Question

假设我们使用.Net API向多个证券发送Bloomberg历史数据请求，是否有任何优雅的方法来分离/识别每个证券的响应数据。我知道响应中有一个字段'sequenceNumber'但是不确定它是如何映射到每个安全性的。我的代码片段如下。

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?();
        }
    }
}
}

Answer 1

返回的sequenceNumber值对应于您通过调用AppendValue

添加证券的顺序

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

根据BLPAPI: Developer’s Guide：

安全序列号，指定请求中安全性的位置。

Answer 2

你可能还需要一个循环：

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"));
   }
}

Answer 3

在Java中（易于转换）：

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

Answer 4

您可以从$(".item").css("height","0"); if (selector.length) { $('.item.'+ selector.join('.')).css("height", "15px"); }元素中提取Bloomberg代码，如下所示：

securityData

Bloomberg .Net API - 多种证券的响应数据

4 个答案: