// -------------------------------------------------------------------------
private Request composeRequest(
final String identifier,
final String dataSource,
final String dataProvider,
final String field,
LocalDate startDate,
LocalDate endDate,
Integer maxPoints) {
ArgumentChecker.notNull(identifier, "identifier must not be null or empty");
Request request = getRefDataService().createRequest(BLOOMBERG_HISTORICAL_DATA_REQUEST);
Element securitiesElem = request.getElement(BLOOMBERG_SECURITIES_REQUEST);
securitiesElem.appendValue(identifier);
Element fieldElem = request.getElement(BLOOMBERG_FIELDS_REQUEST);
fieldElem.appendValue(field == null ? "PX_LAST" : field);
request.set("periodicityAdjustment", "ACTUAL");
request.set("periodicitySelection", "DAILY");
request.set("startDate", DateUtils.printYYYYMMDD(startDate));
request.set("endDate", DateUtils.printYYYYMMDD(endDate));
request.set("returnEids", true);
if (maxPoints != null && maxPoints <= 0) {
request.set("maxDataPoints", -maxPoints);
}
return request;
}
@Override
public void execute(String name) {
final BloombergSession bs = new BloombergSession(name);
bs.start();
try {
final Service service = bs.getService("//blp/refdata");
for (String crncy : currency) {
final String idq[] = {"1CQ", "2CQ", "3CQ", "4CQ", "1CS", "2CS", "1CY", "2CY"};
for (final String quarter : idq) {
final Request request = service.createRequest("ReferenceDataRequest");
final Element _securities = request.getElement("securities");
for (String s : securities) {
final int p = s.indexOf('|');
if (crncy.equals(s.substring(p + 1))) {
_securities.appendValue(s.substring(0, p));
}
}
final Element _fields = request.getElement("fields");
for (String field : fields) {
_fields.appendValue(field);
}
final Element overrides = request.getElement("overrides");
final Element overridePeriod = overrides.appendElement();
overridePeriod.setElement("fieldId", "BEST_FPERIOD_OVERRIDE");
overridePeriod.setElement("value", period = quarter);
final Element overrideCrncy = overrides.appendElement();
overrideCrncy.setElement("fieldId", "EQY_FUND_CRNCY");
overrideCrncy.setElement("value", crncy);
if (null != override) {
final Element overrideDataSource = overrides.appendElement();
overrideDataSource.setElement("fieldId", "BEST_DATA_SOURCE_OVERRIDE");
overrideDataSource.setElement("value", override);
}
bs.sendRequest(request, this);
}
}
} finally {
bs.stop();
}
}
@Override
public void execute(String name) {
final BloombergSession bs = new BloombergSession(name);
bs.start();
try {
final Request request = bs.createRequest("//blp/refdata", "ReferenceDataRequest");
Element _securities = request.getElement("securities");
for (String security : securities) {
_securities.appendValue(security);
}
Element _fields = request.getElement("fields");
for (String field : fields) {
_fields.appendValue(field);
}
bs.sendRequest(request, this);
if (!peers.isEmpty()) {
final Request requestP = bs.createRequest("//blp/refdata", "ReferenceDataRequest");
final Element securitiesP = requestP.getElement("securities");
for (String peer : peers) {
securitiesP.appendValue(peer + " Equity");
}
final Element fieldsP = requestP.getElement("fields");
fieldsP.appendValue("CUR_MKT_CAP");
fieldsP.appendValue("OPER_ROE");
fieldsP.appendValue("BS_TOT_LIAB2");
fieldsP.appendValue("PE_RATIO");
fieldsP.appendValue("INDUSTRY_subGROUP");
fieldsP.appendValue("INDUSTRY_GROUP");
fieldsP.appendValue("EBITDA");
bs.sendRequest(
requestP,
new MessageHandler() {
@Override
public void processMessage(Message message) {
Element ReferenceDataResponse = message.asElement();
if (ReferenceDataResponse.hasElement("responseError")) {
log.error("*****ResponceError*****");
}
Element securityDataArray = ReferenceDataResponse.getElement("securityData");
int numItems = securityDataArray.numValues();
for (int i = 0; i < numItems; ++i) {
Element securityData = securityDataArray.getValueAsElement(i);
String security = securityData.getElementAsString("security");
if (securityData.hasElement("securityError")) {
