private string processBulkData(BB.Element data)
{
string ret = null;
try {
if (data.NumValues > 0)
{
for (int index = 0; index < data.NumValues; index++)
{
BB.Element bulk = data.GetValueAsElement(index);
if (bulk.NumElements > 1)
{
ret += "{";
}
foreach (BB.Element item in bulk.Elements)
{
ret += item.GetValueAsString() + arrayDelimiter;
}
if (bulk.NumElements > 1)
{
ret += "}";
}
}
}
} catch (Exception ex) {
UpdateStatus("Error occurred processing array field : " + ex.Message);
ret = null;
}
return(ret);
}
/// <summary>
/// Process a list of curves in a response from the BLP API.
/// Not fully implemented yet - does not collect results
/// </summary>
/// <param name="msg"></param>
private void ProcessCurveListResponse(Message msg)
{
Element results = msg.GetElement(RESULTS_ELEMENT);
int numResults = results.NumValues;
Console.WriteLine("Processing " + numResults + " results:");
for (int i = 0; i < numResults; ++i)
{
Element result = results.GetValueAsElement(i);
StringBuilder sb = new StringBuilder();
foreach (Name n in CURVE_RESPONSE_ELEMENTS)
{
if (sb.Length != 0)
{
sb.Append(" ");
}
sb.Append(n).Append("=").Append(result.GetElementAsString(n));
}
Console.WriteLine(
"\t{0} {1} - {2} '{3}'",
i + 1,
result.GetElementAsString(CURVE_ELEMENT),
result.GetElementAsString(DESCRIPTION_ELEMENT),
sb.ToString());
}
}
private void GetData(BloombergDataInstrument instrument, BB.Element fields, BB.Element secData)
{
#region security errors
if (secData.HasElement(SECURITY_ERROR))
{
instrument.IsSecurityValid = false;
BB.Element error = secData.GetElement(SECURITY_ERROR);
UpdateStatus(string.Format("Security error for ticker {0} : {1}", instrument.Ticker, error.GetElementAsString(MESSAGE)));
instrument.SecurityErrors += (error.GetElementAsString(MESSAGE) + "; ");
}
#endregion
#region field errors
if (secData.HasElement(FIELD_EXCEPTIONS))
{
instrument.HasFieldErrors = true;
// process error
BB.Element error = secData.GetElement(FIELD_EXCEPTIONS);
for (int errorIndex = 0; errorIndex < error.NumValues; errorIndex++)
{
BB.Element errorException = error.GetValueAsElement(errorIndex);
BB.Element errorInfo = errorException.GetElement(ERROR_INFO);
instrument.BBFields[errorException.GetElementAsString(FIELD_ID)].Error = errorInfo.GetElementAsString(MESSAGE);
instrument.HasFieldErrors = true;
string msg = string.Format("Field error for ticker {0} : Field {1}: {2}",
instrument.Ticker,
errorException.GetElementAsString(FIELD_ID),
errorInfo.GetElementAsString(MESSAGE));
UpdateStatus(msg);
}
}
#endregion
#region get the data
if (instrument.BBFields != null)
{
lock (lockObject) {
foreach (string bbField in instrument.BBFields.Keys.ToList())
{
if (fields.HasElement(bbField))
{
BB.Element item = fields.GetElement(bbField);
if (item.IsArray)
{
instrument.BBFields[bbField].Value = processBulkData(item);
}
else
{
// set the value in the instrument field item
instrument.BBFields[bbField].Value = item.GetValue();
}
}
}
}
}
#endregion
}
/// <summary>
/// Process a list of instruments in a response from the BLP API.
/// </summary>
/// <param name="msg"></param>
private void ProcessInstrumentListResponse(Message msg)
{
Element results = msg.GetElement(RESULTS_ELEMENT);
for (int i = 0; i < results.NumValues; i++)
{
instrument_results.Add(results.GetValueAsElement(i).GetElementAsString(SECURITY_ELEMENT));
}
}
/// <summary>
/// Process a list of Govt instances in a response from the BLP API.
