private void processSubscriptionStatus(Event eventObj, Session session)
{
System.Console.WriteLine("Processing SUBSCRIPTION_STATUS");
foreach (Message msg in eventObj)
{
string topic = (string)msg.CorrelationID.Object;
System.Console.WriteLine(System.DateTime.Now.ToString("s") +
": " + topic + " - " + msg.MessageType);
if (msg.HasElement(REASON))
{
// This can occur on SubscriptionFailure.
Element reason = msg.GetElement(REASON);
System.Console.WriteLine("\t" +
reason.GetElement(CATEGORY).GetValueAsString() +
": " + reason.GetElement(DESCRIPTION).GetValueAsString());
}
if (msg.HasElement(EXCEPTIONS))
{
// This can occur on SubscriptionStarted if at least
// one field is good while the rest are bad.
Element exceptions = msg.GetElement(EXCEPTIONS);
for (int i = 0; i < exceptions.NumValues; ++i)
{
Element exInfo = exceptions.GetValueAsElement(i);
Element fieldId = exInfo.GetElement(FIELD_ID);
Element reason = exInfo.GetElement(REASON);
System.Console.WriteLine("\t" + fieldId.GetValueAsString() +
": " + reason.GetElement(CATEGORY).GetValueAsString());
}
}
System.Console.WriteLine("");
}
}
// return true if processing is completed, false otherwise
private void processResponseEvent(Event eventObj)
{
foreach (Message msg in eventObj.GetMessages())
{
if (msg.HasElement(RESPONSE_ERROR))
{
printErrorInfo("REQUEST FAILED: ", msg.GetElement(RESPONSE_ERROR));
continue;
}
Element data = msg.GetElement(DATA);
Element securities = data.GetElement(SECURITY_DATA);
int numSecurities = securities.NumValues;
System.Console.WriteLine("Processing " + numSecurities + " securities:");
for (int i = 0; i < numSecurities; ++i)
{
Element security = securities.GetValueAsElement(i);
string ticker = security.GetElementAsString(SECURITY);
System.Console.WriteLine("\nTicker: " + ticker);
if (security.HasElement("securityError"))
{
printErrorInfo("\tSECURITY FAILED: ",
security.GetElement(SECURITY_ERROR));
continue;
}
Element fields = security.GetElement(FIELD_DATA);
if (fields.NumElements > 0)
{
System.Console.WriteLine("FIELD\t\tVALUE");
System.Console.WriteLine("-----\t\t-----");
int numElements = fields.NumElements;
for (int j = 0; j < numElements; ++j)
{
Element field = fields.GetElement(j);
System.Console.WriteLine(field.Name + "\t\t" +
field.GetValueAsString());
}
}
System.Console.WriteLine("");
Element fieldExceptions = security.GetElement(FIELD_EXCEPTIONS);
if (fieldExceptions.NumValues > 0)
{
System.Console.WriteLine("FIELD\t\tEXCEPTION");
System.Console.WriteLine("-----\t\t---------");
for (int k = 0; k < fieldExceptions.NumValues; ++k)
{
Element fieldException =
fieldExceptions.GetValueAsElement(k);
printErrorInfo(fieldException.GetElementAsString(FIELD_ID) +
"\t\t", fieldException.GetElement(ERROR_INFO));
}
}
}
}
}
/// <summary>
/// Request status event
/// </summary>
/// <param name="eventObj"></param>
/// <param name="session"></param>
private void processRequestStatusEvent(Event eventObj, Session session)
{
List <string> dataList = new List <string>();
// process status message
foreach (Message msg in eventObj)
{
DataGridViewRow dataRow = (DataGridViewRow)msg.CorrelationID.Object;
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("SubscriptionStarted")))
{
// set subscribed color
foreach (DataGridViewCell cell in dataRow.Cells)
{
cell.Style.BackColor = Color.LightGreen;
}
try
{
// check for error
if (msg.HasElement("exceptions"))
{
// subscription has error
Element error = msg.GetElement("exceptions");
int searchIndex = 0;
for (int errorIndex = 0; errorIndex < error.NumValues; errorIndex++)
{
Element errorException = error.GetValueAsElement(errorIndex);
string field = errorException.GetElementAsString(FIELD_ID);
Element reason = errorException.GetElement(REASON);
string message = reason.GetElementAsString(DESCRIPTION);
for (; searchIndex < dataGridViewData.ColumnCount - 1; searchIndex++)
{
if (field == dataGridViewData.Columns[searchIndex].Name)
{
dataRow.Cells[searchIndex].Value = message;
break;
}
}
}
}
}
catch (Exception e)
{
toolStripStatusLabel1.Text = e.Message;
}
}
else
{
// check for subscription failure
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("SubscriptionFailure")))
{
if (msg.HasElement(REASON))
{
Element reason = msg.GetElement(REASON);
string message = reason.GetElementAsString(DESCRIPTION);
dataRow.Cells[1].Value = message;
}
}
}
}
}
/// <summary>
/// Process subscription data
/// </summary>
/// <param name="eventObj"></param>
/// <param name="session"></param>
private void processRequestDataEvent(Event eventObj, Session session)
{
d_data.BeginLoadData();
// process message
foreach (Message msg in eventObj)
{
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("IntradayBarResponse")))
{
if (msg.HasElement(RESPONSE_ERROR))
{
// process error
Element error = msg.GetElement(RESPONSE_ERROR);
if (msg.NumElements == 1)
{
d_data.Rows.Add(new object[] { d_requestSecurity, error.GetElementAsString(MESSAGE) });
return;
}
}
// process bar data
Element barDataArray = msg.GetElement("barData");
int numberOfBars = barDataArray.NumValues;
foreach (Element barData in barDataArray.Elements)
{
if (barData.Name.ToString() == "barTickData")
{
for (int pointIndex = 0; pointIndex < barData.NumValues; pointIndex++)
{
int fieldIndex = 0;
object[] dataValues = new object[d_data.Columns.Count];
Element fields = barData.GetValueAsElement(pointIndex);
foreach (DataColumn col in d_data.Columns)
{
if (fields.HasElement(col.ColumnName))
{
// process field data
Element item = fields.GetElement(col.ColumnName);
dataValues[fieldIndex] = item.GetValueAsString();
}
else
{
if (col.ColumnName == "security")
{
dataValues[fieldIndex] = d_requestSecurity;
}
else
{
dataValues[fieldIndex] = DBNull.Value;
}
}
fieldIndex++;
} // end foreach
// save bar data
d_data.Rows.Add(dataValues);
} // end for loop
} // end if
} // end foreach
} // end if
} // end foreach
d_data.EndLoadData();
}
private void processElement(Element element)
{
if (element.IsArray)
{
System.Console.WriteLine("\t\t" + element.Name);
// process array
int numOfValues = element.NumValues;
for (int i = 0; i < numOfValues; ++i)
{
// process array data
processElement(element.GetValueAsElement(i));
}
}
else if (element.NumElements > 0)
{
System.Console.WriteLine("\t\t" + element.Name);
int numOfElements = element.NumElements;
for (int i = 0; i < numOfElements; ++i)
{
// process child elements
processElement(element.GetElement(i));
}
}
else
{
// Assume all values are scalar.
System.Console.WriteLine("\t\t" + element.Name
+ " = " + element.GetValueAsString());
}
}
}//end printErrorInfo
bool ProcessExceptions(Message msg)
{
Element securityData = msg.GetElement(SECURITY_DATA);
Element field_exceptions = securityData.GetElement(FIELD_EXCEPTIONS);
if (field_exceptions.NumValues > 0)
{
Element element = field_exceptions.GetValueAsElement(0);
Element field_id = element.GetElement(FIELD_ID);
Element error_info = element.GetElement(ERROR_INFO);
Element error_message = error_info.GetElement(MESSAGE);
System.Console.WriteLine(field_id);
System.Console.WriteLine(error_message);
return(true);
}
return(false);
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("CancelRoute");
//request.set("EMSX_REQUEST_SEQ", 1);
//request.set("EMSX_TRADER_UUID", 1234567);
Element routes = request.GetElement("ROUTES"); //Note, the case is important.