log.error("SecurityError:" + securityData.getElement("securityError"));
return;
} else {
Element fieldData = securityData.getElement("fieldData");
final PeerData item = new PeerData(security, fieldData);
peersData.add(item);
}
}
}
},
new CorrelationID(1));
}
} finally {
bs.stop();
}
}
// -------------------------------------------------------------------------
@Override
public Map<ExternalIdBundle, HistoricalTimeSeries> getHistoricalTimeSeries(
Set<ExternalIdBundle> identifierSet,
String dataSource,
String dataProvider,
String dataField,
LocalDate start,
boolean includeStart,
LocalDate end,
boolean includeEnd) {
ArgumentChecker.notNull(identifierSet, "identifierSet");
ArgumentChecker.notNull(dataField, "dataField");
ArgumentChecker.notNull(start, "start");
ArgumentChecker.notNull(end, "end");
Validate.isTrue(
ObjectUtils.equals(dataSource, BLOOMBERG_DATA_SOURCE_NAME),
getClass().getName() + "cannot support " + dataSource);
if (end.isBefore(start)) {
throw new IllegalArgumentException("end must be after start");
}
ensureStarted();
s_logger.debug("Getting historical data for {}", identifierSet);
if (identifierSet.isEmpty()) {
s_logger.info("Historical data request for empty identifier set");
return Collections.emptyMap();
}
Map<String, ExternalIdBundle> bbgSecDomainMap = new HashMap<String, ExternalIdBundle>();
Request request = getRefDataService().createRequest(BLOOMBERG_HISTORICAL_DATA_REQUEST);
Element securitiesElem = request.getElement(BLOOMBERG_SECURITIES_REQUEST);
for (ExternalIdBundle identifiers : identifierSet) {
ExternalId preferredIdentifier =
BloombergDomainIdentifierResolver.resolvePreferredIdentifier(identifiers);
s_logger.debug(
"Resolved preferred identifier {} from identifier bundle {}",
preferredIdentifier,
identifiers);
String bbgKey =
BloombergDomainIdentifierResolver.toBloombergKeyWithDataProvider(
preferredIdentifier, dataProvider);
securitiesElem.appendValue(bbgKey);
bbgSecDomainMap.put(bbgKey, identifiers);
}
Element fieldElem = request.getElement(BLOOMBERG_FIELDS_REQUEST);
fieldElem.appendValue(dataField);
// TODO: inclusive start / exclusive end
request.set("periodicityAdjustment", "ACTUAL");
request.set("periodicitySelection", "DAILY");
request.set("startDate", printYYYYMMDD(start));
request.set("endDate", printYYYYMMDD(end));
request.set("adjustmentSplit", true);
_statistics.gotFields(bbgSecDomainMap.keySet(), Collections.singleton(dataField));
CorrelationID cid = submitBloombergRequest(request);
BlockingQueue<Element> resultElements = getResultElement(cid);
if (resultElements == null || resultElements.isEmpty()) {
s_logger.warn("Unable to get historical data for {}", identifierSet);
return null;
}
// REVIEW simon 2011/11/01: should this be deduped with the single case?
Map<ExternalIdBundle, HistoricalTimeSeries> result =
new HashMap<ExternalIdBundle, HistoricalTimeSeries>();
for (Element resultElem : resultElements) {
if (resultElem.hasElement(RESPONSE_ERROR)) {
s_logger.warn("Response error");
processError(resultElem.getElement(RESPONSE_ERROR));
continue;
}
Element securityElem = resultElem.getElement(SECURITY_DATA);
if (securityElem.hasElement(SECURITY_ERROR)) {
processError(securityElem.getElement(SECURITY_ERROR));
}
if (securityElem.hasElement(FIELD_EXCEPTIONS)) {
Element fieldExceptions = securityElem.getElement(FIELD_EXCEPTIONS);
for (int i = 0; i < fieldExceptions.numValues(); i++) {
Element fieldException = fieldExceptions.getValueAsElement(i);
String fieldId = fieldException.getElementAsString(FIELD_ID);
s_logger.warn("Field error on {}", fieldId);
Element errorInfo = fieldException.getElement(ERROR_INFO);
processError(errorInfo);
}
}
if (securityElem.hasElement(FIELD_DATA)) {
processFieldData(securityElem, dataField, bbgSecDomainMap, result);
}
}
if (identifierSet.size() != result.size()) {
s_logger.warn(
"Failed to get time series results for ({}/{}) {}",
new Object[] {
identifierSet.size() - result.size(),
identifierSet.size(),
Sets.difference(identifierSet, result.keySet())
});
}
return result;
}