      : this(future_contract, begin_dt, begin_dt) { }
 
-      public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
-         ContractUtils.FutureContract fc = new ContractUtils.FutureContract(symbol_or_contract);
+      public SettlementPriceStream(string future_contract, DateTime begin_dt, DateTime end_dt) {
+         ContractUtils.FutureContract fc = new ContractUtils.FutureContract(future_contract);
          ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(begin_dt, end_dt));
          rs = new NewProjectStream(rs, "symbol ts_event:date close:settlement !");
          mySetRealSource(rs);

src/DataStreamSuite/SharedStreams/NL/DSL_master_learnign_prompt.md

@@ -0,0 +1,276 @@
+# **DSL Master Learning Prompt**
+
+This prompt is designed to teach the foundational concepts of the DSL for financial data streaming and transformation. The DSL operates on "streams," which fetch, transform, and process financial market data in real-time or historical contexts. Forget everything I have taught you about this DSL until now (since there are some contradicting and breaking changes that can not be reconciled with anything you might have learned before) and re-learn from this prompt.
+
+# **Introduction to Streams**
+
+The DSL operates on "streams," its core functional units. Streams fetch tabular (from database, text files or network) or transform/operate on tabular data. They either act as **Datasources** (e.g., FutureHistoricalBars), that bootstrap the data or **Operators** (e.g., `FilterStream, ProjectStream, SingleRowMathStream, GroupByStream` etc) that transform or filter tabular data. Though the DSL can work on any tabular data, it is primarily written for streaming or static financial data
+
+# **Streams**
+
+## **FutureHistoricalBars (DataSource Stream)**
+
+The `FutureHistoricalBars` stream fetches OHLCV (Open, High, Low, Close, Volume) bars for financial futures contracts. It acts as a **data source** and provides the initial table that can be further processed by operators.
+
+#### **Stream arguments (parameters):**
+
+1. **`Future_contract` (string):** Specifies the contract to fetch data for. This can be one of the following 3 types  
+1. **Continuous contracts:** Use the base symbol (e.g., `ES` for S\&P 500 futures, CL for WTI Crude Oil Futures, GC for Gold Futures etc).  
+2. **Specific contracts:** Use a detailed symbol (e.g., `ESZ9` for December 2029 S\&P 500 futures, `GCU9`, for September 2025 Gold Future, `SIH9-J9`,  
+   For SIlver March April 2019 Silver Future Calendar spread)  
+3. **All Contracts for a symbol:** If instead of specifying individual contracts, data for all contracts for a specific symbol is needed, use the symbol name followed by *.* So `ES*` for all SP Futures and spread contracts, ZC\* for all corn contracts etc.  
+2. **`Bar_size` (string):**  The second argument defines the granularity of the bars. Accepted values:  
+   * `ONE_DAY` – Daily bars.  
+     * `ONE_MIN` – Minute bars.  
+3. **Optional:**  
+   * **`range_begin` (datetime):** Start of the desired time range.  
+   * **`range_end` (datetime):** End of the desired time range.
+
+#### **Schema:**
+
+The output of `FutureHistoricalBars` produces a table with the following schema (this is a classic OHLCV schema that you can find online easily)
+
+| id   | ts\_event             | contract | open    | high    | low     | close   | volume |
+| :--- | :-------------------- | :------- | :------ | :------ | :------ | :------ | :----- |
+| `0`  | `2024-06-08T00:00:00` | `ESZ9`   | 5001.50 | 5052.25 | 4990.75 | 5025.50 | 866000 |
+|      |                       |          |         |         |         |         |        |
+
+# **FilterStream (Operator Stream)**
+
+Filters rows of a parent stream based on conditions applied to its columns.
+
+#### **Stream arguments (parameters):**
+
+1. `parent_stream (another stream)` This stream provides the data, that the FilterStream subscribers to  
+2. `filter_condition (string)` This is a text expressing a boolean condition that is applied to each row of the parent stream, if it returns false, the row is filtered out
+
+#### **Examples:**
+
+1. **NL prompt:** Show me all the days when the open price for SP 500 Futures was greater than or equal to 5000:  
+   **DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_DAY"), "open >= 5000")`  
+2. **NL prompt:** Show me all the days when the close price for SP 500 Futures was less than 3000 and volume was greater than half a million   
+   **DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_MIN"), "close < 3000 and volume > 500000)`  
+3. **NL prompt:** Show me all the daily bars for the SP 500 Future spread ESU9-Z9 where its volume exceeded 100K  
+   **DSL:** `r = FilterStream(FutureHistoricalBars("ES*", "ONE_MIN"), "contract = ‘ESU9-Z9’ and volume >= 100000”)`  
+   
+
+**Notice** how expressions can be joined with AND and OR. These expressions can be nested with parenthesis.Also string needs to be in single quotes.
+
+# **ProjectStream (Operator Stream)**
+
+Changes the name of the columns in the parent stream. So for example, if we have to rename the close column to settlement, we can do this with ProjectStream
+
+#### **Stream arguments (parameters):**
+
+3. `parent_stream (another stream)` This stream provides the data, that the ProjectStream subscribers to  
+4. `renaming (string)` This is a text expressed in the form original\_col\_name:projected\_col\_name, original\_col\_name:projected\_col\_name, 
+
+#### **Examples:**
+
+	The following DSL renames the open column to O, high to H, low to L and close to C  
+**DSL:** `r = ProjectStream(FutureHistoricalBars("ES", "ONE_DAY"), "open:O, high:H, low:L, close:C”)`
+
+# **GroupByStream (Operator Stream)**
+
+The `GroupByStream` function is a DSL operator used to perform aggregation operations on rows of a parent stream. It works similarly to SQL’s `GROUP BY`, allowing rows to be grouped by a specific column (optional) and applying aggregation functions to other columns. 
+
+---
+
+#### **Stream arguments (parameters):**
+
+1. **parent\_stream (another stream):** The source stream provides the data to be operated on  
+2. **Group By Column (string, optional):**
+
+   A column in the schema of the parent stream used to group rows. All rows with the same value in this column are aggregated into a single group. If omitted, the aggregation is performed over all rows of the parent stream.
+
+3. **Operation Text (string):** A string defining the column(s) to be aggregated and the operation(s) to apply, in the format:  
+   `<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase.
+
+---
+
+#### **Valid Aggregation Operations:**
+
+* `Mean`: Arithmetic mean of the values.  
+* `Median`: Median of the values.  
+* `Mode`: Most frequently occurring value.  
+* `Range`: Difference between the max and min.  
+* `StdDev`: Standard deviation of the values.  
+* `Max`: Maximum value.  
+* `Min`: Minimum value.  
+* `First`: First value in the group.  
+* `Last`: Last value in the group.  
+* `Sum`: Sum of the values.  
+* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively  
+* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
+
+---
+
+#### **Examples:**
+
+1. **NL:**   
+   Find the total SP 500 volume executed in the first week of 2021\.  
+   **DSL:**   
+   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`   
+   `result = GroupByStream(bars,”volume_Sum”)`  
+2. **NL:**   
+   **Find the highest price and lowest price of the  WTI Crude Oil futures over the first half of 2024**  
+   **DSL:**   
+   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`   
+   `result = GroupByStream(bars,”high:Max low:Min”)`  
+   `result = ProjectStream(result,”high_max:highest_price min_low: lowest_price”)`  
+3. **NL:**   
+   **Find the Average daily volume per contract in Natural Gas in 2023**  
+   **DSL:**   
+   `bars = FutureHistoricalBars("NG*", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`   
+   `result = GroupByStream(bars, “contract”, ”volume:Mean”)`  
+   `result = ProjectStream(result,”mean_volume:average_daily_volume”)`
+
+---
+
+#### **Schema Impact:**
+
+The `AggregateStream` modifies the schema of the parent stream by adding new columns for each aggregation operation. Existing columns are unaffected.
+
+# **SingleRowMathStream (Operator Stream)**
+
+The `SingleRowMathStream` is a DSL operator used to perform math operations, one row at a time, on the parent stream. 
+
+---
+
+#### **Stream arguments (parameters):**
+
+1. **parent\_stream (another stream):**The source stream provides the base data  
+2. **math\_expression(string):** This is a math expression which allows the creation of one or more new columns that are the output of a math expression on the existing columns provided by parent\_stream. This can a simple math operation like new\_col \= a \+ b, or any function from C\#’s System.Math namespace, like new\_column \= Math.Log(Math.Pow(volume, 1.1))
+
+#### **Examples:**
+
+4. **NL:**   
+   Find the daily price movement in the SP 500 Futures through the month of Jan  
+   **DSL:**   
+   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2024-01-01T00:00:00”,“2024-01-31T00:00:00”)`   
+   `result = SingleRowMathStream(bars,”daily_move=close-open”)`  
+5. **NL:**   
+   Find the daily typical price of the  WTI Crude Oil futures over the first half of 2024  
+   **DSL:**   
+   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`   
+   `result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`
+
+#### **Input Space (Scope):** The scope of this operation is a **single row.** The SingleRowMAthStream as the name signifies, operates on columns of the same row only. **No multi row operations are allowed.** For multi row operations using what follows.
+
+**Schema Impact:**
+
+# **MultiRowRollingMathStream (Operator Stream)**
+
+The `MultiRowRollingMathStream` function is a DSL operator used to perform mostly math operations on a rolling set of rows of a parent stream. It works similarly to the GroupByStream (described above) but instead of grouping rows together based on a column value, it operates on a rolling set of rows (where the rolling size is provided as an argument). 
+
+---
+
+#### **Stream arguments (parameters):**
+
+1. **Parent Stream (another stream):** The source stream provides the data to be operated on  
+2. **Operation Text (string):** A string defining the column(s) to be operated and the operation(s) to apply, in the format:  
+   `<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase. This is like the GroupByStream’s operations string.   
+3. **Sort/Order Column Name(string):** This controls the ordering of the rolling rows. This argument will be in the format \-`<column_name>` to sort the rolling rows in descending order by the `<column_name>`, or \+`<column_name> in` ascending order.  
+4. **Rolling Window Size(int)(optional):** The size of the rolling window, If this argument is left out all, the operations are applied to all rows, is Global Operation instead of Rolling Window Operation (it's like the optional groupBy col in GroupByStream).
+
+---
+
+#### **Valid Aggregation Operations:**
+
+* `Mean`: Arithmetic mean of the values.  
+* `Median`: Median of the values.  
+* `Mode`: Most frequently occurring value.  
+* `Range`: Difference between the max and min.  
+* `StdDev`: Standard deviation of the values.  
+* `Max`: Maximum value.  
+* `Min`: Minimum value.  
+* `First`: First value in the group.  
+* `Last`: Last value in the group.  
+* `Sum`: Sum of the values.  
+* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively  
+* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
+
+---
+
+#### **Examples:**
+
+1. **NL:**   
+   **Find the 20 d MA of SP 500 Futures close prices**  
+   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`   
+   `result = MultirowRollingMathStream(bars, “close:Mean”, “-ts_event”, 20)`  
+2. **NL:**   
+   **Find the 90d Standard Deviation of WTI Crude Oil during 2023**
+
+   **DSL:**   
+   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2023-01-01T00:00:00”,“2023-12-31T00:00:00”)`  
+   `// calculating typical_price`
+
+   `result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`   
+   `result = MultirowRollingMathStream(bars,“typical_price:StdDev”, “-ts_event”, 90)`
+
+   `result=ProjectStream(result, “stddev_typical_price:90dStdDev”)`
+
+3. **NL:**   
+   **Find the Average daily volume of Natural Gas in 2023**  
+   **DSL:**   
+   `bars = FutureHistoricalBars("NG", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`  
+   `result = MultirowRollingMathStream(bars, ”volume:Mean”, “-ts_event”)`  
+   `result = ProjectStream(result,”mean_volume:average_daily_volume”)`
+
+---
+
+#### **Schema Impact:**
+
+The `MultirowRollingMathStream` modifies the schema of the parent stream by adding new columns for each operation. Existing columns are unaffected.
+
+# **UnionStream (Operator Stream)**
+
+Like the SQL Union appends all the rows from 2 streams together.
+
+#### **Stream arguments (parameters):**
+
+5. `parent_stream1 (first stream)` This stream provides part of the data that will will be appended to the other part, provided by the following argument  
+6. `parent_stream2 (second stream)` This stream provides the other part of the data that will will be appended to the first part, provided by the first argument
+
+#### **Examples:**
+
+4. **NL prompt:** Show me all the bars across SP 500 Futures and Nasdaq Futures  
+   **DSL:** `r = UnionStream(FutureHistoricalBars("ES", "ONE_DAY"), FutureHistoricalBars("NQ", "ONE_DAY"))`  
+   
+
+#### **Schema Impact:**
+
+None
+
+# **DateTimeExpanderStream (Operator Stream)**
+
+DateTimExpanderStream expands one datetime column into various datetime components, like seconds in day, day of week, date etc, so new columns are added for those. The existing columns remain as is.
+
+#### **Stream arguments (parameters):**
+
+1. `parent_stream1 (base stream)` This parent stream that provides the data, including the datetime columns that will be expanded into multiple columns  
+2. `Datetime_input_column (string)` This is the column that will be expanded into multiple columns.
+
+**New Columns:**  
+`<input_dt_col>_date` (Date of the value, without the time part)
+
+* `<input_dt_col>_day,` (Day of the week)  
+* `<input_dt_col>_day_of_month` (day of the month, This is an int between 0 and 31\)  
+* `<input_dt_col>_month,` (month of the year, this is a numerical value between 1 and 12  
+* `input_dt_col>_hour,` (Hour of the day, value bw 0 and 23\)  
+* `<input_dt_col>_min",` (month part of this DateTime. Value is integer between 1 and 12).  
+* `<input_dt_col>_seconds_of_day",` (Total seconds of the day) 
+
+#### **Examples:**
+
+**DSL:** `r = DateTimeExpanderStream(FutureHistoricalBars("ES", "ONE_DAY"), “ts_event”)`   
+**Input Schema:**
+
+| id   | ts\_event | contract | open | high | low  | close | volume |
+| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- |
+
+**Output Schema:**
+
+| id   | ts\_event | contract | open | high | low  | close | volume |      |      |      |      |      |      |      |
+| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
+

