Thursday, August 22, 2013

Bloomberg V3COM API wrapper update 2 for VBA

I am finally publishing some updates (hopefully also improvements) to the existing version for Bloomberg BCOM wrapper. If you are not familiar with the previous versions, you might want to take a look at these first.

http://mikejuniperhill.blogspot.fi/2013/05/bloomberg-v3com-api-wrapper-for-vba.html

http://mikejuniperhill.blogspot.fi/2013/06/bloomberg-v3com-api-wrapper-update-for.html

Three interface functions

With this updated version, I have now decided to break the class public interface function (previously getData function) into three separate functions. Handling all those different mandatory/optional input parameters for all different types of market data started to be a bit too messy operation to handle and public interface function mutated itself into a scary-looking monster. However, I still have not compromised the basic principle which says, that the wrapper is a compact one-module entity, which can be imported easily into your new VBA project. So, everything is (and hopefully will be) inside one class module. Anyway, to be more specific about the new public function interfaces, we have now three separate public functions for different types of data queries:
  1. referenceData
  2. bulkReferenceData
  3. historicalData
I assume that you are familiar of these data query types already. If not, then read those previous posts. Now, let us investigate these function interfaces a bit to be able to understand, what has been changed.

For referenceData, the new class interface function has been defined to be the following:

Public Function referenceData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant

Needless to say, we still need to give arrays for securities (Bloomberg tickers with yellow key) and fields (Bloomberg field names).

Field override in Bloomberg

What is new here, is the override optionality. To implement an override to any field, we need to set up one array for override field names and another for override values. Excellent source for investigating possible override options for a field, is Bloomberg itself and its FLDS function. For example, you can test the override in your Bloomberg with the following commands:

IBM US Equity <GO>
FLDS <GO> 
write best eps into FLDS query input box and press ENTER
mouse-click BEST_EPS

You should now have a view for all the fields, which can be overriden for this specific field (BEST_EPS). Just for an example, if you select BEST_FPERIOD_OVERRIDE (default value = 1FY) to be 3FY, you can see that the value for BEST_EPS also changes. And so on. If you play with this FLDS for a while, you should become pretty comfortable with this override possibility in Bloomberg. Personally I have to give a credit for Bloomy people for giving out this function, since it is a really great tool, which truly increases your productivity. There is an example tester program given for reference data retrieving in the code section below, with and without override. If you already did not know, you can retrieve multiple fields for multiple securities, as that example program shows. 

Next, we have bulkReferenceData. The new class public interface function has been defined to be the following:

Public Function bulkReferenceData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant

Nothing else has been changed, except we have now override possibility also for this type of data retrieving. Using override follows exactly, what has been presented above for reference data. I guess that most of the people will retrieve option chains, bond chains or curve member chains from Bloomberg. If you are not familiar what kind of overrides you can have for a chain, use FLDS again (BOND_CHAIN, OPT_CHAIN, INDX_MEMBERS). There is an example tester program given for bulk reference data retrieving in the code section below, with and without override. It should be noted also, that you can also retrieve chains for multiple securities, as that example program shows. Because the function returns a multidimensional array, there might be some further labour needed for handling this array for empty items. However, if you are comfortable enough with VBA arrays, this should not be any tombstone for your project.

Finally, we have the trickiest one, historicalData. Function interface has been defined to be the following:

Public Function historicalData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    ByVal startDate As Date, _
    ByVal endDate As Date, _
    Optional ByVal calendarCodeOverride As String, _
    Optional ByVal currencyCode As String, _
    Optional ByVal nonTradingDayFillOption As String, _
    Optional ByVal nonTradingDayFillMethod As String, _
    Optional ByVal periodicityAdjustment As String, _
    Optional ByVal periodicitySelection As String, _
    Optional ByVal maxDataPoints As Integer, _
    Optional ByVal pricingOption As String, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant

Note the large amount of optional parameters for historical data. If you are familiar with Bloomberg BDH function, you may notice, that these optional parameters above are exactly the same what are being used in that BDH function. Let us go through the optional parameters:
  • calendarCodeOverride - Returns the data based on the calendar of the specified country, exchange or religion from CDR <GO>. Taking a two character calendar code null terminated string. This will cause the data to be aligned according to the calendar and including calendar holidays. This only applies to daily requests.
  • currencyCode - Amends the value from local currency of the security to the desired currency. Currency of the ISO code. Eg. USD, GBP.
  • nonTradingDayFillOption - Sets whether to include or exclude Non-Trading Days when no data is available. NON_TRADING_WEEKDAYS, ALL_CALENDAR_DAYS or ACTIVE_DAYS_ONLY (default).
  • nonTradingDayFillMethod - Formats the type of data returned for non-trading days. PREVIOUS_VALUE (default) or NIL_VALUE.
  • periodicityAdjustment - Sets the periodicity of the data. ACTUAL, CALENDAR (default) or FISCAL.
  • periodicitySelection - DAILY (default), WEEKLY, MONTHLY, QUARTERLY, SEMI_ANNUALLY or YEARLY.
  • maxDataPoints - The number of periods to download from the end date.  The response will contain up to X data points, where X is the integer specified. If the original data set is larger than X, the response will be a subset, containing the last X data points. Hence the first range of data points will be removed. Any positive integer.
  • pricingOption - Sets quote to Price or Yield for a debt instrument. PRICING_OPTION_PRICE or PRICING_OPTION_YIELD (default for debt instrument).
These definitions for optional parameters given above, are copy-pasted from Bloomberg WAPI site. The best way to learn what kind of effect these parameters has on your result data, is just to play with parameters. There are also some override possibilities for historical data request and these are following the same principles as presented within the previous sections. If you want to know what kind of fields can be overriden for historical data retrieving, consult WAPI<GO> or contact Bloomberg help desk. To be honest, I am not so familiar with overriding fields for historical data.

Data array inconsistency for historical data - the problem

With this updated version for historical data, it is now possible to retrieve historical data also for multiple fields and multiple securities. However, one really annoying feature for this historical data retrieving for multiple securities is the fact, that the dates for different securities are not necessarily matching inside arrays. I mean, that for an array item n
  • security A has a date of 12.8.2013 for the item
  • security B has a date of 15.8.2013 for the item
  • security C has a date of 13.8.2013 for the item 
Technically speaking, you could do a separate function for handling this problem. First you get raw data for all n securities. After this, you pick up one security to be "reference security" for dates. Then you loop through the whole data set (n-1 securities left) and fetch data for "reference security dates" for all those securities left. Then you also need to define a rule for missing data. For example, use previous value if security does not have observation for a give date, and so on. So, even it should not be "intellectually too challenging", for sure it means a lot of extra churning with your code. So, what to do? 

The solution

Because of all those ingenious optional parameters implemented, there is an elegant way to overcome this problem. We give the following optional parameters for wrapper when retrieving historical data
  • nonTradingDayFillOption = ALL_CALENDAR_DAYS
  • nonTradingDayFillMethod = PREVIOUS_VALUE.
There is an example tester program for retrieving historical data with these optional parameters implemented. It shows that by employing this method, your data arrays for different securities will be "date consistent" with each other. Make sure, that you have "Sheet1" existing in your Excel, since all tester programs are printing out the result data into this worksheet. Final note: do not forget to declare Bloomberg V3COM API library: VBA editor (ALT+F11) - Tools - References -  Bloomberg API COM 3.x Type Library.

Afterthoughts

The biggest improvement for this version has been the optionality for field value overrides. Second improvement has been the possibility for retrieving data for multiple securities (bulk reference and historical data) and multiple fields (historical data). I have tested example programs and they should be working correctly. If you observe anything unusual going on with wrapper, just leave a comment for me.

My personal Thank You this time goes to Faizal from Singapore. As I have been gradually working with this wrapper, he has been giving me 1) some proper motivation to work, 2) valuable suggestions and comments, and 3) extremely valuable help for testing this wrapper with real-life data sets.

Anyway, have a great start for autumn and thanks for reading my blog. I hope you got something to make your life a bit easier when working with Bloomberg market data in VBA.

