public string GetKey(
MDSDictionaryType dictType, MDSRequestType requestType,
MDSProviderId sourceProvider, MDSProviderId targetProvider, string sourceValue)
{
//return String.Format("{0};{1};{2}:{3};{4}:{5}",
return
($"{dictType.ToString()};{requestType.ToString()}:{sourceProvider.ToString()};{sourceValue.ToUpper()}:{targetProvider.ToString()}");
}
private void AddUnitsMap(int priority, MDSRequestType requestType, string sourcePattern, PriceQuoteUnitsEnum targetUnits)
{
_rules.Locked(rules => rules.Add(new MapRule(
MDSDictionaryType.QuoteUnits,
MDSProviderId.GlobalIB, _provider,
requestType,
priority,
sourcePattern, targetUnits.ToString())));
}
private void AddFieldMap(int priority, MDSRequestType requestType, string sourcePattern, string targetPattern)
{
_rules.Locked(rules => rules.Add(new MapRule(
MDSDictionaryType.FieldName,
MDSProviderId.GlobalIB, _provider,
requestType,
priority,
sourcePattern, targetPattern)));
}
protected virtual MDSResult <QuotedAssetSet> OnRequestPricingStructure(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
NamedValueSet structureParams)
{
throw new NotSupportedException("This provider (" + ProviderId.ToString() + ") does not support the OnRequestPricingStructure method!");
}
protected virtual MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
throw new NotSupportedException("This provider (" + ProviderId + ") does not support the OnRequestMarketData method!");
}
protected override MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
return(RunBloombergRequest(clientInfo, requestId, requestParams, MDSRequestType.Current, DateTimeOffset.Now, standardQuotedAssetSet));
}
public SubscriptionDetail(
Guid subscriptionId,
TimeSpan subsLifetime,
MdsSubsState initialState,
MDSRequestType requestType,
AsyncQueueCallback <QuotedAssetSet> clientCallback)
{
SubsId = subscriptionId;
SubsExpires = DateTimeOffset.Now + subsLifetime;
//_DataLifetime = dataLifetime;
SubsState = initialState;
RequestType = requestType;
ClientCallback = clientCallback;
}
public MDSResult <QuotedAssetSet> RequestMarketQuotes(
IModuleInfo clientInfo,
Guid requestId,
NamedValueSet requestParams,
MDSRequestType requestType,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
Logger.LogDebug("{0}.RequestMarketQuotes", GetType().Name);
Logger.LogDebug(" Inputs:");
Logger.LogDebug(" Request Id : {0}", requestId);
Logger.LogDebug(" Request Type: {0}", requestType);
Logger.LogDebug(" Other params: {0}", requestParams.Serialise());
return(OnRequestMarketData(
clientInfo, requestId, requestType, requestParams, subsExpires, standardQuotedAssetSet));
}
public MapRule(MDSDictionaryType dictType,
MDSProviderId sourceProvider, MDSProviderId targetProvider,
MDSRequestType requestType,
int priority,
string searchValue, string outputValue)
{
Disabled = false;
DictType = dictType;
SourceProvider = sourceProvider;
TargetProvider = targetProvider;
RequestType = requestType;
Priority = priority;
SearchValue = searchValue;
OutputValue = outputValue;
Regex = new Regex("^" + searchValue + "$", RegexOptions.Compiled | RegexOptions.IgnoreCase);
}
protected override MDSResult <QuotedAssetSet> OnRequestPricingStructure(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
NamedValueSet structureParams)
{
var combinedResult = new QuotedAssetSet();
var debugRequest = requestParams.GetValue <bool>("DebugRequest", false);
Client.DebugRequests = debugRequest;
IExpression query = Expr.BoolAND(structureParams);
List <QuotedAssetSet> providerResults = Client.LoadObjects <QuotedAssetSet>(query);
Client.DebugRequests = false;
// merge multiple results
combinedResult = providerResults.Aggregate(combinedResult, (current, providerResult) => current.Merge(providerResult, false, true, true));
return(new MDSResult <QuotedAssetSet>
{
Result = combinedResult
});
}
protected override MDSResult <QuotedAssetSet> OnRequestMarketData(
IModuleInfo clientInfo,
Guid requestId,
MDSRequestType requestType,
NamedValueSet requestParams,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
// process request parameters
