public void SendQuote()
{
if (isQuoteInitialized || VerifyQuote())
{
if (isRunning)
{
if (Symbol.QuoteType != QuoteType.Level1)
{
if (!errorWrongLevel1Type)
{
log.Error("Received " + QuoteType.Level1 + " quote but " + Symbol + " is configured for QuoteType = " + Symbol.QuoteType + " in the symbol dictionary.");
errorWrongLevel1Type = true;
}
}
else if (Bid == 0D)
{
log.Error("Found quote bid was set to " + Bid + " so skipping this tick.");
return;
}
else if (Ask == 0D)
{
log.Error("Found quote ask was set to " + Ask + " so skipping this tick.");
return;
}
else
{
tickIO.Initialize();
tickIO.SetSymbol(Symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
var box = tickPool.Create(tickPoolCallerId);
var tickId = box.TickBinary.Id;
box.TickBinary = tickIO.Extract();
box.TickBinary.Id = tickId;
quotesLatency.TryUpdate(box.TickBinary.Symbol, box.TickBinary.UtcTime);
var eventItem = new EventItem(symbol, EventType.Tick, box);
agent.SendEvent(eventItem);
Interlocked.Increment(ref tickCount);
if (Diagnose.TraceTicks)
{
Diagnose.AddTick(diagnoseMetric, ref box.TickBinary);
}
if (trace)
{
log.Trace("Sent quote for " + Symbol + ": " + tickIO);
}
}
}
}
}
private Yield SendPlayBackTick()
{
LatencyManager.IncrementSymbolHandler();
latency.TryUpdate(nextTick.lSymbol, nextTick.UtcTime.Internal);
if (isFirstTick)
{
FillSimulator.StartTick(nextTick);
isFirstTick = false;
}
else
{
if (FillSimulator.IsChanged)
{
FillSimulator.ProcessOrders();
}
}
return(Yield.DidWork.Invoke(ProcessOnTickCallBack));
}
public void SendOptionPrice()
{
if (!isRunning)
{
return;
}
if (Symbol.OptionChain != OptionChain.Complete)
{
if (!errorOptionChainType)
{
log.Error("Received option price but " + Symbol + " is configured for TimeAndSales = " + Symbol.OptionChain + " in the symbol dictionary.");
errorOptionChainType = true;
}
return;
}
if (!isQuoteInitialized && !VerifyQuote())
{
return;
}
if (strikePrice == 0D || utcOptionExpiration == default(TimeStamp))
{
if (!errorStrikeAndExpiration)
{
log.Error("Received option price but strike or expiration was blank: Strike " + strikePrice + ", " + utcOptionExpiration);
errorStrikeAndExpiration = true;
}
return;
}
tickIO.Initialize();
tickIO.SetSymbol(Symbol.BinaryIdentifier);
tickIO.SetTime(Time);
tickIO.SetOption(optionType, strikePrice, utcOptionExpiration);
if (Last != 0D)
{
tickIO.SetTrade(Last, LastSize);
}
if (Bid != 0 && Ask != 0 && BidSize != 0 && AskSize != 0)
{
tickIO.SetQuote(Bid, Ask, (short)BidSize, (short)AskSize);
}
var box = tickPool.Create(tickPoolCallerId);
var tickId = box.TickBinary.Id;
box.TickBinary = tickIO.Extract();
box.TickBinary.Id = tickId;
if (tickIO.IsTrade && tickIO.Price == 0D)
{
log.Warn("Found trade tick with zero price: " + tickIO);
}
salesLatency.TryUpdate(box.TickBinary.Symbol, box.TickBinary.UtcTime);
var eventItem = new EventItem(symbol, EventType.Tick, box);
agent.SendEvent(eventItem);
Interlocked.Increment(ref tickCount);
if (Diagnose.TraceTicks)
{
Diagnose.AddTick(diagnoseMetric, ref box.TickBinary);
}
if (trace)
{
log.Trace("Sent trade tick for " + Symbol + ": " + tickIO);
}
}