Element route = routes.AppendElement(); // Multiple routes can be cancelled in a single request
route.GetElement("EMSX_SEQUENCE").SetValue(3657996);
route.GetElement("EMSX_ROUTE_ID").SetValue(1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void distributeMessage(Message msg)
{
Service service = msg.Service;
List <int> failedEntitlements = new List <int>();
Element securities = msg.GetElement(SECURITY_DATA);
int numSecurities = securities.NumValues;
System.Console.WriteLine("Processing " + numSecurities + " securities:");
for (int i = 0; i < numSecurities; ++i)
{
Element security = securities.GetValueAsElement(i);
String ticker = security.GetElementAsString(SECURITY);
Element entitlements = ((security.HasElement(EID_DATA) ?
security.GetElement(EID_DATA) : null));
int numUsers = d_identities.Count;
if (entitlements != null)
{
// Entitlements are required to access this data
for (int j = 0; j < numUsers; ++j)
{
failedEntitlements.Clear();
Identity identity = (Identity)d_identities[j];
if (identity.HasEntitlements(entitlements, service,
failedEntitlements))
{
System.Console.WriteLine("User: "******" is entitled to get data for: " + ticker);
// Now Distribute message to the user.
}
else
{
System.Console.WriteLine("User: "******" is NOT entitled to get data for: " + ticker +
" - Failed eids: ");
printFailedEntitlements(failedEntitlements);
}
}
}
else
{
// No Entitlements are required to access this data.
for (int j = 0; j < numUsers; ++j)
{
System.Console.WriteLine("User: "******" is entitled to get data for: " + ticker);
// Now Distribute message to the user.
}
}
}
}
/// <summary>
/// Process data and populate to listview
/// </summary>
/// <param name="eventObj"></param>
private void processData(Event eventObj)
{
// process data
foreach (Message msg in eventObj)
{
// get correlation id
int scenario = (int)msg.CorrelationID.Value % NUMBER_OF_SCENARIO + 1;
int priceIndex = (int)msg.CorrelationID.Value / NUMBER_OF_SCENARIO;
// check for request error
if (msg.HasElement(RESPONSE_ERROR))
{
MessageBox.Show("REQUEST FAILED: " +
msg.GetElement(RESPONSE_ERROR).ToString(), "Request Error");
continue;
}
// get securities
Element securities = msg.GetElement(SECURITY_DATA);
int numSecurities = securities.NumValues;
for (int i = 0; i < numSecurities; ++i)
{
// get security
Element security = securities.GetValueAsElement(i);
string ticker = security.GetElementAsString(SECURITY);
// check for security error
if (security.HasElement("securityError"))
{
MessageBox.Show("SECURITY FAILED: " +
security.GetElement(SECURITY_ERROR).ToString(), "Security Error");
continue;
}
// get fields
Element returnFields = security.GetElement(FIELD_DATA);
// populate scenario fields on Analytic tab
populateScenario(dataGridViewAnalyticInput.Columns[scenario].HeaderText, priceIndex, returnFields);
}
}
}
bool ProcessErrors(Message msg)
{
Element securityData = msg.GetElement(SECURITY_DATA);
if (securityData.HasElement(SECURITY_ERROR))
{
Element security_error = securityData.GetElement(SECURITY_ERROR);
Element error_message = security_error.GetElement(MESSAGE);
System.Console.WriteLine(error_message);
return(true);
}
return(false);
}
private void processMessage(Message msg)
{
if (msg.HasElement(RESPONSE_ERROR))
{
// Intraday bar request exception
Element reason = msg.GetElement(RESPONSE_ERROR);
System.Console.WriteLine("\t" +
reason.GetElement(CATEGORY).GetValueAsString() +
": " + reason.GetElement(MESSAGE).GetValueAsString());
}
else
{
Element data = msg.GetElement(BAR_DATA).GetElement(BAR_TICK_DATA);
int numBars = data.NumValues;
System.Console.WriteLine("Response contains " + numBars + " bars");
System.Console.WriteLine("Datetime\t\tOpen\t\tHigh\t\tLow\t\tClose" +
"\t\tNumEvents\tVolume");
for (int i = 0; i < numBars; ++i)
{
Element bar = data.GetValueAsElement(i);
Datetime time = bar.GetElementAsDate(TIME);
double open = bar.GetElementAsFloat64(OPEN);
double high = bar.GetElementAsFloat64(HIGH);
double low = bar.GetElementAsFloat64(LOW);
double close = bar.GetElementAsFloat64(CLOSE);
int numEvents = bar.GetElementAsInt32(NUM_EVENTS);
long volume = bar.GetElementAsInt64(VOLUME);
System.DateTime sysDatetime = time.ToSystemDateTime();
System.Console.WriteLine(
sysDatetime.ToString("s") + "\t" +
open.ToString("C") + "\t\t" +
high.ToString("C") + "\t\t" +
low.ToString("C") + "\t\t" +
close.ToString("C") + "\t\t" +
numEvents + "\t\t" +
volume);
}
}
}
private void printField(Element field)
{
String fldId, fldMnemonic, fldDesc;
fldId = field.GetElementAsString(FIELD_ID);
if (field.HasElement(FIELD_INFO))
{
Element fldInfo = field.GetElement(FIELD_INFO);
fldMnemonic = fldInfo.GetElementAsString(FIELD_MNEMONIC);
fldDesc = fldInfo.GetElementAsString(FIELD_DESC);
System.Console.WriteLine(padString(fldId, ID_LEN) +
padString(fldMnemonic, MNEMONIC_LEN) +
padString(fldDesc, DESC_LEN));
}
else
{
Element fldError = field.GetElement(FIELD_ERROR);
fldDesc = fldError.GetElementAsString(FIELD_MSG);
System.Console.WriteLine("\n ERROR: " + fldId + " - " + fldDesc);
}
}
/// <summary>
/// Populate listview control with scenario data
/// </summary>
/// <param name="scenario"></param>
/// <param name="priceIndex"></param>
/// <param name="returnFields"></param>
private void populateScenario(string scenario, int priceIndex, Element returnFields)
{
int currentPriceIndex = 0;
if (returnFields.NumElements > 0)
{
// get number of fields returned
int numElements = returnFields.NumElements;
for (int j = 0; j < numElements; ++j)
{
// reset index
currentPriceIndex = -1;
// get field
Element field = returnFields.GetElement(j);
foreach (ListViewItem item in listViewScenarios.Items)
{
// look for correct price
if (item.Text.Contains("Price"))
{
// move to next price position
currentPriceIndex++;
}
// check if in correct price slot
if (currentPriceIndex < priceIndex)
{
// continue to search for correct price section
continue;
}
// check if row updateable
if (item.Tag != null && item.Tag.ToString().Trim().Length > 0)
{
// check if correct row
if (item.Tag.ToString() == field.Name.ToString())
{
// populate data
int index = d_scenarioIndexLookup[scenario];
item.SubItems[index].Text = field.GetValueAsString();
break;
}
}
}
}
}
}
/// <summary>
/// Read the reference bulk field contents
/// </summary>
/// <param name="refBulkField"></param>
private void processBulkField(Element refBulkField)
{
System.Console.WriteLine("\n" + refBulkField.Name);
// Get the total number of Bulk data points
int numofBulkValues = refBulkField.NumValues;
for (int bvCtr = 0; bvCtr < numofBulkValues; bvCtr++)
{
Element bulkElement = refBulkField.GetValueAsElement(bvCtr);
// Get the number of sub fields for each bulk data element
int numofBulkElements = bulkElement.NumElements;
// Read each field in Bulk data
for (int beCtr = 0; beCtr < numofBulkElements; beCtr++)
{
Element elem = bulkElement.GetElement(beCtr);
System.Console.WriteLine("\t\t" + elem.Name + " = "
+ elem.GetValueAsString());
}
}
}
// return true if processing is completed, false otherwise
private void processResponseEvent(Event eventObj)
{
foreach (Message msg in eventObj)
{
if (msg.HasElement(RESPONSE_CODE))
{
Element responseCode = msg.GetElement(RESPONSE_CODE);
int resultCode = responseCode.GetElementAsInt32(RESULT_CODE);
if (resultCode > 0)
{
string message = responseCode.GetElementAsString(RESULT_TEXT);
