private List <T> ParseResponse()
{
List <T> output = new List <T>();
bool isProcessing = true;
while (isProcessing)
{
BbergAPI.Event response = this.session.NextEvent();
switch (response.Type)
{
case BbergAPI.Event.EventType.PARTIAL_RESPONSE:
output = ParseEvent(response, output); // ----------->> THIS HAS BEEN MODIFIED, PREVIOUS VERSION : ParseEvent_OLD
break;
case BbergAPI.Event.EventType.RESPONSE:
output = ParseEvent(response, output); // ----------->> THIS HAS BEEN MODIFIED, PREVIOUS VERSION : ParseEvent_OLD
isProcessing = false;
break;
default:
break;
}
}
return(output);
}
/// <summary>
/// Process responses from the BLP API.
/// </summary>
/// <param name="session"></param>
private void EventLoop(Session session)
{
bool done = false;
while (!done)
{
Event eventObj = session.NextEvent();
if (eventObj.Type == Event.EventType.PARTIAL_RESPONSE)
{
System.Console.WriteLine("Processing Partial Response");
ProcessResponseEvent(eventObj);
}
else if (eventObj.Type == Event.EventType.RESPONSE)
{
System.Console.WriteLine("Processing Response");
ProcessResponseEvent(eventObj);
done = true;
}
else
{
foreach (Message msg in eventObj)
{
System.Console.WriteLine(msg);
if (eventObj.Type == Event.EventType.SESSION_STATUS)
{
if (msg.MessageType.Equals(SESSION_TERMINATED) ||
msg.MessageType.Equals(SESSION_FAILURE))
{
done = true;
}
}
}
}
}
}
/// <summary>
/// Processes responses from the BLP API. Called by the EventLoop.
/// </summary>
/// <param name="eventObj"></param>
private void ProcessResponseEvent(Event eventObj)
{
foreach (Message msg in eventObj)
{
if (msg.MessageType == ERROR_RESPONSE)
{
String description = msg.GetElementAsString(DESCRIPTION_ELEMENT);
Console.WriteLine("Received error: " + description);
}
else if (msg.MessageType == INSTRUMENT_LIST_RESPONSE)
{
ProcessInstrumentListResponse(msg);
}
else if (msg.MessageType == CURVE_LIST_RESPONSE)
{
ProcessCurveListResponse(msg);
}
else if (msg.MessageType == GOVT_LIST_RESPONSE)
{
ProcessGovtListResponse(msg);
}
else
{
Console.Error.WriteLine("Unknown MessageType received");
}
}
}
private void ProcessAdminMessage(Bloomberglp.Blpapi.Event argvEvent)
{
InterfaceEventArgs tArgs = new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.Error);
// Loop over all of the messages in this Event
foreach (Bloomberglp.Blpapi.Message msg in argvEvent)
{
tArgs.mMsg += msg.ToString();
}
mBbgMsgEvent(this, tArgs);
}
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);
}
/// <summary>
/// Processes the Bloomberg event.
/// </summary>
/// <param name="eventObj">The event obj.</param>
/// <param name="session">The session.</param>
private void processEvent(BB.Event eventObj, BB.Session session)
{
try {
switch (eventObj.Type)
{
case BB.Event.EventType.RESPONSE:
case BB.Event.EventType.PARTIAL_RESPONSE:
processSubscriptionDataEvent(eventObj, session);
break;
default:
processMiscEvents(eventObj, session);
break;
}
} catch (System.Exception e) {
Maple.Logger.Log(e.Message);
Maple.Logger.Log(e.StackTrace);
}
}
private void ProcessSessionStatusChange(Bloomberglp.Blpapi.Event argvEvent)
{
foreach (Bloomberglp.Blpapi.Message msg in argvEvent)
{
mBbgMsgEvent(this, new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.Print, msg.ToString()));
if (msg.MessageType == Bloomberglp.Blpapi.Name.FindName("SessionTerminated") || msg.MessageType == Bloomberglp.Blpapi.Name.FindName("SessionConnectionDown"))
{
isSessionRunning = false;
mBbgMsgEvent(this, new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.LoginFail, msg.ToString()));
this.ShutDown();
}
if (msg.MessageType == Bloomberglp.Blpapi.Name.FindName("SessionStarted"))
{
isSessionRunning = true;
mBbgMsgEvent(this, new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.LoginSuccess, "LoginSuccess"));
}
}
}
private void ProcessRequestResponse(Bloomberglp.Blpapi.Event argvEvent)
