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Bloomberg API Optional Network

I am currently working on a project that should help me create an implied volatility surface for a given stock. To do this, I am writing a script that will load all the available options for this particular stock - from what I have assembled, this is possible by sending a request through the Bloomberg API using fields / field overrides. Here is my current code:

d_host = "localhost"; d_port = 8194; SessionOptions sessionOptions; sessionOptions.setServerHost(d_host.c_str()); sessionOptions.setServerPort(d_port); Session session(sessionOptions); Service refDataService = session.getService("//blp/refdata"); Request request = refDataService.createRequest("ReferenceDataRequest"); request.append("securities", "MSFT US EQUITY"); request.append("fields", "CHAIN_TICKERS"); // add overrides Element overrides = request.getElement("overrides"); Element override1 = overrides.appendElement(); override1.setElement("fieldId", "CHAIN_PUT_CALL_TYPE_OVRD"); override1.setElement("value", "C"); Element override2 = overrides.appendElement(); override2.setElement("fieldId", "CHAIN_POINTS_OVRD"); override2.setElement("value", 100); Element override3 = overrides.appendElement(); override3.setElement("fieldId", "CHAIN_EXP_DT_OVRD"); override3.setElement("value", "20250203"); std::cout << "Sending Request: " << request << std::endl; CorrelationId cid(this); session.sendRequest(request, cid); (followed by event handling)

Now I have a few questions / questions:

  • The code compiles without problems, but when it runs on the Bloomberg terminal, the following error is printed: bloomberg error How can I solve this problem? I assume that I made a mistake somewhere in the override fields.

  • How do I configure my code to download all available options with a certain maturity, i.e. I want to get a list of all the parameters until today + 15 years.

  • How can I load implied volatility for each option? Do I need to store the tickers in an array, and then send a request for the "IVOL_MID" field for each option, or is there some way to immediately get all the volatilities?

Edit: Here is the code of my event handler, as this seems like a problem.

  session.sendRequest(request, cid); while (true) { Event event = session.nextEvent(); MessageIterator msgIter(event); while (msgIter.next()) { Message msg = msgIter.message(); if (msg.correlationId() == cid) { processMessage(msg); } } if (event.eventType() == Event::RESPONSE) { break; } } void processMessage(Message &msg) { Element securityDataArray = msg.getElement(SECURITY_DATA); int numSecurities = securityDataArray.numValues(); for (int i = 0; i < numSecurities; ++i) { Element securityData = securityDataArray.getValueAsElement(i); std::cout << securityData.getElementAsString(SECURITY) << std::endl; const Element fieldData = securityData.getElement(FIELD_DATA); for (size_t j = 0; j < fieldData.numElements(); ++j) { Element field = fieldData.getElement(j); if (!field.isValid()) { std::cout << field.name() << " is NULL." << std::endl; } else { std::cout << field.name() << " = " << field.getValueAsString() << std::endl; } } Element fieldExceptionArray = securityData.getElement(FIELD_EXCEPTIONS); for (size_t k = 0; k < fieldExceptionArray.numValues(); ++k) { Element fieldException = fieldExceptionArray.getValueAsElement(k); std::cout << fieldException.getElement(ERROR_INFO).getElementAsString( "category") << ": " << fieldException.getElementAsString(FIELD_ID); } std::cout << std::endl; }
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2 answers

As you can see from another answer, the problem is event handling, so I rewrote this part with some examples from the Bloomberg API emulator .

