/// <summary>
/// Send a request to the BLP API. Called by Query().
/// </summary>
/// <param name="session"></param>
/// <param name="identity"></param>
private void SendRequest(Session session, Identity identity)
{
Console.WriteLine("Sending Request: {0}", d_requestType.ToString());
Service instrumentService = session.GetService(INSTRUMENT_SERVICE);
Request request;
try
{
request = instrumentService.CreateRequest(d_requestType.ToString());
}
catch (NotFoundException e)
{
throw new Exception(
string.Format("Request Type not found: {0}", d_requestType),
e);
}
request.Set(QUERY_ELEMENT, d_queryString);
request.Set(MAX_RESULTS_ELEMENT, d_maxResults);
foreach (KeyValuePair <string, string> entry in d_filters)
{
try
{
request.Set(entry.Key, entry.Value);
}
catch (NotFoundException e)
{
throw new Exception(string.Format("Filter not found: {0}", entry.Key), e);
}
catch (InvalidConversionException e)
{
throw new Exception(
string.Format(
"Invalid value: {0} for filter: {1}",
entry.Value,
entry.Key),
e);
}
}
request.Print(Console.Out);
Console.WriteLine();
session.SendRequest(request, identity, null);
}
public List <String> SearchTicker(String ticker)
{
List <String> listTicker = new List <string>();
// request.AsElement.SetElement("partialMatch", true);
request.AsElement.SetElement("query", ticker);// this plus the previous line permits to retrieve all the thicker that begins with T
request.AsElement.SetElement("languageOverride", "LANG_OVERRIDE_NONE");
request.AsElement.SetElement("maxResults", 10);
session.SendRequest(request, null);
bool done = false;
while (!done)
{
// Grab the next Event object
Event eventObject = session.NextEvent();
// If this event type is Response then process the messages
if (eventObject.Type == Event.EventType.RESPONSE)
{
// Loop over all of the messages in this Event
foreach (Message msg in eventObject.GetMessages())
{
Console.WriteLine(msg);
Element secDataArray = msg.GetElement("results");
for (int index = 0; index < secDataArray.NumValues - 1; index++)
{
Element fieldData = secDataArray.GetValueAsElement(index);
if (fieldData.HasElement("security"))
{
listTicker.Add(fieldData.GetElementAsString("security"));
}
}
}
done = true;
}
}
return(listTicker);
}
public IEnumerable <RefDataItem> GetRefData(IList <string> tickers, IList <string> fields)
{
var req = this.service.CreateRequest("ReferenceDataRequest");
var rsecurities = req.GetElement("securities");
foreach (var tk in tickers)
{
rsecurities.AppendValue(tk.Replace("_", " "));
}
var rfields = req.GetElement("fields");
foreach (var f in fields)
{
rfields.AppendValue(f);
}
session.SendRequest(req, null);
while (true)
{
var e = session.NextEvent();
if (e.Type == Event.EventType.RESPONSE ||
e.Type == Event.EventType.PARTIAL_RESPONSE)
{
foreach (var msg in e)
{
Log("--" + msg.MessageType.ToString());
var securities = msg.GetElement(SECURITY_DATA);
for (int i = 0; i < securities.NumValues; i++)
{
var sec = securities.GetValueAsElement(i);
var tk = sec.GetElementAsString(SECURITY);
if (sec.HasElement("securityError"))
{
Log("Invalid Security: " + tk, InfoLevel.Warn);
continue;
}
var ffs = sec.GetElement(FIELD_DATA);
if (ffs.NumElements > 0)
{
for (int j = 0; j < ffs.NumElements; j++)
{
var fieldData = ffs.GetElement(j);
var fieldName = fieldData.Name.ToString();
var fieldValue = fieldData.GetValueAsString();
Log("---- " + fieldName + ": " + fieldValue);
yield return(new RefDataItem()
{
Security = tk,
Field = fieldName, Value = fieldValue
});
}
}
var ferrs = sec.GetElement(FIELD_EXCEPTIONS);
for (int j = 0; j < ferrs.NumValues; j++)
{
var ferr = ferrs.GetValueAsElement(j);
var ferrName = ferr.GetElementAsString(FIELD_ID);
var ferrInfo = ferr.GetElement(ERROR_INFO)
.GetElementAsString("message");
Log("Field Error for '" + tk +
"': [" + ferrName + "] " + ferrInfo, InfoLevel.Error);
}
}
}
}
//--- this means the complete message is done
if (e.Type == Event.EventType.RESPONSE)
{
yield break;
}
}
}
/// <summary>
/// Gets the Bloomberg data via the specified request type
/// </summary>
/// <param name="instruments">The list of instruments to retrieve data for</param>
/// <param name="dataFromDate">The start date of the data being requested</param>
/// <param name="dataToDate">The end date of the data being requested</param>
/// <param name="requestType">The type of request i.e. Reference/Historical</param>
private void GetBloombergData(List <BloombergDataInstrument> instruments, DateTime dataFromDate, DateTime dataToDate, string requestType)
{
try {
sentLimitEmail = false;
Initialise(BLP_REF, instruments.Count);
BB.Service service = session.GetService(BLP_REF);
guids = new List <Guid>();
sentToBB = instruments; // new List<BloombergDataInstrument>();
ShowCompletionPercentage(0, instruments.Count);
foreach (BloombergDataInstrument bbdi in instruments)
{
BB.Request request = service.CreateRequest(requestType);
if (requestType == BLP_HISTORICAL_REQUEST)
{
request.Set("startDate", dataFromDate.ToString("yyyyMMdd"));
request.Set("endDate", dataToDate.ToString("yyyyMMdd"));
}
BB.Element securities = request.GetElement(BLP_SECURITIES);
// check for sedol ticker which must be in the correct format
string ticker = bbdi.Ticker;
if (ticker.EndsWith("SEDOL1"))
{
ticker = @"/SEDOL1/" + ticker.Replace(" SEDOL1", string.Empty);
}
// set all the securities to fetch
securities.AppendValue(ticker);
// set all the fields
BB.Element fields = request.GetElement(BLP_FIELDS);
foreach (string field in bbdi.BBFields.Keys)
{
fields.AppendValue(field);
// now do the overrides - if they exist
if (bbdi.BBFields[field].FieldOverrides != null)
{
BB.Element requestOverrides = request.GetElement(BLP_OVERRIDES);
foreach (string oField in bbdi.BBFields[field].FieldOverrides.Keys)
{
object oValue = bbdi.BBFields[field].FieldOverrides[oField];
// now add in the override oField and oValue
BB.Element ovr = requestOverrides.AppendElement();
ovr.SetElement(FIELD_ID, oField);
ovr.SetElement(VALUE, oValue.ToString());
}
}
}
session.SendRequest(request, new BB.CorrelationID(bbdi.GUID));
}
UpdateStatus(string.Format("Sent {0} instruments\\requests to Bloomberg", sentToBB.Count));
} catch (Exception ex) {
UpdateStatus(ex.Message);
throw new Exception("An error occurred whilst sending requests to Bloomberg - " + ex.Message, ex);
}
}