关于python:bloombergapi：如何将请求与在IntradayBarRequest上的响应关联起来？

Bloomberg API: how do I associate request with response on IntradayBarRequest?

不幸的是，我在论坛上被引导相信(但没有100%的把握)，彭博桌面API一次不允许超过一个IntradayBarreQuest或IntradayTickRequest，这与允许多个同时请求的HistoricalDataRequest或订阅不同。

因此，除非有人告诉我上述情况并非真的，否则这个问题可能毫无意义。

如果为真，那么处理下面问题的唯一方法就是只在处理完前一个请求之后才发送每个新请求。

我正在使用python bloomberg桌面API访问金融证券的订阅(实时更新)和历史每日数据。在这两种情况下，我可以同时发送多个请求，并且当响应出现时(不一定按照请求发送的顺序)，我可以使用msg.getelement("securitydata").getelementasstring("security")(对于历史数据)或订阅数据)来确定响应与哪个安全性相关联，通过使用msg.correlationids()[0].value()查询预先设置的correlationid(在订阅请求时)。

但是，我不知道如何处理日间不响应请求(并且WAPI文档没有帮助)。它们似乎没有可设置的correlationid，也没有上面的"securitydata"字段。如果我在一天内发送多个请求，我如何才能找出响应的安全性？

这是我的代码(改编自api python示例)。

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import blpapi # interface to bloomberg
import time # will need this for time parsing
from optparse import OptionParser
import pdb # debugger, when necessary
import csv # for csv reading
import string # for string parsing
from pymongo import MongoClient
import inspect
from datetime import datetime
from bson.son import SON

def parseCmdLine():
parser = OptionParser(description="Retrieve realtime data.")
parser.add_option("-a",
"--ip",
dest="host",
help="server name or IP (default: %default)",
metavar="ipAddress",
default="localhost")
parser.add_option("-p",
dest="port",
type="int",
help="server port (default: %default)",
metavar="tcpPort",
default=8194)
parser.add_option("--me",
dest="maxEvents",
type="int",
help="stop after this many events (default: %default)",
metavar="maxEvents",
default=100000000000)
parser.add_option("--mongohost",
dest="mongohost",
default="192.168.1.30")
parser.add_option("--mongoport",
dest="mongoport",
type="int",
default=27017)

(options, args) = parser.parse_args()

return options

def main():
options = parseCmdLine()

# connect to MongoDB MONGO MONGO MONGO MONGO ----------------
print"Connecting to MongoDB"
print options.mongohost
print options.mongoport
client = MongoClient(options.mongohost, options.mongoport) # connect to MongoDB
db = client.bb # connect to the DB database
bbsecs = db.bbsecs
bbticks = db.bbticks
# now get the securities list

# Fill SessionOptions
sessionOptions = blpapi.SessionOptions()
sessionOptions.setServerHost(options.host)
sessionOptions.setServerPort(options.port)

print"connecting to Bloomberg"
print"Connecting to %s:%d" % (options.host, options.port)

# Create a Session
session = blpapi.Session(sessionOptions)

# Start a Session
if not session.start():
print"Failed to start session."
return

# open the market data subscription service
if not session.openService("//blp/mktbar"):
print"Failed to open //blp/mktbar"
return
if not session.openService("//blp/refdata"):
print"Failed to open //blp/refdata"
return

# now startup the subscription list
# Now open the secs.dat file and read it, append each to subscription list
maxtimes = bbticks.aggregate([{'$group': {'_id':'$ticker', 'maxtime':{'$max': '$time'}}}]) # get the last updates by ticker
refDataService = session.getService("//blp/refdata") # start the ref
for i in maxtimes["result"]:
ticker = i["_id"]
tstamp = i["maxtime"]
request = refDataService.createRequest("IntradayBarRequest")
request.set("security", ticker)
request.set("eventType","TRADE")
request.set("interval", 1)
request.set("startDateTime", tstamp)
request.set("endDateTime", datetime.now())
print"Sending Request:", ticker
session.sendRequest(request)

subscriptions = blpapi.SubscriptionList()
secdic = dict() # a new dictionary
for post in bbsecs.find():
print(post["ticker"])
# subscribe tick
#subscriptions.add(str(post["ticker"]),"LAST_PRICE", [], blpapi.CorrelationId("TICK:" + str(post["ticker"])))
#subscribe 1 minute bars
subscriptions.add("//blp/mktbar/ticker/"+str(post["ticker"]),
"LAST_PRICE",
"interval=1.0",
blpapi.CorrelationId(str(post["ticker"])))
# setup the dictionary
secdic[post["bbsecnum"]] = post["ticker"]
if not session.openService("//blp/refdata"):
print"Failed to open //blp/refdata"
return
# now subscribe
session.subscribe(subscriptions)

# HISTORICALHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHH
# Obtain previously opened service
#refDataService = session.getService("//blp/refdata")
# Create and fill the request for the historical data
#request = refDataService.createRequest("HistoricalDataRequest")
#for post in bbsecs.find():
# request.getElement("securities").appendValue(str(post["ticker"]))
#request.getElement("fields").appendValue("LAST_PRICE")
#request.set("periodicityAdjustment","ACTUAL")
#request.set("periodicitySelection","DAILY")
#request.set("startDate","20100101")
#request.set("endDate","20121231")
#request.set("maxDataPoints", 2000)
#print"Sending Request:", request
# Send the request
#session.sendRequest(request)
#hhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhhh

try:
# Process received events
eventCount = 0
while(True):
# We provide timeout to give the chance to Ctrl+C handling:
event = session.nextEvent(500)
for msg in event:
if event.eventType() == blpapi.Event.SUBSCRIPTION_STATUS:
#print"%s - %s" % (msg.correlationIds()[0].value(), msg)
print"subscription status"
elif event.eventType() == blpapi.Event.SUBSCRIPTION_DATA:
key = msg.correlationIds()[0].value()
if msg.messageType() =="MarketBarStart":
open = msg.getElementAsFloat("OPEN")
high = msg.getElementAsFloat("HIGH")
low = msg.getElementAsFloat("LOW")
close = msg.getElementAsFloat("CLOSE")
btstamp = msg.getElementAsDatetime("TIME")
tstamp = datetime.now()
print"bar", key, close, tstamp
bbticks.insert({"type":"BAR","ticker": key,"value": close, \
"open": open,"high": high,"low": low,"close": close, \
"time": tstamp})
elif msg.messageType() =="MarketBarUpdate":
close = msg.getElementAsFloat("CLOSE")
#print"tick", close,
#bbticks.insert({"type":"TICK","ticker": key,"value": close,"time": tstamp})

#if etype =="TRADE":
# if msg.hasElement("LAST_TRADE"):
# key = msg.correlationIds()[0].value(),
# keytype = key[:(key.index(":"))]
# key = key[(key.index(":") + 1):]
# value = msg.getElementAsString("LAST_TRADE")
# timestamp = msg.getElementAsDatetime("TRADE_UPDATE_STAMP_RT")
# print key, value,
# bbticks.insert({"ticker": key,"value": value,"timestamp": timestamp})

else:
if msg.messageType() =="HistoricalDataResponse":
securityData = msg.getElement("securityData")
security = securityData.getElementAsString("security")
fieldDataArray = securityData.getElement("fieldData")
for j in range(0, fieldDataArray.numValues()):
fieldData = fieldDataArray.getValueAsElement(j)
field = fieldData.getElement(0)
tstamp = field.getValueAsDatetime()
tstamp = datetime(tstamp.year, tstamp.month, tstamp.day)
field = fieldData.getElement(1)
close = field.getValueAsFloat()
#print"history", security, close,
#bbticks.insert({"type":"DAILY","ticker": security,"value": close,"close": close, \
# "time": tstamp})
elif msg.messageType() =="IntradayBarResponse":
print"IntradayBarResponse"
data = msg.getElement("barData").getElement("barTickData")
numvals = data.numValues()
print numvals
if numvals > 0:
print data.getValueAsElement(1).getElement(1).getValueAsFloat()

if event.eventType() == blpapi.Event.SUBSCRIPTION_DATA:
eventCount += 1
if eventCount >= options.maxEvents:
break
finally:
# Stop the session
session.stop()

if __name__ =="__main__":
try:
main()
except KeyboardInterrupt:
print"Ctrl+C pressed. Stopping..."

我已经查看了EIDData，它是空的，即使我要求它返回。我关注的是货币，而不是股票，因此不需要兑换权利。

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> (Pdb) print eid._Element__dataHolder IntradayBarResponse = {
> barData = {
> eidData[] = {
> }
> barTickData[] = {
> barTickData = {
> time = 2013-08-02T18:36:00.000
> open = 4.233100
> high = 4.233600
> low = 4.233100
> close = 4.233400
> volume = 0
> numEvents = 119
> value = 0.000000
> }
> barTickData = {
> time = 2013-08-02T18:37:00.000
> open = 4.233400
> high = 4.233700
> low = 4.233100
> close = 4.233500
> volume = 0
> numEvents = 96
> value = 0.000000
> }
> barTickData = {
> time = 2013-08-02T18:38:00.000
> open = 4.233500
> high = 4.233600
> low = 4.233300
> close = 4.233500
> volume = 0
> numEvents = 135
> value = 0.000000
> }
> barTickData = {
> time = 2013-08-02T18:39:00.000

我仍在寻找一种将请求与响应关联起来的方法，而不必执行效率低下的请求….等待响应….请求等。不过，我不确定彭博是否提供此功能。这种限制似乎也存在于历史刻度数据中。