public Session(SessionOptions sessionOptions) //for ReferenceData and HistoricalData (sync)
{
this._sessionResponse = SessionResponseType.sync;
this._sessionOptions = sessionOptions;
this._sentRequests = new Queue<Request>();
this._asyncHandler = null;
this._subscriptions = null;
this._marketSimulatorTimer = null;
}
private static List<string> _fields = new string[] { "BID", "ASK"/*, "ZBID"*/ }.ToList(); //the code treats a field that starts with a "Z" as a bad field
#endregion Fields
#region Methods
public static void RunExample()
{
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "localhost";
sessionOptions.ServerPort = 8194;
Session session = new Session(sessionOptions, new EventHandler(MarketDataRequest.ProcessEvent));
session.StartAsync();
}
public Session(SessionOptions sessionOptions, EventHandler handler) //for MarketData (async)
{
this._sessionResponse = SessionResponseType.async;
this._sessionOptions = sessionOptions;
this._sentRequests = null;
this._asyncHandler = handler;
this._subscriptions = new List<Subscription>();
this._marketSimulatorTimer = new Timer(new TimerCallback(this.MarketSimulatorTimerStep), null, (int)TimeSpan.FromSeconds(0).TotalMilliseconds, Timeout.Infinite);
}
public static void RunExample()
{
SessionOptions soptions = new SessionOptions();
soptions.ServerHost = "127.0.0.1";
soptions.ServerPort = 8194;
Session session = new Session(soptions);
if (session.Start() && session.OpenService("//blp/refdata"))
{
Service service = session.GetService("//blp/refdata");
Request request = service.CreateRequest("IntradayBarRequest");
string security = "SPY US EQUITY";
//security = "ZYZZ US EQUITY"; //the code treats securities that start with a "Z" as non-existent
request.Set("security", security); //required
request.Set("eventType", "TRADE"); //optional: TRADE(default), BID, ASK, BID_BEST, ASK_BEST, BEST_BID, BEST_ASK, BID_YIELD, ASK_YIELD, MID_PRICE, AT_TRADE, SETTLE
request.Set("eventType", "BID"); //A request can have multiple eventTypes
//Note 1) BID_YIELD, ASK_YIELD, MID_PRICE, AT_TRADE, and SETTLE don't appear in the API documentation, but you will see them if you call "service.ToString()" using the actual Bloomberg API
//Note 2) If you request an eventType that isn't supported, the API will throw a KeyNotSupportedException at the "request.Set("eventType", "XXX")" line
//Note 3) eventType values are case-sensitive. Requesting "bid" instead of "BID" will throw a KeyNotSupportedException at the "request.Set("eventType", "bid")" line
//data goes back no farther than 140 days (7.2.4)
DateTime dtStart = DateTime.Today.AddDays(-1); //yesterday
request.Set("startDateTime", new Datetime(dtStart.AddHours(9.5).ToUniversalTime())); //Required Datetime, UTC time
request.Set("endDateTime", new Datetime(dtStart.AddHours(16).ToUniversalTime())); //Required Datetime, UTC time
//(Required) Sets the length of each time bar in the response. Entered as a whole number, between 1 and 1440 in minutes.
// One minute is the lowest possible granularity. (despite A.2.8, the interval setting cannot be omitted)
request.Set("interval", 60);
//When set to true, a bar contains the previous bar values if there was no tick during this time interval.
request.Set("gapFillInitialBar", false); //Optional bool. Valid values are true and false (default = false)
//Option on whether to return EIDs for the security.
request.Set("returnEids", false); //Optional bool. Valid values are true and false (default = false)
////Setting this to true will populate fieldData with an extra element containing a name and value for the relative date. For example RELATIVE_DATE = 2002 Q2
//request.Set("returnRelativeDate", false); //Optional bool. Valid values are true and false (default = false)
//Adjust historical pricing to reflect: Regular Cash, Interim, 1st Interim, 2nd Interim, 3rd Interim, 4th Interim, 5th Interim, Income,
// Estimated, Partnership Distribution, Final, Interest on Capital, Distribution, Prorated.