{
// Loop over all of the messages in this Event
foreach (Bloomberglp.Blpapi.Message tMsg in argvEvent)
{
Bloomberglp.Blpapi.Element tElementMsg = tMsg.AsElement;
System.Data.DataTable tResponseErrorTable = this.ExtractValueByName(tElementMsg, mRequestResponseErrorAttributes);
if (tResponseErrorTable.Rows.Count > 0)
{
string tErrorMsg = "Message Type: " + tMsg.MessageType.ToString() + Environment.NewLine;
for (int i = 0; i < tResponseErrorTable.Rows.Count; i++)
{
tErrorMsg += "Error Message: " + tResponseErrorTable.Rows[i]["MESSAGE"] + ", Category: " + tResponseErrorTable.Rows[i]["SUBCATEGORY"] + Environment.NewLine;
}
InterfaceEventArgs tEventArgvs = new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.Error, tErrorMsg);
mBbgMsgEvent(this, tEventArgvs);
}
if (tMsg.MessageType.Equals(new Bloomberglp.Blpapi.Name("HistoricalDataResponse")))
{
this.ProcessHistoricalDataResponse(tMsg);
}
else if (tMsg.MessageType.Equals(new Bloomberglp.Blpapi.Name("IntradayTickResponse")))
{
this.ProcessIntradayTickResponse(tMsg);
}
else if (tMsg.MessageType.Equals(new Bloomberglp.Blpapi.Name("IntradayBarResponse")))
{
this.ProcessIntradayBarResponse(tMsg);
}
else if (tMsg.MessageType.Equals(new Bloomberglp.Blpapi.Name("ReferenceDataResponse")))
{
this.ProcessReferenceDataResponse(tMsg);
}
else
{
mBbgMsgEvent(this, new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.Print, tMsg.ToString()));
}
}
}
private void ProcessSubscriptionStatus(Bloomberglp.Blpapi.Event argEvent)
{
foreach (Bloomberglp.Blpapi.Message tMsg in argEvent)
{
foreach (CorrelationID tId in tMsg.CorrelationIDs)
{
if (tMsg.MessageType.ToString() == "SubscriptionFailure")
{
string tTicker = string.Empty;
if (mSubscriptionByCorrelationId.ContainsKey(tId.Value))
{
tTicker = mSubscriptionByCorrelationId[tId.Value].mTicker;
}
InterfaceEventArgs tArgs = new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.Error);
tArgs.mMsg = "SubscriptionFailure: Ticker '" + tTicker + "'";
mBbgMsgEvent(this, tArgs);
}
}
}
}
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 void ProcessSubscriptionData(Bloomberglp.Blpapi.Event argEvent)
{
foreach (Bloomberglp.Blpapi.Message tMsg in argEvent)
{
Bloomberglp.Blpapi.Element tElementMsg = tMsg.AsElement;
string[] tTargetAttributes = mSubscriptionByCorrelationId[tMsg.CorrelationID.Value].GetFieldList();
System.Data.DataTable tExtractedValues = this.ExtractValueByName(tElementMsg, tTargetAttributes);
System.Data.DataColumn tNewColumn = new System.Data.DataColumn("SECURITY");
tNewColumn.DefaultValue = tMsg.TopicName;
tExtractedValues.Columns.Add(tNewColumn);
tNewColumn.SetOrdinal(0);
//mOutput.PrintDataTable(tExtractedValues);
if (tExtractedValues.Rows.Count == 1)
{
mMarketData[tMsg.CorrelationID.Value].UpdateMarketData(tExtractedValues);
InterfaceEventArgs tArgs = new InterfaceEventArgs(InterfaceEventArgs.xBbgMsgType.SubscriptionResponse);
tArgs.mCorrelationId = tMsg.CorrelationID.Value;
tArgs.mData = tExtractedValues;
mBbgMsgEvent(this, tArgs);
}
}
}
/*****************************************************************************
* Function : processEvent
* Description : Processes session events
* Arguments : Event, Session
* Returns : void
*****************************************************************************/
public void processEvent(Event eventObj, Session session)
{
try
{
switch (eventObj.Type)
{
case Event.EventType.SUBSCRIPTION_DATA:
processSubscriptionDataEvent(eventObj, session);
break;
case Event.EventType.SUBSCRIPTION_STATUS:
processSubscriptionStatus(eventObj, session);
break;
default:
processMiscEvents(eventObj, session);
break;
}
}
catch (System.Exception e)
{
System.Console.WriteLine(e.ToString());
}
}
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();
}
}
}
/// <summary>
/// Processes misc Bloomberg events.