-Mike


' VBA standard module
Option Explicit
'
Private b As BCOM_wrapper
Private r As Variant
Private s() As String
Private f() As String
Private overrideFields() As String
Private overrideValues() As String
'
Sub tester_referenceData()
    '
    ' create wrapper object
    Set b = New BCOM_wrapper
    '
    ' create 3 securities and 4 fields
    ReDim s(0 To 2): s(0) = "GS US Equity": s(1) = "DBK GR Equity": s(2) = "JPM US Equity"
    ReDim f(0 To 3): f(0) = "SECURITY_NAME": f(1) = "BEST_EPS": f(2) = "BEST_PE_RATIO": f(3) = "BEST_DIV_YLD"
    '
    ' retrieve result from wrapper into array and print
    r = b.referenceData(s, f)
    printReferenceData r
    '
    ' create 1 override for fields
    ReDim overrideFields(0 To 0): overrideFields(0) = "BEST_FPERIOD_OVERRIDE"
    ReDim overrideValues(0 To 0): overrideValues(0) = "3FY"
    '
    ' retrieve result from wrapper into array and print
    r = b.referenceData(s, f, overrideFields, overrideValues)
    printReferenceData r
    '
    ' release wrapper object
    Set b = Nothing
End Sub
'
Sub tester_bulkReferenceData()
    '
    ' create wrapper object
    Set b = New BCOM_wrapper
    '
    ' create 3 securities and 1 fields
    ReDim s(0 To 2): s(0) = "GS US Equity": s(1) = "DBK GR Equity": s(2) = "JPM US Equity"
    ReDim f(0 To 0): f(0) = "BOND_CHAIN"
    '
    ' retrieve result from wrapper into array and print
    r = b.bulkReferenceData(s, f)
    printBulkReferenceData r
    '
    ' create 2 overrides for chain
    ReDim overrideFields(0 To 1): overrideFields(0) = "CHAIN_CURRENCY": overrideFields(1) = "CHAIN_COUPON_TYPE"
    ReDim overrideValues(0 To 1): overrideValues(0) = "JPY": overrideValues(1) = "FLOATING"
    '
    ' retrieve result from wrapper into array and print
    r = b.bulkReferenceData(s, f, overrideFields, overrideValues)
    printBulkReferenceData r
    '
    ' release wrapper object
    Set b = Nothing
End Sub
'
Sub tester_historicalData()
    '
    ' create wrapper object
    Set b = New BCOM_wrapper
    '
    ' create 3 securities and 4 fields
    ReDim s(0 To 2): s(0) = "GS US Equity": s(1) = "DBK GR Equity": s(2) = "JPM US Equity"
    ReDim f(0 To 3): f(0) = "PX_OPEN": f(1) = "PX_LOW": f(2) = "PX_HIGH": f(3) = "PX_LAST"
    '
    ' retrieve result from wrapper into array
    r = b.historicalData(s, f, CDate("21.8.2008"), CDate("21.8.2013"), , , "ALL_CALENDAR_DAYS", "PREVIOUS_VALUE")
    printHistoricalData r
    '
    ' release wrapper object
    Set b = Nothing
End Sub
'
Private Function printReferenceData(ByRef data As Variant)
    '
    Dim rng As Range: Set rng = Sheets("Sheet1").Range("A1")
    rng.CurrentRegion.ClearContents
    Dim i As Long, j As Long
    '
    On Error Resume Next
    For i = 0 To UBound(data, 1)
        For j = 0 To UBound(data, 2)
            rng(i + 1, j + 1) = data(i, j)
        Next j
    Next i
End Function
'
Private Function printBulkReferenceData(ByRef data As Variant)
    '
    Dim rng As Range: Set rng = Sheets("Sheet1").Range("A1")
    rng.CurrentRegion.ClearContents
    Dim i As Long, j As Long
    '
    On Error Resume Next
    For i = 0 To UBound(data, 1)
        For j = 0 To UBound(data, 2)
            rng(j + 1, i + 1) = data(i, j)
        Next j
    Next i
End Function
'
Private Function printHistoricalData(ByRef data As Variant)
    '
    Dim rng As Range: Set rng = Sheets("Sheet1").Range("A1")
    rng.CurrentRegion.ClearContents
    Dim i As Long, j As Long, k As Long: k = 1
    '
    On Error Resume Next
    For i = 0 To UBound(data, 1)
        For j = 0 To UBound(data, 2)
            rng(j + 1, i + k) = data(i, j)(0)
            rng(j + 1, i + k + 1) = data(i, j)(1)
            rng(j + 1, i + k + 2) = data(i, j)(2)
            rng(j + 1, i + k + 3) = data(i, j)(3)
        Next j
        '
        k = k + 3
    Next i
End Function
'