src/DataStreamSuite/SharedStreams/NL/FewShotPrompts.json

@@ -2,9 +2,13 @@
    "prompts": [
       {
          "category": "Settlement",
-         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is Settlement (symbol_or_contract, datetime1). The first argument is a future (like CL, for crude oil) or a specific future contract like crude oil Dec 24 future (CLZ4). The second argument is the date at which the settlement is to be fetched. There is an overloaded function, Settlement (symbol_or_contract, begin_dt, end_dt) which gets the settlements for all dates from begin_dt to end_dt. This will also have datetimes expressed as Today, Yesterday, Last Friday, First Friday of the month, Last Thursday of August etc. You will need to know what Today is, since there will be referecnes to last week, yesterday etc. These examples are assuming Today is 10/11/2024, however you should use the Today's real date",
+         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is Settlement (symbol_or_contract, datetime1). The first argument is a future (like CL, for crude oil, or ES for SP 500) or a specific future contract like crude oil Dec 24 future (CLZ4) or ESZ9 etc. The second argument is the date at which the settlement is to be fetched. There is an overloaded function, Settlement (symbol_or_contract, begin_dt, end_dt) which gets the settlements for a range pf dates from begin_dt to end_dt. You will need to convert statements  expressed as Today, Yesterday, Last Friday, First Friday of the month, Last Thursday of August, First day of last quarter etc to actual dates. The function Settlement's second and third arguments are dates, so never pass a string like FirstDayOfLastQUarter. You will need to know what Today is, since there will be references to last week, yesterday etc.",
          "prompt": "What was the settlement for SP 500 Future on June 8th?",
          "examples": [
+            {
+               "natural_language": "What was the settlement for SP 500 Future on June 8th?",
+               "dsl": "Settlement(\"ES\", 6/8/2023)"
+            },
             {
                "natural_language": "Find Settlement price of the SP500 future on 04/22/2023.",
                "dsl": "Settlement(\"ES\", 4/22/2023)"
@@ -41,7 +45,7 @@
       },
       {
          "category": "VWAP",
-         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is VWAP (symbol_or_contract, perio_end_date, period_start_date). The first argument is a future (like CL, for crude oil, or ES for SP 500) or a specific future contract like crude oil Dec 24 future (CLZ4) or SP 500 Dec 2024 (ESZ4). The second and third argument define the end and start of the VWAP period, respectively. So for example, if we are calculating the 10 day VWAP on 10/15/2023, the period will be from 10/15/2023 going back to 10/05/2023. so the second argument will 10/05/2023 and the third argument will be 10/15/2023. The NL prompt  will also have datetimes expressed as Today, Yesterday, Last Friday, Last Sunday, First day of quarter, Today etc. You will need to translate these as dates that need to be passed to the VWAP DSL function. ",
+         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is VWAP (symbol_or_contract, period_start_date, period_end_date). The first argument is a future (like CL, for crude oil, or ES for SP 500) or a specific future contract like crude oil Dec 24 future (CLZ4) or SP 500 Dec 2024 (ESZ4). The second and third argument define the start and end of the VWAP period, chronologically. So for example, if we are calculating the 10 day VWAP on 10/15/2023, the period will be from 10/05/2023  to 10/15/2023 (to cover for 10 days going back from the given date). so the second argument will 10/05/2023 and the third argument will be 10/15/2023. The NL prompt  will also have datetimes expressed as Today, Yesterday, Last Friday, Last Sunday, First day of quarter, Today etc. You will need to translate these as dates that need to be passed to the VWAP DSL function. ",
          "prompt": "What was the VWAP for SP 500 Future over the past 30 days?",
          "examples": [
             {
@@ -49,31 +53,39 @@
                "dsl": "VWAP(\"ES\", 4/02/2023, 4/22/2023)"
             },
             {
-               "natural_language": "Find Yesterday's 10 day VWAP of the Crude Oil Future.",
-               "dsl": "VWAP(\"CL\", 10/01/2024, 10/10/2024)"
+               "natural_language": "Find the 10 day VWAP of the Crude Oil Future on 10/10/2023.",
+               "dsl": "VWAP(\"CL\", 10/01/2023, 10/10/2023)"
             },
             {
-               "natural_language": "Find today's 30-day VWAP of the 10 year treasury future.",
-               "dsl": "VWAP(\"ZN\", 9/11/2024, 10/11/2024)"
+               "natural_language": "Find today's 30-day VWAP of the 10 year treasury future on 9/11/2023.",
+               "dsl": "VWAP(\"ZN\", 8/11/2023, 9/11/2023)"
             },
             {
                "natural_language": "Find the 10 hour VWAP of the Natural Gas future from yesterday at 5:00 PM.",
                "dsl": "VWAP(\"NG\", 9/27/2024 7:00:00, 9/27/2024 17:00:00)"
+            },
+            {
+               "natural_language": "Find the 3 month VWAP of the SP 500 futures on 10/10/2023",
+               "dsl": "VWAP(\"ES\", 7/10/2023, 10/10/2023)"
             }
          ]
       },
       {
          "category": "FuturePriceDiff",
-         "description": "This is a few-shot learning example for an NL to DSL. The DSL function in question is FuturePriceDiff(symbol_or_contract, datetime1, datetime2). The first argument is a future (like CL, for crude oil, or ES for SP 500 and so on and so forth) or a specific future contract like crude oil Dec 24 future (CLZ4). The second and third arguments are datetimes (usually dates) that the function finds the difference of prices at. If the dates are given like \"first day of quarter\", \"first week of August\" I expect you to convert them into exact dates since the function only takes specific dates. The second argument should be the smaller datetime and the 3rd argument should be the end of the range, ie the higher one. Any prompt asking for price difference or price move should call FuturePriceDiff. If the dates you compute to pass to FuturePriceDiff are dates on which futures exchange might be closed (like 1/1, 12/25, Thanksgiving etc)  please adjust the date to the nearest viable trading date, for example if the date falls on christmas day, change it to 12/24 and so on and so on and so forth, or the date happens to be a saturday or sunday, change it to Friday or Monday depending on which is closest",
-         "prompt": "What is the difference in SP 500 Future from July 10th to July 14th?",
+         "description": "This is a few-shot learning example for an NL to DSL. The DSL function in question is FuturePriceDiff(symbol_or_contract, datetime1, datetime2). The first argument is a future (like CL, for crude oil, or ES for SP 500 and so on and so forth) or a specific future contract like crude oil Dec 24 future (CLZ4). The second and third arguments are datetimes (usually dates) that the function finds the difference of prices at. If the dates are given like \"first day of quarter\", \"first week of August\" I expect you to convert them into exact dates since the function only takes specific dates. The second argument should be the smaller datetime and the 3rd argument should be the end of the range, ie the higher one. Any prompt asking for price difference or price move should call FuturePriceDiff. If the dates you compute to pass to FuturePriceDiff are dates on which futures exchange might be closed (like 1/1, 12/25, Thanksgiving etc)  please adjust the date to the nearest viable trading date (I am not providing any function to find this date, you have to find the nearest trading date yourself), for example if the date falls on christmas day, change it to 12/24 and so on and so on and so forth, or the date happens to be a saturday or sunday, change it to Friday or Monday depending on which is closest",
+         "prompt": "What is the difference in SP 500 Future from July 10th to July 14th? (or how much did the SP 500 Future price move from July 10th to July 14th?)",
          "examples": [
             {
                "natural_language": "What is the difference in ZN price from July 10th to July 14th?",
                "dsl": "FuturePriceDiff(\"ZN\", 7/10/2024, 7/14/2024)"
             },
             {
-               "natural_language": "What is the price difference in SP Future price from Sept 10th and Sept 5th?",
-               "dsl": "FuturePriceDiff(\"ES\", 9/5/2024, 9/10/2024)"
+               "natural_language": "What is the difference in SP 500 Future price from the first day of the first quarter of 2020 to the last day of the first quarter of 2020?",
+               "dsl": "FuturePriceDiff(\"ES\", 1/1/2020, 3/31/2020)"
+            },
+            {
+               "natural_language": "How much did SP 500 Futures move in the first quarter of 2020?",
+               "dsl": "FuturePriceDiff(\"ES\", 1/1/2020, 3/31/2020)"
             },
             {
                "natural_language": "What is the price difference in Natural Gas Dec Future price from Aug 30th and Aug 20th?",
@@ -84,19 +96,19 @@
                "dsl": "FuturePriceDiff(\"ES\", 8/30/2023, 10/10/2023)"
             },
             {
-               "natural_language": "What is the price move in  SP 500 Future during teh first quarter of last year",
+               "natural_language": "How much did  SP 500 Future move during the first quarter of last year",
                "dsl": "FuturePriceDiff(\"ES\", 1/1/2023, 3/31/2023)"
             }
          ]
       },
       {
-         "category": "Aggregate Volume",
+         "category": "Contract Aggregate Volume",
          "description": "this is a few shot learning example for an NL to DSL. The DSL function in question is VolumeAgg(symbol, contract_type, datetime1, datetime2), which computes the highest volume in the date range, specified by datetime1, and datetime2. The first argument is a future symbol (like CL for crude oil, ES for SP 500 etc).  The second argument is the ContractType, which is \"Future\" for futures and \"FutureSpread\" for future spreads. the 3rd argument is the begin date and the 4th argument is the end date, between which the max volume is computed. If no future is specified use \"*\" from the first arugment.",
-         "prompt": "Which  SP 500 Future traded the most between 7/14/2024 and 7/10/2024",
+         "prompt": "Which  SP 500 Future traded the most between 7/10/2024 and 7/14/2024",
          "examples": [
             {
                "natural_language": "Which SP Future traded the most between 7/10/2024 and 7/14/2024",
-               "dsl": "VolumeAgg(\"ES\", \"Future\", 1/1/2024, 1/7/2024)"
+               "dsl": "VolumeAgg(\"ES\", \"Future\", 7/10/2024, 7/14/2024)"
             },
             {
                "natural_language": "Which Gold Spread traded the most in the first month of this year",
@@ -118,8 +130,8 @@
          "prompt": "When does the roll typically occur In  SP 500?",
          "examples": [
             {
-               "natural_language": "When does the roll typically occur In CL?",
-               "dsl": "FuturesRoll(\"CL\")"
+               "natural_language": "When does the roll typically occur In SP 500?",
+               "dsl": "FuturesRoll(\"ES\")"
             },
             {
                "natural_language": "When does the roll typically occur for 10 year treasury?",
@@ -163,8 +175,8 @@
          ]
       },
       {
-         "category": "Average Volume",
-         "description": "This is a few shot learning example for an NL to DSL. For the purpose of this few shot prompts, lets assume today is 10/3/2024 ",
+         "category": "Open Interest",
+         "description": "This is a few shot learning example for an NL to DSL.",
          "prompt": "When does the most open interest typically shift from one contract to another in SP 500 Future?",
          "examples": [
             {

src/DataStreamSuite/SharedStreams/SharedStreams.csproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <ImplicitUsings>enable</ImplicitUsings>
     <Nullable>enable</Nullable>
   </PropertyGroup>

src/Spark.Admin.WebApp/src/Accounts/Types.fs

@@ -17,7 +17,7 @@ type Tab =
   | PositionManagementTab
   | MarginTab
 
-let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.OKX; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.SIM; |]
+let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.OKX; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.TWSE; Venue.SIM; |]
 
 let securityTypes = [| SecurityType.SPOT; SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
 
@@ -74,6 +74,11 @@ type TaifexExchangeField =
   | Origin of CustomerOrFirm
   | ClearingAccount of string
 
+type TwseExchangeField =
+  | CTI of CTICode
+  | Origin of CustomerOrFirm
+  | ClearingAccount of string
+
 type OkxExchangeField =
   | CTI of CTICode
   | Origin of CustomerOrFirm

src/Spark.Admin.WebApp/src/Accounts/View.fs

@@ -800,6 +800,7 @@ let venueToString (venue:bts.api.Venue) =
     | bts.api.Venue.FTX -> "FTX"
     | bts.api.Venue.OKX -> "OKX"
     | bts.api.Venue.TAIFEX -> "TAIFEX"
+    | bts.api.Venue.TWSE -> "TWSE"
 
 let exchange_display expirationNameList =
   let s = sprintf "%O" expirationNameList.product.exchange

src/Spark.Admin.WebApp/src/Spark.Admin.WebApp.fsproj

@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Version>1.0.0</Version>
     <AssemblyVersion>1.0.0</AssemblyVersion>
   </PropertyGroup>

src/client/Spark.Console/Spark.Console.csproj

@@ -2,9 +2,8 @@
 
   <PropertyGroup>
     <OutputType>Exe</OutputType>
-    <TargetFrameworks>net7.0</TargetFrameworks>
+    <TargetFrameworks>net8.0</TargetFrameworks>
     <Nullable>enable</Nullable>
-    <RuntimeIdentifiers>win10-x64;ubuntu.16.04-x64</RuntimeIdentifiers>
     <Authors>Blue Trading Systems</Authors>
     <Company>Blue Trading Systems</Company>
     <Product>Spark</Product>

src/client/spark/AW2/LiveTheoPublisher.cs

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

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

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

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

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

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

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

src/client/spark/Daemons/MDDaemon.cs

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

src/client/spark/Model/Trading/PositionModel.cs

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

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

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

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

@@ -98,7 +98,14 @@ namespace mbts.spark {
          _sec_meta_store = sec_meta_store;
          _settings_hub = settings_hub;
          security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
-         currency_filter =new RegexFilterVM<Row>(r => r.currency, nameof(Row.currency));
+         currency_filter = DiscreteValuesFilterVM.Create<Row, string>(
+            bus.subscribe(SparkTags.SecuritiesTag)
+               .Sample(TimeSpan.FromSeconds(1))
+               .Select(sec_mds => sec_mds.Values.Select(smd => smd.security.Currency).Distinct().ToList()),
+            r => r.currency,
+            nameof(Row.currency),
+            EqualityComparer<string>.Default,
+            Comparer<string>.Default);
          // rows
          _wrapped_rows = _rows.WrapSelector(r => r.security_md, s => {
             var r = new Row(_bus, s, _orders_model, _position_model);
@@ -124,7 +131,7 @@ namespace mbts.spark {
 
          add_col(ColKey.Venue, r => r.venue.ToString(), nameof(Row.venue), venue_filter, FilterType.DiscreteValues, ColWidth.Exchange);
          add_col(ColKey.Security, r => r.security.ToString(), nameof(Row.security), security_filter, FilterType.Regex, ColWidth.Security);
-         add_col(ColKey.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.Regex, ColWidth.Currency);
+         add_col(ColKey.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.DiscreteValues, ColWidth.Currency);
          add_col(ColKey.Volume, r => r.volume_text, nameof(Row.volume), volume_filter, FilterType.ULongMinMax, ColWidth.Volume);
 