/// </summary>
/// <param name="eventObj">The event obj.</param>
/// <param name="session">The session.</param>
private void processMiscEvents(BB.Event eventObj, BB.Session session)
{
foreach (BB.Message msg in eventObj.GetMessages())
{
UpdateStatus(msg.MessageType.ToString());
switch (msg.MessageType.ToString())
{
case "SessionStarted":
break;
case "SessionTerminated":
case "SessionStopped":
break;
case "ServiceOpened":
break;
case "RequestFailure":
UpdateStatus("*** REQUEST FAILURE ***");
BB.Element reason = msg.GetElement(REASON);
string reasonText = string.Format("Error: Source-[{0}], Code-[{1}], Category-[{2}], Desc-[{3}]",
reason.GetElementAsString(SOURCE),
reason.GetElementAsString(ERROR_CODE),
reason.GetElementAsString(CATEGORY),
reason.GetElementAsString(DESCRIPTION));
UpdateStatus(reasonText);
UpdateStatus("Error message body : " + msg.ToString());
bool hasGUID = false;
bool hasResponseError = false;
try {
Guid reqGUID = (Guid)msg.CorrelationID.Object;
hasGUID = true;
hasResponseError = msg.HasElement("responseError");
} catch {
hasGUID = false;
hasResponseError = false;
}
if (hasGUID & hasResponseError)
{
UpdateStatus("GUID and responseError found - handling normally");
// has both a GUID and a response error so can be handled normally
processSubscriptionDataEvent(eventObj, session);
}
else if (hasGUID)
{
UpdateStatus("GUID found - updating GUID list.");
Guid reqGUID = (Guid)msg.CorrelationID.Object;
// only has a GUID so add to the list of returned GUIDs
if (!guids.Contains(reqGUID))
{
guids.Add(reqGUID);
}
}
else
{
// ok, email out that a timeout has occurred
Maple.Email email = new Maple.Email();
email.SendEmail(emailErrorsTo,
"Bloomberg Request Failure",
"A RequestFailure response has been returned from Bloomberg." + Environment.NewLine + reasonText + Environment.NewLine + msg.ToString(),
false);
}
break;
default:
UpdateStatus("*** Unhandled Misc Event ***");
break;
}
}
}
/// <summary>
/// Authorize should be called before any requests are sent. Called by init.
/// </summary>
/// <param name="identity"></param>
/// <param name="session"></param>
private static void Authorize(out Identity identity, Session session)
{
identity = session.CreateIdentity();
if (!session.OpenService(AUTH_SERVICE))
{
throw new Exception(
string.Format("Failed to open auth service: {0}",
AUTH_SERVICE));
}
Service authService = session.GetService(AUTH_SERVICE);
EventQueue tokenEventQueue = new EventQueue();
session.GenerateToken(new CorrelationID(tokenEventQueue), tokenEventQueue);
string token = null;
// Generate token responses will come on the dedicated queue. There would be no other
// messages on that queue.
Event eventObj = tokenEventQueue.NextEvent(
Convert.ToInt32(WAIT_TIME.TotalMilliseconds));
if (eventObj.Type == Event.EventType.TOKEN_STATUS ||
eventObj.Type == Event.EventType.REQUEST_STATUS)
{
foreach (Message msg in eventObj)
{
System.Console.WriteLine(msg);
if (msg.MessageType == TOKEN_SUCCESS)
{
token = msg.GetElementAsString(TOKEN_ELEMENT);
}
}
}
if (token == null)
{
throw new Exception("Failed to get token");
}
Request authRequest = authService.CreateAuthorizationRequest();
authRequest.Set(TOKEN_ELEMENT, token);
session.SendAuthorizationRequest(authRequest, identity, null);
TimeSpan ts = WAIT_TIME;
for (DateTime startTime = DateTime.UtcNow;
ts.TotalMilliseconds > 0;
ts = ts - (DateTime.UtcNow - startTime))
{
eventObj = session.NextEvent(Convert.ToInt32(ts.TotalMilliseconds));
// Since no other requests were sent using the session queue, the response can
// only be for the Authorization request
if (eventObj.Type != Event.EventType.RESPONSE &&
eventObj.Type != Event.EventType.PARTIAL_RESPONSE &&
eventObj.Type != Event.EventType.REQUEST_STATUS)
{
continue;
}
foreach (Message msg in eventObj)
{
System.Console.WriteLine(msg);
if (msg.MessageType != AUTHORIZATION_SUCCESS)
{
throw new Exception("Authorization Failed");
}
}
return;
}
throw new Exception("Authorization Failed");
}