RequestProperties requestProperties = ProcessRequestParams(requestParams);
// process the asset/quote lists to produce 1 or more instrument/field matrices
RequestContext requestContext = ConvertStandardAssetQuotesToProviderInstrFieldCodes(requestType, standardQuotedAssetSet);
// process the instr/field code sets
var results = new List <BasicAssetValuation>();
foreach (ProviderInstrFieldCodeSet instrFieldCodeSet in requestContext.ProviderInstrFieldCodeSets)
{
var providerResults = new Dictionary <string, BasicQuotation>();
// simulated reply
var rng = new Random();
//List<BasicAssetValuation> results = new List<BasicAssetValuation>();
foreach (string t in instrFieldCodeSet.InstrumentIds)
{
var quote = new BasicAssetValuation
{
objectReference =
new AnyAssetReference {
href = t
},
quote = new BasicQuotation[instrFieldCodeSet.FieldNames.Count]
};
foreach (string t1 in instrFieldCodeSet.FieldNames)
{
var providerQuote = new BasicQuotation
{
measureType =
new AssetMeasureType
{
Value = AssetMeasureEnum.MarketQuote.ToString()
},
quoteUnits =
new PriceQuoteUnits
{
Value = PriceQuoteUnitsEnum.Rate.ToString()
},
value = Convert.ToDecimal(rng.NextDouble() * 10.0),
valueSpecified = true
};
// field value
// simulator returns a random decimal value
// field done
string providerQuoteKey = FormatProviderQuoteKey(t, t1);
providerResults[providerQuoteKey] = providerQuote;
}
}
// process provider results
//Dictionary<string, BasicQuotation> providerResults = BuildProviderResultsIndex(pages);
results.AddRange(ConvertProviderResultsToStandardValuations(providerResults, requestContext));
}
return(new MDSResult <QuotedAssetSet>
{
Result = new QuotedAssetSet {
assetQuote = results.ToArray()
}
});
}
public MDSResult <QuotedAssetSet> RequestPricingStructure(IModuleInfo clientInfo, Guid requestId, NamedValueSet requestParams, MDSRequestType requestType, DateTimeOffset subsExpires, NamedValueSet structureParams)
{
Logger.LogDebug("{0}.RequestPricingStructure", GetType().Name);
Logger.LogDebug(" Inputs:");
Logger.LogDebug(" Request Id : {0}", requestId);
Logger.LogDebug(" Request Type: {0}", requestType);
Logger.LogDebug(" Curve params: {0}", structureParams.Serialise());
Logger.LogDebug(" Other params: {0}", requestParams.Serialise());
return(OnRequestPricingStructure(
clientInfo, requestId, requestType, requestParams, subsExpires, structureParams));
}
protected RequestContext ConvertStandardAssetQuotesToProviderInstrFieldCodes(
MDSRequestType requestType,
QuotedAssetSet standardQuotedAssetSet)
{
// extract assets/quotes that require market quotes
var standardAssets = new List <Asset>();
var standardQuotes = new List <BasicQuotation>();
{
// build a request/response map (indexed by instrument id)
var instrumentMap = new Dictionary <string, Asset>();
//List<Pair<Asset, BasicQuotation>> completeAssetQuotes = new List<Pair<Asset, BasicQuotation>>();
foreach (Asset asset in standardQuotedAssetSet.instrumentSet.Items)
{
instrumentMap[asset.id.ToLower()] = asset;
}
foreach (BasicAssetValuation quoteInstr in standardQuotedAssetSet.assetQuote)
{
string instrId = quoteInstr.objectReference.href;
if (!instrumentMap.TryGetValue(instrId.ToLower(), out var asset))
{
throw new ApplicationException($"Cannot find instrument '{instrId}' for assetQuote");
}
foreach (BasicQuotation quoteField in quoteInstr.quote)
{
if (quoteField.valueSpecified)
{
// value provided - don't get from market
//completeAssetQuotes.Add(new Pair<Asset, BasicQuotation>(asset, quoteField));
}
else
{
// value not supplied - get from market
BasicQuotation quote = BasicQuotationHelper.Clone(quoteField);
standardAssets.Add(asset);
standardQuotes.Add(quote);
}
}
}
}
var requestItems = new List <RequestItem>();
var instrConversionMap = new Dictionary <string, string>();
var instrUniquenessMap = new Dictionary <string, string>();
var internalInstrIds = new List <string>();
var fieldConversionMap = new Dictionary <string, string>();
var fieldUniquenessMap = new Dictionary <string, string>();
var internalFieldIds = new List <string>();
Logger.LogDebug(" Mappings :");