string sourceId = responseCode.GetElementAsString(SOURCE_ID);
System.Console.WriteLine("Request Failed: " + message);
System.Console.WriteLine("Source ID: " + sourceId);
System.Console.WriteLine("Resoult Code: " + resultCode);
continue;
}
}
Element snapshot = msg.GetElement(SNAPSHOT);
int numElements = snapshot.NumElements;
for (int i = 0; i < numElements; ++i)
{
Element dataItem = snapshot.GetElement(i);
// Checking if the data item is Bulk data item
if (dataItem.IsArray)
{
processBulkData(dataItem);
}
else
{
System.Console.WriteLine("\t" + dataItem.Name + " = "
+ dataItem.GetValueAsString());
}
}
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GetFills");
// The Date/Time values from and to may contain a timezone element
request.Set("FromDateTime", "2017-11-06T00:00:00.000+00:00");
request.Set("ToDateTime", "2017-11-06T23:59:00.000+00:00");
Element scope = request.GetElement("Scope");
// The name of the user team
//scope.SetChoice("Team");
//scope.SetElement("Team", "RCAM_API");
// Use the Trading System view - boolean
//scope.SetChoice("TradingSystem");
//scope.SetElement("TradingSystem",False);
// One or more specified UUIDs
scope.SetChoice("Uuids");
scope.GetElement("Uuids").AppendValue(1234567);
//filterBy = request.GetElement("FilterBy");
// The backet name, as created in the terminal
//filterBy.SetChoice("Basket");
//filterBy.GetElement("Basket").AppendValue("TESTRJC");
// The Multileg ID, can append multiple values
//filterBy.SetChoice("Multileg");
//filterBy.GetElement("Multileg").AppendValue("12345");
//filterBy.GetElement("Multileg").AppendValue("56478");
// Specific order numbers and route IDs
//filterBy.SetChoice("OrdersAndRoutes");
//newOrder = filterBy.GetElement("OrdersAndRoutes").AppendElement();
//newOrder.SetElement("OrderId",2744093);
//newOrder.SetElement("RouteId",1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private IEnumerable<Tuple<string, SortedList<DateTime, dynamic>>> ParseUniversal(Element securityDataArray, List<IField> fields)
{
if (Console.KeyAvailable && Console.ReadKey(true).Key == ConsoleKey.P)
{
Console.WriteLine("\nDownload Paused, press c to continue");
while (!Console.KeyAvailable || Console.ReadKey(true).Key != ConsoleKey.C)
{
Thread.Sleep(1000 * 1);
}
}
var fieldNames = from f in fields
select f.FieldName.ToUpper();
SortedList<DateTime, dynamic> output;
if (securityDataArray.IsArray)
{
for (int i = 0; i < securityDataArray.NumValues; i++) //data for multiple securities
{
Element securityData = securityDataArray.GetValueAsElement(i); //single security
string securityName = securityData.GetElementAsString("security");
Element fieldData = securityData.GetElement("fieldData"); //data for multiple fields.
int j = -1;
foreach (var fieldName in fieldNames)
{
j++;
Element field = fieldData.GetElement(fieldName);
output = new SortedList<DateTime, dynamic>();
if (field.NumValues>0)
{
var data = field.GetValue(); //check field.NumValues - sometimes NumValues>1 - then output into single field - because it is single field but with multiple values
string dataType;
if (fields[j].Type != null && fields[j].Type.Length > 0)
dataType = fields[j].Type;
else
dataType = field.Datatype.ToString();
var result = ConvertDataType(dataType, field);
output.Add(ExtensionMethods.GetBusinessDay(DateTime.Today, -1), result.Item2);
}
yield return Tuple.Create(securityName,output);
}
}
}
else
{
var Outputs = new SortedList<DateTime, dynamic>[fieldNames.Count()];
for (int i = 0; i < Outputs.Length; i++)
Outputs[i] = new SortedList<DateTime, dynamic>();
Element fieldDataArray = securityDataArray.GetElement("fieldData"); // data for multiple fields, multiple dates
string securityName = securityDataArray.GetElementAsString("security");
for (int i = 0; i < fieldDataArray.NumValues; i++) //equals 0 if no fields or security wrong
{
Element fieldData = fieldDataArray.GetValueAsElement(i); // data for multiple fields, single date
int j = -1;
foreach (var fieldName in fieldNames)
{
j++;
Element date = fieldData.GetElement("date");
if (!fieldData.HasElement(fieldName))
continue;
Element field = fieldData.GetElement(fieldName);
dynamic elementValue = null;
bool ok = false;
string dataType;
if (fields[j].Type != null && fields[j].Type.Length > 0)
dataType = fields[j].Type;
else
dataType = field.Datatype.ToString();
var result = ConvertDataType(dataType, field);
ok = result.Item1;
elementValue = result.Item2;
if (!ok) { elementValue = null; }
Outputs[j].Add(date.GetValueAsDatetime().ToSystemDateTime(), elementValue);
}
}
for (int i = 0; i < Outputs.Length; i++)
yield return Tuple.Create(securityName, Outputs[i]);
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("RouteEx");
// The fields below are mandatory
request.Set("EMSX_SEQUENCE", 3664532); // Order number
request.Set("EMSX_AMOUNT", 500);
request.Set("EMSX_BROKER", "BMTB");
request.Set("EMSX_HAND_INSTRUCTION", "ANY");
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TICKER", "IBM US Equity");
request.Set("EMSX_TIF", "DAY");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_BOOKNAME","BookName");
//request.Set("EMSX_CFD_FLAG", "1");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClrAccName");
//request.Set("EMSX_CLEARING_FIRM", "FirmName");
//request.Set("EMSX_EXEC_INSTRUCTION", "Drop down values from EMSX Ticket");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOCATE_BROKER", "BMTB");
//request.Set("EMSX_LOCATE_ID", "SomeID");
//request.Set("EMSX_LOCATE_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "0");
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_RELEASE_TIME", 34341);
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_ROUTE_REF_ID", "UniqueRef");
//request.Set("EMSX_STOP_PRICE", 123.5);
//request.Set("EMSX_TRADER_UUID", 1234567);
// Below we establish the strategy details
Element strategy = request.GetElement("EMSX_STRATEGY_PARAMS");
strategy.SetElement("EMSX_STRATEGY_NAME", "VWAP");
Element indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS");
Element data = strategy.GetElement("EMSX_STRATEGY_FIELDS");
// Strategy parameters must be appended in the correct order. See the output
// of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
// a field that carries a value, and 1 where the field should be ignored
data.AppendElement().SetElement("EMSX_FIELD_DATA", "09:30:00"); // StartTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", "10:30:00"); // EndTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Max%Volume
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // %AMSession
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // OPG
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // MOC
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // CompletePX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // TriggerPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkComplete
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkCompPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // RefIndex
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Discretion
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
private void run(String[] args)
{
d_serverHost = "localhost";
d_serverPort = 8194;
if (!parseCommandLine(args))
{
return;
}
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = d_serverHost;
