I am currently working on a project that should help me create an implied volatility surface for a given stock. For this purpose, I am writing a script that will download all the available options for this specific stock - from what I've gathered, this is possible by sending a request through the Bloomberg API using bulks fields/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 several issues/questions:
The code compiles without problems, but when running it on the Bloomberg terminal,the following error is printed:
How would I go about fixing this problem? I assume I made a mistake somewhere in the override fields..
How would I need to adjust my code to download all options available given a specific maturity, i.e. I want to get a list of all the options until today + 15 years.
How would I then download the implied volatility for each option? Would I need to store the tickers in an array and then send a request for the field "IVOL_MID" for each option or is there some kind of way to obtain all the volatilities at once?
Edit: Here is the code of my event handler, since that seems to be the 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;
}
The problem is in the event handling code that you are not showing. You are probably parsing it incorrectly.
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'm using the Java API but it is essentially the same.
UPDATE:
your code does not parse the field data array element properly: the returned data contains an array of sequences so you need to parse it in two steps. Instead of field.getValueAsString(), you should have a code that looks like this (it's in Java and not tested):
//...
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 that does not work I suggest you debug your code step by step and inspect the type of data you receive and handle it accordingly.
For more details you should read the Developer's guide, in particular A.2.3.
As seen in the other answer, the problem lies in the event handling so I've rewritten that part using 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, the Bloomberg support staff recommended me to just pick an arbitarily high number so that all options would be downloaded, i.e.
override2.setElement("fieldId", "CHAIN_POINTS_OVRD");
override2.setElement("value", 50000);
For the third question, it is possible to download the chain tickers for all maturities by setting the "CHAIN_EXP_DT_OVRD" override to 'ALL' (this part is currently untested):
Element override3 = overrides.appendElement();
override3.setElement("fieldId", "CHAIN_EXP_DT_OVRD");
override3.setElement("value", 'ALL');
Related
This is my code:
void Sublist<T>::showSublist() const {
for (int i = 0; i < indicies.size(); i++) {
iTunesEntry& entry = (*originalObjects)[indicies[i]];
cout << "sublist[" << i << "] = ";
cout << entry.getArtist() << " " << entry.getArtistLastName() << endl;
}
cout << endl;
}
This is what I expect to see when I run this code:
sublist[0] = Foo Fighters
sublist[1] = Eric Clapton
sublist[2] = Howlin' Wolf
sublist[3] = Janiva Magness
However, this is what I get:
Fighters] = Foo Fighters
Clapton1] = Eric Clapton
Wolfst[2] = Howlin' Wolf
Magness3] = Janiva Magness
Does anyone have any possible explanation for why this might be or what I can look for in my code to find a solution?
Any help would be appreciated!
I am using google protobuffer for data deserialization, but my issue is that the field values for the nested structures are not getting set. I checked the bin file in a hex editor and the values look fine. However, since the first field in my nested struct is a float and if I try to get the corresponding number of bytes and decode it into a float, the value seems fine.
Can someone advice what else I can do to check this or what perhaps is happening? I have tried using ParseFromIstream as well.
the proto file is :
syntax = "proto3";
package generatedata;
message DataSample {
DataSample_Safe DataSafe = 1;
uint32 PassReSts = 2;
uint32 Dir = 3;
}
message DataSample_Safe {
float ALast = 1;
uint32 ALastQf = 2;
}
message DataSampleMultiple
{
repeated DataSample finaldata = 1;
}
The C++ code is
fstream in("test.bin", ios::in | ios::binary);
generatedata::DataSample test_data;
while(in.read((char *) &test_data,sizeof(test_data)))
{
const generatedata::DataSample_Safe& veh = test_data.datasafe();
cout << "safe" << veh.alast() << endl;
cout << "First " << test_data.passrests() << endl;
cout << "Second " << test_data.dir() << endl;
}
Using ParseFromIstream, the code is
generatedata::DataSampleMultiple test_data;
test_data.ParseFromIstream(&in);
for(int i = 0 ; i < test_data.finaldata_size(); i ++)
{
const generatedata::DataSample& veh = test_data.finaldata(i);
const generatedata::DataSample_Safe& check = veh.datasafe();
cout << "safe" << check.alast() << endl;
cout << "First " << veh.passrests() << endl;
cout << "Second " << veh.dir() << endl;
}
in the above case using ParseFromIstream, the final data size is 0
The first cout gives segmentation fault as the value of safe has not been set. However, the second and third couts are output correctly when using istream::read
I'm having trouble getting the size of a vector by dot-walking from a parent vector into the one in question. I have verified that calling the function myfunc 1 2 3 4 5 creates five Person objects and puts them in the left vector. But when I try to get that same size to return by dot-walking from bridge to left, I get 0 as the size.