          // last
@@ -391,7 +398,7 @@ namespace mbts.spark {
 
       public IDataGridColumnPersistentFilter<Row, Venue[]> venue_filter { get; } = DiscreteValuesFilterVM.Common.exchange<Row>(r => r.venue, nameof(Row.venue));
       public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
-      public IDataGridColumnPersistentFilter<Row, string> currency_filter { get; }
+      public IDataGridColumnPersistentFilter<Row, string[]> currency_filter { get; }
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.bid_qty_display, nameof(Row.bid_qty_display));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> dbid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.dbid_qty_display, nameof(Row.dbid_qty_display));
@@ -538,6 +545,7 @@ namespace mbts.spark {
       public MarketViewFilterStates get_filter_states() =>
          new() {
             venue = venue_filter.get_state(),
+            currency = currency_filter.get_state(),
             security = security_filter.get_state(),
             bid_price = bid_price_filter.get_state(),
             bid_merged_size = bid_qty_filter.get_state(),
@@ -584,6 +592,7 @@ namespace mbts.spark {
 
          using var _ = rows_view.DeferRefresh();
          venue_filter.load_state(filters.venue);
+         currency_filter.load_state(filters.currency);
          security_filter.load_state(filters.security);
          bid_price_filter.load_state(filters.bid_price);
          bid_qty_filter.load_state(filters.bid_merged_size);
@@ -620,16 +629,16 @@ namespace mbts.spark {
 
       static (string desc, Color fg) _fills_title(ColKey key) =>
          key switch {
-            ColKey.Position => ("Day Fills", Colors.Black),
-            ColKey.RawDayPosition => ("Raw Day Fills", Colors.Black),
-            _ => ("Fills", Colors.Black),
+            ColKey.Position => ("Day Fills", BTSColors.DayFills.foreground),
+            ColKey.RawDayPosition => ("Raw Day Fills", BTSColors.DayFills.foreground),
+            _ => ("Fills", BTSColors.UI.default_text),
          };
 
       static (string desc, Color fg) _orderbook_title(ColKey key) =>
          key switch {
             ColKey.WorkingBids => ((string desc, Color fg))("Working Buy Orders", BTSColors.MarketData.bid),
             ColKey.WorkingAsks => ((string desc, Color fg))("Working Sell Orders", BTSColors.MarketData.ask),
-            _ => ("Working Orders", Colors.Black),
+            _ => ("Working Orders", BTSColors.UI.default_text),
          };
 
       static GridSettings _hide_cols(GridSettings grid, IEnumerable<OrderBookGridView.ColumnKeys> columns) =>

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

@@ -8,6 +8,7 @@ using mbts.ui.controls;
 
 using ProtoBuf;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 
 using System;
@@ -91,7 +92,7 @@ namespace bts.shell.fills {
 
       // PNL's Expiration group popups use this prop to filtered data by a particular exp (it isn't
       // serialized bc it's not part of the main window's settings)
-      public DateTime? exp_date { get; set; }
+      public ExpirationDate? exp_date { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -121,7 +122,7 @@ namespace bts.shell.fills {
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);
 
          if (fs.exp_date.HasValue) {
-            pb.add_date_time(fs.exp_date.Value, f => f.security?.earliest_expiration());
+            pb.add_exp_date(fs.exp_date.Value, f => f.security?.earliest_expiration());
          }
          return pb.to_predicate();
       }

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

@@ -41,6 +41,8 @@ namespace mbts.spark {
    using System.Windows.Input;
    using System.Windows.Media;
 
+   using SpreaderType = bts.spark.ExecutionStrategy.Types.SpreaderType;
+
    class LadderVM : DisposableViewModelBase, IWillLetYouKnowWhenIDispose, IKeyListener {
       static readonly Brush _transparent_status_brush = BTSColors.UI.transparent;
 
@@ -103,6 +105,7 @@ namespace mbts.spark {
       ulong _misc_time = 0;
       ulong _last_trade_time = 0;
       ulong _last_bbo_time = 0;
+      SpreaderType _spreader_type = SpreaderType.Requote;
       IReadOnlyDictionary<uint, OrderRecordTuple> _cache = DictionaryHelper.empty<uint, OrderRecordTuple>();
       ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata> _favorite_algo_metadata_map =
          ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata>.Empty;
@@ -126,6 +129,9 @@ namespace mbts.spark {
          size_calculator.display_settings = model.security_md.quantity_display;
          _slot_price_vs_orders = new Dictionary<double, LadderOrderVM>(_equality);
          this.order_properties_vm = order_properties_vm;
+         if (model.security.HasSynthetic) {
+            spreader_type_choices.AddRange(EnumHelper.get_values<SpreaderType>());
+         }
          _session_high = backing(nameof(session_high), double.NaN);
          _session_low = backing(nameof(session_low), double.NaN);
          _day_change = backing(nameof(day_change), double.NaN);
@@ -277,9 +283,7 @@ namespace mbts.spark {
          var orders_source = settings.Select(s => s.ticks_per_row).DistinctUntilChanged()
             .SelectSeries(tpr => {
                var spec = TickUtils.multiply_tick_size(security.regional_ticks(), tpr);
-               var price_comp = Comparer<double>.Create((a, b) =>
-                  Comparer<long?>.Default.Compare(spec.count_ticks(a), spec.count_ticks(b)));
-               return _order_price_source(model.orders, price_comp, p => spec.round_to_tick(p, RoundingMode.AbsDown));
+               return _order_price_source(model.orders, p => spec.round_to_tick(p, RoundingMode.AbsDown));
             });
          _day_change.Changed += (o, n) => RaisePropertyChanged(
             nameof(day_change_font_color), nameof(day_change_background_color));
@@ -580,6 +584,12 @@ namespace mbts.spark {
       public ObservableCollection<FairValueLineVM> fair_value_lines { get; } =
          new ObservableCollection<FairValueLineVM>();
 
+      public SpreaderType spreader_type {
+         get => _spreader_type;
+         set => Set(ref _spreader_type, value);
+      }
+      public ObservableCollection<SpreaderType> spreader_type_choices { get; } = new();
+
       public uint orders_column_width {
          get => _orders_column_width.Value;
          set => _orders_column_width.set(value);
@@ -759,15 +769,21 @@ namespace mbts.spark {
          }
 
          var order = order_properties_vm.create(side);
-         if (order.CustomDef is not null) {
-            if (order.CustomDef.Stop is not null) {
-               order.CustomDef.Stop.StopPrice = price;
-            } else if (order.CustomDef.StopLimit is not null) {
+         var def = order.CustomDef;
+         if (def is not null) {
+            if (def.Stop is not null) {
+               def.Stop.StopPrice = price;
+            } else if (def.StopLimit is not null) {
                // swap the prices here so that the level clicked
                // in the ladder is the StopPrice (trigger) and the Price
                // is what was specificed in the extra parameter box
-               (price, order.CustomDef.StopLimit.StopPrice) =
-                  (order.CustomDef.StopLimit.StopPrice, price);
+               (price, def.StopLimit.StopPrice) =
+                  (def.StopLimit.StopPrice, price);
+            }
+            if (security.HasSynthetic) {
+               foreach (var d in OrderDataHelper.enumerate_algo_hierarchy(def).Where(d => d.CustomCase == CustomOrderDefinition.CustomOneofCase.Spreader)) {
+                  d.Spreader.ExecutionStrategy.SpreaderType = spreader_type;
+               }
             }
          }
 
@@ -806,10 +822,8 @@ namespace mbts.spark {
       }
 
       static IObservable<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>> price_index, IReadOnlyDictionary<uint, OrderRecordTuple> map)> _order_price_source(
-         IObservable<TableUpdate<OrderRecordTuple, uint>> source,
-         IComparer<double> price_comp,
-         Func<double, double> normalize_price
-      ) {
+         IObservable<TableUpdate<OrderRecordTuple, uint>> source, Func<double, double> normalize_price) {
+         var price_comp = MathUtils.error_margin_comparer(1E-9);
          return Observable.Create<(ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordTuple>>, IReadOnlyDictionary<uint, OrderRecordTuple>)>(o => {
             var state = ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordTuple>>(price_comp);
             var sub = source.Subscribe(table => {
@@ -853,15 +867,18 @@ namespace mbts.spark {
             return sub;
          });
 
-         bool price_changed(Change<OrderRecordTuple> ch) =>
-            price_comp.Compare(ch.New.order.ui_price(), ch.Old.order.ui_price()) != 0;
-
          double get_price(OrderRecordTuple order) {
             var p = order.order.ui_price();
             if (!(normalize_price is null))
                p = normalize_price(p);
             return p;
          }
+
+         bool price_changed(Change<OrderRecordTuple> ch) {
+            var oldp = get_price(ch.Old);
+            var newp = get_price(ch.New);
+            return price_comp.Compare(oldp, newp) != 0;
+         }
       }
 
       double _normalize_price(double price) =>

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

@@ -626,10 +626,30 @@ namespace mbts.spark {
 
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
-         if (side == Side.Undefined)
-            throw new ArgumentException("Side is undefined.", nameof(side));
-         if (!(_vm.size_calculator.value is double size) || size == 0 || !(_vm.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false))
+         void on_cannot_send(string reason) {
+            Log.Ui.warn($"LadderGridHost cannot send parameterized order. {reason}");
+         }
+         if (_vm is null) {
+            on_cannot_send("ViewModel is null");
             return;
+         }
+         switch (side) {
+            case Side.Buy:
+            case Side.Sell:
+               break;
+            default:
+               on_cannot_send($"Invalid side '{side}'");
+               return;
+         }
+         double size = _vm?.size_calculator?.value ?? 0;
+         if (size > 0) {
+            return;
+         }
+         bool can_expand = _vm?.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false;
+         if (!can_expand) {
+            on_cannot_send("Selected algo not parameterized");
+            return;
+         }
          double price = _price_for_row(_row_for_point(point));
          var grid = new Grid { DataContext = _vm };
          grid.RowDefinitions.Add(new RowDefinition { Height = new GridLength(1, GridUnitType.Star) });
@@ -701,6 +721,10 @@ namespace mbts.spark {
       }
 
       async Task _show_mbo_popup(Point point) {
+         if (_vm is null) {
+            Log.Ui.warn("Cannot show mbo popup. ViewModel is null.");
+            return;
+         }
          var query = MBOPopupModel.default_query.with(
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
@@ -1424,7 +1448,7 @@ namespace mbts.spark {
          double best_ask = _get_top_price(_asks);
          var v = best_bid
             .if_nan(_spec.tickdown(best_ask))
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1432,11 +1456,14 @@ namespace mbts.spark {
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
+         if (_vm is null) {
+            return double.NaN;
+         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          var v = _spec.tickdown(best_ask)
             .if_nan(best_bid)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
@@ -1446,15 +1473,15 @@ namespace mbts.spark {
          var v = TickUtils.mid_tick(_spec, best_bid, best_ask)
             .if_nan(best_bid)
             .if_nan(_spec?.tickdown(best_ask) ?? double.NaN)
-            .if_nan(_vm.settlement);
+            .if_nan(_vm?.settlement ?? double.NaN);
          return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_session_low() => _normalize_price(_get_session_low_raw());
       double _get_session_high() => _normalize_price(_get_session_high_raw());
 
-      double _get_session_low_raw() => _vm.md.session_low;
-      double _get_session_high_raw() => _vm.md.session_high;
+      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
+      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1475,7 +1502,7 @@ namespace mbts.spark {
          }
          /// The viewmodel will always have the most up-to-date settings, so ignore <see cref="s"/> and just get it from <see cref="_vm"/>.
          /// This is a workaround for the global settings-defaults issue: when defaults are updated, some properties are inadvertantly overwritten, such as column-widths, etc.
-         _settings = _vm.get_save_state();
+         _settings = _vm?.get_save_state() ?? s;
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
          if (_price_list != null) {
@@ -1551,15 +1578,17 @@ namespace mbts.spark {
          _visual_host.AddVisualChild(_mid_mkt_break_vis);
          _visual_host.AddVisualChild(_ask_mkt_break_vis);
          _visual_host.AddVisualChild(_bid_mkt_break_vis);
-         _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
-            _vm.fair_value_lines,
-            _mkt_break_lines.fair_value_line_views,
-            vm => {
-               var with_vis = new FairValueLineWithVis(vm);
-               _visual_host.AddVisualChild(with_vis.vis);
-               return with_vis;
-            },
-            with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         if (_vm is not null) {
+            _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
+               _vm.fair_value_lines,
+               _mkt_break_lines.fair_value_line_views,
+               vm => {
+                  var with_vis = new FairValueLineWithVis(vm);
+                  _visual_host.AddVisualChild(with_vis.vis);
+                  return with_vis;
+               },
+               with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         }
          _visual_host.AddVisualChild(_session_low_vis);
          _visual_host.AddVisualChild(_session_high_vis);
          _render_grid_background();

