protected void MarketDataAdapterReplyEvent(Reply reply)
{
// process asynchronous reply
try
{
// check for errors first
if (reply == null)
{
throw new ApplicationException(
String.Format("MarketDataAdapter_ReplyEvent() received null!"));
}
if (reply.ReplyError != null)
{
throw new ApplicationException(
$"MarketDataAdapter_ReplyEvent() failed: {reply.ReplyError.DisplayName}: {reply.ReplyError.Description}");
}
string debugMsg = String.Format("[Received]");
try
{
debugMsg = debugMsg + $"[ReplyType={reply.ReplyType}]";
if (reply.Request != null)
{
debugMsg = debugMsg + $"[ReqId={reply.Request.RequestId}]";
SecuritiesDataCollection securityColl = reply.GetSecurityDataItems();
foreach (SecurityDataItem security in securityColl)
{
debugMsg = debugMsg + $"[{security.Security.Name}]";
debugMsg = security.FieldsData.Cast <FieldDataItem>().Aggregate(debugMsg, (current, dataNodeList) => current +
$"[{dataNodeList.Field.Mnemonic}]");
}
// map Bloomberg requestid to our subsId
RealtimeRequestMap subsMap;
lock (SubsMapExternal)
{
SubsMapExternal.TryGetValue(reply.Request.RequestId, out subsMap);
}
if (subsMap != null)
{
if (DateTimeOffset.Now > subsMap.SubsExpires)
{
MarketDataAdapter.CancelRequest(reply.Request.RequestId);
Logger.LogDebug("[Cancelled][ReqId={1}][SubsId={0}]", subsMap.InternalRequestId, reply.Request.RequestId);
}
Dictionary <string, BasicQuotation> providerResults = BuildProviderResultsIndex(reply);
ConsumerCallback(subsMap.InternalRequestId, new QuotedAssetSet {
assetQuote = Enumerable.ToArray(ConvertProviderResultsToStandardValuations(providerResults, subsMap.RequestContext))
});
}
}
else
{
debugMsg = debugMsg + "[RequestIdUnknown]";
}
}
catch (Exception e)
{
debugMsg = debugMsg + Environment.NewLine + "!!!EXCEPTION!!! " + e.Message;
}
finally
{
Logger.LogDebug(debugMsg);
}
}
catch (Exception ex)
{
Logger.Log(ex);
// don't rethrow
}
}
private Dictionary <string, BasicQuotation> BuildProviderResultsIndex(Reply reply)
{
// build the provider result set
DateTime dtNow = DateTime.Now;
//InformationSource informationSource = ;
// key = provider instrument id / field name
var results = new Dictionary <string, BasicQuotation>();
SecuritiesDataCollection securityColl = reply.GetSecurityDataItems();
foreach (SecurityDataItem security in securityColl)
{
string instrName = security.Security.Name;
//int fieldCount = security.FieldsData.Count;
//BasicAssetValuation quote = new BasicAssetValuation() { objectReference = new AnyAssetReference() { href = instrName } };
//quote.quote = new BasicQuotation[fieldCount];
int fieldNum = 0;
foreach (FieldDataItem dataNodeList in security.FieldsData)
{
string fieldName = dataNodeList.Field.Mnemonic;
string providerQuoteKey = FormatProviderQuoteKey(instrName, fieldName);
var providerQuote = new BasicQuotation();
// field value
object value = null;
string measureTypeAsString = AssetMeasureEnum.Undefined.ToString();
string quoteUnitsAsString = PriceQuoteUnitsEnum.Undefined.ToString();
try
{
DataPoint point = dataNodeList.DataPoints[0];
value = point.Value;
if (point.IsError)
{
// bloomberg error
ReplyError replyError = point.ReplyError;
Logger.LogDebug("ReplyError: {0}/{1}={2}/{3}/{4}",
instrName, fieldName, replyError.Code, replyError.DisplayName, replyError.Description);
quoteUnitsAsString = String.Format("{0}:{1}", replyError.Code, replyError.DisplayName);
}
else if (value == null)
{
// value mia
Logger.LogDebug("DataNullMissing: {0}/{1}='{2}'", instrName, fieldName);
quoteUnitsAsString = "DataNullMissing";
}
else if (value.GetType() == typeof(ReplyError))
{
// bloomberg error
var replyError = (ReplyError)value;
Logger.LogDebug("ReplyError: {0}/{1}={2}/{3}/{4}",
instrName, fieldName, replyError.Code, replyError.DisplayName, replyError.Description);
quoteUnitsAsString = $"{replyError.Code}:{replyError.DisplayName}";
}
else if ((value is string) && (value.ToString().ToLower() == "n.a."))
{
// not available?
Logger.LogDebug("DataNotAvailable: {0}/{1}='{2}'", instrName, fieldName, value.ToString());
quoteUnitsAsString = "DataNotAvailable";
}
else
{
providerQuote.value = Convert.ToDecimal(value);
providerQuote.valueSpecified = true;
// When the quote was computed (FpML definition) i.e. when the provider published it
providerQuote.valuationDateSpecified = true;
providerQuote.valuationDate = point.Time;
}
}
catch (Exception e)
{
Logger.LogDebug("Exception: {0}/{1}='{2}' {3}", instrName, fieldName, value, e);
quoteUnitsAsString = $"{e.GetType().Name}:{e.Message}";
}
providerQuote.measureType = new AssetMeasureType {
Value = measureTypeAsString
};
providerQuote.quoteUnits = new PriceQuoteUnits {
Value = quoteUnitsAsString
};
providerQuote.informationSource = new[]
{
new InformationSource
{
rateSource = new InformationProvider {
Value = ProviderId.ToString()
},
rateSourcePage = new RateSourcePage {
Value = instrName + "/" + fieldName
}
}
};
// When the quote was observed or derived (FpML definition) i.e. now.
providerQuote.timeSpecified = true;
providerQuote.time = dtNow;
results[providerQuoteKey] = providerQuote;
// next field
fieldNum++;
} // foreach field
} // foreach instr
return(results);
}
