void parse_ref_response(Message message, double** data){
Element ReferenceDataResponse = message.asElement();
ReferenceDataResponse.print(std::cout);
if (ReferenceDataResponse.hasElement("responseError")){
OutputDebugString(L"ERROR");
return;
}
Element securityDataArray = message.getElement("securityData");
int numItems = securityDataArray.numValues();
double array[11];
int sequenceNum;
for (int i = 0; i < numItems; i++){
Element securityData = securityDataArray.getValueAsElement(i);
sequenceNum = securityData.getElementAsInt32("sequenceNumber");
Element fieldData = securityData.getElement("fieldData");
Datetime maturity = fieldData.getElementAsDatetime("MATURITY");
array[0] = (maturity.year()); //0
array[1] = (maturity.month()); //1
array[2] = (maturity.day()); //2
Datetime issue_dt = fieldData.getElementAsDatetime("ISSUE_DT");
array[3] = (maturity.year() - issue_dt.year()); //3
//newRow.push_back(issue_dt.month());
//newRow.push_back(issue_dt.day());
array[4] = (fieldData.getElementAsFloat64("DUR_ADJ_MID")); //4
array[5] = (fieldData.getElementAsFloat64("LAST_PRICE")); //5
array[6] = (fieldData.getElementAsFloat64("PX_LAST_EOD")); //6
array[7] = (fieldData.getElementAsFloat64("YLD_YTM_MID")); //7
array[8] = (fieldData.getElementAsFloat64("ASSET_SWAP_SPD_MID")); //8
array[9] = (fieldData.getElementAsFloat64("BB_Z_SPREAD_TO_OIS_DISC_MID")); //9
array[10] = (fieldData.getElementAsFloat64("BB_Z_SPREAD_TO_OIS_DISC_MID")); //10
}
for (int j = 0; j < 11; j++){
data[sequenceNum][j] = array[j];
}
}
void processMessage(Message &msg) {
Element data = msg.getElement(BAR_DATA).getElement(BAR_TICK_DATA);
int numBars = data.numValues();
std::cout <<"Response contains " << numBars << " bars" << std::endl;
std::cout <<"Datetime\t\tOpen\t\tHigh\t\tLow\t\tClose" <<
"\t\tNumEvents\tVolume" << std::endl;
for (int i = 0; i < numBars; ++i) {
Element bar = data.getValueAsElement(i);
Datetime time = bar.getElementAsDatetime(TIME);
assert(time.hasParts(DatetimeParts::DATE
| DatetimeParts::HOURS
| DatetimeParts::MINUTES));
double open = bar.getElementAsFloat64(OPEN);
double high = bar.getElementAsFloat64(HIGH);
double low = bar.getElementAsFloat64(LOW);
double close = bar.getElementAsFloat64(CLOSE);
int numEvents = bar.getElementAsInt32(NUM_EVENTS);
long long volume = bar.getElementAsInt64(VOLUME);
std::cout.setf(std::ios::fixed, std::ios::floatfield);
std::cout << time.month() << '/' << time.day() << '/' << time.year()
<< " " << time.hours() << ":" << time.minutes()
<< "\t\t" << std::showpoint
<< std::setprecision(3) << open << "\t\t"
<< high << "\t\t"
<< low << "\t\t"
<< close << "\t\t"
<< numEvents << "\t\t"
<< std::noshowpoint
<< volume << std::endl;
}
}
const double bbgDatetimeToPOSIX(const Datetime& dt) {
boost::gregorian::date bbg_boost_date(dt.year(),dt.month(),dt.day());
boost::posix_time::time_duration td =
boost::posix_time::hours(dt.hours()) +
boost::posix_time::minutes(dt.minutes()) +
boost::posix_time::seconds(dt.seconds()) +
boost::posix_time::milliseconds(dt.milliseconds());
boost::posix_time::ptime bbg_ptime(bbg_boost_date,td);
struct tm tm_time(to_tm(bbg_ptime));
return static_cast<double>(mktime(&tm_time));
}
Datetime Datetime::today() {
Datetime x = Datetime::now();
return Datetime(x.year(), x.month(), x.day());
}
const double bbgDateToPOSIX(const Datetime& bbg_date) {
boost::gregorian::date bbg_boost_date(bbg_date.year(),bbg_date.month(),bbg_date.day());
struct tm tm_time(to_tm(bbg_boost_date));
return static_cast<double>(mktime(&tm_time));
}
const int bbgDateToJulianDate(const Datetime& bbg_date) {
const boost::gregorian::date r_epoch(1970,1,1);
boost::gregorian::date bbg_boost_date(bbg_date.year(),bbg_date.month(),bbg_date.day());
boost::gregorian::date_period dp(r_epoch,bbg_boost_date);
return static_cast<int>(dp.length().days());
}
