private void button1_Click(object sender, EventArgs e)
{
securityList1 = ConfigurationManager.AppSettings["securities1"].Split(',').Select(s => s.Trim()).ToArray();
securityList2 = ConfigurationManager.AppSettings["securities2"].Split(',').Select(s => s.Trim()).ToArray();
currencyList1 = ConfigurationManager.AppSettings["currencies1"].Split(',').Select(s => s.Trim()).ToArray();
currencyList2 = ConfigurationManager.AppSettings["currencies2"].Split(',').Select(s => s.Trim()).ToArray();
baseCurrency = ConfigurationManager.AppSettings["baseCurrency"];
sendTransactions = Convert.ToBoolean(ConfigurationManager.AppSettings["sendTransaction"]);
tc = new TransactionComputer
(securityList1, securityList2, currencyList1, currencyList2, baseCurrency);
ts = new TransactionSender();
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "localhost";
sessionOptions.ServerPort = 8194;
Session session = new Session(sessionOptions, new EventHandler(ProcessEvent));
session.StartAsync();
//Invoke(new Action(() => richTextBox1.AppendText("moi\n");
Invoke(new Action(() => richTextBox1.AppendText("end\n")));
}
private void ProcessEvent(Event evt, Session session)
{
Invoke(new Action(() => richTextBox1.AppendText("ProcessEvent(Event, Session)\n")));
List<string> _fields;
_fields = new List<String>();
_fields.Add("LAST_PRICE");
_fields.Add("BEST_BID1");
_fields.Add("BEST_ASK1");
_fields.Add("BEST_BID1_SZ");
_fields.Add("BEST_ASK1_SZ");
switch (evt.Type)
{
case Event.EventType.SESSION_STATUS: //use this to open the service
foreach (Bloomberglp.Blpapi.Message message in evt.GetMessages())
{
if (message.MessageType.Equals("SessionStarted"))
{
try
{
session.OpenServiceAsync("//blp/mktdata", new CorrelationID(-9999));
Invoke(new Action(() => richTextBox1.AppendText("Session opened\n")));
}
catch (Exception)
{
Invoke(new Action(() => richTextBox1.AppendText("Could not open //blp/mktdata for async\n")));
}
}
}
break;
case Event.EventType.SERVICE_STATUS: //use this to subscribe to ticker feeds
List<Subscription> slist = new List<Subscription>();
//Conflate the data to show every two seconds.
// Please note that the Bloomberg API Emulator code does not treat this exactly correct: individual subscriptions should each have their own interval setting.
// I have not coded that in the emulator.
List<string> options = new string[] { "interval=2" }.ToList(); //2 seconds. //Comment this line to receive a subscription data event whenever it happens in the market.
//uncomment the following line to see what a request for a nonexistent security looks like
//slist.Add(new Subscription("ZYZZ US EQUITY", MarketDataRequest._fields, options));
// My code treats all securities that start with a 'Z' as a nonexistent security
foreach (string security in securityList1)
{
Invoke(new Action(() =>
richTextBox1.AppendText
(string.Format("ADDING {0} TO SUBSCRIPTIONS\n",
security))));
slist.Add(new Subscription(security, _fields, options));
}
foreach (string security in securityList2)
{
Invoke(new Action(() =>
richTextBox1.AppendText
(string.Format("ADDING {0} TO SUBSCRIPTIONS\n",
security))));
slist.Add(new Subscription(security, _fields, options));
}
Invoke(new Action(() => richTextBox1.AppendText("added securities\n")));
foreach (string currency in currencyList1)
{
if (currency == baseCurrency) { continue; }
string currencyID = currency + baseCurrency + " Curncy";
Invoke(new Action(() =>
richTextBox1.AppendText
(string.Format("ADDING {0} TO SUBSCRIPTIONS\n",
currencyID))));
slist.Add(new Subscription(currencyID, _fields, options));
}
foreach (string currency in currencyList2)
{
if (currency == baseCurrency) { continue; }
string currencyID = currency + baseCurrency + " Curncy";
Invoke(new Action(() =>
richTextBox1.AppendText
(string.Format("ADDING {0} TO SUBSCRIPTIONS\n",
currencyID))));
slist.Add(new Subscription(currencyID, _fields, options));
}
Invoke(new Action(() => richTextBox1.AppendText("added currencies\n")));
//slist.Add(new Subscription("SPY US EQUITY", _fields, options));
//slist.Add(new Subscription("AAPL 150117C00600000 EQUITY", _fields, options));
session.Subscribe(slist);
break;
case Event.EventType.SUBSCRIPTION_DATA:
