A tip to improve the performance of your Bloomberg API application

Écrit par Erwin le 25 mai 2011, mis à jour le 6 juin 2011 dans .NET, Computer science, Finance, Programmation

If you make a request for data which results in a lot of events generated by Bloomberg API (such as long historical intraday data request, or possibly real time subscriptions), do not use the pattern specified in the API documentation, as it may end up making your application very slow to retrieve all events. Basically, do not call NextEvent() on a Session object, use a dedicated EventQueue instead.

Instead of doing this:

view source
print?
1var cID = new CorrelationID(1);
2session.SendRequest(request, cID);
3do {
4   Event eventObj = session.NextEvent();
5   ...
6}

Do this:

view source
print?
1var cID = new CorrelationID(1);
2var eventQueue = new EventQueue();
3session.SendRequest(request, eventQueue, cID);
4do {
5   Event eventObj = eventQueue.NextEvent();
6   ...
7}

This simple change may yield performance improvements by an order of magnitude (or not, as the API is known to not be particularly deterministic…).

Recursive algorithm to generate all combinations of elements in successive enumerables

Écrit par Erwin le 14 décembre 2010, mis à jour le 31 octobre 2012 dans .NET, Algorithmes, Computer science, Programmation

If you need to flatten ordered enumerables, that is taking one element of each enumerable, in order, to flatten a combination, here is a quick solution in C# and VB.NET, accompanied with an example:

Code in VB.NET:

view source
print?
1Private Shared Sub GetCombinationsRec(Of T)(sources As IList(Of IEnumerable(Of T)), chain As T(), index As Integer, combinations As ICollection(Of T()))
2    For Each element As var In sources(index)
3        chain(index) = element
4        If index Is sources.Count - 1 Then
5            Dim finalChain = New T(chain.Length - 1) {}
6            chain.CopyTo(finalChain, 0)
7            combinations.Add(finalChain)
8        Else
9            GetCombinationsRec(sources := sources, chain := chain, index := index + 1, combinations := combinations)
10        End If
11    Next
12End Sub
13 
14Public Shared Function GetCombinations(Of T)(ParamArray enumerables As IEnumerable(Of T)()) As List(Of T())
15    Dim combinations = New List(Of T())(enumerables.Length)
16    If enumerables.Length > 0 Then
17        Dim chain = New T(enumerables.Length - 1) {}
18        GetCombinationsRec(sources := enumerables, chain := chain, index := 0, combinations := combinations)
19    End If
20    Return combinations
21End Function

Code in C#.NET:

view source
print?
1private static void GetCombinationsRec<T>(IList<IEnumerable<T>> sources, T[] chain, int index, ICollection<T[]> combinations) {
2    foreach (var element in sources[index]) {
3        chain[index] = element;
4        if (index == sources.Count - 1) {
5            var finalChain = new T[chain.Length];
6            chain.CopyTo(finalChain, 0);
7            combinations.Add(finalChain);
8        }
9        else {
10            GetCombinationsRec(sources: sources, chain: chain, index: index + 1, combinations: combinations);
11        }
12    }
13}
14 
15public static List<T[]> GetCombinations<T>(params IEnumerable<T>[] enumerables) {
16    var combinations = new List<T[]>(enumerables.Length);
17    if (enumerables.Length > 0) {
18        var chain = new T[enumerables.Length];
19        GetCombinationsRec(sources: enumerables, chain: chain, index: 0, combinations: combinations);
20    }
21    return combinations;
22}

Usage is simple:

view source
print?
1Dim list1 = New String() {"hello", "bonjour", "hallo", "hola"}
2Dim list2 = New String() {"Erwin", "Larry", "Bill", "Steve"}
3Dim list3 = New String() {"!", ".."}
4Dim result = Utils.GetCombinations(list1, list2, list3)
5For Each r In result
6    Debug.Print(String.Join(" "c, r))
7Next

or in C#:

view source
print?
1var list1 = new[] { "Hello", "Bonjour", "Hallo", "Hola" };
2var list2 = new[] { "Erwin", "Larry", "Bill", "Steve" };
3var list3 = new[] { "!", "..." };
4var result = Utils.GetCombinations(list1, list2, list3);
5foreach (r in result) {
6    Debug.Print(string.Join(" ", r));
7}

As with any recursive function, memory usage can be exponential so make sure you know the number of target combinations is reasonable. Speed-wise, parallelizing this function is not worth it as we are just iterating over the elements.

Cloning objects with events in Visual Basic .NET

Écrit par Erwin le 18 octobre 2009, mis à jour le 24 janvier 2010 dans .NET, Computer science, Programmation

The easiest way to clone an object (deep copy) in .NET is to use the serialization functions available:

view source
print?
1Public Shared Function CloneObject(ByVal obj As Object) As Object
2    If Not obj Is Nothing Then
3        Dim bf = New System.Runtime.Serialization.Formatters.Binary.BinaryFormatter()
4        Dim fs = New System.IO.MemoryStream()
5        bf.Serialize(fs, obj)
6        fs.Seek(0, System.IO.SeekOrigin.Begin)
7        Dim copy = CType(bf.Deserialize(fs), Object)
8        fs.Close()
9        Return copy
10    Else
11        Return Nothing
12    End If
13End Function

Though the performance is not very good, for occasional operations it will do the job perfectly. However, I was confronted to the following problem: what if there are events inside the class, to which other objects have subscribed? I found several methods (and functions :-)) on various places over the Internet; they basically were:

  • Implement ISerializable yourself (meaning you have to update it each time you modify the class);
  • Disconnect from events (retrieved using Reflection), serialize the object, and then reconnect the events (I could not make this working properly);
  • Implement a serialization surrogate;
  • Implement your events in a separate class that is not serialized;
  • Implement your events in a C# base class.

Plenty of potential solutions, but none of them was good enough for me. So I played around with Reflection and found something that nobody else might have done so far. For a cloning interface that does just a shallow copy, like what MemberwiseClone does, but without event, I wrote this:

view source
print?
1Public Function Clone() As Object Implements System.ICloneable.Clone
2    Dim cl = New MyClassName(Me)
3    'Here we don't capture events, only normal fields, including non public ones (private, protected...)
4    Dim FldInfos() As Reflection.FieldInfo = Me.GetType.GetFields(Reflection.BindingFlags.Instance Or Reflection.BindingFlags.Public Or Reflection.BindingFlags.NonPublic)
5    For Each FldInfo As Reflection.FieldInfo In FldInfos
6        FldInfo.SetValue(cl, FldInfo.GetValue(Me)) 'For serialization purpose we just need not to have events, so no need to perform a deep copy of the fields.
7    Next
8    Return cl
9End Function

Now if one of your class member is an object with events (or if you want to perform a deep copy), you should call its clone method (to be implemented the same way) when performing the FldInfo.SetValue, like this:

view source
print?
1For Each FldInfo As Reflection.FieldInfo In FldInfos
2    If FldInfo.Name <> "MyObjectWithEvents" Then
3        FldInfo.SetValue(cl, FldInfo.GetValue(Me)) 'It is not really necessary to clone a possible reference class member here for serialization purpose, we just need not to have events in the clone
4    Else
5        FldInfo.SetValue(cl, Me.MyObjectWithEvents.Clone())
6    End If
7Next

If you have an object that is for example a dictionary of objects with events, you can call this:

view source
print?
1For Each FldInfo As Reflection.FieldInfo In FldInfos
2    If FldInfo.Name <> "MyObjectsWithEventsDictionary" Then
3        FldInfo.SetValue(cl, MyLib.CloneObject(FldInfo.GetValue(Me)))
4    Else
5        FldInfo.SetValue(cl, Me.MyObjectsWithEventsDictionary.ToDictionary(Of String, MyObjectWithEvent)(Function(entry) entry.Key, Function(entry) CType(entry.Value.Clone(), MyObjectWithEvent)))
6    End If
7Next

Finally, if you intend to use the Clone interface to serialize objects, you should make sure you don’t include class members marked as NonSerialized():

view source
print?
1For Each FldInfo As Reflection.FieldInfo In FldInfos
2    If Not FldInfo.IsNotSerialized Then
3        FldInfo.SetValue(cl, FldInfo.GetValue(Me))
4    End If
5Next

I hope this will give you an insight to build something more tailored to your needs. There are other optimizations I can already think of, such as implementing a recursive Clone function where you would just put your original object and a virgin instance of it as a reference, and get a perfect serializable deep copy, whatever the class members and sub class members are! This could become a universal Clone method…