for (int i = 0; i < standardAssets.Count; i++)
{
// map asset to provider instrument id
Asset standardAsset = standardAssets[i];
string internalInstrId = standardAsset.id;
internalInstrIds.Add(internalInstrId);
string providerInstrId = _marketDataMap.Convert(
MDSDictionaryType.Instrument, requestType,
MDSProviderId.GlobalIB, ProviderId, internalInstrId,
ConvertFailMode.ThrowException);
// update 1-way map
instrConversionMap[internalInstrId.ToLower()] = providerInstrId;
instrUniquenessMap[providerInstrId.ToLower()] = providerInstrId;
// map quote to provider field name
BasicQuotation standardQuote = standardQuotes[i];
string internalFieldId = standardQuote.GetStandardFieldName();
internalFieldIds.Add(internalFieldId);
string providerFieldId = _marketDataMap.Convert(
MDSDictionaryType.FieldName, requestType,
MDSProviderId.GlobalIB, ProviderId, internalFieldId,
ConvertFailMode.ThrowException);
// update 1-way map
fieldConversionMap[internalFieldId.ToLower()] = providerFieldId;
fieldUniquenessMap[providerFieldId.ToLower()] = providerFieldId;
// get provider units
string providerUnitsId = _marketDataMap.Convert(
MDSDictionaryType.QuoteUnits, requestType,
MDSProviderId.GlobalIB, ProviderId, String.Format("{0}/{1}", internalInstrId, internalFieldId),
ConvertFailMode.ThrowException);
var requestItem = new RequestItem
{
StandardAsset = standardAsset,
StandardQuote = standardQuote,
StandardUnits = PriceQuoteUnitsScheme.ParseEnumString(standardQuote.quoteUnits.Value),
ProviderInstrumentId = providerInstrId,
ProviderFieldName = providerFieldId,
ProviderUnits = PriceQuoteUnitsScheme.ParseEnumString(providerUnitsId)
};
requestItems.Add(requestItem);
// debug
Logger.LogDebug(" [{0}] '{1}/{2}' ({3}) --> '{4}/{5}' ({6})", i,
internalInstrIds[i], internalFieldIds[i], standardQuote.quoteUnits.Value,
instrConversionMap[internalInstrIds[i].ToLower()], fieldConversionMap[internalFieldIds[i].ToLower()], providerUnitsId);
// end debug
}
var providerInstrIds = new List <string>(instrUniquenessMap.Values);
var providerFieldIds = new List <string>(fieldUniquenessMap.Values);
// build provider instr/field code sets - todo - for now just build 1
var results = new List <ProviderInstrFieldCodeSet>();
var result = new ProviderInstrFieldCodeSet(providerInstrIds, providerFieldIds);
results.Add(result);
return(new RequestContext
{
RequestItems = requestItems,
ProviderInstrFieldCodeSets = results,
InstrConversionMap = instrConversionMap,
FieldConversionMap = fieldConversionMap
});
}
public string Convert(
MDSDictionaryType dictType, MDSRequestType requestType,
MDSProviderId sourceProvider, MDSProviderId targetProvider,
string sourceValue, ConvertFailMode failMode)
{
// method:
// 1. check for cached result
// 2. find relevant maps (by dicttype, reqtype, assettype, source, target)
// 3. process maps in priority order until hit, fail if no hit
// 4. save outbound and inbound results in cache
if (dictType == MDSDictionaryType.Undefined)
{
throw new ArgumentNullException(nameof(dictType));
}
if (requestType == MDSRequestType.Undefined)
{
throw new ArgumentNullException(nameof(requestType));
}
//if (assetType == MDSAssetType.Undefined)
// throw new ArgumentNullException("assetType");
if (sourceProvider == MDSProviderId.Undefined)
{
throw new ArgumentNullException(nameof(sourceProvider));
}
if (targetProvider == MDSProviderId.Undefined)
{
throw new ArgumentNullException(nameof(targetProvider));
}
if (sourceValue == null)
{
throw new ArgumentNullException(nameof(sourceValue));
}
sourceValue = sourceValue.Trim().ToUpper();
if (sourceValue == "")
{
throw new ArgumentNullException(nameof(sourceValue));
}
const string cUnknownValue = "[unknown]";
// check for cached result
string forwardKey = GetKey(dictType, requestType, //assetType,
sourceProvider, targetProvider, sourceValue);
lock (_forwardCache)
{
if (_forwardCache.TryGetValue(forwardKey, out var cachedResult))
{
//Logger.LogDebug("Converted {0} {1} '{2}' to {3} '{4}' (via forward cache)",
// sourceProvider.ToString(), dictType.ToString(), sourceValue, targetProvider.ToString(), cachedResult);
