add support for portfolio data via bds backend

NAMESPACE

@@ -16,5 +16,6 @@ export(blpConnect,
        getBars,
        getMultipleTicks,
        getTicks,
+       portfolio,
        subscribe
        )

R/RcppExports.R

@@ -17,6 +17,10 @@ bds_Impl <- function(con_, securities, field, options_, overrides_, verbose, ide
     .Call('Rblpapi_bds_Impl', PACKAGE = 'Rblpapi', con_, securities, field, options_, overrides_, verbose, identity_)
 }
 
+portfolio_Impl <- function(con_, securities, field, options_, overrides_, verbose, identity_) {
+    .Call('Rblpapi_portfolio_Impl', PACKAGE = 'Rblpapi', con_, securities, field, options_, overrides_, verbose, identity_)
+}
+
 beqs_Impl <- function(con, screenName, screenType, group, pitdate, languageId, verbose = FALSE) {
     .Call('Rblpapi_beqs_Impl', PACKAGE = 'Rblpapi', con, screenName, screenType, group, pitdate, languageId, verbose)
 }

R/portfolio.R

@@ -0,0 +1,60 @@
+
+##
+##  Copyright (C) 2016  Whit Armstrong and Dirk Eddelbuettel and John Laing
+##
+##  This file is part of Rblpapi
+##
+##  Rblpapi is free software: you can redistribute it and/or modify
+##  it under the terms of the GNU General Public License as published by
+##  the Free Software Foundation, either version 2 of the License, or
+##  (at your option) any later version.
+##
+##  Rblpapi 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 General Public License for more details.
+##
+##  You should have received a copy of the GNU General Public License
+##  along with Rblpapi.  If not, see <http://www.gnu.org/licenses/>.
+
+
+##' This function uses the Bloomberg API to retrieve 'portfolio' queries
+##'
+##' @title Run 'Portfolio Data' Queries
+##' @param security A character value with a single security symbol in
+##' Bloomberg notation.
+##' @param field A character string with a single Bloomberg query field.
+##' @param options An optional named character vector with option
+##' values. Each field must have both a name (designating the option
+##' being set) as well as a value.
+##' @param overrides An optional named character vector with override
+##' values. Each field must have both a name (designating the override
+##' being set) as well as a value.
+##' @param verbose A boolean indicating whether verbose operation is
+##' desired, defaults to \sQuote{FALSE}
+##' @param identity An optional identity object.
+##' @param con A connection object as created by a \code{blpConnect}
+##' call, and retrieved via the internal function
+##' \code{defaultConnection}.
+##' @return A list with as many entries as there are entries in
+##' \code{securities}; each list contains a data.frame with one row
+##' per observations and as many columns as entries in
+##' \code{fields}. If the list is of length one, it is collapsed into
+##' a single data frame.
+##' @author John Laing
+## TODO: examples. Do global portfolios exist so that examples will
+##       work for everyone? Otherwise I don't know how to do this.
+portfolio <- function(security, field, options=NULL, overrides=NULL,
+                      verbose=FALSE, identity=NULL,
+                      con=defaultConnection()) {
+    if (length(security) != 1L)
+        stop("more than one security submitted.", call.=FALSE)
+    if (length(field) != 1L)
+        stop("more than one field submitted.", call.=FALSE)
+    res <- portfolio_Impl(con, security, field, options, overrides, verbose, identity)
+    if (typeof(res)=="list" && length(res)==1) {
+        res <- res[[1]]
+    }
+    res
+}
+

src/RcppExports.cpp

@@ -72,6 +72,23 @@ BEGIN_RCPP
     return __result;
 END_RCPP
 }
+// portfolio_Impl
+Rcpp::List portfolio_Impl(SEXP con_, std::vector<std::string> securities, std::string field, SEXP options_, SEXP overrides_, bool verbose, SEXP identity_);
+RcppExport SEXP Rblpapi_portfolio_Impl(SEXP con_SEXP, SEXP securitiesSEXP, SEXP fieldSEXP, SEXP options_SEXP, SEXP overrides_SEXP, SEXP verboseSEXP, SEXP identity_SEXP) {
+BEGIN_RCPP
+    Rcpp::RObject __result;
+    Rcpp::RNGScope __rngScope;
+    Rcpp::traits::input_parameter< SEXP >::type con_(con_SEXP);
+    Rcpp::traits::input_parameter< std::vector<std::string> >::type securities(securitiesSEXP);
+    Rcpp::traits::input_parameter< std::string >::type field(fieldSEXP);
+    Rcpp::traits::input_parameter< SEXP >::type options_(options_SEXP);
+    Rcpp::traits::input_parameter< SEXP >::type overrides_(overrides_SEXP);
+    Rcpp::traits::input_parameter< bool >::type verbose(verboseSEXP);
+    Rcpp::traits::input_parameter< SEXP >::type identity_(identity_SEXP);
+    __result = Rcpp::wrap(portfolio_Impl(con_, securities, field, options_, overrides_, verbose, identity_));
+    return __result;
+END_RCPP
+}
 // beqs_Impl
 DataFrame beqs_Impl(SEXP con, std::string screenName, std::string screenType, std::string group, std::string pitdate, std::string languageId, bool verbose);
 RcppExport SEXP Rblpapi_beqs_Impl(SEXP conSEXP, SEXP screenNameSEXP, SEXP screenTypeSEXP, SEXP groupSEXP, SEXP pitdateSEXP, SEXP languageIdSEXP, SEXP verboseSEXP) {