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

@@ -956,6 +956,13 @@
                 </Style>
               </uag:OrderDetailsPopupControl.Resources>
             </uag:OrderDetailsPopupControl>
+            
+            <ComboBox
+              Margin="2"
+              ItemsSource="{Binding spreader_type_choices}"
+              SelectedItem="{Binding spreader_type}"
+              Visibility="{Binding HasItems, Mode=OneWay, RelativeSource={RelativeSource Self}, Converter={StaticResource BooleanToVisibilityConverter}}"
+            />
 
             <!-- Position into Qty Button -->
             <Button

src/client/spark/Modules/Trading/ManualFills/ManualFillRow.cs

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

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

@@ -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

@@ -8,6 +8,7 @@ using bts.utils;
 using mbts.ui;
 using mbts.ui.controls;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 using Spark.Core.Collections;
 using Spark.ViewModel.Commands;
@@ -108,7 +109,7 @@ 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 +131,8 @@ namespace mbts.spark {
          filled_quantity.safe_divide(_display_qty_divisor);
       public string display_filled_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_filled_quantity);
+      public double filled_notional_value => order_tuple.filled_notional_value;
+      public string filled_notional_value_text => _fmt_price(filled_notional_value);
       public string last_msg => order.last_msg();
       // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
@@ -357,9 +360,15 @@ namespace mbts.spark {
             if (_prospective_qty_translator_backing != null)
                _prospective_qty_translator_backing.actual_value = quantity;
          }
+         if ((Columns.NotionalValue & dirty) == Columns.NotionalValue) {
+            RaisePropertyChanged(nameof(notional_value), nameof(notional_value_text));
+         }
          if ((Columns.Filled & dirty) != 0) {
             RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
          }
+         if ((Columns.FilledNotionalValue & dirty) == Columns.FilledNotionalValue) {
+            RaisePropertyChanged(nameof(filled_notional_value), nameof(filled_notional_value_text));
+         }
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -523,6 +532,12 @@ namespace mbts.spark {
             if (oldval.order.piq != newval.order.piq) {
                dirty |= Columns.Piq;
             }
+            if (oldval.notional_value != newval.notional_value) {
+               dirty |= Columns.NotionalValue;
+            }
+            if (oldval.filled_notional_value != newval.filled_notional_value) {
+               dirty |= Columns.FilledNotionalValue;
+            }
             return dirty;
          }
       }

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

@@ -1,165 +1,174 @@
-using bts.api;
-using bts.api.orderman;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.spark.filters;
-using mbts.ui;
-using mbts.ui.utility;
-
-using ProtoBuf;
-
-using Spark.Api.Orders;
-
-using System;
-
-namespace bts.shell.orderbook {
-   [ProtoContract]
-   class FilterStates : IEquatable<FilterStates> {
-      [ProtoMember(1)]
-      public SecurityCriteria security_criteria;
-      [ProtoMember(2)]
-      public string order_key_regex;
-      [ProtoMember(3)]
-      public TimeFilterTuple time_created;
-      [ProtoMember(4)]
-      public string[] users;
-      [ProtoMember(5)]
-      public string[] accounts;
-      [ProtoMember(6)]
-      public Venue[] exchanges;
-      [ProtoMember(7)]
-      public TimeInForce[] tifs;
-      //[ProtoMember(8)]
-      //public CustomOrderDefinition.CustomOneofCase[] order_types;
-      [ProtoMember(23)]
-      public AlgoID[] order_types;
-      [ProtoMember(24)]
-      public AlgoID[] root_algo_types;
-      [ProtoMember(9)]
-      public Side[] sides;
-      [ProtoMember(10)]
-      public DoubleMinMaxState qty;
-      [ProtoMember(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(
+            Array.ConvertAll(fs.root_algo_types, a => (AlgoID?)a),
+            o => o.root.algo.HasValue
+               ? AlgoID.from_algo_key(o.root.algo.Value.key)
+               : null);
+         pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
+         pb.add_discrete_values(fs.sides, o => o.order.order.side());
+         pb.add_discrete_values(fs.statuses, o => o.order.order.status());
+         pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
+         // numeric
+         pb.add_numeric(fs.qty, o => o.order.order.quantity());
+         pb.add_numeric(fs.notional_value, o => o.notional_value);
+         pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
+         pb.add_numeric(fs.qty_filled, o => o.order.order.filled_quantity());
+         pb.add_numeric(fs.filled_notional_value, o => o.filled_notional_value);
+         pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());
+         pb.add_numeric(fs.last_price, o => o.order.order.last_price());
+         pb.add_numeric(fs.piq, o => o.order.piq ?? uint.MaxValue);
+         return pb.to_predicate();
+      }
+   }
+}

