private void CEL_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prevAsks, CQGDOMQuotes prevBids)
{
if (!_symbolsTable.Keys.Contains(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
SymbolData symbolData = _symbolsTable[instrument.FullName];
if (symbolData.IsCanceled)
{
RemoveSymbol(instrument.FullName);
return;
}
if (!(_cel.IsValid(instrument.DOMBids) && _cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!symbolData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - symbolData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - symbolData.PrevTradeVol) > epsilon))
{
symbolData.IsNewTrade = true;
if (_isMoreInfo)
{
if (symbolData.MsgObject.Parent.Parent != null)
{
symbolData.MsgObject.Parent.Parent.BeginInvoke(
new Action(
() =>
symbolData.MsgObject.Text =
@"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
instrument.DOMAsks.Count));
}
}
}
else
{
symbolData.IsNewTrade = false;
}
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
else
{
symbolData.PrevTradePrice = instrument.Trade.Price;
symbolData.PrevTradeVol = instrument.Trade.Volume;
symbolData.PrevTradeTime = instrument.Timestamp;
}
symbolData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(symbolData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++symbolData.GroupId,
symbolData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = symbolData.SymbolName,
Timestamp = serverTimestamp,
GroupID = symbolData.GroupId
};
if (_onSymbolsList.Contains(instrument.FullName))
{
DatabaseManager.AddToBuffer(query, true, tickDomData);
if (_allowedSymbols.ContainsKey(_symbolsTable[instrument.FullName].SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])
{
return;
}
DatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
_symbolsTable[instrument.FullName] = symbolData;
}
}
static void Cel_InstrumentDOMChanged(CQGInstrument instrument, CQGDOMQuotes prev_asks, CQGDOMQuotes prev_bids)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var domData = symbolData.DomData;
if (!(Cel.IsValid(instrument.DOMBids) && Cel.IsValid(instrument.DOMAsks)))
{
return;
}
if (!domData.FirstTride)
{
const double epsilon = 0.0000001;
if ((Math.Abs(instrument.Trade.Price - domData.PrevTradePrice) > epsilon) ||
(Math.Abs(instrument.Trade.Volume - domData.PrevTradeVol) > epsilon))
{
domData.IsNewTrade = true;
//if (_isMoreInfo)
//{
// if (symbolData.MsgObject.Parent.Parent != null)
// symbolData.MsgObject.Parent.Parent.BeginInvoke(
// new Action(
// () =>
// symbolData.MsgObject.Text =
// @"DOMBids depth: " + instrument.DOMBids.Count + @" DOMAsks depth: " +
// instrument.DOMAsks.Count));
//}
}
else
{
domData.IsNewTrade = false;
}
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
else
{
domData.PrevTradePrice = instrument.Trade.Price;
domData.PrevTradeVol = instrument.Trade.Volume;
domData.PrevTradeTime = instrument.Timestamp;
}
domData.FirstTride = false;
double askPrice;
double bidPrice;
int askVol;
int bidVol;
var serverTimestamp = new DateTime(instrument.ServerTimestamp.Year,
instrument.ServerTimestamp.Month,
instrument.ServerTimestamp.Day,
instrument.ServerTimestamp.Hour,
instrument.ServerTimestamp.Minute,
instrument.ServerTimestamp.Second,
instrument.ServerTimestamp.Millisecond);
var query = QueryBuilder.InsertData_dom(domData.TableName, instrument,
Convert.ToInt32(symbolData.Depth), ++domData.GroupId,
domData.IsNewTrade, _userName, out askPrice, out askVol, out bidPrice, out bidVol, serverTimestamp);
if (instrument.ServerTimestamp < DateTime.Now.AddDays(-1))
{
return;
}
var tickDomData = new TickData
{
AskPrice = askPrice,
AskVolume = askVol,
BidPrice = bidPrice,
BidVolume = bidVol,
SymbolName = domData.SymbolName,
Timestamp = serverTimestamp,
GroupID = domData.GroupId
};
ClientDatabaseManager.AddToBuffer(query, true, tickDomData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//if (DatabaseManager.CurrentDbIsShared && serverTimestamp < _allowedSymbols[instrument.FullName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
symbolData.DomData = domData;
}
}