request.Set("adjustmentNormal", false); //Optional bool. Valid values are true and false (default = false)
//Adjust historical pricing to reflect: Special Cash, Liquidation, Capital Gains, Long-Term Capital Gains, Short-Term Capital Gains, Memorial,
// Return of Capital, Rights Redemption, Miscellaneous, Return Premium, Preferred Rights Redemption, Proceeds/Rights, Proceeds/Shares, Proceeds/Warrants.
request.Set("adjustmentAbnormal", false); //Optional bool. Valid values are true and false (default = false)
//Adjust historical pricing and/or volume to reflect: Spin-Offs, Stock Splits/Consolidations, Stock Dividend/Bonus, Rights Offerings/Entitlement.
request.Set("adjustmentSplit", false); //Optional bool. Valid values are true and false (default = false)
//Setting to true will follow the DPDF<GO> BLOOMBERG PROFESSIONAL service function. True is the default setting for this option..
request.Set("adjustmentFollowDPDF", false); //Optional bool. Valid values are true and false (default = false)
session.SendRequest(request, new CorrelationID(-999));
bool continueLoop = true;
while (continueLoop)
{
Event evt = session.NextEvent();
switch (evt.Type)
{
case Event.EventType.RESPONSE:
ProcessResponse(evt, security);
continueLoop = false;
break;
case Event.EventType.PARTIAL_RESPONSE:
ProcessResponse(evt, security);
break;
}
}
}
}
/// <summary>
/// This example Bloomberg request starts a session meant for Reference Requests and requests a few fields for several securities.
/// I pulled this example code almost line-for-line from section C.1 of the Bloomberg API Developer's Guide
/// </summary>
public static void RunExample()
{
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "localhost";
sessionOptions.ServerPort = 8194;
Session session = new Session(sessionOptions);
if (!session.Start())
{
System.Console.WriteLine("Could not start session.");
System.Environment.Exit(1);
}
if (!session.OpenService("//blp/refdata"))
{
System.Console.WriteLine("Could not open service //blp/refdata");
System.Environment.Exit(1);
}
CorrelationID requestID = new CorrelationID(1);
Service refDataSvc = session.GetService("//blp/refdata");
Request request = refDataSvc.CreateRequest("ReferenceDataRequest");
//request information for the following securities
request.Append("securities", "SPY US EQUITY");
//request.Append("securities", "ZYZZ US EQUITY"); //the code treats securities that start with a "Z" as non-existent
request.Append("securities", "MSFT US EQUITY");
request.Append("securities", "AAPL 150117C00600000 EQUITY"); //this is a stock option: TICKER yyMMdd[C/P]\d{8} EQUITY
//include the following simple fields in the result
//request.Append("fields", "ZPX_LAST"); //the code treats a field that starts with a "Z" as a bad field
request.Append("fields", "PX_LAST");
request.Append("fields", "BID");
request.Append("fields", "ASK");
request.Append("fields", "TICKER");
request.Append("fields", "OPT_EXPIRE_DT");
//request a field that can be overriden and returns bulk data
request.Append("fields", "CHAIN_TICKERS");
Element overrides = request["overrides"];
//request only puts
Element ovrdPutCall = overrides.AppendElement();
ovrdPutCall.SetElement("fieldId", "CHAIN_PUT_CALL_TYPE_OVRD");
ovrdPutCall.SetElement("value", "P"); //accepts either "C" for calls or "P" for puts
//request 5 options in the result
Element ovrdNumStrikes = overrides.AppendElement();
ovrdNumStrikes.SetElement("fieldId", "CHAIN_POINTS_OVRD");
ovrdNumStrikes.SetElement("value", 5); //accepts a positive integer
//request options that expire on Dec. 20, 2014
Element ovrdDtExps = overrides.AppendElement();
ovrdDtExps.SetElement("fieldId", "CHAIN_EXP_DT_OVRD");
ovrdDtExps.SetElement("value", "20141220"); //accepts dates in the format yyyyMMdd
session.SendRequest(request, requestID);
bool continueToLoop = true;
while (continueToLoop)
{
Event eventObj = session.NextEvent();
switch (eventObj.Type)
{
case Event.EventType.RESPONSE: // final event
continueToLoop = false;
handleResponseEvent(eventObj);
break;
case Event.EventType.PARTIAL_RESPONSE:
handleResponseEvent(eventObj);
break;
default:
handleOtherEvent(eventObj);
break;
}
}
}
/// <summary>
/// This example Bloomberg request starts a session meant for Reference Requests and requests a few fields for several securities.
