vb.net multi-threading activex - vb.net

Question

Ok, I have looked at a bazillion multi-threading examples; all show cute little counters on a form, while you can still access the form, using backgroundworker, or threadpools. I got it. What I don't get is to apply this into a real world application.
Here's my application, and I don't have a clue on how to multi-thread this;
Through a 3rd party ActiveX API I read in records to a SQL table at high rate; several million records in 8hours a day.
While the streaming of the records occurs, I need to go over the records, do some calculations and apply filters, and represent the results in realtime. (filters it down to around a 100 records/day)
I guess you see already where I'm going with this;
If I do the calculations/filters on the fly when records are streaming in; it causes the streaming to delay and I loose the connection, So I need to multi-thread the two tasks.
the streaming into SQL table is done as follows: (AxTDAAPIComm is the ActiveX)
On Form1 :
Private Sub SubscrBTN_Click(sender As Object, e As EventArgs) Handles SubscrBTN.Click
AxTDAAPIComm1.Subscribe(StreamOL, tdaactx.TxTDASubTypes.TDAPI_SUB_L1)
End Sub
Private Sub AxTDAAPIComm1_OnL1Quote(sender As Object, e As Axtdaactx.ITDAAPICommEvents_OnL1QuoteEvent) Handles AxTDAAPIComm1.OnL1Quote
SQL.AddStream(e.quote.Symbol, e.quote.Bid, e.quote.Ask, e.quote.Last, e.quote.PrevClose, e.quote.Volume, e.quote.TradeTime, e.quote.QuoteTime, e.quote.TradeDate, e.quote.QuoteDate, e.quote.Volatility, e.quote.OpenInterest, e.quote.UnderlyingSymbol, e.quote.CallPut, e.quote.LastSize, e.quote.MH_LastSize, e.quote.MH_IsQuote, e.quote.MH_IsTrade)
End Sub
End Class
clicking on the button, invokes the AxTDAAPIComm1_OnL1Quote sub, which streams back records.
Then in my SQL Class I send it off to my SQL table:
Public Sub AddStream(Symbol As String, Bid As Single, Ask As Single, Last As Single, PrevClose As Single, Volume As Integer, TradeTime As Integer, QuoteTime As Integer, TradeDate As Integer, Quotedate As Integer, Volatility As Single, OpenInterest As Integer, UnderlyingSymbol As String, CallPut As String, LastSize As Integer, MH_LastSize As Integer, MH_IsQuote As Boolean, MH_IsTrade As Boolean)
Try
Dim TradeAmount As Single = 0
Dim Trade As String = ""
TradeAmount = LastSize * Last * 100
Select Case Last
Case Is = Ask
Trade = "Ask"
Case Is > Ask
Trade = "Above Ask"
Case Is = Bid
Trade = "Bid"
Case Is < Bid
Trade = "Below Bid"
Case Else
Trade = "Mid"
End Select
Dim strStream As String = "INSERT INTO OptionStream (Symbol,Bid,Ask,Last,PrevClose,Volume,TradeTime,QuoteTime,TradeDate,QuoteDate,Volatility,OpenInterest,UnderlyingSymbol,CallPut,TradeAmount,Trade,LastSize,MH_LastSize,MH_IsQuote,MH_IsTrade) " & _
"VALUES (" & _
"'" & Symbol & "'," & _
"'" & Bid & "'," & _
"'" & Ask & "'," & _
"'" & Last & "'," & _
"'" & PrevClose & "'," & _
"'" & Volume & "'," & _
"'" & TradeTime & "'," & _
"'" & QuoteTime & "'," & _
"'" & TradeDate & "'," & _
"'" & Quotedate & "'," & _
"'" & Volatility & "'," & _
"'" & OpenInterest & "'," & _
"'" & UnderlyingSymbol & "'," & _
"'" & CallPut & "'," & _
"'" & TradeAmount & "'," & _
"'" & Trade & "'," & _
"'" & LastSize & "'," & _
"'" & MH_LastSize & "'," & _
"'" & MH_IsQuote & "'," & _
"'" & MH_IsTrade & "') "
SQLCon.Open()
SQLCmd = New SqlCommand(strStream, SQLCon)
SQLCmd.ExecuteNonQuery()
SQLCon.Close()
Catch ex As Exception
MsgBox(ex.Message)
End Try
End Sub
On my Form I have created a text box, which I use to enter a SQL query statement, which I capture as follows:
Private Sub cmdQuery_Click(sender As Object, e As EventArgs) Handles cmdQuery.Click
If txtQuery.Text <> "" Then
If SQL.HasConnection = True Then
SQL.RunQueryWL(txtQuery.Text)
If SQL.SQLDatasetWL.Tables.Count > 0 Then
DGVData.DataSource = SQL.SQLDatasetWL.Tables(0)
End If
End If
End If
End Sub
As you can see, it now goes of to the SQL class and runs the Query:
Public Function HasConnection() As Boolean
Try
SQLCon.Open()
SQLCon.Close()
Return True
Catch ex As Exception
MsgBox(ex.Message)
Return False
End Try
End Function
Public Sub RunQueryWL(Query As String)
Try
SQLCon.Open()
SQLCmd = New SqlCommand(Query, SQLCon)
SQLDA = New SqlDataAdapter(SQLCmd)
SQLDatasetWL = New DataSet
SQLDA.Fill(SQLDatasetWL)
SQLCon.Close()
Catch ex As Exception
MsgBox(ex.Message)
If SQLCon.State = ConnectionState.Open Then
SQLCon.Close()
End If
End Try
End Sub
and the result is presented in a datagrid view on my form.
As you can imagine, querying against a couple million records takes a few seconds, therefore I want to put the AxTDAAPIComm1.Subscribe and AxTDAAPIComm1_OnL1Quote and the RunQueryWL Subs on different threads.
How do I do this?