public static String InsertData_dom(String tableName, CQGInstrument instrument, int depth, uint groupID, bool isNew, string userName, out double askPrice, out int askVol, out double bidPrice, out int bidVol, DateTime serverTime)
{
var newTable = "DM_" + tableName.Substring(3, tableName.Length - 3).ToUpper();
String symbol = instrument.FullName;
String query = "INSERT IGNORE INTO `" + newTable + "`";
query += "(`Symbol`,`Depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`Time`, `TimeLocal`,GroupID, UserName)";
String runQuery = "";
int balancedDepth = (instrument.DOMAsks.Count < instrument.DOMBids.Count)
? instrument.DOMAsks.Count
: instrument.DOMBids.Count;
askPrice = 0;
askVol = 0;
bidPrice = 0;
bidVol = 0;
for (int index = 0; ((index < balancedDepth) && (index < depth)); index++)
{
//query += "(`symbol`,`depth`,`DOMBid`,`DOMAsk`,`DOMBidVol`,`DOMAskVol`,`Trade`,`TradeVol`,`ts`)";
CQGQuote domAsk = instrument.DOMAsks[index];
CQGQuote domBid = instrument.DOMBids[index];
runQuery += query + " VALUES('" + symbol + "'," + Convert.ToString(index + 1) + ",";
runQuery += domBid.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domBid.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += domAsk.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Price.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += instrument.Trade.Volume.ToString("G", CultureInfo.InvariantCulture) + ",";
runQuery += "'" + serverTime.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += "'" + DateTime.Now.ToString("yyyy/MM/dd H:mm:ss.fff", CultureInfo.InvariantCulture) + "',";
runQuery += Convert.ToString(groupID) + ",";
runQuery += "'" + userName + "');";
if (index == 0)
{
askPrice = domAsk.Price;
askVol = domAsk.Volume;
bidPrice = domBid.Price;
bidVol = domBid.Volume;
}
}
//instrument.
return(runQuery);
}
private void CQG_InstrumentChanged(CQGInstrument instrument, CQGQuotes quotes,
CQGInstrumentProperties instrumentProperties)
{
if (!_tickTable.ContainsKey(instrument.FullName))
{
return;
}
lock (_waitingLocker)
{
if (_subscribedSymbols.Exists(oo => oo == instrument.FullName))
{
_subscribedSymbols.Remove(instrument.FullName);
if (SymbolSubscribed != null)
{
SymbolSubscribed(new List <string> {
instrument.FullName
}, GetDepthForSymbol(instrument.FullName));
}
}
var tickData = _tickTable[instrument.FullName];
if (!tickData.IsCanceled)
{
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;
}
if (tickData.Timestamp < DateTime.Now.AddDays(-1))
{
return;
}
if (_onSymbolsList.Contains(instrument.FullName))
{
//DatabaseManager.AddToBuffer(query, false, tickData);
if (_allowedSymbols.ContainsKey(tickData.SymbolName) ||
!DatabaseManager.CurrentDbIsShared)
{
if (DatabaseManager.CurrentDbIsShared && tickData.Timestamp < _allowedSymbols[tickData.SymbolName])
{
return;
}
DatabaseManager.InsertTickts(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);
}
}
}
}
else
{
RemoveSymbol(instrument.FullName);
return;
}
_tickTable[instrument.FullName] = tickData;
}
}
/// <summary>
/// publish a quote for the given mnemonic
/// </summary>
/// <param name="myMnemonic">mnemonic/subject key</param>
/// <param name="instrument">CQG instrument that has changed</param>
private void publishTradeUpdate(string myMnemonic, CQGInstrument instrument, CQGQuote quote)
{
try
{
L1PriceSupport.PXUpdateBase pxupdate = new L1PriceSupport.PXUpdateBase(m_ID);
pxupdate.Mnemonic = myMnemonic;
pxupdate.DriverTag = "T";
pxupdate.UpdateType = KaiTrade.Interfaces.PXUpdateType.trade;
if (instrument.Bid.IsValid)
{
pxupdate.BidSize = instrument.Bid.Volume;
pxupdate.BidPrice = (decimal)instrument.Bid.Price;
pxupdate.Ticks = instrument.Bid.ServerTimestamp.Ticks;
}
if (instrument.Ask.IsValid)
{
pxupdate.OfferSize = instrument.Ask.Volume;
pxupdate.OfferPrice = (decimal)instrument.Ask.Price;
pxupdate.Ticks = instrument.Ask.ServerTimestamp.Ticks;
}
pxupdate.TradePrice = (decimal)quote.Price;
pxupdate.ServerTicks = quote.ServerTimestamp.Ticks;
if (quote.HasVolume)
{
pxupdate.TradeVolume = quote.Volume;
}
ApplyPriceUpdate(pxupdate);
}
catch (Exception myE)
{
log.Error("publishTradeUpdate", myE);
}
}
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;
}
}
