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;
}
}
public void CEL_InstrumentSubscribed(string symbol1, ICQGInstrument instrument)
{
var sdata = new SymbolData();
try
{
var symbol = symbol1;
var symbolLen = symbol.Length;
sdata = new SymbolData("DM_" + symbol.Substring(5, symbolLen - 5).ToUpper())
{
Instrument = instrument, Depth = GetDepthForSymbol(instrument.FullName)
};
sdata.SymbolName = symbol;
if (_addSybolsList.Count == 0)
{
return;
}
sdata.MsgObject = _addSybolsList[symbol];
var tdata = new TickData("TS_" + symbol.Substring(5, symbol.Length - 5).ToUpper(), symbol);
DatabaseManager.DoSqlLive(QueryBuilder.createTable_tick(tdata.TableName));
DatabaseManager.DoSqlLive(QueryBuilder.createTable_dom(sdata.TableName));
if (_isMoreInfo)
{
sdata.MsgObject.Text = @"Subscribed. Waiting for data...";
sdata.MsgObject.ForeColor = Color.Green;
}
else
{
sdata.MsgObject.Text = @"Subscribed";
sdata.MsgObject.ForeColor = Color.Green;
}
instrument.DataSubscriptionLevel = eDataSubscriptionLevel.dsQuotesAndDOM;
sdata.GroupId = 0;
Console.WriteLine(@"dom:" + sdata.GroupId);
if (!_symbolsTable.ContainsKey(instrument.FullName))
{
_symbolsTable.Add(instrument.FullName, sdata);
}
tdata.GroupID = 0;
if (!_tickTable.ContainsKey(instrument.FullName))
{
_tickTable.Add(instrument.FullName, tdata);
}
if (!_subscribedSymbols.Exists(oo => oo == symbol1))
{
_subscribedSymbols.Add(symbol1);
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
if (sdata.MsgObject != null)
{
sdata.MsgObject.ForeColor = Color.OrangeRed;
sdata.MsgObject.Text = ex.Message;
}
}
}