[roq-api] Drop-copy support

[thraneh]

It should be possible to track all orders placed on an account.

• Must be opt-in
• Gateway should manage permissions

[thraneh]

As preparation, the user field has been added to the API for OrderUpdate and TradeUpdate.

Other changes are required before this is supported. Will await sponsorship.

[thraneh]

A new drop_copy option has been added to client::Settings (default is false).

The implication of using true is that the client will no longer filter updates routed to other clients.

[thraneh]

Remaining topics:

• Gateway TOML config must include an optional drop_copy flag per user. This will allow the gateway to reject connection attempts by unauthorized clients.
• Gateway must send initial snapshot for all possibly users to a recently connected "drop-copy" client.
• A "drop-copy" client will currently allow all messages through, including initial snapshots sent to recently connected clients. These snapshots should be filtered.
• Ensure the user field of OrderUpdate and TradeUpdate are populated.

[thraneh]

This

A "drop-copy" client will currently allow all messages through, including initial snapshots sent to recently connected clients. These snapshots should be filtered.

Has now been fixed. A drop-copy client will no longer receive the download messages meant for another client.

[thraneh]

This

Ensure the user field of OrderUpdate and TradeUpdate are populated.

This logic previously depended on the implementation by each gateway.

It has now been pushed to the roq-server library to better provide generic gateway support.

The roq-server interface has been changed and now accepts an oms::TradeUpdate and the user field wil then automatically be populated by the roq-server library.

[thraneh]

The previous change adding drop_copy to client::Settings was not ideal.

Reason is that the client settings are used as part of the subscription message which only can be sent after an initial handshake with the gateway. This is too for proper validation.

The client now has a flag --drop_copy which is required at the same level as the --name flag. Both flags are now transmitted to the gateway for the initial handshake.

For a brief period we will still support client::Settings::drop_copy before it will be reverted.

[thraneh]

This

Gateway TOML config must include an optional drop_copy flag per user. This will allow the gateway to reject connection attempts by unauthorized clients.

Has now been added.

[thraneh]

This

• Gateway must send initial snapshot for all possibly users to a recently connected "drop-copy" client.

Has now been implemented.