protected void MarketDataAdapterReplyEvent(Reply reply)
{
// process asynchronous reply
try
{
// check for errors first
if (reply == null)
{
throw new ApplicationException(
String.Format("MarketDataAdapter_ReplyEvent() received null!"));
}
if (reply.ReplyError != null)
{
throw new ApplicationException(
$"MarketDataAdapter_ReplyEvent() failed: {reply.ReplyError.DisplayName}: {reply.ReplyError.Description}");
}
string debugMsg = String.Format("[Received]");
try
{
debugMsg = debugMsg + $"[ReplyType={reply.ReplyType}]";
if (reply.Request != null)
{
debugMsg = debugMsg + $"[ReqId={reply.Request.RequestId}]";
SecuritiesDataCollection securityColl = reply.GetSecurityDataItems();
foreach (SecurityDataItem security in securityColl)
{
debugMsg = debugMsg + $"[{security.Security.Name}]";
debugMsg = security.FieldsData.Cast <FieldDataItem>().Aggregate(debugMsg, (current, dataNodeList) => current +
$"[{dataNodeList.Field.Mnemonic}]");
}
// map Bloomberg requestid to our subsId
RealtimeRequestMap subsMap;
lock (SubsMapExternal)
{
SubsMapExternal.TryGetValue(reply.Request.RequestId, out subsMap);
}
if (subsMap != null)
{
if (DateTimeOffset.Now > subsMap.SubsExpires)
{
MarketDataAdapter.CancelRequest(reply.Request.RequestId);
Logger.LogDebug("[Cancelled][ReqId={1}][SubsId={0}]", subsMap.InternalRequestId, reply.Request.RequestId);
}
Dictionary <string, BasicQuotation> providerResults = BuildProviderResultsIndex(reply);
ConsumerCallback(subsMap.InternalRequestId, new QuotedAssetSet {
assetQuote = Enumerable.ToArray(ConvertProviderResultsToStandardValuations(providerResults, subsMap.RequestContext))
});
}
}
else
{
debugMsg = debugMsg + "[RequestIdUnknown]";
}
}
catch (Exception e)
{
debugMsg = debugMsg + Environment.NewLine + "!!!EXCEPTION!!! " + e.Message;
}
finally
{
Logger.LogDebug(debugMsg);
}
}
catch (Exception ex)
{
Logger.Log(ex);
// don't rethrow
}
}
private MDSResult <QuotedAssetSet> RunBloombergRequest(
IModuleInfo clientInfo,
Guid requestId,
NamedValueSet requestParams,
MDSRequestType requestType,
DateTimeOffset subsExpires,
QuotedAssetSet standardQuotedAssetSet)
{
// process request parameters
//BloombergRequestProps requestProps = ProcessRequestParams(requestParams);
// process the asset/quote lists to produce 1 or more instrument/field matrices
RequestContext requestContext = ConvertStandardAssetQuotesToProviderInstrFieldCodes(requestType, standardQuotedAssetSet);
// process the instr/field code sets
var results = new List <BasicAssetValuation>();
foreach (ProviderInstrFieldCodeSet instrFieldCodeSet in requestContext.ProviderInstrFieldCodeSets)
{
Request req;
switch (requestType)
{
case MDSRequestType.Current:
req = new RequestForStatic {
SubscriptionMode = SubscriptionMode.ByRequest
};
break;
case MDSRequestType.History:
req = new RequestForHistory {
SubscriptionMode = SubscriptionMode.ByRequest
};
throw new NotImplementedException("dataRequestType=History");
case MDSRequestType.Realtime:
req = new RequestForRealtime {
SubscriptionMode = SubscriptionMode.ByField
};
break;
default:
throw new NotSupportedException("dataRequestType");
}
// process request parameters
//BloombergRequestProps requestProps = ProcessRequestParams(requestParams);
// Multi-user mode logon check required. Note: some clients have exemptions:
// - unit test clients
// - server mode apps (eg. CurveGenerator)
// Exempted clients must never forward any market data, only derived data.