case Event.EventType.RESPONSE:
case Event.EventType.PARTIAL_RESPONSE:
ProcessEvent(evt, _fields);
break;
case Event.EventType.SUBSCRIPTION_STATUS:
foreach (var msg in evt.GetMessages())
{
bool fieldExceptionsExist = msg.MessageType.ToString() == "SubscriptionStarted" && msg.HasElement("exceptions", true);
bool securityError = msg.MessageType.ToString() == "SubscriptionFailure" && msg.HasElement("reason", true);
if (fieldExceptionsExist)
{
Element elmExceptions = msg["exceptions"];
for (int i = 0; i < elmExceptions.NumValues; i++)
{
Element elmException = elmExceptions.GetValueAsElement(i);
string fieldId = elmException.GetElementAsString("fieldId");
Element elmReason = elmException["reason"];
string source = elmReason.GetElementAsString("source");
//int errorCode = elmReason.GetElementAsInt32("errorCode");
string category = elmReason.GetElementAsString("category");
string description = elmReason.GetElementAsString("description");
Invoke(new Action(() => richTextBox1.AppendText("field error: ")));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tfieldId = {0}", fieldId))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tsource = {0}", source))));
//Invoke(new Action(() => richTextBox1.AppendText(string.Format("\terrorCode = {0}", errorCode))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tcategory = {0}", category))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tdescription = {0}", description))));
}
}
else if (securityError)
{
string security = msg.TopicName;
Element elmReason = msg["reason"];
string source = elmReason.GetElementAsString("source");
int errorCode = elmReason.GetElementAsInt32("errorCode");
string category = elmReason.GetElementAsString("category");
string description = elmReason.GetElementAsString("description");
Invoke(new Action(() => richTextBox1.AppendText("security not found: ")));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tsecurity = {0}", security))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tsource = {0}", source))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\terrorCode = {0}", errorCode))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tcategory = {0}", category))));
Invoke(new Action(() => richTextBox1.AppendText(string.Format("\tdescription = {0}", description))));
}
}
break;
default:
foreach (var msg in evt.GetMessages())
{
Invoke(new Action(() => richTextBox1.AppendText(msg.ToString())));
}
break;
}
}
private void button1_Click(object sender, EventArgs e)
{
Lgr.Start();
int _securities;
try
{
_securities = get_Securities();
}
catch (CsvHelper.CsvMissingFieldException)
{
Invoke(new Action(() => richTextBox1.AppendText("Malformed securities.csv.\nSee that the header line is security1,security2,currency1,currency2,security1scale,security2scale,arbidir\n")));
return;
}
catch (System.IO.FileNotFoundException)
{
Invoke(new Action(() => richTextBox1.AppendText("Could not find securities.csv\n")));
return;
}
Invoke(new Action(() => richTextBox1.AppendText(String.Format("Found {0} securities\n", _securities))));
if (_securities == 0)
{
Invoke(new Action(() => richTextBox1.AppendText("No valid securities found. Not starting.\n")));
return;
}
baseCurrency = ConfigurationManager.AppSettings["baseCurrency"];
profitThresholdEur = Convert.ToInt32(ConfigurationManager.AppSettings["profitThresholdEur"]);
sendTransactions = Convert.ToBoolean(ConfigurationManager.AppSettings["sendTransaction"]);
tc = new TransactionComputer
(securityList1, securityList2,
currencyList1, currencyList2,
securityScale1, securityScale2,
baseCurrency, profitThresholdEur);
ts = new TransactionSender();
if (running == false)
{
running = true;
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "localhost";
sessionOptions.ServerPort = 8194;
//pullInitial(sessionOptions);
sessionCurr = new Session(sessionOptions, new EventHandler(ProcessEventCurr));
sessionCurr.StartAsync();
sessionSec = new Session(sessionOptions, new EventHandler(ProcessEventSec));
sessionSec.StartAsync();
Invoke(new Action(() => richTextBox1.AppendText("started\n")));
this.button1.Text = "Stop";
}
else
{
// FIXME: Any danger in stopping, eg. to transactions?