return(cachedResult);
}
}
// find relevant maps (by dicttype, reqtype, assettype, source, target)
var maps = new List <MapRule>();
_rules.Locked((rules) =>
{
foreach (var rule in rules)
{
if ((!rule.Disabled) &&
(rule.DictType == MDSDictionaryType.Undefined || (rule.DictType == dictType)) &&
(rule.SourceProvider == MDSProviderId.Undefined || (rule.SourceProvider == sourceProvider)) &&
(rule.TargetProvider == MDSProviderId.Undefined || (rule.TargetProvider == targetProvider))
//&& (rule.AssetIdType == MDSAssetType.Undefined || (rule.AssetIdType == assetType))
&& (rule.RequestType == MDSRequestType.Undefined || (rule.RequestType == requestType)))
{
maps.Add(rule);
}
}
});
// process maps in priority order until hit, fail if no hit
string result = sourceValue;
bool replaced = false;
foreach (var map in maps)
{
Match match = map.Regex.Match(sourceValue);
if (match.Success)
{
result = map.Regex.Replace(sourceValue, map.OutputValue);
replaced = true;
break;
}
}
if (replaced)
{
result = result.Trim().ToUpper();
//_Logger.LogDebug("Converted {0} {1} '{2}' to {3} '{4}' (via mapping rules)",
// sourceProvider.ToString(), dictType.ToString(), sourceValue, targetProvider.ToString(), result);
// update forward and reverse caches
UpdateForwardCache(forwardKey, result);
string reverseKey = GetKey(dictType, requestType, //assetType,
targetProvider, sourceProvider, result);
UpdateReverseCache(reverseKey, sourceValue);
}
else
{
// no replacement rules - try the reverse cache
string cachedResult;
bool foundInReverseCache;
lock (_reverseCache)
{
foundInReverseCache = _reverseCache.TryGetValue(forwardKey, out cachedResult);
}
if (foundInReverseCache)
{
_logger.LogDebug("Converted {0} {1} '{2}' to {3} '{4}' (via reverse cache)",
sourceProvider.ToString(), dictType.ToString(), sourceValue, targetProvider.ToString(), cachedResult);
// update forward cache
UpdateForwardCache(forwardKey, cachedResult);
return(cachedResult);
}
// exhausted all conversion options
_logger.LogWarning("Cannot convert {0} {1} '{2}' to {3} (no matching map found)",
sourceProvider.ToString(), dictType.ToString(), sourceValue, targetProvider.ToString());
switch (failMode)
{
case ConvertFailMode.PassThrough:
result = sourceValue;
break;
case ConvertFailMode.ReturnNull:
result = null;
break;
case ConvertFailMode.ReturnUnknown:
result = cUnknownValue;
break;
default:
throw new ApplicationException(
String.Format("Cannot convert {0} {1} '{2}' to {3} ",
sourceProvider.ToString(), dictType.ToString(), sourceValue, targetProvider.ToString()));
}
}
return(result);
}
private MDSResult <QuotedAssetSet> RunBloombergRequest(
IModuleInfo clientInfo,
Guid requestId,
NamedValueSet requestParams,
MDSRequestType requestType,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
// process request parameters
//BloombergRequestProps requestProps = ProcessRequestParams(requestParams);
// process the asset/quote lists to produce 1 or more instrument/field matrices
RequestContext requestContext = ConvertStandardAssetQuotesToProviderInstrFieldCodes(requestType, standardQuotedAssetSet);
// process the instr/field code sets
var results = new List <BasicAssetValuation>();
foreach (ProviderInstrFieldCodeSet instrFieldCodeSet in requestContext.ProviderInstrFieldCodeSets)
{
Request req;
switch (requestType)
{
case MDSRequestType.Current:
req = new RequestForStatic {
SubscriptionMode = SubscriptionMode.ByRequest
};
break;
case MDSRequestType.History:
req = new RequestForHistory {
SubscriptionMode = SubscriptionMode.ByRequest
};
throw new NotImplementedException("dataRequestType=History");
case MDSRequestType.Realtime:
req = new RequestForRealtime {
SubscriptionMode = SubscriptionMode.ByField
};
break;
default:
throw new NotSupportedException("dataRequestType");
}
// process request parameters
//BloombergRequestProps requestProps = ProcessRequestParams(requestParams);
// Multi-user mode logon check required. Note: some clients have exemptions:
// - unit test clients
// - server mode apps (eg. CurveGenerator)
// Exempted clients must never forward any market data, only derived data.