What am I doing wrong?
int main(int argc, char* argv[]) {
Person* p_ptr;
int id_source = 0;
vector<Person> left;
vector<Person> right;
bridge.push_back(left);
bridge.push_back(right);
cout << "bridge.size() = " << bridge.size() << endl;
for (int i = 1; i < argc; i++) {
id_source++;
cout << "Creating Person with crossing speed of " << argv[i] << " and id of " << id_source << endl;
p_ptr = new Person(atoi(argv[i]), id_source);
left.push_back(*p_ptr);
}
/*SIZE TESTING*/
cout << "Left side of bridge has " << left.size() << " people on it " << endl;
cout << "bridge.at(0).size() = " << bridge.at(0).size() << endl;
cout << "bridge.at(1).size() = " << bridge.at(1).size() << endl;
int slowest_id = get_slowest(0);
for (int i = 0; i < left.size(); i++) {
if (slowest_id == left.at(i).get_id()) {
p_ptr = &left.at(i);
}
}
cout << "The slowest person has id of " << slowest_id << " and speed of " << p_ptr->get_crossing_time() << endl;
}
}
left and bridge[0] are two different lists. When you call bridge.push_back(left) you make a copy of the current left list (which is empty). Elements added later will not be in the bridge version.
I have below simple XML template in my C++ source code. Within below code block I need to get values for <scannerID> and <subscannerID>. both elements are children of pugixml document root.
xml_document doc;
xml_parse_result r;
std::string sXml = "<inArgs><scannerID>1</scannerID><subScannerID>2</subScannerID></inArgs>";
r = doc.load_buffer(sXml.c_str(), sXml.length());
if (!r) {
return false;
}
xml_node root = doc.child("inArgs");
if (!root) {
return false;
}
std::cout << "root = " << root.name() << std::endl;
xml_node scanner_node = root.child("scannerID");
if (scanner_node) {
std::cout << "scannerID = " << scanner_node.name() << std::endl;
std::cout << "scannerID = " << scanner_node.value() << std::endl;
}
xml_node sub_scanner_node = root.child("subscannerID");
if (scanner_node) {
std::cout << "sub_scanner_node = " << sub_scanner_node.name() << std::endl;
std::cout << "sub_scanner_node = " << sub_scanner_node.value() << std::endl;
}
this code portion giving an output like below. I can get the node's names correctly but failed to retrieve the values.
Out put: values are empty strings.
root = inArgs
scannerID = scannerID
scannerID =
subscannerID = subscannerID
subscannerID =
Edited to add modification for the approach in the answer
node = root.child("scannerID");
if (!node) {
return false;
}
std::cout << "nodeName = %s" << node.name() << std::endl;
std::cout << "text value: " << node.child_value() << std::endl;
but still the output is the same. I saw something different while reading the documents in
The data is in the pcdata child of your element_nodes.
Try scanner_node.child_value()
see the Getting node data section for further examples and explanation.
see node_element
see node_pcdata
This question already has answers here:
Boost::system link error on Ubuntu
(2 answers)
Closed 9 years ago.
I installed:
sudo apt-get install libconfig++-dev
After that I want compile and run the example program libconfig++.
Program:
/* ----------------------------------------------------------------------------
libconfig - A library for processing structured configuration files
Copyright (C) 2005-2010 Mark A Lindner
This file is part of libconfig.
This library is free software; you can redistribute it and/or
modify it under the terms of the GNU Lesser General Public License
as published by the Free Software Foundation; either version 2.1 of
the License, or (at your option) any later version.
This library is distributed in the hope that it will be useful, but
WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
Lesser General Public License for more details.
You should have received a copy of the GNU Library General Public
License along with this library; if not, see
<http://www.gnu.org/licenses/>.
