Bloomberg的C ++ API下载交换代码，用于日内交易数据

时间：2015-11-21 08:40:12

标签： c++ api bloomberg

我正在尝试使用Bloomberg的C ++ API下载日内刻度数据，而我正在使用Bloomberg提供的IntradayTickExample.cpp。原始程序只能获得交易的条件代码，但我也想获得订单的交换代码。所以我对程序做了一些改动。我的代码如下。该程序可以成功构建，但我无法获得订单的交换代码。

#include <blpapi_session.h>
#include <blpapi_eventdispatcher.h>

#include <blpapi_event.h>
#include <blpapi_message.h>
#include <blpapi_element.h>
#include <blpapi_name.h>
#include <blpapi_request.h>
#include <blpapi_subscriptionlist.h>
#include <blpapi_defs.h>

#include <iomanip>
#include <iostream>
#include <sstream>
#include <vector>
#include <string>
#include <stdlib.h>
#include <string.h>
#include <time.h>

using namespace BloombergLP;
using namespace blpapi;

namespace {
const Name TICK_DATA("tickData");
const Name COND_CODE("conditionCodes");
const Name EXCH_CODE("exchangeCodes");
const Name TICK_SIZE("size");
const Name TIME("time");
const Name TYPE("type");
const Name VALUE("value");
const Name RESPONSE_ERROR("responseError");
const Name CATEGORY("category");
const Name MESSAGE("message");
const Name SESSION_TERMINATED("SessionTerminated");
};

class IntradayTickExample {

std::string                 d_host;
int                         d_port;
std::string                 d_security;
std::vector<std::string>    d_events;
bool                        d_conditionCodes;
bool                        d_exchangeCodes;
std::string                 d_startDateTime;
std::string                 d_endDateTime;


void printUsage()
{
    std::cout
        << "Usage:" << '\n'
        << "  Retrieve intraday rawticks " << '\n'
        << "    [-s     <security = IBM US Equity>" << '\n'
        << "    [-e     <event = TRADE>" << '\n'
        << "    [-sd    <startDateTime  = 2008-08-11T15:30:00>" << '\n'
        << "    [-ed    <endDateTime    = 2008-08-11T15:35:00>" << '\n'
        << "    [-cc    <includeConditionCodes = false>" << '\n'
        << "    [-ip    <ipAddress = localhost>" << '\n'
        << "    [-p     <tcpPort   = 8194>" << '\n'
        << "Notes:" << '\n'
        << "1) All times are in GMT." << '\n'
        << "2) Only one security can be specified." << std::endl;
}

void printErrorInfo(const char *leadingStr, const Element &errorInfo)
{
    std::cout
        << leadingStr
        << errorInfo.getElementAsString(CATEGORY)
        << " (" << errorInfo.getElementAsString(MESSAGE)
        << ")" << std::endl;
}

bool parseCommandLine(int argc, char **argv)
{
    for (int i = 1; i < argc; ++i) {
        if (!std::strcmp(argv[i], "-s") && i + 1 < argc) {
            d_security = argv[++i];
        }
        else if (!std::strcmp(argv[i], "-e") && i + 1 < argc) {
            d_events.push_back(argv[++i]);
        }
        else if (!std::strcmp(argv[i], "-cc")) {
            d_conditionCodes = true;
        }
        else if (!std::strcmp(argv[i], "-ec")) {
            d_exchangeCodes = true;
        }
        else if (!std::strcmp(argv[i], "-sd") && i + 1 < argc) {
            d_startDateTime = argv[++i];
        }
        else if (!std::strcmp(argv[i], "-ed") && i + 1 < argc) {
            d_endDateTime = argv[++i];
        }
        else if (!std::strcmp(argv[i], "-ip") && i + 1 < argc) {
            d_host = argv[++i];
        }
        else if (!std::strcmp(argv[i], "-p") && i + 1 < argc) {
            d_port = std::atoi(argv[++i]);
            continue;
        }
        else {
            printUsage();
            return false;
        }
    }

    if (d_events.size() == 0) {
        d_events.push_back("TRADE");
    }
    return true;
}

void processMessage(Message &msg)
{
    Element data = msg.getElement(TICK_DATA).getElement(TICK_DATA);
    int numItems = data.numValues();
    std::cout << "TIME\t\t\t\tTYPE\tVALUE\t\tSIZE\tCC\tEC" << std::endl;
    std::cout << "----\t\t\t\t----\t-----\t\t----\t--\t---" << std::endl;
    std::string cc;
    std::string ec;
    std::string type;
    for (int i = 0; i < numItems; ++i) {
        Element item = data.getValueAsElement(i);
        std::string timeString = item.getElementAsString(TIME);
        type = item.getElementAsString(TYPE);
        double value = item.getElementAsFloat64(VALUE);
        int size = item.getElementAsInt32(TICK_SIZE);
        if (item.hasElement(COND_CODE)) {
            cc = item.getElementAsString(COND_CODE);
        }
        else {
            cc.clear();
        }
        if (item.hasElement(EXCH_CODE)) {
            ec = item.getElementAsString(EXCH_CODE);
        }
        else {
            ec.clear();
        }

