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‎EMSXFullSet_VBA/CreateOrderAndRouteEx.cls‎

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VERSION 1.0 CLASS
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BEGIN
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MultiUse = -1 'True
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END
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Attribute VB_Name = "CreateOrderAndRouteWithStrat"
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Attribute VB_GlobalNameSpace = False
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Attribute VB_Creatable = False
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Attribute VB_PredeclaredId = False
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Attribute VB_Exposed = False
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' Copyright 2017. Bloomberg Finance L.P.
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'
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' Permission is hereby granted, free of charge, to any person obtaining a copy
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' of this software and associated documentation files (the "Software"), to
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' deal in the Software without restriction, including without limitation the
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' rights to use, copy, modify, merge, publish, distribute, sublicense, and/or
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' sell copies of the Software, and to permit persons to whom the Software is
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' furnished to do so, subject to the following conditions: The above
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' copyright notice and this permission notice shall be included in all copies
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' or substantial portions of the Software.
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'
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' THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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' IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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' FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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' AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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' LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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' FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS
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' IN THE SOFTWARE.
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Option Explicit
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Private WithEvents m_BBG_EMSX As blpapicomLib2.Session
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Attribute m_BBG_EMSX.VB_VarHelpID = -1
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Public running As Boolean
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Private svc As blpapicomLib2.service
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Private emsxService As String
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Private requestID As blpapicomLib2.CorrelationId
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Private Sub Class_Initialize()
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log "Bloomberg - EMSX API Example - CreateOrderAndRouteEx"
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emsxService = "//blp/emapisvc_beta"
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Set m_BBG_EMSX = New blpapicomLib2.Session
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running = True
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m_BBG_EMSX.QueueEvents = True
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m_BBG_EMSX.Start
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End Sub
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Private Sub Class_Terminate()
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Set m_BBG_EMSX = Nothing
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End Sub
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Private Sub m_BBG_EMSX_ProcessEvent(ByVal obj As Object)
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On Error GoTo errHandler
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Dim eventObj As blpapicomLib2.Event
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' Assign the returned data to a Bloomberg type event
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Set eventObj = obj
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If Application.Ready Then
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Select Case eventObj.EventType
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Case SESSION_STATUS
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processSessionEvent eventObj
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Case BLPSERVICE_STATUS
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processServiceEvent eventObj
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Case RESPONSE
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processResponseEvent eventObj
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End Select
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End If
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Exit Sub
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errHandler:
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Dim errmsg As Variant
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errmsg = Err.Description
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log (errmsg)
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running = False
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End Sub
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Private Sub processSessionEvent(evt As blpapicomLib2.Event)
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log "Processing SESSION_STATUS event"
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Dim it As blpapicomLib2.MessageIterator
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Set it = evt.CreateMessageIterator()
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' Loop while we have messages remaining
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Do While it.Next()
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Dim msg As Message
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' Pick up message
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Set msg = it.Message
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log "MessageType: " + msg.MessageTypeAsString
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If msg.MessageTypeAsString = "SessionStarted" Then
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log "Session started..."
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m_BBG_EMSX.OpenService emsxService
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ElseIf msg.MessageTypeAsString = "SessionStartupFailure" Then
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log "Error: Session startup failed"
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running = False
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End If
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Loop
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End Sub
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Private Sub processServiceEvent(evt As blpapicomLib2.Event)
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Dim req As REQUEST
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Dim service As service
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Dim strategy As Element
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Dim indicator As Element
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Dim data As Element
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Dim it As blpapicomLib2.MessageIterator
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On Error GoTo failed
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log "Processing SERVICE_STATUS event"
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Set it = evt.CreateMessageIterator()
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' Loop while we have messages remaining
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Do While it.Next()
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Dim msg As Message
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' Pick up message
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Set msg = it.Message
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log "MessageType: " + msg.MessageTypeAsString
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If msg.MessageTypeAsString = "ServiceOpened" Then
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' Get the service
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Set service = m_BBG_EMSX.GetService(emsxService)
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'First, create our request object
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Set req = service.CreateRequest("CreateOrderAndRouteEx")
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'The fields below are mandatory
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req.Set "EMSX_TICKER", "IBM US Equity"