Logger.LogDebug(" Identity : {0} ({1})", clientInfo.Name, clientInfo.UserFullName);
Logger.LogDebug(" Application: {0} V{1}/{2} ({3}/{4})", clientInfo.ApplName, clientInfo.ApplNVer, clientInfo.ApplFVer, clientInfo.ApplPTok, clientInfo.ApplHash);
Logger.LogDebug(" Core Client: {0} V{1}/{2} ({3}/{4})", clientInfo.CoreName, clientInfo.CoreNVer, clientInfo.CoreFVer, clientInfo.CorePTok, clientInfo.CoreHash);
Logger.LogDebug(" Client Env.: {0} ({1} build)", clientInfo.ConfigEnv, clientInfo.BuildEnv);
Logger.LogDebug(" Addresses : {0} ({1},{2})", clientInfo.HostName, clientInfo.HostIpV4, String.Join(",", clientInfo.NetAddrs));
// exemption list - todo - move to database
//var exemptions = new List<ExemptClient>
// {
// new ExemptClient() {ConfigEnv = EnvId.DEV_Development, AssmName = "TestMds"},
// new ExemptClient() {ConfigEnv = EnvId.DEV_Development, AssmName = "TestWebMdc"},
// new ExemptClient() {AssmName = "nab.QDS.Workflow.CurveGeneration"}
// };
// - dev apps
// - all environments
//bool serverMode = IsExempt(clientInfo, exemptions.ToArray());
var sapiLicense = new ServerApiLicense();
if (true) // (serverMode)
{
Logger.LogDebug("Server-mode: client logon check skipped.");
sapiLicense.CustomerAlias = "";
sapiLicense.UUID = 0;
sapiLicense.SID = 0;
sapiLicense.SIDInstance = 0;
sapiLicense.TerminalSID = 0;
sapiLicense.TerminalSIDInstance = 0;
}
//else
//{
// _Logger.LogDebug("Multi-user-mode: logon check required.");
// sapiLicense.CustomerAlias = requestParams.GetValue<string>(MdpConfigName.Bloomberg_CustName, "unknown");
// sapiLicense.UUID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_UUID, 0);
// sapiLicense.SID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_SID, 0);
// sapiLicense.SIDInstance = requestParams.GetValue<int>(MdpConfigName.Bloomberg_SidN, 0);
// sapiLicense.TerminalSID = requestParams.GetValue<int>(MdpConfigName.Bloomberg_TSID, 0);
// sapiLicense.TerminalSIDInstance = requestParams.GetValue<int>(MdpConfigName.Bloomberg_TSidN, 0);
// IPAddress ipAddress = IPAddress.Parse(clientInfo.HostIpV4);
// TerminalMonitor.LogonStatus logonStatus
// = TerminalMonitor.Instance.GetLogonStatus(sapiLicense, ipAddress, 5000);
// if (logonStatus != TerminalMonitor.LogonStatus.LoggedOn)
// throw new ApplicationException(String.Format(
// "Bloomberg user (uuid={0}) is not logged on at terminal ({1})", sapiLicense.UUID, ipAddress));
//}
req.License = sapiLicense;
// load instrument ids
foreach (string instrId in instrFieldCodeSet.InstrumentIds)
{
req.Securities.Add(instrId);
}
// load field names
foreach (string fieldName in instrFieldCodeSet.FieldNames)
{
req.Fields.Add(MarketDataAdapter.FieldTable[fieldName]);
}
// call Bloomberg
if (requestType == MDSRequestType.Realtime)
{
// realtime requests
MarketDataAdapter.SendRequest(req);
// save subsmap
lock (SubsMapExternal)
{
var subsMap = new RealtimeRequestMap(
requestId, req.RequestId.ToString(), requestParams, subsExpires, requestContext);
SubsMapExternal.Add(req.RequestId, subsMap);
}
Logger.LogDebug("[Sent][ReqId={0}][SubsId={1}]", req.RequestId, requestId);
return(null);
}
// snapshot (non-realtime) requests
Reply reply = MarketDataAdapter.SynchronousRequest(req, 30000);
// check for errors
if (reply == null)
{
throw new ApplicationException(
String.Format("SynchronousRequest() returned null!"));
}
if (reply.ReplyError != null)
{
throw new ApplicationException(
$"SynchronousRequest() failed: {reply.ReplyError.DisplayName}: {reply.ReplyError.Description}");
}
// process provider results
Dictionary <string, BasicQuotation> providerResults = BuildProviderResultsIndex(reply);
results.AddRange(ConvertProviderResultsToStandardValuations(providerResults, requestContext));
} // foreach request page
return(new MDSResult <QuotedAssetSet>
{
Result = new QuotedAssetSet {
assetQuote = results.ToArray()
}
});
}