sessionOptions.ServerPort = d_serverPort;
System.Console.WriteLine("Connecting to " + d_serverHost
+ ":" + d_serverPort);
Session session = new Session(sessionOptions);
bool sessionStarted = session.Start();
if (!sessionStarted)
{
System.Console.WriteLine("Failed to start session.");
return;
}
if (!session.OpenService(APIFLDS_SVC))
{
System.Console.WriteLine("Failed to open service: "
+ APIFLDS_SVC);
return;
}
Service fieldInfoService = session.GetService(APIFLDS_SVC);
Request request = fieldInfoService.CreateRequest(
"CategorizedFieldSearchRequest");
request.Set("searchSpec", "last price");
Element exclude = request.GetElement("exclude");
exclude.SetElement("fieldType", "Static");
request.Set("returnFieldDocumentation", false);
System.Console.WriteLine("Sending Request: " + request);
session.SendRequest(request, null);
while (true)
{
try
{
Event eventObj = session.NextEvent();
foreach (Message msg in eventObj)
{
if (eventObj.Type != Event.EventType.RESPONSE &&
eventObj.Type != Event.EventType.PARTIAL_RESPONSE)
{
continue;
}
if (msg.HasElement(FIELD_SEARCH_ERROR))
{
System.Console.WriteLine(msg);
continue;
}
Element categories = msg.GetElement(CATEGORY);
int numCategories = categories.NumValues;
for (int catIdx = 0; catIdx < numCategories; ++catIdx)
{
Element category = categories.GetValueAsElement(catIdx);
String Name = category.GetElementAsString(
CATEGORY_NAME);
String Id = category.GetElementAsString(CATEGORY_ID);
System.Console.WriteLine("\n Category Name:" +
padString(Name, CAT_NAME_LEN) +
"\tId:" + Id);
Element fields = category.GetElement(FIELD_DATA);
int numElements = fields.NumValues;
printHeader();
for (int i = 0; i < numElements; i++)
{
printField(fields.GetValueAsElement(i));
}
}
System.Console.WriteLine();
}
if (eventObj.Type == Event.EventType.RESPONSE)
{
break;
}
}
catch (Exception ex)
{
System.Console.WriteLine("Got Exception:" + ex);
}
}
}
private void sendUpdateIOI(Session session, String ioiSvc)
{
Service service = session.GetService(ioiSvc);
Request request = service.CreateRequest("updateIoi");
Element handle = request.GetElement("handle");
handle.SetElement("value", "832f0c5f-8330-4c50-8cf7-95c1c6f240db");
Element ioi = request.GetElement("ioi");
// Set the good-until time of this option to 15 minutes from now
ioi.SetElement("goodUntil", new Bloomberglp.Blpapi.Datetime(DateTime.Now.AddSeconds(900)));
// Create the option
Element option = ioi.GetElement("instrument").SetChoice("option");
option.SetElement("structure", "CallSpread");
// This option has two legs. Create the first leg
Element leg1 = option.GetElement("legs").AppendElement();
leg1.SetElement("type", "Call");
leg1.SetElement("strike", 230);
leg1.SetElement("expiry", "2017-11-08T00:00:00.000+00:00");
leg1.SetElement("style", "European");
leg1.SetElement("ratio", +1.00);
leg1.SetElement("exchange", "LN");
leg1.GetElement("underlying").SetChoice("ticker");
leg1.GetElement("underlying").SetElement("ticker", "VOD LN Equity");
// Create the second leg
Element leg2 = option.GetElement("legs").AppendElement();
leg1.SetElement("type", "Call");
leg2.SetElement("strike", 240);
leg2.SetElement("expiry", "2017-11-08T00:00:00.000+00:00");
leg2.SetElement("style", "European");
leg2.SetElement("ratio", -1.25);
leg2.SetElement("exchange", "LN");
leg2.GetElement("underlying").SetChoice("ticker");
leg2.GetElement("underlying").SetElement("ticker", "VOD LN Equity");
// Create a quote consisting of a bid and an offer
Element bid = ioi.GetElement("bid");
bid.GetElement("price").SetChoice("fixed");
bid.GetElement("price").GetElement("fixed").GetElement("price").SetValue(83.643);
bid.GetElement("size").SetChoice("quantity");
bid.GetElement("size").GetElement("quantity").SetValue(2000);
bid.GetElement("referencePrice").SetElement("price", 202.155);
bid.GetElement("referencePrice").SetElement("currency", "GBP");
bid.SetElement("notes", "offer notes");
// Set the offer
Element offer = ioi.GetElement("offer");
offer.GetElement("price").SetChoice("fixed");
offer.GetElement("price").GetElement("fixed").GetElement("price").SetValue(83.64);
offer.GetElement("size").SetChoice("quantity");
offer.GetElement("size").GetElement("quantity").SetValue(2000);
offer.GetElement("referencePrice").SetElement("price", 202.15);
offer.GetElement("referencePrice").SetElement("currency", "GBP");
offer.SetElement("notes", "offer notes");
// Set targets
Element includes = ioi.GetElement("targets").GetElement("includes");
Element t1 = includes.AppendElement();
t1.SetChoice("acronym");
t1.SetElement("acronym", "BLPA");
Element t2 = includes.AppendElement();
t2.SetChoice("acronym");
t2.SetElement("acronym", "BLPB");
System.Console.WriteLine("Sending Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
System.Console.WriteLine("Request Sent.");
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
private void processResponseEvent(Event evt, Session session)
{
System.Console.WriteLine("Received Event: " + evt.Type);
foreach (Message msg in evt)
{
System.Console.WriteLine("MESSAGE: " + msg.ToString());
System.Console.WriteLine("CORRELATION ID: " + msg.CorrelationID);
if (evt.Type == Event.EventType.RESPONSE && msg.CorrelationID == requestID)
{
System.Console.WriteLine("Message Type: " + msg.MessageType);
if (msg.MessageType.Equals(ERROR_INFO))
{
int errorCode = msg.GetElementAsInt32("ERROR_CODE");
String errorMessage = msg.GetElementAsString("ERROR_MESSAGE");
System.Console.WriteLine("ERROR CODE: " + errorCode + "\tERROR MESSAGE: " + errorMessage);
}
else if (msg.MessageType.Equals(ASSIGN_TRADER))
{
bool success = msg.GetElementAsBool("EMSX_ALL_SUCCESS");
if (success)
{
System.Console.WriteLine("All orders successfully assigned");
Element successful = msg.GetElement("EMSX_ASSIGN_TRADER_SUCCESSFUL_ORDERS");
int numValues = successful.NumValues;
if (numValues > 0)
{
System.Console.WriteLine("Successful assignments:-");
}
for (int i = 0; i < numValues; i++)
{
Element order = successful.GetValueAsElement(i);
System.Console.WriteLine(order.GetElement("EMSX_SEQUENCE").GetValueAsInt32());
}
}
else
{
System.Console.WriteLine("One or more failed assignments...\n");
if (msg.HasElement("EMSX_ASSIGN_TRADER_SUCCESSFUL_ORDERS"))
{
Element successful = msg.GetElement("EMSX_ASSIGN_TRADER_SUCCESSFUL_ORDERS");
int numValues = successful.NumValues;
if (numValues > 0)
{
System.Console.WriteLine("Successful assignments:-");
}
for (int i = 0; i < numValues; i++)
{
Element order = successful.GetValueAsElement(i);
System.Console.WriteLine(order.GetElement("EMSX_SEQUENCE").GetValueAsInt32());
}
}
if (msg.HasElement("EMSX_ASSIGN_TRADER_FAILED_ORDERS"))
{
Element failed = msg.GetElement("EMSX_ASSIGN_TRADER_FAILED_ORDERS");
int numValues = failed.NumValues;
if (numValues > 0)
{
System.Console.WriteLine("Failed assignments:-");
}
for (int i = 0; i < numValues; i++)
{
Element order = failed.GetValueAsElement(i);
System.Console.WriteLine(order.GetElement("EMSX_SEQUENCE").GetValueAsInt32());
}
}
}
}
quit = true;
session.Stop();
}
}
}
private void processResponseEvent(Event evt, Session session)
{
System.Console.WriteLine("Received Event: " + evt.Type);
foreach (Message msg in evt)
{
//System.Console.WriteLine("MESSAGE: " + msg.ToString());
//System.Console.WriteLine("CORRELATION ID: " + msg.CorrelationID);
if (evt.Type == Event.EventType.RESPONSE && msg.CorrelationID == requestID)