        std::cout.setf(std::ios::fixed, std::ios::floatfield);
        std::cout << timeString << "\t"
            << type << "\t"
            << std::setprecision(3)
            << std::showpoint << value << "\t\t"
            << size << "\t" << std::noshowpoint
            << cc <<"\t"
            << ec <<std::endl;
    }
}

void processResponseEvent(Event &event)
{
    MessageIterator msgIter(event);
    while (msgIter.next()) {
        Message msg = msgIter.message();
        if (msg.hasElement(RESPONSE_ERROR)) {
            printErrorInfo("REQUEST FAILED: ",
                msg.getElement(RESPONSE_ERROR));
            continue;
        }
        processMessage(msg);
    }
}

void sendIntradayTickRequest(Session &session)
{
    Service refDataService = session.getService("//blp/refdata");
    Request request = refDataService.createRequest("IntradayTickRequest");

    // only one security/eventType per request
    request.set("security", d_security.c_str());

    // Add fields to request
    Element eventTypes = request.getElement("eventTypes");
    for (size_t i = 0; i < d_events.size(); ++i) {
        eventTypes.appendValue(d_events[i].c_str());
    }

    // All times are in GMT
    if (d_startDateTime.empty() || d_endDateTime.empty()) {
        Datetime startDateTime, endDateTime;
        if (0 == getTradingDateRange(&startDateTime, &endDateTime)) {
            request.set("startDateTime", startDateTime);
            request.set("endDateTime", endDateTime);
        }
    }
    else {
        if (!d_startDateTime.empty() && !d_endDateTime.empty()) {
            request.set("startDateTime", d_startDateTime.c_str());
            request.set("endDateTime", d_endDateTime.c_str());
        }
    }

    if (d_conditionCodes) {
        request.set("includeConditionCodes", true);
    }
    if (d_exchangeCodes) {
        request.set("includeExchangeCodes", true);
    }
    std::cout << "Sending Request: " << request << std::endl;
    session.sendRequest(request);
}

void eventLoop(Session &session)
{
    bool done = false;
    while (!done) {
        Event event = session.nextEvent();
        if (event.eventType() == Event::PARTIAL_RESPONSE) {
            std::cout << "Processing Partial Response" << std::endl;
            processResponseEvent(event);
        }
        else if (event.eventType() == Event::RESPONSE) {
            std::cout << "Processing Response" << std::endl;
            processResponseEvent(event);
            done = true;
        }
        else {
            MessageIterator msgIter(event);
            while (msgIter.next()) {
                Message msg = msgIter.message();
                if (event.eventType() == Event::SESSION_STATUS) {
                    if (msg.messageType() == SESSION_TERMINATED) {
                        done = true;
                    }
                }
            }
        }
    }
}

int getTradingDateRange(Datetime *startDate_p, Datetime *endDate_p)
{
    struct tm *tm_p;
    time_t currTime = time(0);

    while (currTime > 0) {
        currTime -= 86400; // GO back one day
        tm_p = localtime(&currTime);
        if (tm_p == NULL) {
            break;
        }

        // if not sunday / saturday, assign values & return
        if (tm_p->tm_wday == 0 || tm_p->tm_wday == 6) {// Sun/Sat
            continue;
        }

        startDate_p->setDate(tm_p->tm_year + 1900,
            tm_p->tm_mon + 1,
            tm_p->tm_mday);
        startDate_p->setTime(15, 30, 0);

        endDate_p->setDate(tm_p->tm_year + 1900,
            tm_p->tm_mon + 1,
            tm_p->tm_mday);
        endDate_p->setTime(15, 35, 0);
        return(0);
    }
    return (-1);
}

public:

IntradayTickExample()
{
    d_host = "localhost";
    d_port = 8194;
    d_security = "IBM US Equity";
    d_conditionCodes = false;
    d_exchangeCodes = false;
}

~IntradayTickExample() {
}

void run(int argc, char **argv)
{
    if (!parseCommandLine(argc, argv)) return;
    SessionOptions sessionOptions;
    sessionOptions.setServerHost(d_host.c_str());
    sessionOptions.setServerPort(d_port);

    std::cout << "Connecting to " << d_host << ":" << d_port << std::endl;
    Session session(sessionOptions);
    if (!session.start()) {
        std::cerr << "Failed to start session." << std::endl;
        return;
    }
    if (!session.openService("//blp/refdata")) {
        std::cerr << "Failed to open //blp/refdata" << std::endl;
        return;
    }

    sendIntradayTickRequest(session);

    // wait for events from session.
    eventLoop(session);

    session.stop();
}
};

int main(int argc, char **argv)
{
std::cout << "IntradayTickExample" << std::endl;
IntradayTickExample example;
try {
    example.run(argc, argv);
}
catch (Exception &e) {
    std::cerr << "Library Exception!!! " << e.description() << std::endl;
}
// wait for enter key to exit application
std::cout << "Press ENTER to quit" << std::endl;
char dummy[2];
std::cin.getline(dummy, 2);
return 0;
}

2 个答案:

答案 0 :(得分：0)

请在命令行中使用“-ec”

答案 1 :(得分：0)

我找到了答案。 我应该使用const Name EXCH_CODE("exchangeCode"); 然后该程序将工作。

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