I just don't know what to do? Please help.?

I'm 35, a compulsive gambler and clinically depressed. I have sought as much professional help as possible. I've gone to GA, been to see a shrink on various occasions and have gone into therapy to try and beat the blues. I was brought up in children's homes and in care. I work full-time as a concierge at a hotel but feel as if i have failed in life. Nothing seems to be the right thing to do. I have run out of ideas and because of this and the fact that i've been single for 6 years i have contemplated ending it. When i'm sober i couldn't do this as i don't want to hurt my family, but after a few drinks it seems like the perfect thing to do. I have been depressed since i was 11. I have tried religion, confidence building, positive thinking, moving, a different job etc. I have tried believe me. Today on my day off i slept most of the day, i just didn't know what to do with myself. I have tried the gym and swimming but when you feel low you are not motivated to do much. I have tried to force myself to be sociable, speed dating etc but i feel like the most boring, insignificant person on the planet. Because of this i feel that there is no reason to go on other than to not hurt my family. I do believe that life is the ultimate challenge. I should go on and embrace life and i hate myself more because i have full health apart from my depression. I just don't know what to do anymore. I feel like jacking my job in and going off somewhere away from everyone. I would appreciate Anyone's positive comments. I just don't know what to do anymore.