{
System.Console.WriteLine("Message Type: " + msg.MessageType);
if (msg.MessageType.Equals(ERROR_INFO))
{
int errorCode = msg.GetElementAsInt32("ERROR_CODE");
String errorMessage = msg.GetElementAsString("ERROR_MESSAGE");
System.Console.WriteLine("ERROR CODE: " + errorCode + "\tERROR MESSAGE: " + errorMessage);
}
else if (msg.MessageType.Equals(BROKER_SPEC))
{
Element brokers = msg.GetElement("brokers");
int numBkrs = brokers.NumValues;
System.Console.WriteLine("Number of Brokers: " + numBkrs);
for (int i = 0; i < numBkrs; i++)
{
Element broker = brokers.GetValueAsElement(i);
String code = broker.GetElementAsString("code");
String assetClass = broker.GetElementAsString("assetClass");
if (broker.HasElement("strategyFixTag"))
{
long tag = broker.GetElementAsInt64("strategyFixTag");
System.Console.WriteLine("\nBroker code: " + code + "\tClass: " + assetClass + "\tTag: " + tag);
Element strats = broker.GetElement("strategies");
int numStrats = strats.NumValues;
System.Console.WriteLine("\tNo. of Strategies: " + numStrats);
for (int s = 0; s < numStrats; s++)
{
Element strat = strats.GetValueAsElement(s);
String name = strat.GetElementAsString("name");
String fixVal = strat.GetElementAsString("fixValue");
System.Console.WriteLine("\n\tStrategy Name: " + name + "\tFix Value: " + fixVal);
Element parameters = strat.GetElement("parameters");
int numParams = parameters.NumValues;
System.Console.WriteLine("\t\tNo. of Parameters: " + numParams);
for (int p = 0; p < numParams; p++)
{
Element param = parameters.GetValueAsElement(p);
String pname = param.GetElementAsString("name");
long fixTag = param.GetElementAsInt64("fixTag");
bool required = param.GetElementAsBool("isRequired");
bool replaceable = param.GetElementAsBool("isReplaceable");
System.Console.WriteLine("\t\tParameter: " + pname + "\tTag: " + fixTag + "\tRequired: " + required + "\tReplaceable: " + replaceable);
String typeName = param.GetElement("type").GetElement(0).Name.ToString();
String vals = "";
if (typeName.Equals("enumeration"))
{
Element enumerators = param.GetElement("type").GetElement(0).GetElement("enumerators");
int numEnums = enumerators.NumValues;
for (int e = 0; e < numEnums; e++)
{
Element en = enumerators.GetValueAsElement(e);
vals = vals + en.GetElementAsString("name") + "[" + en.GetElementAsString("fixValue") + "],";
}
vals = vals.Substring(0, vals.Length - 1);
}
else if (typeName.Equals("range"))
{
Element rng = param.GetElement("type").GetElement(0);
long mn = rng.GetElementAsInt64("min");
long mx = rng.GetElementAsInt64("max");
long st = rng.GetElementAsInt64("step");
vals = "min:" + mn + " max:" + mx + " step:" + st;
}
else if (typeName.Equals("string"))
{
Element possVals = param.GetElement("type").GetElement(0).GetElement("possibleValues");
int numVals = possVals.NumValues;
for (int v = 0; v < numVals; v++)
{
vals = vals + possVals.GetValueAsString(v) + ",";
}
if (vals.Length > 0)
{
vals = vals.Substring(0, vals.Length - 1);
}
}
if (vals.Length > 0)
{
System.Console.WriteLine("\t\t\tType: " + typeName + " (" + vals + ")");
}
else
{
System.Console.WriteLine("\t\t\tType: " + typeName);
}
}
}
}
else
{
System.Console.WriteLine("\nBroker code: " + code + "\tclass: " + assetClass);
System.Console.WriteLine("\tNo Strategies");
}
System.Console.WriteLine("\n\tTime In Force:");
Element tifs = broker.GetElement("timesInForce");
int numTifs = tifs.NumValues;
for (int t = 0; t < numTifs; t++)
{
Element tif = tifs.GetValueAsElement(t);
String tifName = tif.GetElementAsString("name");
String tifFixValue = tif.GetElementAsString("fixValue");
System.Console.WriteLine("\t\tName: " + tifName + "\tFix Value: " + tifFixValue);
}
System.Console.WriteLine("\n\tOrder Types:");
Element ordTypes = broker.GetElement("orderTypes");
int numOrdTypes = ordTypes.NumValues;
for (int o = 0; o < numOrdTypes; o++)
{
Element ordType = ordTypes.GetValueAsElement(o);
String typName = ordType.GetElementAsString("name");
String typFixValue = ordType.GetElementAsString("fixValue");
System.Console.WriteLine("\t\tName: " + typName + "\tFix Value: " + typFixValue);
}
System.Console.WriteLine("\n\tHandling Instructions:");
Element handInsts = broker.GetElement("handlingInstructions");
int numHandInsts = handInsts.NumValues;
for (int h = 0; h < numHandInsts; h++)
{
Element handInst = handInsts.GetValueAsElement(h);
String instName = handInst.GetElementAsString("name");
String instFixValue = handInst.GetElementAsString("fixValue");
System.Console.WriteLine("\t\tName: " + instName + "\tFix Value: " + instFixValue);
}
}
}
quit = true;
session.Stop();
}
}
}
/// <summary>
/// Process override field data returned
/// </summary>
/// <param name="msg"></param>
private void processOverrides(Bloomberglp.Blpapi.Message msg)
{
string[] elementList = new string[] { "mnemonic", "description", "categoryName" };
object[] fieldDataValues = null;
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("fieldResponse")))
{
// process response
Element fieldDataArray = msg.GetElement("fieldData");
int numberOfFields = fieldDataArray.NumValues;
// start table update
overrideTable.BeginLoadData();
overrideFieldsTempTable.BeginLoadData();
for (int index = 0; index < numberOfFields; index++)
{
// process field element
fieldDataValues = new object[4];
Element fieldElement = fieldDataArray.GetValueAsElement(index);
Element fieldData = fieldElement.GetElement("fieldInfo");
try
{
// get field id
string fieldId = d_fieldIds[index];
// get override for field id
string selectCriteria = "id = '" + fieldId + "'";
DataRow[] ovrRows = overrideTable.Select(selectCriteria);
DataRow[] fields = overrideFieldsTempTable.Select(selectCriteria);
if (fields.Length > 0)
{
// process override fields
int dataIndex = 1;
foreach (string item in elementList)
{
// field property
Element dataElement = fieldData.GetElement(item);
if (dataElement.IsArray)
{
// process array data
switch (item)
{
case "categoryName":
// process categoryName here
break;
case "overrides":
// process categoryName here
break;
}
}
else
{
// process element data
switch (item)
{
case "documentation":
// process documentation here
break;
default:
fields[0][dataIndex] = dataElement.GetValueAsString();
break;
}
}
dataIndex++;
}
if (ovrRows.Length > 0)
{
// update override field properties
foreach (DataRow ovrRow in ovrRows)
{
ovrRow["mnemonic"] = fields[0]["mnemonic"];
ovrRow["description"] = fields[0]["description"];
}
}
}
}
catch
{
// field property not in response
}
}
// end of table update
overrideTable.BeginLoadData();
overrideTable.AcceptChanges();
overrideFieldsTempTable.BeginLoadData();
overrideFieldsTempTable.AcceptChanges();
}
}
/// <summary>
/// Process categorized field search response
/// </summary>
/// <param name="msg"></param>
private void processCategorizedFieldData(Bloomberglp.Blpapi.Message msg)
{
string message = string.Empty;
string[] elementList = new string[] { "mnemonic", "description",
"categoryName", "documentation", "overrides" };
object[] fieldDataValues = null;
// process message
toolStripStatusLabel1.Text = "Processing data...";
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("categorizedFieldResponse")))
{
if (msg.HasElement("categorizedFieldSearchError"))
{
// process field search error
Element reason = msg.GetElement("categorizedFieldSearchError");