----------------------------------------------------------------------------
*/
#include <iostream>
#include <iomanip>
#include <cstdlib>
#include <libconfig.h++>
using namespace std;
using namespace libconfig;
// This example reads the configuration file 'example.cfg' and displays
// some of its contents.
int main(int argc, char **argv)
{
Config cfg;
// Read the file. If there is an error, report it and exit.
try
{
cfg.readFile("example.cfg");
}
catch(const FileIOException &fioex)
{
std::cerr << "I/O error while reading file." << std::endl;
return(EXIT_FAILURE);
}
catch(const ParseException &pex)
{
std::cerr << "Parse error at " << pex.getFile() << ":" << pex.getLine()
<< " - " << pex.getError() << std::endl;
return(EXIT_FAILURE);
}
// Get the store name.
try
{
string name = cfg.lookup("name");
cout << "Store name: " << name << endl << endl;
}
catch(const SettingNotFoundException &nfex)
{
cerr << "No 'name' setting in configuration file." << endl;
}
const Setting& root = cfg.getRoot();
// Output a list of all books in the inventory.
try
{
const Setting &books = root["inventory"]["books"];
int count = books.getLength();
cout << setw(30) << left << "TITLE" << " "
<< setw(30) << left << "AUTHOR" << " "
<< setw(6) << left << "PRICE" << " "
<< "QTY"
<< endl;
for(int i = 0; i < count; ++i)
{
const Setting &book = books[i];
// Only output the record if all of the expected fields are present.
string title, author;
double price;
int qty;
if(!(book.lookupValue("title", title)
&& book.lookupValue("author", author)
&& book.lookupValue("price", price)
&& book.lookupValue("qty", qty)))
continue;
cout << setw(30) << left << title << " "
<< setw(30) << left << author << " "
<< '$' << setw(6) << right << price << " "
<< qty
<< endl;
}
cout << endl;
}
catch(const SettingNotFoundException &nfex)
{
// Ignore.
}
// Output a list of all books in the inventory.
try
{
const Setting &movies = root["inventory"]["movies"];
int count = movies.getLength();
cout << setw(30) << left << "TITLE" << " "
<< setw(10) << left << "MEDIA" << " "
<< setw(6) << left << "PRICE" << " "
<< "QTY"
<< endl;
for(int i = 0; i < count; ++i)
{
const Setting &movie = movies[i];
// Only output the record if all of the expected fields are present.
string title, media;
double price;
int qty;
if(!(movie.lookupValue("title", title)
&& movie.lookupValue("media", media)
&& movie.lookupValue("price", price)
&& movie.lookupValue("qty", qty)))
continue;
cout << setw(30) << left << title << " "
<< setw(10) << left << media << " "
<< '$' << setw(6) << right << price << " "
<< qty
<< endl;
}
cout << endl;
}
catch(const SettingNotFoundException &nfex)
{
// Ignore.
}
return(EXIT_SUCCESS);
}
// eof
Example config file:
// An example configuration file that stores information about a store.
// Basic store information:
name = "Books, Movies & More";
// Store inventory:
inventory =
{
books = ( { title = "Treasure Island";
author = "Robert Louis Stevenson";
price = 29.99;
qty = 5; },
{ title = "Snow Crash";
author = "Neal Stephenson";
price = 9.99;
qty = 8; }
);
movies = ( { title = "Brazil";
media = "DVD";
price = 19.99;
qty = 11; },
{ title = "The City of Lost Children";
media = "DVD";
price = 18.99;
qty = 5; },
{ title = "Memento";
media = "Blu-Ray";
price = 24.99;
qty = 20;
},
{ title = "Howard the Duck"; }
);
};
// Store hours:
hours =
{
mon = { open = 9; close = 18; };
tue = { open = 9; close = 18; };
wed = { open = 9; close = 18; };
thu = { open = 9; close = 18; };
fri = { open = 9; close = 20; };
sat = { open = 9; close = 20; };
sun = { open = 11; close = 16; };
};
I`m trying e.g.:
g++ -lconfig++ example1.cpp -o example1
Output:
/tmp/ccOI0efx.o: In function `main':
example1.cpp:(.text+0x21): undefined reference to `libconfig::Config::Config()' (..)
How to compile this program? What is necessary command?
Another way:
I also downloaded package:
libconfig-1.4.9.tar.gz
extract and done "Install" file, I mean:
The simplest way to compile this package is:
cd' to the directory containing the package's source code and type
./configure'...
Type `make' to compile the package.
Optionally, type `make check'...
Type `make install' to install the programs and any data files and
documentation.
You can remove the program binaries and object files from the
source code directory by typing `make clean'...
After that try to run c++ example
(cd examples/c++ and make) nothing to do?
Output:
make: *** No rule to make target `../../lib/libconfig++.la', required by `example1'. Stop.
Run this command :
g++ example1.cpp -lconfig++ -Wall -o example1 && ./example1