/*****************************************************************************
* Function : processSubscriptionStatus
* Description : Processes subscription status messages returned from Bloomberg
* Arguments : Event, Session
* Returns : void
*****************************************************************************/
private void processSubscriptionStatus(Event eventObj, Session session)
{
System.Console.WriteLine("Processing SUBSCRIPTION_STATUS");
foreach (Message msg in eventObj)
{
string topic = (string)msg.CorrelationID.Object;
System.Console.WriteLine(System.DateTime.Now.ToString("s") +
": " + topic + " - " + msg.MessageType);
if (msg.HasElement(REASON))
{
// This occurs if a bad security is subscribed to
Element reason = msg.GetElement(REASON);
System.Console.WriteLine("\t" +
reason.GetElement(CATEGORY).GetValueAsString() +
": " + reason.GetElement(DESCRIPTION).GetValueAsString());
}
if (msg.HasElement(EXCEPTIONS))
{
// This can occur on SubscriptionStarted if an
// invalid field is passed in
Element exceptions = msg.GetElement(EXCEPTIONS);
for (int i = 0; i < exceptions.NumValues; ++i)
{
Element exInfo = exceptions.GetValueAsElement(i);
Element fieldId = exInfo.GetElement(FIELD_ID);
Element reason = exInfo.GetElement(REASON);
System.Console.WriteLine("\t" + fieldId.GetValueAsString() +
": " + reason.GetElement(CATEGORY).GetValueAsString());
}
}
System.Console.WriteLine("");
}
}
private void GetData(BloombergDataInstrument instrument, BB.Element fields, BB.Element secData)
{
#region security errors
if (secData.HasElement(SECURITY_ERROR))
{
instrument.IsSecurityValid = false;
BB.Element error = secData.GetElement(SECURITY_ERROR);
UpdateStatus(string.Format("Security error for ticker {0} : {1}", instrument.Ticker, error.GetElementAsString(MESSAGE)));
instrument.SecurityErrors += (error.GetElementAsString(MESSAGE) + "; ");
}
#endregion
#region field errors
if (secData.HasElement(FIELD_EXCEPTIONS))
{
instrument.HasFieldErrors = true;
// process error
BB.Element error = secData.GetElement(FIELD_EXCEPTIONS);
for (int errorIndex = 0; errorIndex < error.NumValues; errorIndex++)
{
BB.Element errorException = error.GetValueAsElement(errorIndex);
BB.Element errorInfo = errorException.GetElement(ERROR_INFO);
instrument.BBFields[errorException.GetElementAsString(FIELD_ID)].Error = errorInfo.GetElementAsString(MESSAGE);
instrument.HasFieldErrors = true;
string msg = string.Format("Field error for ticker {0} : Field {1}: {2}",
instrument.Ticker,
errorException.GetElementAsString(FIELD_ID),
errorInfo.GetElementAsString(MESSAGE));
UpdateStatus(msg);
}
}
#endregion
#region get the data
if (instrument.BBFields != null)
{
lock (lockObject) {
foreach (string bbField in instrument.BBFields.Keys.ToList())
{
if (fields.HasElement(bbField))
{
BB.Element item = fields.GetElement(bbField);
if (item.IsArray)
{
instrument.BBFields[bbField].Value = processBulkData(item);
}
else
{
// set the value in the instrument field item
instrument.BBFields[bbField].Value = item.GetValue();
}
}
}
}
}
#endregion
}
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);
}
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();
}
}
}
