protected override ReutersDSS.Service.ValidatedInstrument[] getValidatedInstruments(Data.SymmetryEntities dc_, ReutersDSS.Service.ExtractionServiceClient dsClient_, ReutersDSS.Service.CredentialsHeader credentials_)
{
// get the config document
var config = BondDiscoveryConfig.GetInstance();
if (config == null || config.Countries == null)
{
Symmetry.Core.SLog.log.Fatal("Could not load BondDiscoveryConfig instance");
return null;
}
var isinToValidatedInstrument = new Dictionary<string, ValidatedInstrument>();
foreach(var countryItem in config.Countries)
{
foreach(var subGroupItem in countryItem.Items)
{
// build up request
var request = new SearchInstrumentsRequest
{
CredentialsHeader = credentials_,
request = new InstrumentSearchRequestGovCorp
{
IdentifierType = "ISN",
IdentifierSearchValue = subGroupItem.SearchString ?? "*",
PreferredIdentifierType = "ISN",
IsGovernmentGroup = true,
CountryType=countryItem.CountryCode,
IssueDatePrimaryValue = DateTime.Today.Add(-m_lookBackPeriodForSearch),
IssueDateSecondaryValue = DateTime.Today.Add(m_lookBackPeriodForSearch),
IssueDateComparisonOperator = "FROM",
SubGroupType = subGroupItem.AssetSubGroup
}
};
SearchInstrumentsResponse response;
// do it
try
{
response = dsClient_.SearchInstruments(request);
}
catch
{
response = null;
}
if (response == null || response.SearchInstrumentsResult == null || response.SearchInstrumentsResult.Instruments == null)
continue;
// go through each ValidatedInstrument pulling out ISINs,
// as there are multiple brokers, isin may appear more than once
foreach (var validatedInstrument in response.SearchInstrumentsResult.Instruments)
{
var isin = validatedInstrument.IdentifierValue;
if (isinToValidatedInstrument.ContainsKey(isin))
{
// even if we know about it already, prefer tradeweb as a source
if(validatedInstrument.Source.Equals("TWB"))
isinToValidatedInstrument[isin]=validatedInstrument;
continue;
}
// do we know about it already?
var fi = FIHelpers.GetFIBySymmetryCode(isin,dc_,ThrowBehavior.DontThrow);
// if we don't then want to include it in our list of bonds to add to the database
if (fi == null)
{
SLog.log.Debug(string.Format("New bond to add: ISIN = {0}", isin));
isinToValidatedInstrument.Add(isin, validatedInstrument);
}
}
}
}
return isinToValidatedInstrument.Select(x => x.Value).ToArray();
}
protected override ReutersDSS.Service.ValidatedInstrument[] getValidatedInstruments(Data.SymmetryEntities dc_, ReutersDSS.Service.ExtractionServiceClient dsClient_, ReutersDSS.Service.CredentialsHeader credentials_)
{
var isinToValidatedInstrument = new Dictionary<string, ValidatedInstrument>();
foreach (var isn in m_isins)
{
// do we know about it already?
var fi = FIHelpers.GetFIBySymmetryCode(isn, dc_, ThrowBehavior.DontThrow);
if (fi != null)
{
SLog.log.Debug(string.Format("Bond with Isin={0} already exists in database", isn));
continue;
}
var request = new SearchInstrumentsRequest
{
CredentialsHeader = credentials_,
request = new InstrumentSearchRequestGovCorp
{
IdentifierType = "ISN",
IdentifierSearchValue = string.Format("{0}", isn),
PreferredIdentifierType = "ISN",
}
};
SearchInstrumentsResponse response;
// do it
try
{
response = dsClient_.SearchInstruments(request);
}
catch
{
response = null;
}
if (response == null || response.SearchInstrumentsResult == null || response.SearchInstrumentsResult.Instruments == null)
continue;
// go through each ValidatedInstrument pulling out ISINs,
// as there are multiple brokers, isin may appear more than once
foreach (var validatedInstrument in response.SearchInstrumentsResult.Instruments)
{
var isin = validatedInstrument.IdentifierValue;
if (isinToValidatedInstrument.ContainsKey(isin))
{
// even if we know about it already, prefer tradeweb as a source
if (validatedInstrument.Source.Equals("TWB"))
isinToValidatedInstrument[isin] = validatedInstrument;
continue;
}
SLog.log.Debug(string.Format("New bond to add: ISIN = {0}", isin));
isinToValidatedInstrument.Add(isin, validatedInstrument);
}
}
return isinToValidatedInstrument.Select(x => x.Value).ToArray();
}