Logger.LogDebug(" Identity : {0} ({1})", clientInfo.Name, clientInfo.UserFullName);
Logger.LogDebug(" Application: {0} V{1}/{2} ({3}/{4})", clientInfo.ApplName, clientInfo.ApplNVer, clientInfo.ApplFVer, clientInfo.ApplPTok, clientInfo.ApplHash);
Logger.LogDebug(" Core Client: {0} V{1}/{2} ({3}/{4})", clientInfo.CoreName, clientInfo.CoreNVer, clientInfo.CoreFVer, clientInfo.CorePTok, clientInfo.CoreHash);
Logger.LogDebug(" Client Env.: {0} ({1} build)", clientInfo.ConfigEnv, clientInfo.BuildEnv);
Logger.LogDebug(" Addresses : {0} ({1},{2})", clientInfo.HostName, clientInfo.HostIpV4, String.Join(",", clientInfo.NetAddrs));
// exemption list - todo - move to database
//var exemptions = new List<ExemptClient>
// {
// new ExemptClient() {ConfigEnv = EnvId.DEV_Development, AssmName = "TestMds"},
// new ExemptClient() {ConfigEnv = EnvId.DEV_Development, AssmName = "TestWebMdc"},
// new ExemptClient() {AssmName = "nab.QDS.Workflow.CurveGeneration"}
// };
// - dev apps
// - all environments
//bool serverMode = IsExempt(clientInfo, exemptions.ToArray());
var sapiLicense = new ServerApiLicense();
if (true) // (serverMode)
{
Logger.LogDebug("Server-mode: client logon check skipped.");
sapiLicense.CustomerAlias = "";
sapiLicense.UUID = 0;
sapiLicense.SID = 0;
sapiLicense.SIDInstance = 0;
sapiLicense.TerminalSID = 0;
sapiLicense.TerminalSIDInstance = 0;
}
//else
//{
// _Logger.LogDebug("Multi-user-mode: logon check required.");
// sapiLicense.CustomerAlias = requestParams.GetValue<string>(MdpConfigName.Bloomberg_CustName, "unknown");
// sapiLicense.UUID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_UUID, 0);
// sapiLicense.SID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_SID, 0);
// sapiLicense.SIDInstance = requestParams.GetValue<int>(MdpConfigName.Bloomberg_SidN, 0);
// sapiLicense.TerminalSID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_TSID, 0);
// sapiLicense.TerminalSIDInstance = requestParams.GetValue<int>(MdpConfigName.Bloomberg_TSidN, 0);
// IPAddress ipAddress = IPAddress.Parse(clientInfo.HostIpV4);
// TerminalMonitor.LogonStatus logonStatus
// = TerminalMonitor.Instance.GetLogonStatus(sapiLicense, ipAddress, 5000);
// if (logonStatus != TerminalMonitor.LogonStatus.LoggedOn)
// throw new ApplicationException(String.Format(
// "Bloomberg user (uuid={0}) is not logged on at terminal ({1})", sapiLicense.UUID, ipAddress));
//}
req.License = sapiLicense;
// load instrument ids
foreach (string instrId in instrFieldCodeSet.InstrumentIds)
{
req.Securities.Add(instrId);
}
// load field names
foreach (string fieldName in instrFieldCodeSet.FieldNames)
{
req.Fields.Add(MarketDataAdapter.FieldTable[fieldName]);
}
// call Bloomberg
if (requestType == MDSRequestType.Realtime)
{
// realtime requests
MarketDataAdapter.SendRequest(req);
// save subsmap
lock (SubsMapExternal)
{
var subsMap = new RealtimeRequestMap(
requestId, req.RequestId.ToString(), requestParams, subsExpires, requestContext);
SubsMapExternal.Add(req.RequestId, subsMap);
}
Logger.LogDebug("[Sent][ReqId={0}][SubsId={1}]", req.RequestId, requestId);
return(null);
}
// snapshot (non-realtime) requests
Reply reply = MarketDataAdapter.SynchronousRequest(req, 30000);
// check for errors
if (reply == null)
{
throw new ApplicationException(
String.Format("SynchronousRequest() returned null!"));
}
if (reply.ReplyError != null)
{
throw new ApplicationException(
$"SynchronousRequest() failed: {reply.ReplyError.DisplayName}: {reply.ReplyError.Description}");
}
// process provider results
Dictionary <string, BasicQuotation> providerResults = BuildProviderResultsIndex(reply);
results.AddRange(ConvertProviderResultsToStandardValuations(providerResults, requestContext));
} // foreach request page
return(new MDSResult <QuotedAssetSet>
{
Result = new QuotedAssetSet {
assetQuote = results.ToArray()
}
});
}