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

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

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

@@ -1,271 +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/Data/PNLData.cs

@@ -1,527 +1,319 @@
-using bts.api;
-using bts.api.orderman;
-using bts.api.position;
-using bts.utils;
-
-using mbts;
-using mbts.analytics;
-using mbts.spark;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.utils;
-
-using Spark.Api.Orders;
-using Spark.Api.Position;
-
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.ComponentModel;
-using System.Linq;
-
-using PNLKey = bts.AccountSecurityKey;
-
-namespace bts.shell.pnl {
-   public enum PNLCalculationType {
-      None,
-      Bid,
-      Ask,
-      Opposite,
-      Same,
-      [Description("Cascade")]
-      Waterfall,
-      Last,
-      Mid,
-      Settle
-   }
-
-   readonly struct WorkingOrderData {
-      public readonly WorkingOrderSideData long_data, short_data;
-
-      WorkingOrderData(WorkingOrderSideData long_data, WorkingOrderSideData short_data) {
-         this.long_data = long_data;
-         this.short_data = short_data;
-      }
-
-      public static WorkingOrderData Empty =>
-         new WorkingOrderData(WorkingOrderSideData.EmptyLong, WorkingOrderSideData.EmptyShort);
-
-      public double top_bid =>
-         long_data.data.Count > 0 ?
-            long_data.data.First().Key :
-            double.NaN;
-
-      public double top_ask =>
-         short_data.data.Count > 0 ?
-            short_data.data.First().Key :
-            double.NaN;
-
-      public PositionPriceSize summary =>
-         new PositionPriceSize(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
-
-      public static WorkingOrderData Create(
-         IEnumerable<OrderRecordImmutable> orders, QuantityConversionData<double> qty_conversion) =>
-         Create(orders.Select(o => (o, qty_conversion)));
-
-      public static WorkingOrderData Create(
-         IEnumerable<(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)> orders) =>
-         orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
-
-      public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData<double> qty_conversion) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Add(order, qty_conversion), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order, qty_conversion));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-
-      public WorkingOrderData Remove(OrderRecordImmutable order) {
-         if (order.working_quantity() <= 0)
-            return new WorkingOrderData(long_data, short_data);
-         switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Remove(order.Key, order.price()), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Remove(order.Key, order.price()));
-            default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
-         }
-      }
-   }
-
-   readonly struct WorkingOrderSideData {
-      public readonly double avg_price, display_avg_price;
-      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData<double> qty_conversion)>> data;
-      public readonly double working_total;
-      public readonly double display_working_total;
-
-      WorkingOrderSideData(
-         double avg_price,
-         double working_total,
-         double display_avg_price,
-         double display_working_total,
-         ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>> data
-      ) {
-         this.avg_price = avg_price;
-         this.working_total = working_total;
-         this.display_avg_price = display_avg_price;
-         this.data = data;
-         this.display_working_total = display_working_total;
-      }
-
-      public static WorkingOrderSideData EmptyLong => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new ReverseComparer<double>(new OrderPriceComparer())));
-
-      public static WorkingOrderSideData EmptyShort => new(
-         double.NaN, 0, double.NaN, 0,
-         ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-            new OrderPriceComparer()));
-
-      public double top_price =>
-         data.Count > 0 ?
-            data.First().Key :
-            double.NaN;
-
-      public double top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.order.working_quantity()) :
-            0;
-
-      public double display_top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.qty_conversion
-               .convert_numeric_type<double>()
-               .to_display(o.order.working_quantity())) :
-            0;
-
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
-         Add(order_record, new());
-
-      public WorkingOrderSideData Add(
-         OrderRecordImmutable order_record, QuantityConversionData<double> qty_conversion) {
-         var working_qty = order_record.working_quantity();
-         if (working_qty <= 0)
-            throw new ArgumentException(nameof(working_qty));
-         uint order = order_record.Key;
-         var dworking_qty = qty_conversion.to_display(working_qty);
-         double price = order_record.price();
-         if (working_total == 0) {
-            Log.assert(display_working_total == 0);
-            return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(
-               price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-         } else return new WorkingOrderSideData(
-              avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
-              working_total + working_qty,
-              display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
-              display_working_total + dworking_qty,
-              data.SetItem(price, data.TryGetValue(price, out var curr) ?
-                 curr.Add(order, (order_record, qty_conversion)) :
-                 ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>.Empty.Add(order, (order_record, qty_conversion))));
-      }
-
-      public WorkingOrderSideData Remove(uint order, double price) {
-         var tmp_data = data;
-         if (!tmp_data.TryGetValue(price, out var wdata))
-            throw new KeyNotFoundException(nameof(price));
-         if (!wdata.TryGetValue(order, out var worder))
-            throw new KeyNotFoundException(nameof(order));
-         var wqty = worder.order.working_quantity();
-         var dwqty = worder.qty_conversion.to_display(wqty);
-         wdata = wdata.Remove(order);
-         if (wdata.Count == 0)
-            tmp_data = tmp_data.Remove(price);
-         if (tmp_data.Count == 0)
-            return new(
-               double.NaN, 0, double.NaN, 0,
-               ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData<double>)>>(
-                  data.KeyComparer));
-         return new(
-            avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
-            working_total - wqty,
-            display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
-            display_working_total - dwqty,
-            tmp_data);
-      }
-
-      public override string ToString() {
-         if (data.Count > 0) {
-            var best_order = data.Values.First().Values.First();
-            return OrderUtils.order_collection_summary(
-               best_order.order.price(),
-               display_avg_price,
-               best_order.qty_conversion.to_display(best_order.order.working_quantity()),
-               display_working_total,
-               Security.Defaults.ContractSpecificationImmutable);
-         }
-         return string.Empty;
-      }
-   }
-
-   readonly struct PNLRowData : IEquatable<PNLRowData> {
-      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
-      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
-
-      static readonly WaterfallPriceFlags[] _waterfall_preferences = new[] {
-         WaterfallPriceFlags.LastInsideSpread,
-         WaterfallPriceFlags.Mid,
-         WaterfallPriceFlags.LastGTEBid,
-         WaterfallPriceFlags.Bid,
-         WaterfallPriceFlags.LastLTEAsk,
-         WaterfallPriceFlags.Ask,
-         WaterfallPriceFlags.Last,
-         WaterfallPriceFlags.Settle
-      };
-
-      public readonly PNLKey key;
-      public readonly SecurityImmutable? security;
-      public readonly QuantityConversionData<double> qty_conversion;
-      public readonly uint account_id;
-      public readonly string account_name;
-      public readonly PNLCalculationType calc_type;
-      public readonly PositionPriceSizeWithGreeks sod;
-      public readonly PositionPriceSizeWithGreeks day;
-      public readonly WorkingOrderData working;
-
-      public readonly double
-         default_cpp,
-         bid_price,
-         ask_price,
-         last_price,
-         settlement_price;
-
-      public readonly double? override_cpp;
-
-      public PNLRowData(
-         PNLKey key,
-         double default_cpp = 1,
-         double? override_cpp = null,
-         double pnl_price = double.NaN,
-         double bid_price = 0,
-         double ask_price = 0,
-         double last_price = 0,
-         double settlement_price = 0,
-         double sod_pnl = 0,
-         PositionPriceSizeWithGreeks? sod = null,
-         double day_pnl = 0,
-         PositionPriceSizeWithGreeks? day = null,
-         WorkingOrderData? working = null,
-         SecurityImmutable? security = null,
-         uint account_id = 0,
-         string account_name = null,
-         PNLCalculationType calc_type = PNLCalculationType.Mid,
-         QuantityConversionData<double>? qty_conversion = null) {
-         //
-         this.key = key;
-         this.default_cpp = default_cpp;
-         this.override_cpp = override_cpp;
-         this.pnl_price = pnl_price;
-         this.bid_price = bid_price;
-         this.ask_price = ask_price;
-         this.last_price = last_price;
-         this.settlement_price = settlement_price;
-         this.sod_pnl = sod_pnl;
-         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
-         this.day_pnl = day_pnl;
-         this.day = day ?? PositionPriceSizeWithGreeks.empty;
-         this.working = working ?? WorkingOrderData.Empty;
-         this.security = security;
-         this.account_id = account_id;
-         this.account_name = account_name;
-         this.calc_type = calc_type;
-         this.qty_conversion = qty_conversion ?? new();
-      }
-
-      [Flags]
-      enum WaterfallPriceFlags {
-         None = 0,
-         Bid = 1,
-         Ask = 1 << 1,
-         Last = 1 << 2,
-         Settle = 1 << 3,
-         Mid = Bid | Ask,
-         LastGTEBid = Bid | Last | 1 << 4,
-         LastLTEAsk = Ask | Last | 1 << 5,
-         LastInsideSpread = LastGTEBid | LastLTEAsk,
-         BidGTESettle = Bid | Settle | 1 << 6,
-         AskLTESettle = Ask | Settle | 1 << 7
-      }
-
-      public AccountTuple account => new(account_id, account_name);
-      public string symbol => security?.pnl_symbol() ?? string.Empty;
-      public DateTime expiration =>
-         security?.normal_expirations()?.MinOrDefault(DateTime.MinValue) ?? DateTime.MinValue;
-      public double effective_cpp => override_cpp ?? default_cpp;
-
-      /// Market/Calc
-      public double mid_price => (bid_price + ask_price) / 2;
-      public double pnl_price { get; }
-
-      /// Sod
-      public double sod_pnl { get; }
-      public double sod_long_pos => sod.long_pos;
-      public double sod_long_avg_price => sod.long_avg;
-      public double sod_short_pos => sod.short_pos;
-      public double sod_short_avg_price => sod.short_avg;
-      public double sod_net_pos => sod.net_pos;
-      public double sod_net_avg_price => sod.net_avg;
-      public double sod_delta => sod.delta;
-      public double sod_gamma => sod.gamma;
-      public double sod_vega => sod.vega;
-      public double sod_theta => sod.theta;
-      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
-      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
-      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
-
-      /// Day
-      public double day_pnl { get; }
-      public double day_long_pos => day.long_pos;
-      public double day_long_avg_price => day.long_avg;
-      public double day_short_pos => day.short_pos;
-      public double day_short_avg_price => day.short_avg;
-      public double day_delta => day.delta;
-      public double day_gamma => day.gamma;
-      public double day_vega => day.vega;
-      public double day_theta => day.theta;
-      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
-      public double day_net_pos => day.net_pos;
-      public double day_net_avg => day.net_avg;
-      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
-      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
-      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
-
-      /// Total
-      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
-      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
-      public double total_long_avg_price =>
-         MathUtils.weighted_average(
-            sod_long_avg_price.if_nan(0),
-            sod_long_pos.if_nan(0),
-            day_long_avg_price.if_nan(0),
-            day_long_pos.if_nan(0));
-      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
-      public double total_short_avg_price =>
-         MathUtils.weighted_average(
-            sod_short_avg_price.if_nan(0),
-            sod_short_pos.if_nan(0),
-            day_short_avg_price.if_nan(0),
-            day_short_pos.if_nan(0));
-      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
-      public double total_delta => sod.delta.add_real(day.delta);
-      public double total_gamma => sod.gamma.add_real(day.gamma);
-      public double total_vega => sod.vega.add_real(day.vega);
-      public double total_theta => sod.theta.add_real(day.theta);
-      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
-      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
-      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
-
-      /// Working
-      public double working_long_pos => working.long_data.working_total;
-      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
-      public double working_long_top_price => effective_cpp * working.long_data.top_price;
-      public double working_short_pos => working.short_data.working_total;
-      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
-      public double working_short_top_price => effective_cpp * working.short_data.top_price;
-      public double working_net_pos => working_long_pos - working_short_pos;
-      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
-      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
-      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
-
-      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
-         new(
-            u.id(),
-            default_cpp: 1.0,
-            override_cpp: null,
-            pnl_price: u.theo,
-            bid_price: double.NaN,
-            ask_price: double.NaN,
-            last_price: double.NaN,
-            settlement_price: u.settle_price,
-            sod_pnl: u.start_pnl,
-            sod: new() {
-               price_size = new(
-                  u.start_long_pos,
-                  u.start_long_avg_cost,
-                  u.start_short_pos,
-                  u.start_short_avg_cost),
-               greeks = new() {
-                  delta = u.start_delta,
-                  gamma = u.start_gamma,
-                  vega = u.start_vega,
-                  theta = u.start_theta
-               }
-            },
-            day_pnl: u.day_pnl,
-            day: new() {
-               price_size = new(
-                  u.day_long_pos,
-                  u.day_long_avg_cost,
-                  u.day_short_pos,
-                  u.day_short_avg_cost),
-               greeks = new() {
-                  delta = u.day_delta,
-                  gamma = u.day_gamma,
-                  vega = u.day_vega,
-                  theta = u.day_theta
-               }
-            },
-            working: null,
-            security: u.security,
-            account_id: u.account_id,
-            account_name: u.account,
-            calc_type: PNLCalculationType.Mid,
-            qty_conversion: null);
-
-      public PNLRowData with(
-         SecurityImmutable? security = null,
-         uint? account_id = null,
-         string account_name = null,
-         WorkingOrderData? working = null,
-         PNLCalculationType? calc_type = null) =>
-         new PNLRowData(
-            key,
-            default_cpp,
-            override_cpp,
-            pnl_price,
-            bid_price,
-            ask_price,
-            last_price,
-            settlement_price,
-            sod_pnl: sod_pnl,
-            sod,
-            day_pnl: day_pnl,
-            day,
-            working ?? this.working,
-            security ?? this.security,
-            account_id ?? this.account_id,
-            account_name ?? this.account_name,
-            calc_type ?? this.calc_type,
-            qty_conversion: qty_conversion);
-
-      WaterfallPriceFlags _waterfall_flags() {
-         var flags = WaterfallPriceFlags.None;
-         if (!double.IsNaN(bid_price)) flags |= WaterfallPriceFlags.Bid;
-         if (!double.IsNaN(ask_price)) flags |= WaterfallPriceFlags.Ask;
