How to get a live price snapshot in bloomberg?
I am looking to get a live price snapshot from Bloomberg .Net API 3 with C#.
I can see from the samples how to get historical prices or subscribe to data, but I cannot find the correct request to get an order book snapshot, ie Bid/Ask/Last trade Price and Quantities.
For an intraday tick I would do something like this:
Service refDataService = d_session.GetService("//blp/refdata");
// create intraday tick request
Request request = refDataService.CreateRequest("IntradayTickRequest");
// set request parameters
request.Set("includeConditionCodes", checkBoxIncludeConditionCode.Checked);
request.Set("includeExchangeCodes", checkBoxIncludeExchangeCode.Checked);
Element eventTypes = request.GetElement("eventTypes");
eventTypes.AppendValue("TRADE");
eventTypes.AppendValue("BID");
eventTypes.AppendValue("ASK");
request.Set("security", d_requestSecurity);
request.Set("startDateTime", new BDateTime(startDate.Year, startDate.Month,
startDate.Day,startDate.Hour, startDate.Minute, startDate.Second, 0));
request.Set("endDateTime", new BDateTime(endDate.Year, endDate.Month, endDate.Day,
endDate.Hour, endDate.Minute, endDate.Second, 0));
Is there a different, live snapshot request?
Answer
Minimally adapted from the example that comes with the API:
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using Bloomberglp.Blpapi;
namespace BbServerApiTool
{
public class GetFields : GetBloombergFields
{
private static readonly Name EXCEPTIONS = new Name("exceptions");
private static readonly Name FIELD_ID = new Name("fieldId");
private static readonly Name REASON = new Name("reason");
private static readonly Name CATEGORY = new Name("category");
private static readonly Name DESCRIPTION = new Name("description");
private static readonly Name ERROR_CODE = new Name("errorCode");
private static readonly Name SOURCE = new Name("source");
private static readonly Name SECURITY_ERROR = new Name("securityError");
private static readonly Name MESSAGE = new Name("message");
private static readonly Name RESPONSE_ERROR = new Name("responseError");
private static readonly Name SECURITY_DATA = new Name("securityData");
private static readonly Name FIELD_EXCEPTIONS = new Name("fieldExceptions");
private static readonly Name ERROR_INFO = new Name("errorInfo");
public override List<List<string>> GetBbFields(string[] tickers, string[] fieldsParam)
{
string serverHost = System.Configuration.ConfigurationManager.AppSettings["Host"];
int serverPort = Int32.Parse(System.Configuration.ConfigurationManager.AppSettings["Port"]);
var sessionOptions = new SessionOptions {ServerHost = serverHost, ServerPort = serverPort};
var session = new Session(sessionOptions);
session.Start();
session.OpenService("//blp/refdata");
Service refDataService = session.GetService("//blp/refdata");
Request request = refDataService.CreateRequest("ReferenceDataRequest");
Element securities = request.GetElement("securities");
Element fields = request.GetElement("fields");
request.Set("returnEids", true);
foreach (var ticker in tickers)
{
securities.AppendValue(ticker);
}
foreach (var field in fieldsParam)
{
fields.AppendValue(field);
}
var cID = new CorrelationID(1);
session.Cancel(cID);
Results = new List<List<string>>();
session.SendRequest(request, cID);
while (true)
{
Event eventObj = session.NextEvent();
processEvent(eventObj, session, fieldsParam);
if (eventObj.Type == Event.EventType.RESPONSE)
{
return Results;
}
}
}
protected override string GetName()
{
return "BbServerApiTool";
}
private void processEvent(Event eventObj, Session session, string[] fields)
{
switch (eventObj.Type)
{
case Event.EventType.RESPONSE:
case Event.EventType.PARTIAL_RESPONSE:
processRequestDataEvent(eventObj, session, fields);
break;
default:
processMiscEvents(eventObj, session);
break;
}
}
private void processMiscEvents(Event eventObj, Session session)
{
foreach (Message msg in eventObj.GetMessages())
{
switch (msg.MessageType.ToString())
{
case "RequestFailure":
Element reason = msg.GetElement(REASON);
string message = string.Concat("Error: Source-", reason.GetElementAsString(SOURCE),
", Code-", reason.GetElementAsString(ERROR_CODE), ", category-", reason.GetElementAsString(CATEGORY),
", desc-", reason.GetElementAsString(DESCRIPTION));
throw new ArgumentException(message);
case "SessionStarted":
case "SessionTerminated":
case "SessionStopped":
case "ServiceOpened":
default:
break;
}
}
}
private void processRequestDataEvent(Event eventObj, Session session, string[] fields)
{
foreach (Message msg in eventObj.GetMessages())
{
if (msg.MessageType.Equals(Name.GetName("ReferenceDataResponse")))
{
Element secDataArray = msg.GetElement(SECURITY_DATA);
int numberOfSecurities = secDataArray.NumValues;
for (int index = 0; index < numberOfSecurities; index++)
{
Element secData = secDataArray.GetValueAsElement(index);
Element fieldData = secData.GetElement("fieldData");
if (secData.HasElement(FIELD_EXCEPTIONS))
{
// process error
Element error = secData.GetElement(FIELD_EXCEPTIONS);
if (error.Elements.Count() > 0)
{
Element errorException = error.GetValueAsElement(0);
Element errorInfo = errorException.GetElement(ERROR_INFO);
string message = errorInfo.GetElementAsString(MESSAGE);
throw new ArgumentException(message);
}
}
var list = new List<string> { secData.GetElement("security").GetValueAsString() };
if (secData.HasElement(SECURITY_ERROR))
{
Element error = secData.GetElement(SECURITY_ERROR);
string errorMessage = error.GetElementAsString(MESSAGE);
// throw new ArgumentException(errorMessage);
//TODO Log
logger.WriteLine("Couldn't get a value for " + secData.GetElement("security").GetValueAsString());
foreach (var field in fields)
{
list.Add("N/A");
}
}
else
{
foreach (var field in fields)
{
Element item = fieldData.GetElement(field);
list.Add(item.IsNull ? "N/A" : item.GetValueAsString());
}
}
Results.Add(list);
}
}
}
}
}
}