/// Not fully implemented yet - does not collect results
/// </summary>
/// <param name="msg"></param>
private void ProcessGovtListResponse(Message msg)
{
Element results = msg.GetElement(RESULTS_ELEMENT);
int numResults = results.NumValues;
Console.WriteLine("Processing " + numResults + " results:");
for (int i = 0; i < numResults; ++i)
{
Element result = results.GetValueAsElement(i);
Console.WriteLine(
"\t{0} {1}, {2} - {3}",
i + 1,
result.GetElementAsString(PARSEKY_ELEMENT),
result.GetElementAsString(NAME_ELEMENT),
result.GetElementAsString(TICKER_ELEMENT));
}
}
private List <T> ParseEvent_OLD(BbergAPI.Event response, List <T> outputContainer)
{
foreach (BbergAPI.Message message in response.GetMessages())
{
// Extract security
BbergAPI.Element security = message.GetElement(SECURITY_DATA);
string currentSec = (string)security.GetElementAsString(TICKER);
// Extract fields
BbergAPI.Element fields = security.GetElement(FIELD_DATA);
int sequenceNumber = security.GetElementAsInt32(SEQUENCE_NUMBER);
Dictionary <string, int> skipFields = this.initializeSkipFields();
// Loop through all observation dates
for (int i = 0; i < fields.NumValues; i++)
{
// Determine type of <T> and create instance
var Ttype = typeof(T);
var thisLine = (T)Activator.CreateInstance(Ttype);
// extract all field data for a single observation date
BbergAPI.Element observationDateFields = fields.GetValueAsElement(i);
string currentStringDate = observationDateFields.GetElementAsString(DATE);
DateTime currentDate = DateTime.ParseExact(currentStringDate, "yyyy-MM-dd", CultureInfo.CurrentCulture);
// Determine type of <T> and create instance
thisLine.SetDate(currentDate);
thisLine.SetDBID(dbid);
// Fill the line
skipFields = thisLine.SetFromBloomberg(ref observationDateFields, skipFields);
// Add to output container
outputContainer.Add(thisLine);
}
}
// This kills the data inside the response object...
this.CloseConnection();
return(outputContainer);
}
private List <Bloomberglp.Blpapi.Element> ConvertElementArrayToList(Bloomberglp.Blpapi.Element argvElement)
{
List <Bloomberglp.Blpapi.Element> tReturnValue = new List <Element>();
if (argvElement.IsArray)
{
for (int i = 0; i < argvElement.NumValues; i++)
{
tReturnValue.Add(argvElement.GetValueAsElement(i));
}
}
else
{
tReturnValue.Add(argvElement);
}
return(tReturnValue);
}
public List <String> SearchTicker(String ticker)
{
List <String> listTicker = new List <string>();
// request.AsElement.SetElement("partialMatch", true);
request.AsElement.SetElement("query", ticker);// this plus the previous line permits to retrieve all the thicker that begins with T
request.AsElement.SetElement("languageOverride", "LANG_OVERRIDE_NONE");
request.AsElement.SetElement("maxResults", 10);
session.SendRequest(request, null);
bool done = false;
while (!done)
{
// Grab the next Event object
Event eventObject = session.NextEvent();
// If this event type is Response then process the messages
if (eventObject.Type == Event.EventType.RESPONSE)
{
// Loop over all of the messages in this Event
foreach (Message msg in eventObject.GetMessages())
{
Console.WriteLine(msg);
Element secDataArray = msg.GetElement("results");
for (int index = 0; index < secDataArray.NumValues - 1; index++)
{
Element fieldData = secDataArray.GetValueAsElement(index);
if (fieldData.HasElement("security"))
{
listTicker.Add(fieldData.GetElementAsString("security"));
}
}
}
done = true;
}
}
return(listTicker);
}
private List <T> ParseEvent(BbergAPI.Event response, List <T> outputContainer)
{
foreach (BbergAPI.Message message in response.GetMessages())
{
// Extract security
BbergAPI.Element security = message.GetElement(SECURITY_DATA);
string currentSec = (string)security.GetElementAsString(TICKER);
// Extract fields
BbergAPI.Element fields = security.GetElement(FIELD_DATA);
int sequenceNumber = security.GetElementAsInt32(SEQUENCE_NUMBER);
// Loop through all observation dates
for (int i = 0; i < fields.NumValues; i++)
{
// Determine type of <T> and create instance
var Ttype = typeof(T);
var thisLine = (T)Activator.CreateInstance(Ttype);
// extract all field data for a single observation date
BbergAPI.Element observationDateFields = fields.GetValueAsElement(i);
string currentStringDate = observationDateFields.GetElementAsString(DATE);
DateTime currentDate = DateTime.ParseExact(currentStringDate, "yyyy-MM-dd", CultureInfo.CurrentCulture);
// Set the date and DBID to identify the line
thisLine.SetDate(currentDate);
thisLine.SetDBID(dbid);
// Fill the line with data
foreach (string localKey in this.fieldNames.Keys)
{
if (skip[localKey] < 10000)
{
try
{
// Warning : Bloomberg displays interest rates in percentage terms
thisLine[localKey] = scaling[localKey] * (double)observationDateFields.GetElementAsFloat64(fieldNames[localKey]);
}
catch
{
// Some log ?
