public string SpreadContractBbgTicker(BbgSpreadTickerFormation formation_)
{
switch (formation_)
{
case BbgSpreadTickerFormation.BaseYearBaseYear:
return string.Format("{0}{1}{0}{2} {3}", BbgBase, ContractFront, ContractBack, BbgSuffix);
case BbgSpreadTickerFormation.BaseYearYear:
return string.Format("{0}{1}{2} {3}", BbgBase, ContractFront, ContractBack, BbgSuffix);
case BbgSpreadTickerFormation.RBaseYearYear:
return string.Format("R{0}{1}{2} {3}", BbgBase, ContractFront, ContractBack, BbgSuffix);
case BbgSpreadTickerFormation.BaseDashYearBaseDashYear:
return string.Format("{0}-{1}{0}-{2} {3}", BbgBase.Trim(), ContractFront, ContractBack, BbgSuffix);
default:
throw new Exception(string.Format("Need to implement spreadTickerFormation [{0}]", formation_));
}
}
private void subscribeToBbgLive()
{
var gmtStartTime = TimeZoneHelper.ConvertDateTime(DateTime.Now.AddMinutes(-1d).StartOfMinute(), TimeZoneInfo.Local,
TimeZoneInfo.Utc);
// need to subscribe to 3 things, the priorContract, the newContract, and the spread
m_spreadTickerFormation = AttributeHelper.GetSingleAttribute<BbgContractAttribute>(Set).SpreadTickerFormation;
// 1) back contract
{
var ticker = BackContractBloombergTicker();
m_bbgLive_candles_BackContract =
BbgTalk.Core.Instance.GetLiveSecurityBarData(
gmtStartTime_: gmtStartTime,
ticker_: ticker, barWidthInMinutes_: 1);
m_bbgLive_Price_BackContract = BbgTalk.Core.Instance.GetLiveSecurity(securityId_: ticker,
fields_: new[] { BBG_LIVE_FIELD }, intervalInSeconds_: 2d);
subscribeToBackContractCandles();
}
// 2) front contract
{
var ticker = FrontContractBloombergTicker();
m_bbgLive_candles_FrontContract =
BbgTalk.Core.Instance.GetLiveSecurityBarData(
gmtStartTime_: gmtStartTime,
ticker_: ticker, barWidthInMinutes_: 1);
m_bbgLive_Price_FrontContract = BbgTalk.Core.Instance.GetLiveSecurity(securityId_: ticker,
fields_: new[] { BBG_LIVE_FIELD }, intervalInSeconds_: 2d);
subscribeToFrontContractCandles();
subscribeToFrontContractPrice();
}
// 3) spread
{
var ticker = SpreadContractBbgTicker(m_spreadTickerFormation);
m_bbgLive_candles_spread =
BbgTalk.Core.Instance.GetLiveSecurityBarData(
gmtStartTime_: gmtStartTime,
ticker_: ticker, barWidthInMinutes_: 1);
m_bbgLive_Price_Spread = BbgTalk.Core.Instance.GetLiveSecurity(securityId_: ticker,
fields_: new[] { BBG_LIVE_FIELD }, intervalInSeconds_: 2d);
}
subscribeToSpreadContractCandles();
subscribeToSpreadContractPrice();
}
public BbgContractAttribute(string bbgBase_, string bbgSuffix_, BbgSpreadTickerFormation spreadFormation_)
{
BbgBase = bbgBase_;
BbgSuffix = bbgSuffix_;
SpreadTickerFormation = spreadFormation_;
}