running = false;
sessionCurr.Stop();
sessionSec.Stop();
Invoke(new Action(() => richTextBox1.AppendText("stopped\n")));
this.button1.Text = "Start";
}
}
private void pullInitial(SessionOptions sessionOptions)
{
Session session = new Session(sessionOptions);
if (!session.Start())
{
Invoke(new Action(() => richTextBox1.AppendText("Could not start session 2.")));
}
if (!session.OpenService("//blp/refdata"))
{
Invoke(new Action(() => richTextBox1.AppendText("Could not open service " + "//blp/refdata")));
}
CorrelationID requestID = new CorrelationID(1);
Service refDataSvc = session.GetService("//blp/refdata");
Request request =
refDataSvc.CreateRequest("ReferenceDataRequest");
foreach (string security in securityList1)
{
request.Append("securities", security);
}
foreach (string security in securityList2)
{
request.Append("securities", security);
}
foreach (string currency in currencyList1)
{
if (currency == baseCurrency) { continue; }
string currencyID = currency + baseCurrency + " Curncy";
request.Append("securities", currencyID);
}
foreach (string currency in currencyList2)
{
if (currency == baseCurrency) { continue; }
string currencyID = currency + baseCurrency + " Curncy";
request.Append("securities", currencyID);
}
Invoke(new Action(() => richTextBox1.AppendText("added securities\n")));
List<string> _fields;
_fields = new List<String>();
_fields.Add("LAST_PRICE");
_fields.Add("BEST_BID");
_fields.Add("BEST_ASK");
_fields.Add("BEST_BID1_SZ");
_fields.Add("BEST_ASK1_SZ");
request.Append("fields", "LAST_PRICE");
request.Append("fields", "BEST_BID");
request.Append("fields", "BEST_ASK");
request.Append("fields", "BEST_BID1_SZ");
request.Append("fields", "BEST_ASK1_SZ");
session.SendRequest(request, requestID);
bool continueToLoop = true;
while (continueToLoop)
{
Bloomberglp.Blpapi.Event evt = session.NextEvent();
switch (evt.Type)
{
case Event.EventType.PARTIAL_RESPONSE:
Invoke(new Action(() => richTextBox1.AppendText("partial response\n")));
ProcessEvent(evt, _fields);
break;
case Event.EventType.RESPONSE: // final event
Invoke(new Action(() => richTextBox1.AppendText("final response\n")));
continueToLoop = false; // fall through
break;
}
}
Invoke(new Action(() => richTextBox1.AppendText("-------------- FINISHED INITIAL PULL -------------")));
Invoke(new Action(() => richTextBox1.AppendText("-------------- FINISHED INITIAL PULL -------------")));
Invoke(new Action(() => richTextBox1.AppendText("-------------- FINISHED INITIAL PULL -------------")));
}
private void ProcessEventSec(Event evt, Session session)
{
ProcessEvent(evt, session, "security");
}
private void ProcessEventCurr(Event evt, Session session)
{
ProcessEvent(evt, session, "currency");
}