src/bds.cpp

@@ -213,7 +213,7 @@ Rcpp::List bulkArrayToDf(Element& fieldData) {
     return buildDataFrame(lazy_frame);
 }
 
-Rcpp::List BulkDataResponseToDF(Event& event, std::string& requested_field, bool verbose) {
+Rcpp::List BulkDataResponseToDF(Event& event, std::string& requested_field, std::string response_type, bool verbose) {
     MessageIterator msgIter(event);
     if(!msgIter.next()) {
         throw std::logic_error("Not a valid MessageIterator.");
@@ -222,8 +222,8 @@ Rcpp::List BulkDataResponseToDF(Event& event, std::string& requested_field, bool
     Message msg = msgIter.message();
     Element response = msg.asElement();
     if (verbose) response.print(Rcpp::Rcout);
-    if(std::strcmp(response.name().string(),"ReferenceDataResponse")) {
-        throw std::logic_error("Not a valid ReferenceDataResponse.");
+    if(std::strcmp(response.name().string(),response_type.c_str())) {
+        throw std::logic_error("Not a valid " + response_type + ".");
     }
     Element securityData = response.getElement("securityData");
 
@@ -247,11 +247,11 @@ Rcpp::List BulkDataResponseToDF(Event& event, std::string& requested_field, bool
 
 // only allow one field for bds in contrast to bdp
 // [[Rcpp::export]]
-Rcpp::List bds_Impl(SEXP con_, std::vector<std::string> securities, 
+Rcpp::List bds_Impl(SEXP con_, std::vector<std::string> securities,
                     std::string field, SEXP options_, SEXP overrides_,
                     bool verbose, SEXP identity_) {
 
-    Session* session = 
+    Session* session =
         reinterpret_cast<Session*>(checkExternalPointer(con_, "blpapi::Session*"));
 
     std::vector<std::string> field_types;
@@ -269,15 +269,60 @@ Rcpp::List bds_Impl(SEXP con_, std::vector<std::string> securities,
     request.getElement("fields").appendValue(field.c_str());
     appendOptionsToRequest(request,options_);
     appendOverridesToRequest(request,overrides_);
-
+
+    sendRequestWithIdentity(session, request, identity_);
+
+    while (true) {
+        Event event = session->nextEvent();
+        switch (event.eventType()) {
+        case Event::RESPONSE:
+        case Event::PARTIAL_RESPONSE:
+            return BulkDataResponseToDF(event, field, "ReferenceDataResponse", verbose);
+            break;
+        default:
+            MessageIterator msgIter(event);
+            while (msgIter.next()) {
+                Message msg = msgIter.message();
+                //FIXME:: capture messages here for debugging
+            }
+        }
+        if (event.eventType() == Event::RESPONSE) { break; }
+    }
+    return R_NilValue;
+}
+
+// [[Rcpp::export]]
+Rcpp::List portfolio_Impl(SEXP con_, std::vector<std::string> securities,
+                    std::string field, SEXP options_, SEXP overrides_,
+                    bool verbose, SEXP identity_) {
+
+    Session* session =
+        reinterpret_cast<Session*>(checkExternalPointer(con_, "blpapi::Session*"));
+
+    std::vector<std::string> field_types;
+
+    const std::string rdsrv = "//blp/refdata";
+    if (!session->openService(rdsrv.c_str())) {
+        Rcpp::stop("Failed to open " + rdsrv);
+    }
+
+    Service refDataService = session->getService(rdsrv.c_str());
+    Request request = refDataService.createRequest("PortfolioDataRequest");
+    for (size_t i = 0; i < securities.size(); i++) {
+        request.getElement("securities").appendValue(securities[i].c_str());
+    }
+    request.getElement("fields").appendValue(field.c_str());
+    appendOptionsToRequest(request,options_);
+    appendOverridesToRequest(request,overrides_);
+
     sendRequestWithIdentity(session, request, identity_);
 
     while (true) {
         Event event = session->nextEvent();
         switch (event.eventType()) {
         case Event::RESPONSE:
         case Event::PARTIAL_RESPONSE:
-            return BulkDataResponseToDF(event, field, verbose);
+            return BulkDataResponseToDF(event, field, "PortfolioDataResponse", verbose);
             break;
         default:
             MessageIterator msgIter(event);