 session.sendRequest(request, cid); bool continueToLoop = true; while (continueToLoop) { Event evt = session.nextEvent(); switch (evt.eventType()) { case Event::RESPONSE: continueToLoop = false; //fall through case Event::PARTIAL_RESPONSE: ProcessReferenceDataEvent(evt); break; } } void ProcessReferenceDataEvent(Event evt) { const string level1 = ""; const string level2 = "\t"; const string level3 = "\t\t"; const string level4 = "\t\t\t"; std::cout << endl << endl; std::cout << level1 << "EventType = " << evt.eventType(); MessageIterator iter(evt); while (iter.next()) { Message msg = iter.message(); std::cout << endl << endl; std::cout << level1 << "correlationID = " << msg.correlationId().asInteger() << endl; std::cout << level1 << "messageType = " << msg.messageType().string() << endl; std::cout << endl << endl; Element SecurityDataArray = msg.getElement(SECURITY_DATA); int numSecurities = SecurityDataArray.numValues(); for (int valueIndex = 0; valueIndex < numSecurities; valueIndex++) { Element SecurityData = SecurityDataArray.getValueAsElement(valueIndex); string Security = SecurityData.getElementAsString(SECURITY); std::cout << level2 << Security << endl; bool hasFieldErrors = SecurityData.hasElement("fieldExceptions", true); if (hasFieldErrors) { Element FieldErrors = SecurityData.getElement(FIELD_EXCEPTIONS); for (size_t errorIndex = 0; errorIndex < FieldErrors.numValues(); errorIndex++) { Element fieldError = FieldErrors.getValueAsElement(errorIndex); string fieldId = fieldError.getElementAsString(FIELD_ID); Element errorInfo = fieldError.getElement(ERROR_INFO); string source = errorInfo.getElementAsString("source"); int code = errorInfo.getElementAsInt32("code"); string category = errorInfo.getElementAsString("category"); string strMessage = errorInfo.getElementAsString("message"); string subCategory = errorInfo.getElementAsString("subcategory"); cerr << level3 << "field error:" << endl; cerr << level4 << "fieldId = " << fieldId << endl; cerr << level4 << "source = " << source << endl; cerr << level4 << "code = " << code << endl; cerr << level4 << "category = " << category << endl; cerr << level4 << "errorMessage = " << strMessage << endl; cerr << level4 << "subCategory = " << subCategory << endl; } } bool isSecurityError = SecurityData.hasElement("securityError", true); if (isSecurityError) { Element secError = SecurityData.getElement("securityError"); string source = secError.getElementAsString("source"); int code = secError.getElementAsInt32("code"); string category = secError.getElementAsString("category"); string errorMessage = secError.getElementAsString("message"); string subCategory = secError.getElementAsString("subcategory"); cerr << level3 << "security error:" << endl; cerr << level4 << "source = " << source << endl; cerr << level4 << "code = " << code << endl; cerr << level4 << "category = " << category << endl; cerr << level4 << "errorMessage = " << errorMessage << endl; cerr << level4 << "subCategory = " << subCategory << endl; } else { Element FieldData = SecurityData.getElement(FIELD_DATA); double pxLast = FieldData.getElementAsFloat64("PX_LAST"); double bid = FieldData.getElementAsFloat64("BID"); double ask = FieldData.getElementAsFloat64("ASK"); string ticker = FieldData.getElementAsString("TICKER"); std::cout << level3 << "fields: " << endl; std::cout << level4 << "PX_LAST = " << pxLast << endl; std::cout << level4 << "BID = " << bid << endl; std::cout << level4 << "ASK = " << ask << endl; std::cout << level4 << "TICKER = " << ticker << endl; bool excludeNullElements = true; if (FieldData.hasElement("CHAIN_TICKERS", excludeNullElements)) { Element chainTickers = FieldData.getElement("CHAIN_TICKERS"); for (size_t chainTickerValueIndex = 0; chainTickerValueIndex < chainTickers.numValues(); chainTickerValueIndex++) { Element chainTicker = chainTickers.getValueAsElement(chainTickerValueIndex); string strChainTicker = chainTicker.getElementAsString("Ticker"); std::cout << level4 << "CHAIN_TICKER = " << strChainTicker << endl; } } else { std::cout << level4 << "NO CHAIN_TICKER information" << endl; } } } } }

Regarding the second question, Bloomberg support staff recommended that I simply select a large enough quantity so that all parameters are loaded, i.e.

 override2.setElement("fieldId", "CHAIN_POINTS_OVRD"); override2.setElement("value", 50000);

For the third question, you can load the chains for all maturities by setting the redefinition of "CHAIN_EXP_DT_OVRD" to "EVERYTHING" (this part is not currently verified):

  Element override3 = overrides.appendElement(); override3.setElement("fieldId", "CHAIN_EXP_DT_OVRD"); override3.setElement("value", 'ALL');
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The problem is the event handling code that you are not showing. You may be misassembling it.

Running your query, I get the following result:

 MSFT US 01/20/17 C23 MSFT US 01/20/17 C25 MSFT US 01/20/17 C30 MSFT US 01/20/17 C33 MSFT US 01/20/17 C35 MSFT US 01/20/17 C38 MSFT US 01/20/17 C40 MSFT US 01/20/17 C43 MSFT US 01/20/17 C45 MSFT US 01/20/17 C47 MSFT US 01/20/17 C50 MSFT US 01/20/17 C52.5 MSFT US 01/20/17 C55 MSFT US 01/20/17 C57.5 MSFT US 01/20/17 C60 MSFT US 01/20/17 C65 MSFT US 01/20/17 C70

Note. I use the Java API, but this is essentially the same.

UPDATE:

your code does not analyze the element of the field data array properly: the returned data contains an array of sequences, so you need to analyze it in two stages. Instead of field.getValueAsString() , you should have code that looks like this (it is in Java and has not been verified):

 //... for (int i = 0; i < field.numValues(); i++) { Element sequence = field.getValueAsElement(i); ElementIterator it = sequence.elementIterator(); while (it.hasNext()) { Element e = it.next(); System.out.println(e.getValueAsString()); }

If this does not work, I suggest that you debug your code step by step and check the type of data you receive and process it accordingly.

Read the Developer's Guide in more detail, in particular A.2.3.

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Source: https://habr.com/ru/post/1212592/

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