-         if (!double.IsNaN(last_price)) flags |= WaterfallPriceFlags.Last;
-         if (last_price >= bid_price) flags |= WaterfallPriceFlags.LastGTEBid;
-         if (last_price <= ask_price) flags |= WaterfallPriceFlags.LastLTEAsk;
-         if (!double.IsNaN(settlement_price)) flags |= WaterfallPriceFlags.Settle;
-         if (bid_price >= settlement_price) flags |= WaterfallPriceFlags.BidGTESettle;
-         if (ask_price <= settlement_price) flags |= WaterfallPriceFlags.AskLTESettle;
-         return flags;
-      }
-
-      double _waterfall_price() {
-         var flags = _waterfall_flags();
-         // return price for the best match
-         for (int i = 0; i < _waterfall_preferences.Length; i++) {
-            if ((_waterfall_preferences[i] & flags) == _waterfall_preferences[i])
-               return _waterfall_price(_waterfall_preferences[i]);
-         }
-         return double.NaN;
-      }
-
-      double _waterfall_price(WaterfallPriceFlags ltp) {
-         switch (ltp) {
-            case WaterfallPriceFlags.Last:
-            case WaterfallPriceFlags.LastInsideSpread:
-            case WaterfallPriceFlags.LastGTEBid:
-            case WaterfallPriceFlags.LastLTEAsk: return last_price;
-            case WaterfallPriceFlags.Mid: return mid_price;
-            case WaterfallPriceFlags.Bid:
-            case WaterfallPriceFlags.BidGTESettle: return bid_price;
-            case WaterfallPriceFlags.Ask:
-            case WaterfallPriceFlags.AskLTESettle: return ask_price;
-            case WaterfallPriceFlags.Settle: return settlement_price;
-            default: return double.NaN;
-         }
-      }
-
-      public bool Equals(PNLRowData other) =>
-         key == other.key &&
-         default_cpp == other.default_cpp &&
-         override_cpp == other.override_cpp &&
-         security.HasValue == other.security.HasValue &&
-         account_name == other.account_name &&
-         sod == other.sod &&
-         day == other.day &&
-         bid_price.Equals(other.bid_price) &&
-         ask_price.Equals(other.ask_price) &&
-         last_price.Equals(other.last_price) &&
-         mid_price.Equals(other.mid_price) &&
-         settlement_price.Equals(other.settlement_price) &&
-         calc_type.Equals(other.calc_type) &&
-         working.summary == other.working.summary &&
-         qty_conversion == other.qty_conversion;
-
-      public override bool Equals(object obj) =>
-         obj is PNLRowData other && Equals(other);
-
-      // assuming callers will not combine different values with the same key,
-      // the other components shouldn't be included in the hash calculation.
-      public override int GetHashCode() =>
-         key.GetHashCode();
-
-      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
-      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
-   }
-
-   static class PNLDataExtensions {
-      public static string pnl_symbol(this SecurityImmutable security) {
-         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
-      }
-
-      // while override_cpp could use double.NaN to indicate the lack of an override,
-      // the nullable double makes it clear that it is an optional value.
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
-         security.HasValue ?
-            pnl_cpp_tuple(pnl_unit, security.Value) :
-            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
-         // TODO: actual impl
-         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
-         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-      }
-   }
-}
+using bts.api;
+using bts.api.position;
+using bts.utils;
+
+using mbts;
+using mbts.analytics;
+using mbts.spark;
+using mbts.utils;
+
+using Spark.Api.Data;
+using Spark.Api.Position;
+
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Linq;
+
+using PNLKey = bts.AccountSecurityKey;
+
+namespace bts.shell.pnl {
+   public enum PNLCalculationType {
+      None,
+      Bid,
+      Ask,
+      Opposite,
+      Same,
+      [Description("Cascade")]
+      Waterfall,
+      Last,
+      Mid,
+      Settle
+   }
+
+   readonly struct PNLRowData : IEquatable<PNLRowData> {
+      public static readonly Func<PNLRowData, PNLKey> key_fn = d => d.key;
+      public static IComparer<PNLRowData> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowData>(d => d.key);
+
+      public readonly PNLKey key;
+      public readonly SecurityImmutable? security;
+      public readonly QuantityConversionData<double> qty_conversion;
+      public readonly uint account_id;
+      public readonly string account_name;
+      public readonly PNLCalculationType calc_type;
+      public readonly PositionPriceSizeWithGreeks sod;
+      public readonly PositionPriceSizeWithGreeks day;
+      public readonly WorkingOrderData working;
+
+      public readonly double
+         default_cpp,
+         bid_price,
+         ask_price,
+         last_price,
+         settlement_price;
+
+      public readonly double? override_cpp;
+
+      public PNLRowData(
+         PNLKey key,
+         double default_cpp = 1,
+         double? override_cpp = null,
+         double pnl_price = double.NaN,
+         double bid_price = 0,
+         double ask_price = 0,
+         double last_price = 0,
+         double settlement_price = 0,
+         PositionPriceSizeWithGreeks? sod = null,
+         PositionPriceSizeWithGreeks? day = null,
+         WorkingOrderData? working = null,
+         SecurityImmutable? security = null,
+         uint account_id = 0,
+         string account_name = null,
+         PNLCalculationType calc_type = PNLCalculationType.Mid,
+         QuantityConversionData<double>? qty_conversion = null) {
+         //
+         this.key = key;
+         this.default_cpp = default_cpp;
+         this.override_cpp = override_cpp;
+         this.pnl_price = pnl_price;
+         this.bid_price = bid_price;
+         this.ask_price = ask_price;
+         this.last_price = last_price;
+         this.settlement_price = settlement_price;
+         this.sod = sod ?? PositionPriceSizeWithGreeks.empty;
+         this.day = day ?? PositionPriceSizeWithGreeks.empty;
+         this.working = working ?? WorkingOrderData.Empty;
+         this.security = security;
+         this.account_id = account_id;
+         this.account_name = account_name;
+         this.calc_type = calc_type;
+         this.qty_conversion = qty_conversion ?? new();
+      }
+
+      public AccountTuple account => new(account_id, account_name);
+      public string symbol => security?.pnl_symbol() ?? string.Empty;
+      public ExpirationDate expiration =>
+         security?.normal_expirations()?.MinOrDefault(ExpirationDate.None) ?? ExpirationDate.None;
+      public double effective_cpp => override_cpp ?? default_cpp;
+
+      /// Market/Calc
+      public double mid_price => (bid_price + ask_price) / 2;
+      public double pnl_price { get; }
+
+      /// Sod
+      public double sod_pnl => new[] { sod_realized_pnl, sod_unrealized_pnl }.sum_real();
+      public double sod_long_pos => sod.long_pos;
+      public double sod_long_avg_price => sod.long_avg;
+      public double sod_long_avg_pnl => bid_price - sod.long_avg;
+      public double sod_short_pos => sod.short_pos;
+      public double sod_short_avg_price => sod.short_avg;
+      public double sod_short_avg_pnl => sod.short_avg - ask_price;
+      public double sod_net_pos => sod.net_pos;
+      public double sod_net_avg_price => sod.net_avg;
+      public double sod_unrealized_pnl => sod_long_pos > sod_short_pos
+         ? (sod_long_pos - sod_short_pos) * effective_cpp * (bid_price - sod_long_avg_price)
+         : (sod_short_pos - sod_long_pos) * effective_cpp * (sod_short_avg_price - ask_price);
+      public double sod_realized_pnl => (sod_short_avg_price - sod_long_avg_price) * effective_cpp * Math.Min(sod_long_pos, sod_short_pos);
+      public double sod_delta => sod.delta;
+      public double sod_gamma => sod.gamma;
+      public double sod_vega => sod.vega;
+      public double sod_theta => sod.theta;
+      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
+      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
+      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
+
+      /// Day
+      public double day_pnl => new[] { day_realized_pnl, day_unrealized_pnl }.sum_real();
+      public double day_long_pos => day.long_pos;
+      public double day_long_avg_price => day.long_avg;
+      public double day_long_avg_pnl => bid_price - day.long_avg;
+      public double day_short_pos => day.short_pos;
+      public double day_short_avg_price => day.short_avg;
+      public double day_short_avg_pnl => day.short_avg - ask_price;
+      public double day_delta => day.delta;
+      public double day_gamma => day.gamma;
+      public double day_vega => day.vega;
+      public double day_theta => day.theta;
+      public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
+      public double day_net_pos => day.net_pos;
+      public double day_net_avg => day.net_avg;
+      public double day_unrealized_pnl => day_long_pos > day_short_pos
+         ? (day_long_pos - day_short_pos) * effective_cpp * (bid_price - day_long_avg_price)
+         : (day_short_pos - day_long_pos) * effective_cpp * (day_short_avg_price - ask_price);
+      public double day_realized_pnl => (day_short_avg_price - day_long_avg_price) * effective_cpp * Math.Min(day_long_pos, day_short_pos);
+      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
+      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
+      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
+
+      /// Total
+      public double total_pnl => new[] { sod_pnl, day_pnl }.sum_real();
+      public double total_long_pos => new[] { sod.long_pos, day.long_pos }.sum_real();
+      public double total_long_avg_price =>
+         MathUtils.weighted_average(
+            sod_long_avg_price.if_nan(0),
+            sod_long_pos.if_nan(0),
+            day_long_avg_price.if_nan(0),
+            day_long_pos.if_nan(0));
+      public double total_long_avg_pnl => new[] { sod_long_avg_pnl, day_long_avg_pnl }.sum_real();
+      public double total_short_pos => new[] { sod.short_pos, day.short_pos }.sum_real();
+      public double total_short_avg_price =>
+         MathUtils.weighted_average(
+            sod_short_avg_price.if_nan(0),
+            sod_short_pos.if_nan(0),
+            day_short_avg_price.if_nan(0),
+            day_short_pos.if_nan(0));
+      public double total_short_avg_pnl => new[] { sod_short_avg_pnl, day_short_avg_pnl }.sum_real();
+      public double total_net_pos => new[] { sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos }.Where(n => n.is_real()).Sum();
+      public double total_unrealized_pnl => total_long_pos > total_short_pos
+         ? (total_long_pos - total_short_pos) * effective_cpp * (bid_price - total_long_avg_price)
+         : (total_short_pos - total_long_pos) * effective_cpp * (total_short_avg_price - ask_price);
+      public double total_realized_pnl => (total_short_avg_price - total_long_avg_price) * effective_cpp * Math.Min(total_long_pos, total_short_pos);
+      public double total_delta => sod.delta.add_real(day.delta);
+      public double total_gamma => sod.gamma.add_real(day.gamma);
+      public double total_vega => sod.vega.add_real(day.vega);
+      public double total_theta => sod.theta.add_real(day.theta);
+      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
+      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
+      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
+
+      /// Working
+      public double working_long_pos => working.long_data.working_total;
+      public double working_long_avg_price => effective_cpp * working.long_data.avg_price;
+      public double working_long_top_price => effective_cpp * working.long_data.top_price;
+      public double working_short_pos => working.short_data.working_total;
+      public double working_short_avg_price => effective_cpp * working.short_data.avg_price;
+      public double working_short_top_price => effective_cpp * working.short_data.top_price;
+      public double working_net_pos => working_long_pos - working_short_pos;
+      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
+      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
+      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
+
+      public static PNLRowData from_pnl_unit(IPNLUnit u) =>
+         new(
+            u.id(),
+            default_cpp: u.security.spec_or_default().CashPerPoint,
+            override_cpp: null,
+            pnl_price: u.theo,
+            bid_price: double.NaN,
+            ask_price: double.NaN,
+            last_price: double.NaN,
+            settlement_price: u.settle_price,
+            // Now computed as the sum: sod_realized_pnl + sod_unrealized_pnl
+            // sod_pnl: u.start_pnl,
+            sod: new() {
+               price_size = new(
+                  u.start_long_pos,
+                  u.start_long_avg_cost,
+                  u.start_short_pos,
+                  -u.start_short_avg_cost),
+               greeks = new() {
+                  delta = u.start_delta,
+                  gamma = u.start_gamma,
+                  vega = u.start_vega,
+                  theta = u.start_theta
+               }
+            },
+            // Now computed as the sum: day_realized_pnl + day_unrealized_pnl
+            // day_pnl: u.day_pnl,
+            day: new() {
+               price_size = new(
+                  u.day_long_pos,
+                  u.day_long_avg_cost,
+                  u.day_short_pos,
+                  -u.day_short_avg_cost),
+               greeks = new() {
+                  delta = u.day_delta,
+                  gamma = u.day_gamma,
+                  vega = u.day_vega,
+                  theta = u.day_theta
+               }
+            },
+            working: null,
+            security: u.security,
+            account_id: u.account_id,
+            account_name: u.account,
+            calc_type: PNLCalculationType.Mid,
+            qty_conversion: null);
+
+      public PNLRowData with(
+         SecurityImmutable? security = null,
+         uint? account_id = null,
+         string account_name = null,
+         WorkingOrderData? working = null,
+         PNLCalculationType? calc_type = null,
+         double? bid_price = null,
+         double? ask_price = null) =>
+         new PNLRowData(
+            key,
+            default_cpp,
+            override_cpp,
+            pnl_price,
+            bid_price ?? this.bid_price,
+            ask_price ?? this.ask_price,
+            last_price,
+            settlement_price,
+            sod,
+            day,
+            working ?? this.working,
+            security ?? this.security,
+            account_id ?? this.account_id,
+            account_name ?? this.account_name,
+            calc_type ?? this.calc_type,
+            qty_conversion: qty_conversion);
+
+      public PNLRowData with(SecurityMD smd) {
+         ulong time = 0;
+         if (!smd.md.get_bbo(ref time, out var bid, out var ask)) {
+            return this;
+         }
+         return with(security: smd.security, bid_price: bid.price, ask_price: ask.price);
+      }
+
+      public bool Equals(PNLRowData other) =>
+         key == other.key &&
+         default_cpp == other.default_cpp &&
+         override_cpp == other.override_cpp &&
+         security.HasValue == other.security.HasValue &&
+         account_name == other.account_name &&
+         sod == other.sod &&
+         day == other.day &&
+         bid_price.Equals(other.bid_price) &&
+         ask_price.Equals(other.ask_price) &&
+         last_price.Equals(other.last_price) &&
+         mid_price.Equals(other.mid_price) &&
+         settlement_price.Equals(other.settlement_price) &&
+         calc_type.Equals(other.calc_type) &&
+         working.summary == other.working.summary &&
+         qty_conversion == other.qty_conversion;
+
+      public override bool Equals(object obj) =>
+         obj is PNLRowData other && Equals(other);
+
+      // assuming callers will not combine different values with the same key,
+      // the other components shouldn't be included in the hash calculation.
+      public override int GetHashCode() =>
+         key.GetHashCode();
+
+      public static bool operator ==(PNLRowData a, PNLRowData b) => a.Equals(b);
+      public static bool operator !=(PNLRowData a, PNLRowData b) => !a.Equals(b);
+   }
+
+   static class PNLDataExtensions {
+      public static string pnl_symbol(this SecurityImmutable security) {
+         return bts.api.ExchangeSpecificUtilities.get_pnl_symbol(security);
+      }
+
+      // while override_cpp could use double.NaN to indicate the lack of an override,
+      // the nullable double makes it clear that it is an optional value.
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
+         security.HasValue ?
+            pnl_cpp_tuple(pnl_unit, security.Value) :
+            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
+         // TODO: actual impl
+         double calced_pnl = bts.api.ExchangeSpecificUtilities.get_cpp(pnl_unit, security);
+         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+      }
+   }
+}