' VBA Class module, name = BCOM_wrapper
Option Explicit
'
' public enumerator for request type
Public Enum ENUM_REQUEST_TYPE
    REFERENCE_DATA = 1
    HISTORICAL_DATA = 2
    BULK_REFERENCE_DATA = 3
End Enum
'
' constants
Private Const CONST_SERVICE_TYPE As String = "//blp/refdata"
Private Const CONST_REQUEST_TYPE_REFERENCE As String = "ReferenceDataRequest"
Private Const CONST_REQUEST_TYPE_BULK_REFERENCE As String = "ReferenceDataRequest"
Private Const CONST_REQUEST_TYPE_HISTORICAL As String = "HistoricalDataRequest"
'
' private data structures
Private bInputSecurityArray() As String
Private bInputFieldArray() As String
Private bOutputArray As Variant
Private bOverrideFieldArray() As String
Private bOverrideValueArray() As String
'
' BCOM objects
Private bSession As blpapicomLib2.session
Private bService As blpapicomLib2.Service
Private bRequest As blpapicomLib2.request
Private bSecurityArray As blpapicomLib2.element
Private bFieldArray As blpapicomLib2.element
Private bEvent As blpapicomLib2.Event
Private bIterator As blpapicomLib2.MessageIterator
Private bIteratorData As blpapicomLib2.Message
Private bSecurities As blpapicomLib2.element
Private bSecurity As blpapicomLib2.element
Private bSecurityName As blpapicomLib2.element
Private bSecurityField As blpapicomLib2.element
Private bFieldValue As blpapicomLib2.element
Private bSequenceNumber As blpapicomLib2.element
Private bFields As blpapicomLib2.element
Private bField As blpapicomLib2.element
Private bDataPoint As blpapicomLib2.element
Private bOverrides As blpapicomLib2.element
Private bOverrideArray() As blpapicomLib2.element
'
' class non-object data members
Private bStartDate As String
Private bEndDate As String
Private bRequestType As ENUM_REQUEST_TYPE
Private nSecurities As Long
Private nSecurity As Long
Private bCalendarCodeOverride As String
Private bCurrencyCode As String
Private bNonTradingDayFillOption As String
Private bNonTradingDayFillMethod As String
Private bPeriodicityAdjustment As String
Private bPeriodicitySelection As String
Private bMaxDataPoints As Integer
Private bPricingOption As String
'
Public Function referenceData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant
    '
    ' mandatory user input parameters
    bRequestType = REFERENCE_DATA
    bInputSecurityArray = securities
    bInputFieldArray = fields
    '
    ' field names and values for overrides
    If Not (VBA.IsMissing(overrideFields)) Then bOverrideFieldArray = overrideFields
    If Not (VBA.IsMissing(overrideValues)) Then bOverrideValueArray = overrideValues
    '
    processDataRequest
    referenceData = bOutputArray
End Function
'
Public Function bulkReferenceData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant
    '
    ' mandatory user input parameters
    bRequestType = BULK_REFERENCE_DATA
    bInputSecurityArray = securities
    bInputFieldArray = fields
    '
    ' field names and values for overrides
    If Not (VBA.IsMissing(overrideFields)) Then bOverrideFieldArray = overrideFields
    If Not (VBA.IsMissing(overrideValues)) Then bOverrideValueArray = overrideValues
    '
    processDataRequest
    bulkReferenceData = bOutputArray
End Function
'
Public Function historicalData(ByRef securities As Variant, _
    ByRef fields As Variant, _
    ByVal startDate As Date, _
    ByVal endDate As Date, _
    Optional ByVal calendarCodeOverride As String, _
    Optional ByVal currencyCode As String, _
    Optional ByVal nonTradingDayFillOption As String, _
    Optional ByVal nonTradingDayFillMethod As String, _
    Optional ByVal periodicityAdjustment As String, _
    Optional ByVal periodicitySelection As String, _
