CODEWITHSUNDEEP
c#.netbloomberg
Ravinder Singh
Ravinder Singh

Reputation: 117

Bloomberg .Net API - Response Data for Multiple Securities

Assuming that we are sending Bloomberg Historical data request for multiple securities using .Net API, is there any elegant way to separate/identify response data of each security?

I am aware that there is a field sequenceNumber in the response but not sure how it is mapped to each security. My code snippet is given below. 

Service refDataService = session.GetService("//blp/refdata");
Request request = refDataService.CreateRequest("HistoricalDataRequest");
Element securities = request.GetElement("securities");
securities.AppendValue("EURUSD CURNCY");
securities.AppendValue("USDJPY CURNCY");
securities.AppendValue("GBPUSD Curncy");
securities.AppendValue("USDCHF Curncy");

Element fields = request.GetElement("fields");                
fields.AppendValue("OPEN");
fields.AppendValue("HIGH");
fields.AppendValue("LOW");
fields.AppendValue("PX_LAST");

request.Set("periodicityAdjustment", "CALENDAR");  
request.Set("periodicitySelection", "DAILY");
request.Set("startDate", DateTime.Now.AddDays(-30).ToString("yyyyMMdd"));
request.Set("endDate", Convert.ToString(null));

session.SendRequest(request, null);

while (true)
{
Event eventObj = session.NextEvent();
foreach (Message msg in eventObj.GetMessages()) 
{
    if (msg.MessageType.Equals(Name.GetName("HistoricalDataResponse")))
    {
        Element secDataArray = msg.GetElement("securityData");          
        Element securityData = secDataArray.GetElement(3);
        for (int index = 0; index < securityData.NumValues; index++)
        {
            Element fieldData = securityData.GetValueAsElement(index);
            Datetime time = fieldData.GetElementAsDate("date");
            decimal? open = fieldData.HasElement("OPEN") ? Convert.ToDecimal(fieldData.GetElementAsFloat64("OPEN")) : new decimal?();
            decimal? high = fieldData.HasElement("HIGH") ? Convert.ToDecimal(fieldData.GetElementAsFloat64("HIGH")) : new decimal?();
            decimal? low = fieldData.HasElement("LOW") ? Convert.ToDecimal(fieldData.GetElementAsFloat64("LOW")) : new decimal?();
            decimal? close = fieldData.HasElement("PX_LAST") ? Convert.ToDecimal(fieldData.GetElementAsFloat64("PX_LAST")) : new decimal?();
        }
    }
}
}

Upvotes: 5

Views: 7372

Answers (4)

Andy Sinclair
Andy Sinclair

Reputation: 2303

You can extract the Bloomberg code from the securityData Element, like this:

string bloombergCode = secDataArray.GetElement("security").GetValueAsString();

Upvotes: 0

casperOne
casperOne

Reputation: 74530

The sequenceNumber value that is returned corresponds to the order in which you added the securities with the call to AppendValue

securities.AppendValue("EURUSD CURNCY");  // Sequence number 1
securities.AppendValue("USDJPY CURNCY");  // Sequence number 2
securities.AppendValue("GBPUSD Curncy");  // Sequence number 3
securities.AppendValue("USDCHF Curncy");  // Sequence number 4

As per the BLPAPI: Developer’s Guide:

Security sequence number, specifying the position of the security in the request.

Upvotes: 4

assylias
assylias

Reputation: 328598

In Java (easily transposable):

Element securityData = msg.getElement("securityData");
String ticker = securityData.getElementAsString("security");

Upvotes: 0

littlecodefarmer758
littlecodefarmer758

Reputation: 966

you may need one more loop:

foreach (Message msg in eventObj.GetMessages())
{
   Element element = msg.GetElement("securityData");

   for (int i = 0; i < element.NumValues; i++)
   {
      Element security = element.GetValueAsElement(i);
      string ticker = security.GetElementAsString("security");
      Element fields = security.GetElement("fieldData");
      decimal px_last  = Convert.toDecimal(fields.GetElementAsFloat64("PX_LAST"));
   }
}

Upvotes: 3

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