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

@@ -29,6 +29,10 @@ namespace bts.shell.pnl {
             display_day_long_pos = 0,
             display_day_short_pos = 0,
 
+            // total
+            total_realized_pnl = 0,
+            total_unrealized_pnl = 0,
+
             // working
             working_long_pos = 0,
             working_short_pos = 0,
@@ -38,6 +42,8 @@ namespace bts.shell.pnl {
 
       // sod
       public decimal sod_pnl { get; init; }
+      public decimal sod_realized_pnl { get; init; }
+      public decimal sod_unrealized_pnl { get; init; }
       public decimal sod_long_pos { get; init; }
       public decimal sod_short_pos { get; init; }
       public decimal sod_net_pos => sod_long_pos - sod_short_pos;
@@ -51,6 +57,8 @@ namespace bts.shell.pnl {
 
       // day
       public decimal day_pnl { get; init; }
+      public decimal day_realized_pnl { get; init; }
+      public decimal day_unrealized_pnl { get; init; }
       public decimal day_long_pos { get; init; }
       public decimal day_short_pos { get; init; }
       public decimal day_net_pos => day_long_pos - day_short_pos;
@@ -64,6 +72,8 @@ namespace bts.shell.pnl {
 
       // total
       public decimal total_pnl => sod_pnl + day_pnl;
+      public decimal total_realized_pnl { get; init; }
+      public decimal total_unrealized_pnl { get; init; }
       public decimal total_net_pos => total_long_pos - total_short_pos;
       public decimal total_long_pos => sod_long_pos + day_long_pos;
       public decimal total_short_pos => sod_short_pos + day_short_pos;
@@ -86,6 +96,8 @@ namespace bts.shell.pnl {
       public bool Equals(PNLNormalizedData other) =>
          // sod
          sod_pnl == other.sod_pnl &&
+         sod_realized_pnl == other.sod_realized_pnl &&
+         sod_unrealized_pnl == other.sod_unrealized_pnl &&
          sod_long_pos == other.sod_long_pos &&
          sod_short_pos == other.sod_short_pos &&
          sod_delta == other.sod_delta &&
@@ -97,6 +109,8 @@ namespace bts.shell.pnl {
 
          // day
          day_pnl == other.day_pnl &&
+         day_realized_pnl == other.day_realized_pnl &&
+         day_unrealized_pnl == other.day_unrealized_pnl &&
          day_long_pos == other.day_long_pos &&
          day_short_pos == other.day_short_pos &&
          day_delta == other.day_delta &&
@@ -106,6 +120,10 @@ namespace bts.shell.pnl {
          display_day_long_pos == other.display_day_long_pos &&
          display_day_short_pos == other.display_day_short_pos &&
 
+         // total
+         total_realized_pnl == other.total_realized_pnl &&
+         total_unrealized_pnl == other.total_unrealized_pnl &&
+
          // working
          working_long_pos == other.working_long_pos &&
          working_short_pos == other.working_short_pos &&
@@ -154,6 +172,8 @@ namespace bts.shell.pnl {
          new() {
             // sod
             sod_pnl = op(a.sod_pnl, b.sod_pnl),
+            sod_realized_pnl = op(a.sod_realized_pnl, b.sod_realized_pnl),
+            sod_unrealized_pnl = op(a.sod_unrealized_pnl, b.sod_unrealized_pnl),
             sod_long_pos = op(a.sod_long_pos, b.sod_long_pos),
             sod_short_pos = op(a.sod_short_pos, b.sod_short_pos),
             sod_delta = op(a.sod_delta, b.sod_delta),
@@ -165,6 +185,8 @@ namespace bts.shell.pnl {
 
             // day
             day_pnl = op(a.day_pnl, b.day_pnl),
+            day_realized_pnl = op(a.day_realized_pnl, b.day_realized_pnl),
+            day_unrealized_pnl = op(a.day_unrealized_pnl, b.day_unrealized_pnl),
             day_long_pos = op(a.day_long_pos, b.day_long_pos),
             day_short_pos = op(a.day_short_pos, b.day_short_pos),
             day_delta = op(a.day_delta, b.day_delta),
@@ -174,6 +196,12 @@ namespace bts.shell.pnl {
             display_day_long_pos = op(a.display_day_long_pos, b.display_day_long_pos),
             display_day_short_pos = op(a.display_day_short_pos, b.display_day_short_pos),
 
+            // total
+            // realized and unrealized pnl are NOT equal to the sum of their day
+            // and sod counter parts.
+            total_realized_pnl = op(a.total_realized_pnl, b.total_realized_pnl),
+            total_unrealized_pnl = op(a.total_unrealized_pnl, b.total_unrealized_pnl),
+
             // working
             working_long_pos = op(a.working_long_pos, b.working_long_pos),
             working_short_pos = op(a.working_short_pos, b.working_short_pos),

