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); } }