Bar Data (i.e. OHLCV) using Bloomberg API

Question

I am trying to terminate my old data sourcing process (that used Excel BDH formulas on one sheet), and instead trying to code a very simple C# console application to Bloomberg C# Desktop API.

All i need is to replicate this BDH formula - that basically returns the BAR data for a given time interval:

= BDH(security,fields,startdatetime,enddatetime,"BarTp=T","BarSz=1")

I did my best to replicate the example presented here at bloomberg documentation, but could not handle the error I mentioned below.

I checked openbloomberg.com and of course stackoverflow questions for a relevant example, but, simply put, the closest example I could find returned errors when I replicated the code.

The following code is the overall structure I completed so far:

using System;
using System.Collections.Generic;
using System.Text;


using CorrelationID = Bloomberglp.Blpapi.CorrelationID;
using Element = Bloomberglp.Blpapi.Element;
using Event = Bloomberglp.Blpapi.Event;
using Message = Bloomberglp.Blpapi.Message;
using Request = Bloomberglp.Blpapi.Request;
using Service = Bloomberglp.Blpapi.Service;
using Session = Bloomberglp.Blpapi.Session;
using SessionOptions = Bloomberglp.Blpapi.SessionOptions;
using BDateTime = Bloomberglp.Blpapi.Datetime;




namespace RequestResponseMultiple
{


class RequestResponseMultiple
{

    public static Request request;
    public static Session session;


    static void Main(string[] args)
    {


        open_one_bb_session();


        // Add securities
        request.Set("security", "GARAN TI Equity");
        request.Set("eventType", "TRADE");
        request.Set("interval", 1); // bar interval in minutes
        request.Set("startDateTime", new BDateTime(2014, 03, 21, 13, 30, 0, 0));
        request.Set("endDateTime", new BDateTime(2014, 03, 21, 15, 30, 0, 0));


        // send request and handle response!
        while (true)
        {

            //... SEND THE REQUEST...
            session.SendRequest(request, new CorrelationID(1));

            //... AND, HANDLE THE RESPONSE!
            bool continueToLoop = true;
            while (continueToLoop)
            {
                Event eventObj = session.NextEvent();
                switch (eventObj.Type)
                {
                    case Event.EventType.RESPONSE:
                        continueToLoop = false;
                        handleResponseEvent(eventObj);
                        break;

                    case Event.EventType.PARTIAL_RESPONSE:
                        handleResponseEvent(eventObj);
                        break;

                    default:
                        handleOtherEvent(eventObj);
                        break;
                }
            } // each eventobj

            Console.ReadKey();



        } // time

    } // void









    private static void open_one_bb_session()
    {
        // open session
        SessionOptions sessionOptions = new SessionOptions();
        sessionOptions.ServerHost = "localhost";
        sessionOptions.ServerPort = 8194;
        session = new Session(sessionOptions);
        if (!session.Start())
        {
            System.Console.WriteLine("Could not start session.");
            System.Environment.Exit(1);
        }

        // open server from the session
        if (!session.OpenService("//blp/refdata"))
        {
            System.Console.WriteLine("Could not open service " + "//blp/refdata");
            System.Environment.Exit(1);
        }

        // get server from the session
        Service refDataSvc = session.GetService("//blp/refdata");

        // Create request from this server
        // request = refDataSvc.CreateRequest("ReferenceDataRequest");
        request = refDataSvc.CreateRequest("IntradayBarRequest");

        // create intraday bar request 
        // request = refDataSvc.CreateRequest("IntradayBarRequest");
    }







    private static void handleResponseEvent(Event eventObj)
    {
        foreach (Message message in eventObj.GetMessages())
        {
            Element ReferenceDataResponse = message.AsElement;

            if (ReferenceDataResponse.HasElement("responseError"))
            {System.Environment.Exit(1);}

            Element securityDataArray =ReferenceDataResponse.GetElement("security");

            int numItems = securityDataArray.NumValues;

            for (int i = 0; i < numItems; ++i)
            {
                Element securityData =securityDataArray.GetValueAsElement(i);
                String security =securityData.GetElementAsString("security");
                int sequenceNumber =securityData.GetElementAsInt32("sequenceNumber");

                if (securityData.HasElement("securityError"))
                {
                    Element securityError =securityData.GetElement("securityError");
                    System.Console.WriteLine("* security =" + security);

                    securityError =securityData.GetElement("securityError");
                    securityError.Print(System.Console.Out);
                    return;
                }

                else
                {
                    Element Bars = message.GetElement("barData").GetElement("barTickData");
                     int nBars = Bars.NumValues;

                     for (int nB = 0; nB < nBars; ++nB) 
                    {
                        Element Bar = Bars.GetValueAsElement(nB);
                        BDateTime time = Bar.GetElementAsDate("time");
                        double open = Bar.GetElementAsFloat64("open");
                        double high = Bar.GetElementAsFloat64("high");
                        double low = Bar.GetElementAsFloat64("low");
                        double close = Bar.GetElementAsFloat64("close");
                        int numEvents = Bar.GetElementAsInt32("numEvents");
                        long volume = Bar.GetElementAsInt64("volume");

                        // Individually output each value
                        System.Console.WriteLine(
                            "security =" +security 
                            + " sequenceNumber =" +sequenceNumber
                            + ", " + time
                            + ", " + open
                            + ", " + high
                            + ", " + low
                            + ", " + close
                            + ", " + volume);
                    } // each Bar
                }

            } // num msg items

        } // msg

    } // void





    private static void handleOtherEvent(Event eventObj)
    {
        System.Console.WriteLine("EventType=" + eventObj.Type);

        foreach (Message message in eventObj.GetMessages())
        {
            System.Console.WriteLine("correlationID=" +message.CorrelationID);
            System.Console.WriteLine("messageType=" +message.MessageType);
            message.Print(System.Console.Out);
            if (Event.EventType.SESSION_STATUS == eventObj.Type && message.MessageType.Equals("SessionTerminated"))
            {
                System.Console.WriteLine("Terminating: " + message.MessageType);
                System.Environment.Exit(1);
            }
        } // each msg

    } // void





} // class

}// n

My question is as follows:

Q1- How to set startdatetime and enddatetime for this kind of tick data requests? the code i provided below returns error:

"An unhandled exception of type 'Bloomberglp.Blpapi.NotFoundException' occurred in Bloomberglp.Blpapi.dll. Additional information: Bloomberglp.Blpapi.NotFoundException: security not found in: IntradayBarResponse;

My hunch is that, the start and end time could not be set properly (and I could not come up with the right way to define start and end days, unfortunately). That is why no result is returned from the server.

Additional sources:

• One link that might be related to this question: Hourly Data using Bloomberg .Net API

• And another link directly from the bloomberg example is here!:

Thanks in advance for your time, help, support,

Aykut Saribiyik

Answer 1

After a decent search at the bloomberg terminal:

• open WAPI

• pick DESKTOP API

• download the zip file, extract it, and goto examples

• pick IntraDayExample.cs

This example is exactly what I required.

Thanks