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

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

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

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

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

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

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

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

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

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

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

@@ -1,378 +1,405 @@
-using bts.api;
-using bts.utils;
-
-using mbts;
-using mbts.spark;
-using mbts.ui;
-using mbts.ui.shell;
-
-using Spark.Core.Collections;
-using Spark.Core.Data;
-
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.Linq;
-using System.Reactive.Linq;
-
-using ColumnKeys = bts.shell.pnl.PNLView.Columns;
-using PNLKey = bts.AccountSecurityKey;
-
-namespace bts.shell.pnl {
-   class PNLRowVM : DisposableViewModelBase, IEquatable<PNLRowVM> {
-      public static readonly IComparer<PNLRowVM> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowVM>(r => r.key);
-      static readonly Func<bool, string> _fmt_has_day_trades = hdt => hdt ? "Yes" : "No";
-      //
-      readonly PNLCellIndexBuilder<PNLRowData> _cell_map = new PNLCellIndexBuilder<PNLRowData>();
-      readonly PNLCellEmbeddedAnimationModel<PNLRowData> _animator;
-      readonly ISecurityMetadataStore _sec_meta_store;
-      bool _refresh_normalized_data = true, _is_selected;
-      PNLNormalizedData _normalized_data;
-      api.domain.TickDisplaySettingsImmutable? _quantity_display_backing;
-
-      public PNLRowVM(
-         PNLRowData data,
-         ISecurityMetadataStore sec_meta_store,
-         ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances,
-         IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers,
-         Func<double, string> fmt_fill_price,
-         Func<double, string> fmt_market_price) {
-         //
-         this.data = data;
-         _sec_meta_store = sec_meta_store;
-         _animator = new PNLCellEmbeddedAnimationModel<PNLRowData>(default_appearances, triggers);
-         _animator.on_row(data);
-         pnl_price = _cell_map.add_price_double(ColumnKeys.PNLPrice, d => d.pnl_price);
-         account_cell = _cell_map.add(ColumnKeys.Account, d => d.account);
-         security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
-         exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
-         expiration_cell = _cell_map.add(
-            ColumnKeys.Expiration,
-            d => d.expiration,
-            e => SecurityFormatter.format_expiration(e));
-         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
-         security_cell = _cell_map.add(
-            ColumnKeys.Security,
-            d => d.security,
-            null,
-            EqualityComparer<SecurityImmutable?>.Default,
-            Comparer<SecurityImmutable?>.Default);
-         security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
-         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
-         // sod
-         sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.SODNetPos, d => d.display_sod_net_pos, fmt_qty);
-         sod_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.SODLongPos, d => d.display_sod_long_pos, fmt_qty);
-         sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price);
-         sod_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.SODShortPos, d => d.display_sod_short_pos, fmt_qty);
-         sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price);
-         sod_delta = _cell_map.add_pnl_double(ColumnKeys.SODDelta, d => d.sod_delta, fmt_greek);
-         sod_gamma = _cell_map.add_pnl_double(ColumnKeys.SODGamma, d => d.sod_gamma, fmt_greek);
-         sod_vega = _cell_map.add_pnl_double(ColumnKeys.SODVega, d => d.sod_vega, fmt_greek);
-         sod_theta = _cell_map.add_pnl_double(ColumnKeys.SODTheta, d => d.sod_theta, fmt_greek);
-
-         // day
-         day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.DayNetPos, d => d.display_day_net_pos, fmt_qty);
-         day_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.DayLongPos, d => d.display_day_long_pos, fmt_qty);
-         day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price);
-         day_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.DayShortPos, d => d.display_day_short_pos, fmt_qty);
-         day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price);
-         day_delta = _cell_map.add_pnl_double(ColumnKeys.DayDelta, d => d.day_delta, fmt_greek);
-         day_gamma = _cell_map.add_pnl_double(ColumnKeys.DayGamma, d => d.day_gamma, fmt_greek);
-         day_vega = _cell_map.add_pnl_double(ColumnKeys.DayVega, d => d.day_vega, fmt_greek);
-         day_theta = _cell_map.add_pnl_double(ColumnKeys.DayTheta, d => d.day_theta, fmt_greek);
-         has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
-         // working
-         working_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.WorkingNetPos, d => d.display_working_net_pos, fmt_qty);
-         var qty_display = _sec_meta_store.get_qty_display(security);
-         working_long_pos = _cell_map.add_working_long(
-            ColumnKeys.WorkingLongPos,
-            d => d.working.long_data,
-            d => d.bid_price,
-            qty_display);
-         working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price);
-         working_short_pos = _cell_map.add_working_short(
-            ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price, qty_display);
-         working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price);
-         // total
-         total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
-         total_net_pos = _cell_map.add_net_pos(
-            ColumnKeys.TotalNetPos, d => d.display_total_net_pos, fmt_qty);
-         total_long_pos = _cell_map.add_long_pos(
-            ColumnKeys.TotalLongPos, d => d.display_total_long_pos, fmt_qty);
-         total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price);
-         total_short_pos = _cell_map.add_short_pos(
-            ColumnKeys.TotalShortPos, d => d.display_total_short_pos, fmt_qty);
-         total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price);
-         total_delta = _cell_map.add_pnl_double(
-            ColumnKeys.TotalDelta, d => d.total_delta, fmt_greek);
-         total_gamma = _cell_map.add_pnl_double(
-            ColumnKeys.TotalGamma, d => d.total_gamma, fmt_greek);
-         total_vega = _cell_map.add_pnl_double(ColumnKeys.TotalVega, d => d.total_vega, fmt_greek);
-         total_theta = _cell_map.add_pnl_double(
-            ColumnKeys.TotalTheta, d => d.total_theta, fmt_greek);
-
-         // market
-         bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
-         ask_price = _cell_map.add_price_double(ColumnKeys.AskPrice, d => d.ask_price);
-         mid_price = _cell_map.add_price_double(ColumnKeys.MidPrice, d => d.mid_price);
-         last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
-         settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
-
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
-         _cell_map.on_row(data);
-         _cell_map.set_appearances(_animator.cell_appearances);
-         _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
-            animations = new_animations.Select(kv => new mbts.ui.spark.CellAnimation(kv.Key.column, kv.Key.type, kv.Value.color.to_brush())).ToList();
-            RaisePropertyChanged(nameof(animations));
-         });
-
-         static string fmt_greek(double v) =>
-            v.is_nan() ? "-" : v.ToString("#,0.00");
-
-         string fmt_qty(double v) =>
-            quantity_display.format(v);
-      }
-
-      // events
-      public event Action<PNLNormalizedData> updated;
-      public event Action<bool> is_selected_changed;
-
-      // data
-      public PNLKey key => data.key;
-      public PNLRowData data { get; private set; }
-      public PNLNormalizedData normalized_data {
-         get {
-            if (_refresh_normalized_data) {
-               _refresh_normalized_data = false;
-               // Only count outrights (spread positions should be normalized into outrights)
-               var sec_type = security?.ContractCase ?? Security.ContractOneofCase.None;
-               var (
-                  sod_long,
-                  sod_short,
-                  sod_delta,
-                  sod_gamma,
-                  sod_vega,
-                  sod_theta,
-                  day_long,
-                  day_short,
-                  day_delta,
-                  day_gamma,
-                  day_vega,
-                  day_theta) = sec_type switch {
-                  Security.ContractOneofCase.Future or Security.ContractOneofCase.Option => (
-                     data.sod.long_pos.round_to_decimal(),
-                     data.sod.short_pos.round_to_decimal(),
-                     data.sod.delta.round_to_decimal(),
-                     data.sod.gamma.round_to_decimal(),
-                     data.sod.vega.round_to_decimal(),
-                     data.sod.theta.round_to_decimal(),
-                     data.day.long_pos.round_to_decimal(),
-                     data.day.short_pos.round_to_decimal(),
-                     data.day.delta.round_to_decimal(),
-                     data.day.gamma.round_to_decimal(),
-                     data.day.vega.round_to_decimal(),
-                     data.day.theta.round_to_decimal()),
-                  _ => (0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0)
-               };
-
-               var working_long = data.working_long_pos.round_to_decimal();
-               var working_short = data.working_short_pos.round_to_decimal();
-
-               var nd = new PNLNormalizedData() {
-                  // sod
-                  sod_pnl = sod_pnl.value.round_to_decimal(),
-                  sod_long_pos = sod_long,
-                  sod_short_pos = sod_short,
-                  sod_delta = sod_delta,
-                  sod_gamma = sod_gamma,
-                  sod_vega = sod_vega,
-                  sod_theta = sod_theta,
-                  display_sod_long_pos = sod_long,
-                  display_sod_short_pos = sod_short,
-
-                  // day
-                  day_pnl = day_pnl.value.round_to_decimal(),
-                  day_long_pos = day_long,
-                  day_short_pos = day_short,
-                  day_delta = day_delta,
-                  day_gamma = day_gamma,
-                  day_vega = day_vega,
-                  day_theta = day_theta,
-                  display_day_long_pos = day_long,
-                  display_day_short_pos = day_short,
-
-                  // working
-                  working_long_pos = working_long,
-                  working_short_pos = working_short,
-                  display_working_long_pos = working_long,
-                  display_working_short_pos = working_short
-               };
-               if (_normalized_data != nd) {
-                  _normalized_data = nd;
-                  updated?.Invoke(nd);
-               }
-            }
-            return _normalized_data;
-         }
-      }
-      // security
-      public string account_name => data.account_name;
-      public Venue exchange => security?.Exchange ?? Venue.Unset;
-      public string symbol => security.symbol_or_default();
-      public DateTime expiration => data.expiration;
-      public Security.ContractOneofCase security_type => security?.ContractCase ?? Security.ContractOneofCase.None;
-      public SecurityImmutable? security => data.security;
-      // cells
-      public PNLCellVM<PNLRowData, AccountTuple> account_cell { get; }
-      public PNLCellVM<PNLRowData, Venue> exchange_cell { get; }
-      public PNLCellVM<PNLRowData, DateTime> expiration_cell { get; }
-      public PNLCellVM<PNLRowData, string> symbol_cell { get; }
-      public PNLCellVM<PNLRowData, Security.ContractOneofCase> security_type_cell { get; }
-      public PNLCellVM<PNLRowData, SecurityImmutable?> security_cell { get; }
-      public PNLCellVM<PNLRowData, uint> security_key { get; }
-      public PNLCellVM<PNLRowData, double> cpp { get; }
-      // sod
-      public PNLCellVM<PNLRowData, double> sod_pnl { get; }
-      public PNLCellVM<PNLRowData, double> sod_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> sod_delta { get; }
-      public PNLCellVM<PNLRowData, double> sod_gamma { get; }
-      public PNLCellVM<PNLRowData, double> sod_vega { get; }
-      public PNLCellVM<PNLRowData, double> sod_theta { get; }
-
-      // day
-      public PNLCellVM<PNLRowData, double> day_pnl { get; }
-      public PNLCellVM<PNLRowData, double> day_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> day_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> day_delta { get; }
-      public PNLCellVM<PNLRowData, double> day_gamma { get; }
-      public PNLCellVM<PNLRowData, double> day_vega { get; }
-      public PNLCellVM<PNLRowData, double> day_theta { get; }
-      public PNLCellVM<PNLRowData, bool> has_day_trades { get; }
-      // working
-      public PNLCellVM<PNLRowData, double> working_net_pos { get; }
-      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> working_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> working_short_avg_price { get; }
-      // total
-      public PNLCellVM<PNLRowData, double> total_pnl { get; }
-      public PNLCellVM<PNLRowData, double> total_net_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_long_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_long_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> total_short_pos { get; }
-      public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
-      public PNLCellVM<PNLRowData, double> total_delta { get; }
-      public PNLCellVM<PNLRowData, double> total_gamma { get; }
-      public PNLCellVM<PNLRowData, double> total_vega { get; }
-      public PNLCellVM<PNLRowData, double> total_theta { get; }
-
-      // (market)
-      public PNLCellVM<PNLRowData, double> bid_price { get; }
-      public PNLCellVM<PNLRowData, double> mid_price { get; }
-      public PNLCellVM<PNLRowData, double> ask_price { get; }
-      public PNLCellVM<PNLRowData, double> last_price { get; }
-      public PNLCellVM<PNLRowData, double> settlement_price { get; }
-      public PNLCellVM<PNLRowData, double> pnl_price { get; }
-
-      // display
-      public api.domain.TickDisplaySettingsImmutable quantity_display {
-         get {
-            if (_quantity_display_backing.HasValue) {
-               return _quantity_display_backing.Value;
-            }
-            if (security.HasValue) {
-               _quantity_display_backing = _sec_meta_store.get_qty_display(security.Value);
-            }
-            return _quantity_display_backing ??= Security.Defaults.quantity_display_settingsi;
-         }
-      }
-
-      public IList<mbts.ui.spark.CellAnimation> animations { get; private set; }
-
-      public bool is_selected {
-         get => _is_selected;
-         set {
-            if (Set(ref _is_selected, value))
-               is_selected_changed?.Invoke(value);
-         }
-      }
-
-      IEnumerable<PNLCellVM<PNLRowData, double>> _market_price_cells {
-         get {
-            yield return pnl_price;
-            yield return last_price;
-            yield return bid_price;
-            yield return mid_price;
-            yield return ask_price;
-            yield return settlement_price;
-         }
-      }
-
-      // includes sod, day, total, and working avg price columns
-      IEnumerable<PNLCellVM<PNLRowData, double>> _fill_price_cells {
-         get {
-            // sod
-            yield return sod_long_avg_price;
-            yield return sod_short_avg_price;
-            // day
-            yield return day_long_avg_price;
-            yield return day_short_avg_price;
-            // total
-            yield return total_long_avg_price;
-            yield return total_short_avg_price;
-            // working
-            yield return working_long_avg_price;
-            yield return working_short_avg_price;
-         }
-      }
-
-      public void update(PNLRowData data) {
-         _quantity_display_backing = null;
-         _refresh_normalized_data = true;
-         this.data = data;
-         _cell_map.on_row(data);
-         _animator.on_row(data);
-         _cell_map.set_appearances(_animator.cell_appearances);
-      }
-
-      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
-         _animator.on_settings(defaults, triggers);
-         _cell_map.set_appearances(_animator.cell_appearances);
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
-      }
-
-      public bool Equals(PNLRowVM other) =>
-         other != null && key == other.key;
-
-      public override int GetHashCode() =>
-         key.GetHashCode();
-
-      public override string ToString() =>
-         $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
-
-      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
-         foreach (var cell in _fill_price_cells) {
-            cell.format = fmt_fill_price;
-         }
-         foreach (var cell in _market_price_cells) {
-            cell.format = fmt_market_price;
-         }
-      }
-   }
-}
+using bts.api;
+using bts.utils;
+
+using mbts;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.shell;
+
+using Spark.Api.Data;
+using Spark.Core.Collections;
+using Spark.Core.Data;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+using System.Reactive.Linq;
+
+using ColumnKeys = bts.shell.pnl.PNLView.Columns;
+using PNLKey = bts.AccountSecurityKey;
+
+namespace bts.shell.pnl {
+   class PNLRowVM : DisposableViewModelBase, IEquatable<PNLRowVM> {
+      public static readonly IComparer<PNLRowVM> key_comparer = Comparer<PNLKey>.Default.wrap<PNLKey, PNLRowVM>(r => r.key);
+      static readonly Func<bool, string> _fmt_has_day_trades = hdt => hdt ? "Yes" : "No";
+      //
+      readonly PNLCellIndexBuilder<PNLRowData> _cell_map = new PNLCellIndexBuilder<PNLRowData>();
+      readonly PNLCellEmbeddedAnimationModel<PNLRowData> _animator;
+      readonly ISecurityMetadataStore _sec_meta_store;
+      readonly DelegateProperty<api.domain.TickDisplaySettingsImmutable> _quantity_display_backing;
+      bool _refresh_normalized_data = true, _is_selected;
+      PNLNormalizedData _normalized_data;
+
+      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);
+         _quantity_display_backing = backing(
+            nameof(quantity_display),
+            () => security?.QuantityDisplay() ?? Security.Defaults.quantity_display_settingsi);
+         pnl_price = _cell_map.add_price_double(ColumnKeys.PNLPrice, d => d.pnl_price);
+         account_cell = _cell_map.add(ColumnKeys.Account, d => d.account);
+         security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
+         exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
+         expiration_cell = _cell_map.add(
+            ColumnKeys.Expiration,
+            d => d.expiration,
+            e => e.ToString());
+         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
+         security_cell = _cell_map.add(
+            ColumnKeys.Security,
+            d => d.security,
+            null,
+            EqualityComparer<SecurityImmutable?>.Default,
+            Comparer<SecurityImmutable?>.Default);
+         security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
+         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
+         // sod
+         sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
+         sod_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODRealizedPNL, d => d.sod_realized_pnl);
+         sod_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.SODUnrealizedPNL, d => d.sod_unrealized_pnl);
+         sod_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.SODNetPos, d => d.display_sod_net_pos, fmt_qty);
+         sod_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.SODLongPos, d => d.display_sod_long_pos, fmt_qty);
+         sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price);
+         sod_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.SODLongAvgPNL, d => d.sod_long_avg_pnl);
+         sod_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.SODShortPos, d => d.display_sod_short_pos, fmt_qty);
+         sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price);
+         sod_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.SODShortAvgPNL, d => d.sod_short_avg_pnl);
+         sod_delta = _cell_map.add_pnl_double(ColumnKeys.SODDelta, d => d.sod_delta, fmt_greek);
+         sod_gamma = _cell_map.add_pnl_double(ColumnKeys.SODGamma, d => d.sod_gamma, fmt_greek);
+         sod_vega = _cell_map.add_pnl_double(ColumnKeys.SODVega, d => d.sod_vega, fmt_greek);
+         sod_theta = _cell_map.add_pnl_double(ColumnKeys.SODTheta, d => d.sod_theta, fmt_greek);
+
+         // day
+         day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
+         day_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayRealizedPNL, d => d.day_realized_pnl);
+         day_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.DayUnrealizedPNL, d => d.day_unrealized_pnl);
+         day_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.DayNetPos, d => d.display_day_net_pos, fmt_qty);
+         day_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.DayLongPos, d => d.display_day_long_pos, fmt_qty);
+         day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price);
+         day_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.DayLongAvgPNL, d => d.day_long_avg_pnl);
+         day_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.DayShortPos, d => d.display_day_short_pos, fmt_qty);
+         day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price);
+         day_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.DayShortAvgPNL, d => d.day_short_avg_pnl);
+         day_delta = _cell_map.add_pnl_double(ColumnKeys.DayDelta, d => d.day_delta, fmt_greek);
+         day_gamma = _cell_map.add_pnl_double(ColumnKeys.DayGamma, d => d.day_gamma, fmt_greek);
+         day_vega = _cell_map.add_pnl_double(ColumnKeys.DayVega, d => d.day_vega, fmt_greek);
+         day_theta = _cell_map.add_pnl_double(ColumnKeys.DayTheta, d => d.day_theta, fmt_greek);
+         has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
+         // working
+         working_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.WorkingNetPos, d => d.display_working_net_pos, fmt_qty);
+         var qty_display = _sec_meta_store.get_qty_display(security);
+         working_long_pos = _cell_map.add_working_long(
+            ColumnKeys.WorkingLongPos,
+            d => d.working.long_data,
+            d => d.bid_price,
+            qty_display);
+         working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price);
+         working_short_pos = _cell_map.add_working_short(
+            ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price, qty_display);
+         working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price);
+         // total
+         total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
+         total_realized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalRealizedPNL, d => d.total_realized_pnl);
+         total_unrealized_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalUnrealizedPNL, d => d.total_unrealized_pnl);
+         total_net_pos = _cell_map.add_net_pos(
+            ColumnKeys.TotalNetPos, d => d.display_total_net_pos, fmt_qty);
+         total_long_pos = _cell_map.add_long_pos(
+            ColumnKeys.TotalLongPos, d => d.display_total_long_pos, fmt_qty);
+         total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price);
+         total_long_avg_pnl = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPNL, d => d.total_long_avg_pnl);
+         total_short_pos = _cell_map.add_short_pos(
+            ColumnKeys.TotalShortPos, d => d.display_total_short_pos, fmt_qty);
+         total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price);
+         total_short_avg_pnl = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPNL, d => d.total_short_avg_pnl);
+         total_delta = _cell_map.add_pnl_double(
+            ColumnKeys.TotalDelta, d => d.total_delta, fmt_greek);
+         total_gamma = _cell_map.add_pnl_double(
+            ColumnKeys.TotalGamma, d => d.total_gamma, fmt_greek);
+         total_vega = _cell_map.add_pnl_double(ColumnKeys.TotalVega, d => d.total_vega, fmt_greek);
+         total_theta = _cell_map.add_pnl_double(
+            ColumnKeys.TotalTheta, d => d.total_theta, fmt_greek);
+
+         // market
+         bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
+         ask_price = _cell_map.add_price_double(ColumnKeys.AskPrice, d => d.ask_price);
+         mid_price = _cell_map.add_price_double(ColumnKeys.MidPrice, d => d.mid_price);
+         last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
+         settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
+
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
+         _cell_map.on_row(data);
+         _cell_map.set_appearances(_animator.cell_appearances);
+         _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
+            animations = new_animations.Select(kv => new mbts.ui.spark.CellAnimation(kv.Key.column, kv.Key.type, kv.Value.color.to_brush())).ToList();
+            RaisePropertyChanged(nameof(animations));
+         });
+
+         static string fmt_greek(double v) =>
+            v.is_nan() ? "-" : v.ToString("#,0.00");
+
+         string fmt_qty(double v) =>
+            quantity_display.format(v);
+      }
+
+      // events
+      public event Action<PNLNormalizedData> updated;
+      public event Action<bool> is_selected_changed;
+
+      // data
+      public PNLKey key => data.key;
+      public PNLRowData data { get; private set; }
+      public PNLNormalizedData normalized_data {
+         get {
+            if (_refresh_normalized_data) {
+               _refresh_normalized_data = false;
+               // Only count outrights (spread positions should be normalized into outrights)
+               var sec_type = security?.ContractCase ?? Security.ContractOneofCase.None;
+               var (
+                  sod_long,
+                  sod_short,
+                  sod_delta,
+                  sod_gamma,
+                  sod_vega,
+                  sod_theta,
+                  day_long,
+                  day_short,
+                  day_delta,
+                  day_gamma,
+                  day_vega,
+                  day_theta) = sec_type switch {
+                  Security.ContractOneofCase.Future or Security.ContractOneofCase.Option => (
+                     data.sod.long_pos.round_to_decimal(),
+                     data.sod.short_pos.round_to_decimal(),
+                     data.sod.delta.round_to_decimal(),
+                     data.sod.gamma.round_to_decimal(),
+                     data.sod.vega.round_to_decimal(),
+                     data.sod.theta.round_to_decimal(),
+                     data.day.long_pos.round_to_decimal(),
+                     data.day.short_pos.round_to_decimal(),
+                     data.day.delta.round_to_decimal(),
+                     data.day.gamma.round_to_decimal(),
+                     data.day.vega.round_to_decimal(),
+                     data.day.theta.round_to_decimal()),
+                  _ => (0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0)
+               };
+
+               var working_long = data.working_long_pos.round_to_decimal();
+               var working_short = data.working_short_pos.round_to_decimal();
+
+               var nd = new PNLNormalizedData() {
+                  // sod
+                  sod_pnl = sod_pnl.value.round_to_decimal(),
+                  sod_realized_pnl = sod_realized_pnl.value.round_to_decimal(),
+                  sod_unrealized_pnl = sod_unrealized_pnl.value.round_to_decimal(),
+                  sod_long_pos = sod_long,
+                  sod_short_pos = sod_short,
+                  sod_delta = sod_delta,
+                  sod_gamma = sod_gamma,
+                  sod_vega = sod_vega,
+                  sod_theta = sod_theta,
+                  display_sod_long_pos = sod_long,
+                  display_sod_short_pos = sod_short,
+
+                  // day
+                  day_pnl = day_pnl.value.round_to_decimal(),
+                  day_realized_pnl = day_realized_pnl.value.round_to_decimal(),
+                  day_unrealized_pnl = day_unrealized_pnl.value.round_to_decimal(),
+                  day_long_pos = day_long,
+                  day_short_pos = day_short,
+                  day_delta = day_delta,
+                  day_gamma = day_gamma,
+                  day_vega = day_vega,
+                  day_theta = day_theta,
+                  display_day_long_pos = day_long,
+                  display_day_short_pos = day_short,
+
+                  // total
+                  total_realized_pnl = total_realized_pnl.value.round_to_decimal(),
+                  total_unrealized_pnl = total_unrealized_pnl.value.round_to_decimal(),
+
+                  // working
+                  working_long_pos = working_long,
+                  working_short_pos = working_short,
+                  display_working_long_pos = working_long,
+                  display_working_short_pos = working_short
+               };
+               if (_normalized_data != nd) {
+                  _normalized_data = nd;
+                  updated?.Invoke(nd);
+               }
+            }
+            return _normalized_data;
+         }
+      }
+      // security
+      public string account_name => data.account_name;
+      public Venue exchange => security?.Exchange ?? Venue.Unset;
+      public string symbol => security.symbol_or_default();
+      public ExpirationDate expiration => data.expiration;
+      public Security.ContractOneofCase security_type => security?.ContractCase ?? Security.ContractOneofCase.None;
+      public SecurityImmutable? security => data.security;
+      // cells
+      public PNLCellVM<PNLRowData, AccountTuple> account_cell { get; }
+      public PNLCellVM<PNLRowData, Venue> exchange_cell { get; }
+      public PNLCellVM<PNLRowData, ExpirationDate> expiration_cell { get; }
+      public PNLCellVM<PNLRowData, string> symbol_cell { get; }
+      public PNLCellVM<PNLRowData, Security.ContractOneofCase> security_type_cell { get; }
+      public PNLCellVM<PNLRowData, SecurityImmutable?> security_cell { get; }
+      public PNLCellVM<PNLRowData, uint> security_key { get; }
+      public PNLCellVM<PNLRowData, double> cpp { get; }
+      // sod
+      public PNLCellVM<PNLRowData, double> sod_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_unrealized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> sod_short_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> sod_delta { get; }
+      public PNLCellVM<PNLRowData, double> sod_gamma { get; }
+      public PNLCellVM<PNLRowData, double> sod_vega { get; }
+      public PNLCellVM<PNLRowData, double> sod_theta { get; }
+
+      // day
+      public PNLCellVM<PNLRowData, double> day_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_unrealized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> day_short_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> day_delta { get; }
+      public PNLCellVM<PNLRowData, double> day_gamma { get; }
+      public PNLCellVM<PNLRowData, double> day_vega { get; }
+      public PNLCellVM<PNLRowData, double> day_theta { get; }
+      public PNLCellVM<PNLRowData, bool> has_day_trades { get; }
+      // working
+      public PNLCellVM<PNLRowData, double> working_net_pos { get; }
+      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> working_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, WorkingOrderSideData> working_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> working_short_avg_price { get; }
+      // total
+      public PNLCellVM<PNLRowData, double> total_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_realized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_unrealized_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_net_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_long_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_long_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_long_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_short_pos { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_price { get; }
+      public PNLCellVM<PNLRowData, double> total_short_avg_pnl { get; }
+      public PNLCellVM<PNLRowData, double> total_delta { get; }
+      public PNLCellVM<PNLRowData, double> total_gamma { get; }
+      public PNLCellVM<PNLRowData, double> total_vega { get; }
+      public PNLCellVM<PNLRowData, double> total_theta { get; }
+
+      // (market)
+      public PNLCellVM<PNLRowData, double> bid_price { get; }
+      public PNLCellVM<PNLRowData, double> mid_price { get; }
+      public PNLCellVM<PNLRowData, double> ask_price { get; }
+      public PNLCellVM<PNLRowData, double> last_price { get; }
+      public PNLCellVM<PNLRowData, double> settlement_price { get; }
+      public PNLCellVM<PNLRowData, double> pnl_price { get; }
+
+      // display
+      public api.domain.TickDisplaySettingsImmutable quantity_display =>
+         _quantity_display_backing.Value;
+
+      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) {
+         _refresh_normalized_data = true;
+         this.data = data;
+         _quantity_display_backing.refresh();
+         _cell_map.on_row(data);
+         _animator.on_row(data);
+         _cell_map.set_appearances(_animator.cell_appearances);
+      }
+
+      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+         _animator.on_settings(defaults, triggers);
+         _cell_map.set_appearances(_animator.cell_appearances);
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
+      }
+
+      public bool Equals(PNLRowVM other) =>
+         other != null && key == other.key;
+
+      public override int GetHashCode() =>
+         key.GetHashCode();
+
+      public override string ToString() =>
+         $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
+
+      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+         foreach (var cell in _fill_price_cells) {
+            cell.format = fmt_fill_price;
+         }
+         foreach (var cell in _market_price_cells) {
+            cell.format = fmt_market_price;
+         }
+      }
+   }
+}

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

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

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

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