    Optional ByVal maxDataPoints As Integer, _
    Optional ByVal pricingOption As String, _
    Optional ByRef overrideFields As Variant, _
    Optional ByRef overrideValues As Variant) As Variant
    '
    ' mandatory user input parameters
    bRequestType = HISTORICAL_DATA
    bInputSecurityArray = securities
    bInputFieldArray = fields
    bStartDate = startDate
    bEndDate = endDate
    '
    ' checks and conversions for user-defined dates
    If ((startDate = CDate(0)) Or (endDate = CDate(0))) Then _
        Err.Raise vbObjectError, "Bloomberg API", "Date parameters missing for historical data query"
    '
    If (startDate > endDate) Then _
        Err.Raise vbObjectError, "Bloomberg API", "Incorrect date parameters for historical data query"
    '
    bStartDate = convertDateToBloombergString(startDate)
    bEndDate = convertDateToBloombergString(endDate)
    '
    ' optional user input parameters
    bCalendarCodeOverride = calendarCodeOverride
    bCurrencyCode = currencyCode
    bNonTradingDayFillOption = nonTradingDayFillOption
    bNonTradingDayFillMethod = nonTradingDayFillMethod
    bPeriodicityAdjustment = periodicityAdjustment
    bPeriodicitySelection = periodicitySelection
    bMaxDataPoints = maxDataPoints
    bPricingOption = pricingOption
    '
    ' field names and values for overrides
    If Not (VBA.IsMissing(overrideFields)) Then bOverrideFieldArray = overrideFields
    If Not (VBA.IsMissing(overrideValues)) Then bOverrideValueArray = overrideValues
    '
    processDataRequest
    historicalData = bOutputArray
End Function
'
Private Function processDataRequest()
    '
    openSession
    sendRequest
    catchServerEvent
    releaseObjects
End Function
'
Private Function openSession()
    '
    Set bSession = New blpapicomLib2.session
    bSession.Start
    bSession.OpenService CONST_SERVICE_TYPE
    Set bService = bSession.GetService(CONST_SERVICE_TYPE)
End Function
'
Private Function sendRequest()
    '
    Select Case bRequestType
        Case ENUM_REQUEST_TYPE.HISTORICAL_DATA
            ReDim bOutputArray(0 To UBound(bInputSecurityArray, 1), 0 To 0)
            Set bRequest = bService.CreateRequest(CONST_REQUEST_TYPE_HISTORICAL)
            '
            ' set mandatory user input parameter
            bRequest.Set "startDate", bStartDate
            bRequest.Set "endDate", bEndDate
            '
            ' set optional user input parameter
            If (bNonTradingDayFillOption <> "") Then bRequest.Set "nonTradingDayFillOption", bNonTradingDayFillOption
            If (bNonTradingDayFillMethod <> "") Then bRequest.Set "nonTradingDayFillMethod", bNonTradingDayFillMethod
            If (bPeriodicityAdjustment <> "") Then bRequest.Set "periodicityAdjustment", bPeriodicityAdjustment
            If (bPeriodicitySelection <> "") Then bRequest.Set "periodicitySelection", bPeriodicitySelection
            If (bCalendarCodeOverride <> "") Then bRequest.Set "calendarCodeOverride", bCalendarCodeOverride
            If (bCurrencyCode <> "") Then bRequest.Set "currency", bCurrencyCode
            If (bMaxDataPoints <> 0) Then bRequest.Set "maxDataPoints", bMaxDataPoints
            If (bPricingOption <> "") Then bRequest.Set "pricingOption ", bPricingOption
            '
        Case ENUM_REQUEST_TYPE.REFERENCE_DATA
            Dim nSecurities As Long: nSecurities = UBound(bInputSecurityArray)
            Dim nFields As Long: nFields = UBound(bInputFieldArray)
            ReDim bOutputArray(0 To nSecurities, 0 To nFields)
            Set bRequest = bService.CreateRequest(CONST_REQUEST_TYPE_REFERENCE)
            '
        Case ENUM_REQUEST_TYPE.BULK_REFERENCE_DATA