/// I pulled this example code almost line-for-line from section C.1 of the Bloomberg API Developer's Guide
/// </summary>
public static void RunExample()
{
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "127.0.0.1";
sessionOptions.ServerPort = 8194;
Session session = new Session(sessionOptions);
session.Start();
session.OpenService("//blp/refdata");
Service refDataService = session.GetService("//blp/refdata");
Request request = refDataService.CreateRequest("IntradayTickRequest");
string security = "SPY US Equity";
//security = "ZYZZ US EQUITY"; //the code treats securities that start with a "Z" as non-existent
request.Set("security", security);
request.Append("eventTypes", "TRADE"); //One of TRADE (default), BID, ASK, BID_BEST, ASK_BEST, MID_PRICE, AT_TRADE, BEST_BID, BEST_ASK (see documentation A.2.6 for explanations)
request.Append("eventTypes", "BID"); //A request can have multiple eventTypes
//Note 1) refDataService.ToString() using the Bloomberg API indicates an additional eventType called "SETTLE". "SETTLE" doesn't seem to produce any results.
//Note 2) If you request an eventType that isn't supported, the API will throw a KeyNotSupportedException at the "request.Append("eventType", "XXX")" line
//Note 3) eventType values are case-sensitive. Requesting "bid" instead of "BID" will throw a KeyNotSupportedException at the "request.Append("eventType", "bid")" line
request.Set("startDateTime", new Datetime(DateTime.Today.AddHours(9.5999).ToUniversalTime()));
request.Set("endDateTime", new Datetime(DateTime.Today.AddHours(9.6).ToUniversalTime())); //goes back at most 140 days (documentation section 7.2.3)
//A comma delimited list of exchange condition codes associated with the event. Review QR<GO> for more information on each code returned.
request.Set("includeConditionCodes", false); //Optional bool. Valid values are true and false (default = false)
//Returns all ticks, including those with condition codes.
request.Set("includeNonPlottableEvents", false); //Optional bool. Valid values are true and false (default = false)
//The exchange code where this tick originated. Review QR<GO> for more information.
request.Set("includeExchangeCodes", false); //Optional bool. Valid values are true and false (default = false)
//Option on whether to return EIDs for the security.
request.Set("returnEids", false); //Optional bool. Valid values are true and false (default = false)
//The broker code for Canadian, Finnish, Mexican, Philippine, and Swedish equities only.
// The Market Maker Lookup screen, MMTK<GO>, displays further information on market makers and their corresponding codes.
request.Set("includeBrokerCodes", false); //Optional bool. Valid values are true and false (default = false)
//The Reporting Party Side. The following values appear:
// -B: A customer transaction where the dealer purchases securities from the customer.
// -S: A customer transaction where the dealer sells securities to the customer.
// -D: An inter-dealer transaction (always from the sell side).
request.Set("includeRpsCodes", false); //Optional bool. Valid values are true and false (default = false)
//The BIC, or Bank Identifier Code, as a 4-character unique identifier for each bank that executed and reported the OTC trade, as required by MiFID.
// BICs are assigned and maintained by SWIFT (Society for Worldwide Interbank Financial Telecommunication).
// The MIC is the Market Identifier Code, and this indicates the venue on which the trade was executed.
request.Set("includeBicMicCodes", false); //Optional bool. Valid values are true and false (default = false)
{
//refDataService.ToString() using the Bloomberg API specifies several boolean overrides that the API documentation doesn't (doc version 2.40). These are:
// forcedDelay, includeSpreadPrice, includeYield, includeActionCodes, includeIndicatorCodes, includeTradeTime, and includeUpfrontPrice
//These overrides are optional. Their meanings may be obvious given their names, but I can't be sure.
request.Set("forcedDelay", false); //Optional bool. Undocumented. default = ???
request.Set("includeSpreadPrice", false); //Optional bool. Undocumented. default = ???
request.Set("includeYield", false); //Optional bool. Undocumented. default = ???
request.Set("includeActionCodes", false); //Optional bool. Undocumented. default = ???
request.Set("includeIndicatorCodes", false); //Optional bool. Undocumented. default = ???
request.Set("includeTradeTime", false); //Optional bool. Undocumented. default = ???
request.Set("includeUpfrontPrice", true); //Optional bool. Undocumented. default = ???
