protected void SetYTMMid(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
YieldToMaturityMid = (double)myElement.GetElementAsFloat64(YTM_MID);
}
catch
{
// Some log ?
skipFields[YTM_MID] += 1;
YieldToMaturityMid = Double.NaN;
}
}
// SET METHODS FOR YTM
/*
#region Set for CDS levels
*
* protected void SetCDS1Y(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* CDS1Y = (double)myElement.GetElementAsFloat64(CDS_1Y);
* }
*
* catch
* {
* // Some log ?
* skipFields[CDS_1Y] += 1;
* CDS1Y = Double.NaN;
* }
*
* }
* protected void SetCDS3Y(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* CDS3Y = (double)myElement.GetElementAsFloat64(CDS_3Y);
* }
*
* catch
* {
* // Some log ?
* skipFields[CDS_3Y] += 1;
* CDS3Y = Double.NaN;
* }
*
* }
* protected void SetCDS5Y(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* CDS5Y = (double)myElement.GetElementAsFloat64(CDS_5Y);
* }
*
* catch
* {
* // Some log ?
* skipFields[CDS_5Y] += 1;
* CDS5Y = Double.NaN;
* }
*
* }
* protected void SetCDS7Y(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* CDS7Y = (double)myElement.GetElementAsFloat64(CDS_7Y);
* }
*
* catch
* {
* // Some log ?
* skipFields[CDS_7Y] += 1;
* CDS7Y = Double.NaN;
* }
*
* }
* protected void SetCDS10Y(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* CDS10Y = (double)myElement.GetElementAsFloat64(CDS_10Y);
* }
*
* catch
* {
* // Some log ?
* skipFields[CDS_10Y] += 1;
* CDS10Y = Double.NaN;
* }
*
* }
*
#endregion
*/
// SET METHODS FOR ASSET SWAP SPREAD
#region Set for CDS levels
/*
* protected void SetAssetSwapSpreadBid(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* AssetSwapSpreadBid = (double)myElement.GetElementAsFloat64(ASW_SPREAD_BID);
* }
*
* catch
* {
* // Some log ?
* skipFields[ASW_SPREAD_BID] += 1;
* AssetSwapSpreadBid = Double.NaN;
* }
*
* }
*
*
* protected void SetAssetSwapSpreadAsk(ref BBCOMM.Element myElement, ref Dictionary<string, int> skipFields)
* {
* try
* {
* AssetSwapSpreadAsk = (double)myElement.GetElementAsFloat64(ASW_SPREAD_ASK);
* }
*
* catch
* {
* // Some log ?
* skipFields[ASW_SPREAD_ASK] += 1;
* AssetSwapSpreadAsk = Double.NaN;
* }
*
* }
*
*/
protected void SetAssetSwapSpreadMid(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
AssetSwapSpreadMid = (double)myElement.GetElementAsFloat64(ASW_SPREAD_MID);
}
catch
{
// Some log ?
skipFields[ASW_SPREAD_MID] += 1;
AssetSwapSpreadMid = Double.NaN;
}
}
protected void SetCleanPxMid(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
CleanPriceMid = (double)myElement.GetElementAsFloat64(CLEAN_PX_MID);
}
catch
{
// Some log ?
skipFields[CLEAN_PX_MID] += 1;
CleanPriceMid = Double.NaN;
}
}
protected void SetDirtyPxMid(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
DirtyPriceMid = (double)myElement.GetElementAsFloat64(DIRTY_PX_MID);
}
catch
{
// Some log ?
skipFields[DIRTY_PX_MID] += 1;
DirtyPriceMid = Double.NaN;
}
}
protected void SetAsk(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Ask = (double)myElement.GetElementAsFloat64(ASK);
}
catch
{
// Some log ?
skipFields[ASK] += 1;
Ask = Double.NaN;
}
}
protected void SetAdjClose(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Volume = (double)myElement.GetElementAsFloat64(VOLUME);
}
catch
{
// Some log ?
skipFields[ADJCLOSE] += 1;
Volume = Double.NaN;
}
}
protected void SetBid(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Bid = (double)myElement.GetElementAsFloat64(BID);
}
catch
{
// Some log ?
skipFields[BID] += 1;
Bid = Double.NaN;
}
}
protected void SetClose(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Close = (double)myElement.GetElementAsFloat64(CLOSE);
}
catch
{
// Some log ?
skipFields[CLOSE] += 1;
Close = Double.NaN;
}
}
protected void SetLow(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Low = (double)myElement.GetElementAsFloat64(LOW);
}
catch
{
// Some log ?
skipFields[LOW] += 1;
Low = Double.NaN;
}
}
protected void SetHigh(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
High = (double)myElement.GetElementAsFloat64(HIGH);
}
catch
{
// Some log ?
skipFields[HIGH] += 1;
High = Double.NaN;
}
}
protected void SetOpen(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
Open = (double)myElement.GetElementAsFloat64(OPEN);
}
catch
{
// Some log ?
skipFields[OPEN] += 1;
Open = Double.NaN;
}
}
protected void SetLast(ref BBCOMM.Element myElement, ref Dictionary <string, int> skipFields)
{
try
{
// Warning : Bloomberg displays interest rates in percentage terms
Last = 0.01 * (double)myElement.GetElementAsFloat64(LAST);
}
catch
{
// Some log ?
skipFields[LAST] += 1;
Last = 0.0;
}
}
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);
}