message = string.Concat("Error: Source-", reason.GetElementAsString("source"),
", Code-", reason.GetElementAsString("code"), ", category-",
reason.GetElementAsString("category"),
", desc-", reason.GetElementAsString("message"));
}
else
{
if (msg.HasElement("category"))
{
// process category
Element categories = msg.GetElement("category");
int numberOfCategories = categories.NumValues;
for (int categoryIndex = 0; categoryIndex < numberOfCategories; categoryIndex++)
{
// process category data
Element category = categories.GetValueAsElement(categoryIndex);
Element fieldDataArray = category.GetElement("fieldData");
int numberOfFields = fieldDataArray.NumValues;
// start table update
fieldTable.BeginLoadData();
propertyTable.BeginLoadData();
overrideTable.BeginLoadData();
for (int index = 0; index < numberOfFields; index++)
{
// process field data
fieldDataValues = new object[4];
Element fieldElement = fieldDataArray.GetValueAsElement(index);
Element fieldData = fieldElement.GetElement("fieldInfo");
// get field id
string fieldId = fieldElement.GetElementAsString("id");
fieldDataValues[0] = fieldId;
try
{
String dataValue = string.Empty;
int dataIndex = 1;
foreach (string item in elementList)
{
// get field property
Element dataElement = fieldData.GetElement(item);
if (dataElement.IsArray)
{
// process array data
switch (item)
{
case "categoryName":
fieldDataValues[dataIndex] = category.GetElementAsString("categoryName");
break;
case "overrides":
for (int overrideIndex = 0; overrideIndex < dataElement.NumValues; overrideIndex++)
{
if (overrideTable.Select("parentId = '" + fieldId + "' AND id = '" +
dataElement[overrideIndex].ToString() + "'").Length == 0)
{
overrideTable.Rows.Add(new object[] { fieldId, dataElement[overrideIndex].ToString(),
DBNull.Value, DBNull.Value });
}
}
break;
}
}
else
{
// process element data
switch (item)
{
case "documentation":
// add documentation row
propertyTable.Rows.Add(new object[] { fieldId, dataElement.GetValue() });
break;
default:
fieldDataValues[dataIndex] = dataElement.GetValueAsString();
break;
}
}
dataIndex++;
}
// add field to table
fieldTable.Rows.Add(fieldDataValues);
}
catch
{
// field property not in response
}
}
}
}
// end of table update
fieldTable.EndLoadData();
propertyTable.EndLoadData();
overrideTable.EndLoadData();
d_data.AcceptChanges();
if (fieldTable.Rows.Count > 0)
{
richTextBoxDocumentation.Tag = string.Empty;
// trigger event to update override grid
dataGridViewDataView_RowEnter(this, new DataGridViewCellEventArgs(1, 0));
}
}
}
if (message != string.Empty)
{
toolStripStatusLabel1.Text = "Request error: " + message;
}
}
public Dictionary <string, string> DownloadFieldInfo(string securityName, IEnumerable <IField> fields)
{
var outDict = new Dictionary <string, string>();
Request request = refDataService.CreateRequest("FieldInfoRequest");
if (fields == null || fields.Count() == 0)
{
return(null);
}
foreach (var item in fields)
{
request.Append("id", item.FieldName);
}
request.Set("returnFieldDocumentation", true);
session.SendRequest(request, null);
bool done = false;
while (!done)
{
Event eventObj = session.NextEvent();
if (eventObj.Type == Event.EventType.RESPONSE || eventObj.Type == Event.EventType.PARTIAL_RESPONSE)
{
foreach (var msg in eventObj)
{
if (msg.AsElement.HasElement("responseError"))
{
throw new Exception("Response error for fields [" + fields.ToExtendedString() + "]: " + msg.GetElement("responseError").GetElement("message") + "field: ");
}
Element securityDataArray = msg.GetElement("fieldData");
for (int i = 0; i < securityDataArray.NumValues; i++)
{
Element fieldData = securityDataArray.GetValueAsElement(i);
try
{
Element fieldInfo = fieldData.GetElement("fieldInfo");
string fieldName = fieldInfo.GetElementAsString("mnemonic");
string output = fieldInfo.GetElementAsString("documentation");
var fieldNickName = from f in fields
where f.FieldName == fieldName
select f.FieldNickName;
foreach (var f in fieldNickName)
{
if (!outDict.ContainsKey(f))
{
outDict.Add(f, output);
}
}
}
catch
{
Trace.WriteLine("Problem Downloading Field Definition for " + fieldData.GetElement("id"));
}
}
}
}
if (eventObj.Type == Event.EventType.RESPONSE)
{
done = true;
}
}
return(outDict);
}
private IEnumerable <Tuple <string, SortedList <DateTime, dynamic> > > ParseUniversal(Element securityDataArray, List <IField> fields)
{
Thread.Sleep(50);
if (Console.KeyAvailable && Console.ReadKey(true).Key == ConsoleKey.P)
{
Console.WriteLine("\nDownload Paused, press c to continue");
while (!Console.KeyAvailable || Console.ReadKey(true).Key != ConsoleKey.C)
{
Thread.Sleep(1000 * 1);
}
}
var fieldNames = from f in fields
select f.FieldName.ToUpper();
SortedList <DateTime, dynamic> output;
if (securityDataArray.IsArray)
{
for (int i = 0; i < securityDataArray.NumValues; i++) //data for multiple securities
{
Element securityData = securityDataArray.GetValueAsElement(i); //single security
string securityName = securityData.GetElementAsString("security");
Element fieldData = securityData.GetElement("fieldData"); //data for multiple fields.
int j = -1;
foreach (var fieldName in fieldNames)
{
j++;
Element field = fieldData.GetElement(fieldName);
output = new SortedList <DateTime, dynamic>();
if (field.NumValues > 0)
{
var data = field.GetValue(); //check field.NumValues - sometimes NumValues>1 - then output into single field - because it is single field but with multiple values
string dataType;
if (fields[j].Type != null && fields[j].Type.Length > 0)
{
dataType = fields[j].Type;
}
else
{
dataType = field.Datatype.ToString();
}
var result = ConvertDataType(dataType, field);
output.Add(ExtensionMethods.GetBusinessDay(DateTime.Today, -1), result.Item2);
}
yield return(Tuple.Create(securityName, output));
}
}
}
else
{
var Outputs = new SortedList <DateTime, dynamic> [fieldNames.Count()];
for (int i = 0; i < Outputs.Length; i++)
{
Outputs[i] = new SortedList <DateTime, dynamic>();
}
Element fieldDataArray = securityDataArray.GetElement("fieldData"); // data for multiple fields, multiple dates
string securityName = securityDataArray.GetElementAsString("security");
for (int i = 0; i < fieldDataArray.NumValues; i++) //equals 0 if no fields or security wrong
{
Element fieldData = fieldDataArray.GetValueAsElement(i); // data for multiple fields, single date
int j = -1;
foreach (var fieldName in fieldNames)
{
j++;
Element date = fieldData.GetElement("date");
if (!fieldData.HasElement(fieldName))
{
continue;
}
Element field = fieldData.GetElement(fieldName);
dynamic elementValue = null;
bool ok = false;
string dataType;
if (fields[j].Type != null && fields[j].Type.Length > 0)
{
dataType = fields[j].Type;
}
else
{
dataType = field.Datatype.ToString();
}
var result = ConvertDataType(dataType, field);
ok = result.Item1;
elementValue = result.Item2;
if (!ok)
{
elementValue = null;
}
Outputs[j].Add(date.GetValueAsDatetime().ToSystemDateTime(), elementValue);
}
}
for (int i = 0; i < Outputs.Length; i++)
{
yield return(Tuple.Create(securityName, Outputs[i]));
}
}
}
/// <summary>
/// Process subscription data
/// </summary>
/// <param name="eventObj"></param>
/// <param name="session"></param>
private void processRequestDataEvent(Event eventObj, Session session)
{
string securityName = string.Empty;
Boolean hasFieldError = false;
// clear column tag of field error message.