skip[localKey] += 1;
// thisLine[localKey] = System.DBNull.Value;
thisLine[localKey] = null;
//thisLine[localKey] = 0.0;
}
}
}
// Add to output container
outputContainer.Add(thisLine);
}
}
// This kills the data inside the response object...
this.CloseConnection();
return(outputContainer);
}
/// <summary>
/// Processes the Bloomberg subscription data event.
/// </summary>
/// <param name="eventObj">The event obj.</param>
/// <param name="session">The session.</param>
private void processSubscriptionDataEvent(BB.Event eventObj, BB.Session session)
{
try {
// process message
foreach (BB.Message msg in eventObj.GetMessages())
{
#region find instrument
Guid reqGUID = (Guid)msg.CorrelationID.Object;
// check for duplicate replies just in case
if (guids.Contains(reqGUID))
{
return;
}
else
{
guids.Add(reqGUID);
}
// find the correct instrument
BloombergDataInstrument bbdi = FindSentInstrumentByGuid(reqGUID);
if (bbdi == null)
{
UpdateStatus("Unable to find received instrument by Guid - " + reqGUID.ToString());
continue;
}
#endregion
UpdateStatus(string.Format("Received {0} of {1} requests : {2}", guids.Count, sentToBB.Count, bbdi.Ticker));
if (msg.HasElement("responseError"))
{
BB.Element error = msg.GetElement(RESPONSE_ERROR);
string responseError = error.GetElementAsString(SUBCATEGORY);
UpdateStatus("Response error : " + error.GetElementAsString(MESSAGE));
CheckForLimits(responseError);
bbdi.HasFieldErrors = true;
continue;
}
BB.Element secDataArray = msg.GetElement(SECURITY_DATA);
#region process security data
// process security data
int numberOfSecurities = secDataArray.NumValues;
for (int index = 0; index < numberOfSecurities; index++)
{
if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName(BLP_REFERENCE_RESPONSE)))
{
// just contains the one element, which is actually a sequence
BB.Element secData = secDataArray.GetValueAsElement(index);
BB.Element fields = secData.GetElement(FIELD_DATA);
GetData(bbdi, fields, secData);
}
else if (msg.MessageType.Equals(Bloomberglp.Blpapi.Name.GetName(BLP_HISTORICAL_RESPONSE)))
{
// Historical is handled slightly different. Can contain many elements each with possibly multiple values
foreach (BB.Element secData in secDataArray.Elements)
{
if (secData.Name != FIELD_DATA)
{
continue;
}
for (int pointIndex = 0; pointIndex < secData.NumValues; pointIndex++)
{
BB.Element fields = secData.GetValueAsElement(pointIndex);
GetData(bbdi, fields, secData);
}
}
}
}
#endregion
ShowCompletionPercentage(guids.Count, sentToBB.Count);
ShowCompletedInstrument(bbdi);
}
} catch (Exception ex) {
UpdateStatus("Error occurred processing reply : " + ex.Message);
} finally {
if (guids.Count == sentToBB.Count) // we are done
{
ShowCompletionPercentage(1, 1);
ProcessComplete();
}
}
}