}
CorrelationID corr = new CorrelationID(17);
session.SendRequest(request, corr);
bool continueToLoop = true;
while (continueToLoop)
{
Event evt = session.NextEvent();
switch (evt.Type)
{
case Event.EventType.RESPONSE:
IntradayTickDataRequest.ProcessResponse(evt, security);
continueToLoop = false;
break;
case Event.EventType.PARTIAL_RESPONSE:
IntradayTickDataRequest.ProcessResponse(evt, security);
break;
}
}
}
public static void RunExample()
{
SessionOptions sessionOptions = new SessionOptions();
sessionOptions.ServerHost = "127.0.0.1";
sessionOptions.ServerPort = 8194;
Session session = new Session(sessionOptions);
session.Start();
session.OpenService("//blp/refdata");
Service service = session.GetService("//blp/refdata");
Request request = service.CreateRequest("HistoricalDataRequest");
//request information for the following securities
request.Append("securities", "MSFT US EQUITY");
//request.Append("securities", "ZYZZ US EQUITY"); //the code treats securities that start with a "Z" as non-existent
request.Append("securities", "C A COMDTY");
request.Append("securities", "AAPL 150117C00600000 EQUITY"); //this is a stock option: TICKER yyMMdd[C/P]\d{8} EQUITY
//include the following simple fields in the result
//request.Append("fields", "ZBID"); //the code treats a field that starts with a "Z" as a bad field
request.Append("fields", "BID");
request.Append("fields", "ASK");
//Historical requests allow a few overrides. See the developer's guide A.2.4 for more information.
request.Set("startDate", DateTime.Today.AddMonths(-1).ToString("yyyyMMdd")); //Request that the information start three months ago from today. This override is required.
request.Set("endDate", DateTime.Today.AddDays(10).ToString("yyyyMMdd")); //Request that the information end three days before today. This is an optional override. The default is today.
//Determine the frequency and calendar type of the output. To be used in conjunction with Period Selection.
request.Set("periodicityAdjustment", "CALENDAR"); //Optional string. Valid values are ACTUAL (default), CALENDAR, and FISCAL.
//Determine the frequency of the output. To be used in conjunction with Period Adjustment.
request.Set("periodicitySelection", "DAILY"); //Optional string. Valid values are DAILY (default), WEEKLY, MONTHLY, QUARTERLY, SEMI_ANNUALLY, and YEARLY
//Sets quote to Price or Yield for a debt instrument whose default value is quoted in yield (depending on pricing source).
request.Set("pricingOption", "PRICING_OPTION_PRICE"); //Optional string. Valid values are PRICING_OPTION_PRICE (default) and PRICING_OPTION_YIELD
//Adjust for "change on day"
request.Set("adjustmentNormal", true); //Optional bool. Valid values are true and false (default = false)
//Adjusts for Anormal Cash Dividends
request.Set("adjustmentAbnormal", false); //Optional bool. Valid values are true and false (default = false)
//Capital Changes Defaults
request.Set("adjustmentSplit", true); //Optional bool. Valid values are true and false (default = false)
//The maximum number of data points to return, starting from the startDate
//request.Set("maxDataPoints", 5); //Optional integer. Valid values are positive integers. The default is unspecified in which case the response will have all data points between startDate and endDate
//Indicates whether to use the average or the closing price in quote calculation.
request.Set("overrideOption", "OVERRIDE_OPTION_CLOSE"); //Optional string. Valid values are OVERRIDE_OPTION_GPA for an average and OVERRIDE_OPTION_CLOSE (default) for the closing price
CorrelationID requestID = new CorrelationID(1);
session.SendRequest(request, requestID);
bool continueToLoop = true;
while (continueToLoop)
{
Event eventObj = session.NextEvent();
switch (eventObj.Type)
{
case Event.EventType.RESPONSE: // final event
continueToLoop = false;
handleResponseEvent(eventObj);
break;
case Event.EventType.PARTIAL_RESPONSE:
handleResponseEvent(eventObj);
break;
default:
handleOtherEvent(eventObj);
break;
}
}
}