foreach (DataGridViewColumn col in dataGridViewData.Columns)
{
col.Tag = null;
}
// process message
foreach (Message msg in eventObj)
{
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("HistoricalDataResponse")))
{
// process errors
if (msg.HasElement(RESPONSE_ERROR))
{
Element error = msg.GetElement(RESPONSE_ERROR);
dataGridViewData.Rows.Add(new object[] { error.GetElementAsString(MESSAGE) });
}
else
{
Element secDataArray = msg.GetElement(SECURITY_DATA);
int numberOfSecurities = secDataArray.NumValues;
if (secDataArray.HasElement(SECURITY_ERROR))
{
// security error
Element secError = secDataArray.GetElement(SECURITY_ERROR);
dataGridViewData.Rows.Add(new object[] { secError.GetElementAsString(MESSAGE) });
}
if (secDataArray.HasElement(FIELD_EXCEPTIONS))
{
// field error
Element error = secDataArray.GetElement(FIELD_EXCEPTIONS);
for (int errorIndex = 0; errorIndex < error.NumValues; errorIndex++)
{
Element errorException = error.GetValueAsElement(errorIndex);
string field = errorException.GetElementAsString(FIELD_ID);
Element errorInfo = errorException.GetElement(ERROR_INFO);
string message = errorInfo.GetElementAsString(MESSAGE);
dataGridViewData.Columns[field].Tag = message;
hasFieldError = true;
} // end for
} // end if
// process securities data
for (int index = 0; index < numberOfSecurities; index++)
{
foreach (Element secData in secDataArray.Elements)
{
switch (secData.Name.ToString())
{
case "eidsData":
// process security eid data here
break;
case "security":
// security name
securityName = secData.GetValueAsString();
break;
case "fieldData":
if (hasFieldError && secData.NumValues == 0)
{
// no data but have field error
object[] dataValues = new object[dataGridViewData.ColumnCount];
dataValues[0] = securityName;
int fieldIndex = 0;
foreach (DataGridViewColumn col in dataGridViewData.Columns)
{
if (col.Tag != null)
{
dataValues[fieldIndex] = col.Tag.ToString();
}
fieldIndex++;
}
d_data.Rows.Add(dataValues);
}
else
{
// get field data
d_data.BeginLoadData();
for (int pointIndex = 0; pointIndex < secData.NumValues; pointIndex++)
{
int fieldIndex = 0;
object[] dataValues = new object[dataGridViewData.ColumnCount];
Element fields = secData.GetValueAsElement(pointIndex);
foreach (DataGridViewColumn col in dataGridViewData.Columns)
{
try
{
if (col.Name == "security")
{
dataValues[fieldIndex] = securityName;
}
else
{
if (fields.HasElement(col.Name))
{
Element item = fields.GetElement(col.Name);
if (item.IsArray)
{
// bulk field data
dataValues[fieldIndex] = "Bulk Data";
}
else
{
// field data
dataValues[fieldIndex] = item.GetValueAsString();
}
}
else
{
// no field value
if (col.Tag == null)
{
dataValues[fieldIndex] = DBNull.Value;
}
else
{
if (col.Tag.ToString().Length > 0)
{
// field has error
dataValues[fieldIndex] = col.Tag.ToString();
}
else
{
dataValues[fieldIndex] = DBNull.Value;
}
}
}
} // end if
}
catch (Exception ex)
{
// display error
dataValues[fieldIndex] = ex.Message;
}
finally
{
fieldIndex++;
}
} // end foreach
// add data to data table
d_data.Rows.Add(dataValues);
} // end for
d_data.EndLoadData();
}
break;
} // end switch
} // end foreach
} // end for
} // end else
} // end if
}
}
private void processServiceEvent(Event evt, Session session)
{
System.Console.WriteLine("\nProcessing " + evt.Type);
foreach (Message msg in evt)
{
if (msg.MessageType.Equals(SERVICE_OPENED))
{
System.Console.WriteLine("Service opened...");
Service service = session.GetService(d_service);
Request request = service.CreateRequest("GroupRouteEx");
// Multiple order numbers can be added
request.Append("EMSX_SEQUENCE", 3663923);
request.Append("EMSX_SEQUENCE", 3663924);
request.Append("EMSX_SEQUENCE", 3663925);
// The fields below are mandatory
request.Set("EMSX_AMOUNT_PERCENT", 100); // Note the amount here is %age of order amount
request.Set("EMSX_BROKER", "BMTB");
// For GroupRoute, the below values need to be added, but are taken
// from the original order when the route is created.
request.Set("EMSX_HAND_INSTRUCTION", "ANY");
request.Set("EMSX_ORDER_TYPE", "MKT");
request.Set("EMSX_TICKER", "IBM US Equity");
request.Set("EMSX_TIF", "DAY");
// The fields below are optional
//request.Set("EMSX_ACCOUNT","TestAccount");
//request.Set("EMSX_BOOKNAME","BookName");
//request.Set("EMSX_CFD_FLAG", "1");
//request.Set("EMSX_CLEARING_ACCOUNT", "ClrAccName");
//request.Set("EMSX_CLEARING_FIRM", "FirmName");
//request.Set("EMSX_EXEC_INSTRUCTION", "Drop down values from EMSX Ticket");
//request.Set("EMSX_GET_WARNINGS", "0");
//request.Set("EMSX_GTD_DATE", "20170105");
//request.Set("EMSX_LIMIT_PRICE", 123.45);
//request.Set("EMSX_LOCATE_BROKER", "BMTB");
//request.Set("EMSX_LOCATE_ID", "SomeID");
//request.Set("EMSX_LOCATE_REQ", "Y");
//request.Set("EMSX_NOTES", "Some notes");
//request.Set("EMSX_ODD_LOT", "0");
//request.Set("EMSX_P_A", "P");
//request.Set("EMSX_RELEASE_TIME", 34341);
//request.Set("EMSX_REQUEST_SEQ", 1001);
//request.Set("EMSX_STOP_PRICE", 123.5);
//request.Set("EMSX_TRADER_UUID", 1234567);
// Set the Request Type if this is for multi-leg orders
// only valid for options
/*
* Element requestType = request.GetElement("EMSX_REQUEST_TYPE");
* requestType.SetChoice("Multileg");
* Element multileg = requestType.GetElement("Multileg");
* multileg.SetElement("EMSX_AMOUNT",10);
* multileg.GetElement("EMSX_ML_RATIO").AppendValue(2);
* multileg.GetElement("EMSX_ML_RATIO").AppendValue(3);
*/
// Add the Route Ref ID values
Element routeRefIDPairs = request.GetElement("EMSX_ROUTE_REF_ID_PAIRS");
Element route1 = routeRefIDPairs.AppendElement();
route1.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef1");
route1.SetElement("EMSX_SEQUENCE", 3663923);
Element route2 = routeRefIDPairs.AppendElement();
route2.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef2");
route2.SetElement("EMSX_SEQUENCE", 3663924);
Element route3 = routeRefIDPairs.AppendElement();
route3.SetElement("EMSX_ROUTE_REF_ID", "MyRouteRef3");
route3.SetElement("EMSX_SEQUENCE", 3663925);
// Below we establish the strategy details. Strategy details
// are common across all orders in a GroupRoute operation.