            ReDim bOutputArray(0 To UBound(bInputSecurityArray, 1), 0 To 0)
            Set bRequest = bService.CreateRequest(CONST_REQUEST_TYPE_BULK_REFERENCE)
            '
    End Select
    '
    Set bSecurityArray = bRequest.GetElement("securities")
    Set bFieldArray = bRequest.GetElement("fields")
    appendRequestItems
    setOverrides
    bSession.sendRequest bRequest
End Function
'
Private Function setOverrides()
    '
    On Error GoTo errorHandler
    '
    If (UBound(bOverrideFieldArray) <> UBound(bOverrideValueArray)) Then Exit Function
    Set bOverrides = bRequest.GetElement("overrides")
    '
    ReDim bOverrideArray(LBound(bOverrideFieldArray) To UBound(bOverrideFieldArray))
    Dim i As Integer
    For i = 0 To UBound(bOverrideFieldArray)
        '
        If ((Len(bOverrideFieldArray(i)) > 0) And (Len(bOverrideValueArray(i)) > 0)) Then
            '
            Set bOverrideArray(i) = bOverrides.AppendElment()
            bOverrideArray(i).SetElement "fieldId", bOverrideFieldArray(i)
            bOverrideArray(i).SetElement "value", bOverrideValueArray(i)
        End If
    Next i
    Exit Function
    '
errorHandler:
    Exit Function
End Function
'
Private Function appendRequestItems()
    '
    Dim nSecurities As Long: nSecurities = UBound(bInputSecurityArray)
    Dim nFields As Long: nFields = UBound(bInputFieldArray)
    Dim i As Long
    Dim nItems As Integer: nItems = getMax(nSecurities, nFields)
    For i = 0 To nItems
        If (i <= nSecurities) Then bSecurityArray.AppendValue CStr(bInputSecurityArray(i))
        If (i <= nFields) Then bFieldArray.AppendValue CStr(bInputFieldArray(i))
    Next i
End Function
'
Private Function catchServerEvent()
    '
    Dim bExit As Boolean
    Do While (bExit = False)
        Set bEvent = bSession.NextEvent
        If (bEvent.EventType = PARTIAL_RESPONSE Or bEvent.EventType = RESPONSE) Then
            '
            Select Case bRequestType
                Case ENUM_REQUEST_TYPE.REFERENCE_DATA: getServerData_reference
                Case ENUM_REQUEST_TYPE.HISTORICAL_DATA: getServerData_historical
                Case ENUM_REQUEST_TYPE.BULK_REFERENCE_DATA: getServerData_bulkReference
            End Select
            '
            If (bEvent.EventType = RESPONSE) Then bExit = True
        End If
    Loop
End Function
'
Private Function getServerData_reference()
    '
    Set bIterator = bEvent.CreateMessageIterator
    Do While (bIterator.Next)
        Set bIteratorData = bIterator.Message
        Set bSecurities = bIteratorData.GetElement("securityData")
        Dim offsetNumber As Long, i As Long, j As Long
        nSecurities = bSecurities.Count
        '
        For i = 0 To (nSecurities - 1)
            Set bSecurity = bSecurities.GetValue(i)
            Set bSecurityName = bSecurity.GetElement("security")
            Set bSecurityField = bSecurity.GetElement("fieldData")
            Set bSequenceNumber = bSecurity.GetElement("sequenceNumber")
            offsetNumber = CInt(bSequenceNumber.Value)
            '
            For j = 0 To UBound(bInputFieldArray)
                If (bSecurityField.HasElement(bInputFieldArray(j))) Then
                    Set bFieldValue = bSecurityField.GetElement(bInputFieldArray(j))
                    bOutputArray(offsetNumber, j) = bFieldValue.Value
                End If
            Next j
        Next i
    Loop
End Function
'
Private Function getServerData_bulkReference()
    '
    Set bIterator = bEvent.CreateMessageIterator
    nSecurity = nSecurity + 1
    '
    Do While (bIterator.Next)
        Set bIteratorData = bIterator.Message
