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); }