// The following segment can be removed if no broker strategies are used
Element strategy = request.GetElement("EMSX_STRATEGY_PARAMS");
strategy.SetElement("EMSX_STRATEGY_NAME", "VWAP");
Element indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS");
Element data = strategy.GetElement("EMSX_STRATEGY_FIELDS");
// Strategy parameters must be appended in the correct order. See the output
// of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
// a field that carries a value, and 1 where the field should be ignored
data.AppendElement().SetElement("EMSX_FIELD_DATA", "09:30:00"); // StartTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", "10:30:00"); // EndTime
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 0);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Max%Volume
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // %AMSession
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // OPG
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // MOC
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // CompletePX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // TriggerPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkComplete
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // DarkCompPX
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // RefIndex
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
data.AppendElement().SetElement("EMSX_FIELD_DATA", ""); // Discretion
indicator.AppendElement().SetElement("EMSX_FIELD_INDICATOR", 1);
System.Console.WriteLine("Request: " + request.ToString());
requestID = new CorrelationID();
// Submit the request
try
{
session.SendRequest(request, requestID);
}
catch (Exception ex)
{
System.Console.Error.WriteLine("Failed to send the request: " + ex.Message);
}
}
else if (msg.MessageType.Equals(SERVICE_OPEN_FAILURE))
{
System.Console.Error.WriteLine("Error: Service failed to open");
}
}
}
/// <summary>
/// Process subscription data
/// </summary>
/// <param name="eventObj"></param>
/// <param name="session"></param>
private void processRequestDataEvent(Event eventObj, Session session)
{
if (d_numberOfReturnedSecurities == 0)
{
toolStripStatusLabel1.Text = "Processing data...";
}
d_data.BeginLoadData();
// process message
foreach (Message msg in eventObj)
{
// get message correlation id
int cId = (int)msg.CorrelationID.Value;
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName("ReferenceDataResponse")))
{
// process security data
Element secDataArray = msg.GetElement(SECURITY_DATA);
int numberOfSecurities = secDataArray.NumValues;
for (int index = 0; index < numberOfSecurities; index++)
{
Element secData = secDataArray.GetValueAsElement(index);
Element fieldData = secData.GetElement("fieldData");
d_numberOfReturnedSecurities++;
// get security index
int rowIndex = secData.GetElementAsInt32("sequenceNumber");
if (d_data.Rows.Count > rowIndex)
{
// get security record
DataRow row = d_data.Rows[rowIndex];
// check for field error
if (secData.HasElement(FIELD_EXCEPTIONS))
{
// process error
Element error = secData.GetElement(FIELD_EXCEPTIONS);
for (int errorIndex = 0; errorIndex < error.NumValues; errorIndex++)
{
Element errorException = error.GetValueAsElement(errorIndex);
string field = errorException.GetElementAsString(FIELD_ID);
Element errorInfo = errorException.GetElement(ERROR_INFO);
string message = errorInfo.GetElementAsString(MESSAGE);
row[field] = message;
}
}
// check for security error
if (secData.HasElement(SECURITY_ERROR))
{
Element error = secData.GetElement(SECURITY_ERROR);
string errorMessage = error.GetElementAsString(MESSAGE);
row[1] = errorMessage;
}
// process data
foreach (DataColumn col in d_data.Columns)
{
String dataValue = string.Empty;
if (fieldData.HasElement(col.ColumnName))
{
Element item = fieldData.GetElement(col.ColumnName);
if (item.IsArray)
{
// bulk field
dataValue = "Bulk Data...";
processBulkData(secData.GetElementAsString("security"), item);
}
else
{
dataValue = item.GetValueAsString();
}
row[col.ColumnName] = dataValue;
}
}
}
}
}
}
d_data.EndLoadData();
// check if we are done
if (d_numberOfReturnedSecurities >= d_data.Rows.Count)
{
toolStripStatusLabel1.Text = "Completed";
}
}
internal void populateFields(Message message, bool dynamicFieldsOnly)
{
Log.LogMessage(LogLevels.BASIC, "Populate fields");
CurrentToOldValues();
int fieldCount = message.NumElements;
Element e = message.AsElement;
fieldChanges = new List <FieldChange>();
for (int i = 0; i < fieldCount; i++)
{
Boolean load = true;
Element f = e.GetElement(i);
String fieldName = f.Name.ToString();
// Workaround for schema field nameing
if (fieldName.Equals("EMSX_ORD_REF_ID"))
{
fieldName = "EMSX_ORDER_REF_ID";
}
if (dynamicFieldsOnly)
{
SchemaFieldDefinition sfd = null;
if (owner is Order)
{
Order o = (Order)owner;
sfd = findSchemaFieldByName(fieldName, o.parent.emsxapi.orderFields);
}
else if (owner is Route)
{
Route r = (Route)owner;
sfd = findSchemaFieldByName(fieldName, r.parent.emsxapi.routeFields);
}
if (sfd != null && sfd.isStatic())
{
load = false;
}
}
if (load)
{
Field fd = field(fieldName);
if (fd == null)
{
fd = new Field(this);
}
fd.setName(fieldName);
// set the CURRENT value NOT the new_value. new_value is only set by client side.
fd.setCurrentValue(f.GetValueAsString());
FieldChange fc = fd.getFieldChanged();
if (fc != null)
{
fieldChanges.Add(fc);
}
}
}
}
/// <summary>
/// Function to handle response event
/// </summary>
/// <param name="eventObj"></param>
private void processResponseEvent(Event eventObj)
{
foreach (Message msg in eventObj)
{
if (msg.HasElement(RESPONSE_ERROR))
{
printErrorInfo("REQUEST FAILED: ", msg.GetElement(RESPONSE_ERROR));
continue;
}
Element securities = msg.GetElement(SECURITY_DATA);
int numSecurities = securities.NumValues;
System.Console.WriteLine("\nProcessing " + numSecurities
+ " securities:");
for (int secCnt = 0; secCnt < numSecurities; ++secCnt)
{
Element security = securities.GetValueAsElement(secCnt);
string ticker = security.GetElementAsString(SECURITY);
System.Console.WriteLine("\nTicker: " + ticker);
if (security.HasElement("securityError"))
{
printErrorInfo("\tSECURITY FAILED: ",
security.GetElement(SECURITY_ERROR));
continue;
}
Element fields = security.GetElement(FIELD_DATA);
if (fields.NumElements > 0)
{
System.Console.WriteLine("FIELD\t\tVALUE");
System.Console.WriteLine("-----\t\t-----");
int numElements = fields.NumElements;
for (int eleCtr = 0; eleCtr < numElements; ++eleCtr)
{
Element field = fields.GetElement(eleCtr);
// Checking if the field is Bulk field
if (field.Datatype == Datatype.SEQUENCE)
{
processBulkField(field);
}
else
{
processRefField(field);
}
}
}
System.Console.WriteLine("");
Element fieldExceptions = security.GetElement(FIELD_EXCEPTIONS);
if (fieldExceptions.NumValues > 0)
{
System.Console.WriteLine("FIELD\t\tEXCEPTION");
System.Console.WriteLine("-----\t\t---------");
for (int k = 0; k < fieldExceptions.NumValues; ++k)
{
Element fieldException =
fieldExceptions.GetValueAsElement(k);
printErrorInfo(fieldException.GetElementAsString(FIELD_ID)
+ "\t\t", fieldException.GetElement(ERROR_INFO));
}
}
}
}
}