        Set bSecurities = bIteratorData.GetElement("securityData")
        Dim offsetNumber As Long, i As Long, j As Long
        Dim nSecurities As Long: nSecurities = bSecurities.Count
        '
        Set bSecurity = bSecurities.GetValue(0)
        Set bSecurityField = bSecurity.GetElement("fieldData")
        '
        If (bSecurityField.HasElement(bInputFieldArray(0))) Then
            Set bFieldValue = bSecurityField.GetElement(bInputFieldArray(0))
            '
            If ((bFieldValue.numValues - 1) > UBound(bOutputArray, 2)) Then _
                ReDim Preserve bOutputArray(0 To UBound(bOutputArray, 1), 0 To bFieldValue.numValues - 1)
            '
            For i = 0 To bFieldValue.numValues - 1
                Set bDataPoint = bFieldValue.GetValue(i)
                bOutputArray(nSecurity - 1, i) = bDataPoint.GetElement(0).Value
            Next i
        End If
    Loop
End Function
'
Private Function getServerData_historical()
    '
    Set bIterator = bEvent.CreateMessageIterator
    Do While (bIterator.Next)
        Set bIteratorData = bIterator.Message
        Set bSecurities = bIteratorData.GetElement("securityData")
        Dim nSecurities As Long: nSecurities = bSecurityArray.Count
        Set bSecurityField = bSecurities.GetElement("fieldData")
        Dim nItems As Long, offsetNumber As Long, nFields As Long, i As Long, j As Long
        nItems = bSecurityField.numValues
        If (nItems = 0) Then Exit Function
        If ((nItems > UBound(bOutputArray, 2))) Then _
            ReDim Preserve bOutputArray(0 To nSecurities - 1, 0 To nItems - 1)
        '
        Set bSequenceNumber = bSecurities.GetElement("sequenceNumber")
        offsetNumber = CInt(bSequenceNumber.Value)
        '
        If (bSecurityField.Count > 0) Then
            For i = 0 To (nItems - 1)
                '
                If (bSecurityField.Count > i) Then
                    Set bFields = bSecurityField.GetValue(i)
                    If (bFields.HasElement(bFieldArray(0))) Then
                        '
                        Dim d As Variant: ReDim d(0 To bFields.NumElements - 1)
                        For j = 0 To bFields.NumElements - 1
                            d(j) = bFields.GetElement(j).GetValue(0)
                        Next j
                        '
                        bOutputArray(offsetNumber, i) = d
                    End If
                End If
            Next i
        End If
    Loop
End Function
'
Private Function releaseObjects()
    '
    nSecurity = 0
    Set bDataPoint = Nothing
    Set bFieldValue = Nothing
    Set bSequenceNumber = Nothing
    Set bSecurityField = Nothing
    Set bSecurityName = Nothing
    Set bSecurity = Nothing
    Set bOverrides = Nothing
    Set bSecurities = Nothing
    Set bIteratorData = Nothing
    Set bIterator = Nothing
    Set bEvent = Nothing
    Set bFieldArray = Nothing
    Set bSecurityArray = Nothing
    Set bRequest = Nothing
    Set bService = Nothing
    bSession.Stop
    Set bSession = Nothing
End Function
'
Private Function convertDateToBloombergString(ByVal d As Date) As String
    '
    Dim dayString As String: dayString = VBA.CStr(VBA.Day(d)): If (VBA.Day(d) < 10) Then dayString = "0" + dayString
    Dim MonthString As String: MonthString = VBA.CStr(VBA.Month(d)): If (VBA.Month(d) < 10) Then MonthString = "0" + MonthString
    Dim yearString As String: yearString = VBA.Year(d)
    convertDateToBloombergString = yearString + MonthString + dayString
End Function
'
Private Function getMax(ByVal a As Long, ByVal b As Long) As Long
    '
    getMax = a: If (b > a) Then getMax = b
End Function
'