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req.Set "EMSX_AMOUNT", 1000
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req.Set "EMSX_ORDER_TYPE", "MKT"
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req.Set "EMSX_TIF", "DAY"
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req.Set "EMSX_HAND_INSTRUCTION", "ANY"
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req.Set "EMSX_SIDE", "BUY"
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req.Set "EMSX_BROKER", "BMTB"
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'The fields below are optional
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'req.Set "EMSX_ACCOUNT", "TestAccount"
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'req.Set "EMSX_BOOKNAME", "HedgingBasket"
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'req.Set "EMSX_BASKET_NAME", "HedgingBasket"
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'req.Set "EMSX_CFD_FLAG", "1"
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'req.Set "EMSX_CLEARING_ACCOUNT", "ClrAccName"
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'req.Set "EMSX_CLEARING_FIRM", "FirmName"
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'req.Set "EMSX_CUSTOM_NOTE1", "Note1"
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'req.Set "EMSX_CUSTOM_NOTE2", "Note2"
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'req.Set "EMSX_CUSTOM_NOTE3", "Note3"
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'req.Set "EMSX_CUSTOM_NOTE4", "Note4"
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'req.Set "EMSX_CUSTOM_NOTE5", "Note5"
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'req.Set "EMSX_EXCHANGE_DESTINATION", "ExchDest"
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'req.Set "EMSX_EXEC_INSTRUCTIONS", "AnyInst"
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'req.Set "EMSX_GET_WARNINGS", "0"
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'req.Set "EMSX_GTD_DATE", "20170105"
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'req.Set "EMSX_INVESTOR_ID", "InvID"
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'req.Set "EMSX_LIMIT_PRICE", 123.45
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'req.Set "EMSX_LOCATE_BROKER", "BMTB"
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'req.Set "EMSX_LOCATE_ID", "SomeID"
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'req.Set "EMSX_LOCATE_REQ", "Y"
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'req.Set "EMSX_NOTES", "Some notes"
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'req.Set "EMSX_ODD_LOT", "0"
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'req.Set "EMSX_ORDER_ORIGIN", ""
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'req.Set "EMSX_ORDER_REF_ID", "UniqueID"
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'req.Set "EMSX_P_A", "P"
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'req.Set "EMSX_RELEASE_TIME", 34341
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'req.Set "EMSX_REQUEST_SEQ", 1001
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'req.Set "EMSX_ROUTE_REF_ID", "UniqueID"
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'req.Set "EMSX_SETTLE_CURRENCY", "USD"
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'req.Set "EMSX_SETTLE_DATE", 20170106
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'req.Set "EMSX_SETTLE_TYPE", "T+2"
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'req.Set "EMSX_STOP_PRICE", 123.5
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'Below we establish the strategy details
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Set strategy = req.GetElement("EMSX_STRATEGY_PARAMS")
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strategy.SetElement "EMSX_STRATEGY_NAME", "VWAP"
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Set indicator = strategy.GetElement("EMSX_STRATEGY_FIELD_INDICATORS")
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Set data = strategy.GetElement("EMSX_STRATEGY_FIELDS")
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'Strategy parameters must be appended in the correct order. See the output
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'of GetBrokerStrategyInfo request for the order. The indicator value is 0 for
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'a field that carries a value, and 1 where the field should be ignored
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "09:30:00" 'StartTime
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 0
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "10:30:00" 'EndTime
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 0
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'Max%Volume
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" '%AMSession
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'OPG
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'MOC
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'CompletePX
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'TriggerPX
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'DarkComplete
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'DarkCompPX
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'RefIndex
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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data.AppendElment().SetElement "EMSX_FIELD_DATA", "" 'Discretion
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indicator.AppendElment().SetElement "EMSX_FIELD_INDICATOR", 1
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log "Request: " & req.Print
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' Send the request
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Set requestID = m_BBG_EMSX.SendRequest(req)
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ElseIf msg.MessageTypeAsString = "ServiceOpenFailure" Then
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log "Error: Service failed to open"
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running = False
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End If
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Loop
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Exit Sub
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failed:
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log "Failed to send the request: " + Err.Description
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running = False
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Exit Sub
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End Sub
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Private Sub processResponseEvent(evt As blpapicomLib2.Event)
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log "Processing RESPONSE event"
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Dim it As blpapicomLib2.MessageIterator
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Dim i As Integer
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Dim errorCode As Long
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Dim errorMessage As String
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Set it = evt.CreateMessageIterator()
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' Loop while we have messages remaining
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Do While it.Next()
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Dim msg As Message
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' Pick up message
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Set msg = it.Message
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log "MessageType: " + msg.MessageTypeAsString
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If evt.EventType = RESPONSE And msg.CorrelationId.Value = requestID.Value Then
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If msg.MessageTypeAsString = "ErrorInfo" Then
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errorCode = msg.GetElement("ERROR_CODE")
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errorMessage = msg.GetElement("ERROR_MESSAGE")
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log "ERROR CODE: " & errorCode & " ERROR DESCRIPTION: " & errorMessage
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running = False
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ElseIf msg.MessageTypeAsString = "CreateOrderAndRouteEx" Then
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Dim emsxSequence As Long
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Dim emsxRouteId As Long
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Dim msgdesc As String
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emsxSequence = msg.GetElement("EMSX_SEQUENCE")
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emsxRouteId = msg.GetElement("EMSX_ROUTE_ID")
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msgdesc = msg.GetElement("MESSAGE")
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log "EMSX_SEQUENCE: " & emsxSequence & " EMSX_ROUTE_ID: " & emsxRouteId & " MESSAGE: " & msgdesc
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m_BBG_EMSX.Stop
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running = False
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End If
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End If
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Loop
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End Sub
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