static void Cel_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes, CQGInstrumentProperties cqg_instrument_properties)
{
var symbolData = _symbolsInProgress.Find(oo => oo.Name == instrument.FullName);
if (symbolData == null)
{
return;
}
lock (_waitingLocker)
{
var tickData = symbolData.TickData;
tickData.TickCount = 0;
foreach (CQGQuote item in quotes)
{
CQGQuote tick = item;
tickData.IsNewTrade = tick.Name == "Trade";
switch (tick.Name)
{
case "Ask":
{
tickData.AskPrice = tick.Price;
tickData.AskVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Bid":
{
tickData.BidPrice = tick.Price;
tickData.BidVolume = tick.Volume;
tickData.TradePrice = 0;
tickData.TradeVolume = 0;
break;
}
case "Trade":
{
tickData.TradePrice = tick.Price;
tickData.TradeVolume = tick.Volume;
break;
}
}
tickData.TickCount++;
}
if (tickData.TickCount > 0)
{
var quoteList = (from CQGQuote item in quotes
where item.Name == "Ask" ||
item.Name == "Bid" ||
item.Name == "Trade"
select item).ToList();
quoteList.OrderBy(quote => quote.ServerTimestamp);
if (quoteList.Any())
{
tickData.Timestamp = quoteList.Last().ServerTimestamp;
tickData.TickType = quoteList.Last().Name;
}
else
{
tickData.Timestamp = instrument.ServerTimestamp;
}
var query = QueryBuilder.InsertData(tickData.TableName, tickData.SymbolName,
tickData.BidPrice,
tickData.BidVolume,
tickData.AskPrice, tickData.AskVolume,
tickData.TradePrice,
tickData.TradeVolume,
tickData.IsNewTrade, tickData.Timestamp,
++tickData.GroupID,
_userName, tickData.TickType);
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
ClientDatabaseManager.AddToBuffer(query, false, tickData);
if (!ClientDatabaseManager.CurrentDbIsShared || symbolData.CanInsert)
{
//todo if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])return;
ClientDatabaseManager.RunSQLLive(query, "InsertData", instrument.FullName);
}
}
symbolData.TickData = tickData;
}
}
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;
}
}