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http://jira.mfd.msk:8088/browse/CLS-1017

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etreschenkov 2026-05-15 16:31:48 +03:00
parent 43847b4a0a
commit 00f62b5be6
5 changed files with 24 additions and 72 deletions
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13
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/OrderCurrencyListener.java
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@ -24,7 +24,6 @@ import ru.clearing.classes.statics.data.misc.Listing;
import ru.clearing.classes.statics.data.misc.Market;
import ru.clearing.classes.statics.data.misc.OrderCurrency;
import ru.clearing.classes.statics.data.misc.OvernightSettings;
import ru.clearing.classes.statics.data.misc.SCrossRate;
import ru.clearing.classes.statics.data.misc.SOrders;
import ru.clearing.classes.statics.data.registry.Registry;
import ru.clearing.classes.statics.data.registry.TradingClearingRegistry;
@ -233,9 +232,9 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
LocalDate now = LocalDate.now();
//мб возвращать вместе с листингом?
CurrencyPairDictionary currPairT0 = imdgQueryService.getCurrencyPairDictionaryBySecurityId(listingT0.getSecurityId());
SCrossRate rateT0 = imdgQueryService.getSCrossRates(currPairT0.getBaseCurrency(), now);
Rates rateT0 = imdgQueryService.getRateOnNextWorkingDay(currPairT0.getBaseCurrency());
CurrencyPairDictionary currPairT1 = imdgQueryService.getCurrencyPairDictionaryBySecurityId(listingT1.getSecurityId());
SCrossRate rateT1 = imdgQueryService.getSCrossRates(currPairT1.getBaseCurrency(), now);
Rates rateT1 = imdgQueryService.getRateOnNextWorkingDay(currPairT1.getBaseCurrency());
var pair = new Pair<>(orderT0, orderT1);
Pair.forEach(pair, o -> {
@ -246,8 +245,8 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
});
updateOrderFieldsByListing(orderT0, listingT0);
updateOrderFieldsByListing(orderT1, listingT1);
orderT0.setPrice(rateT0.getUnitRate());
orderT1.setPrice(BigDecimalUtil.safeSumBD(swap.getPrice(), rateT1.getUnitRate()));
orderT0.setPrice(rateT0.getValue());
orderT1.setPrice(BigDecimalUtil.safeSumBD(swap.getPrice(), rateT1.getValue()));
return pair;
}
@ -280,9 +279,7 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
Market market = imdgQueryService.getSwapMarket();
Listing listing = imdgQueryService.findListing(rgs, market.getCode(), SettleCode.T1.getKey());
CurrencyPairDictionary pair = imdgQueryService.getCurrencyPairDictionaryBySecurityId(listing.getSecurityId());
BigDecimal n = transferDateService.numberOfDaysOfTransfer();
LocalDate searchingValueDate = LocalDate.now().plusDays(n.longValue());
Rates rates = imdgQueryService.getRate(pair.getBaseCurrency(), searchingValueDate);
Rates rates = imdgQueryService.getRateOnNextWorkingDay(pair.getBaseCurrency());
BigDecimal rateValue = null;
copyCommonFields(order1, swap);
swap.setSecurityId(listing.getSecurityId());

7
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/TaskListener.java
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@ -7,7 +7,6 @@ import java.nio.charset.Charset;
import java.nio.file.Files;
import java.nio.file.Path;
import java.time.Instant;
import java.time.LocalDate;
import java.time.LocalDateTime;
import java.time.format.DateTimeFormatter;
import java.util.Collection;
@ -24,8 +23,8 @@ import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.stereotype.Service;
import ru.clearing.classes.statics.data.misc.OrderCurrency;
import ru.clearing.classes.statics.data.misc.OvernightSettings;
import ru.clearing.classes.statics.data.misc.SCrossRate;
import ru.clearing.classes.statics.data.registry.Registry;
import ru.clearing.classes.statics.data.security.Rates;
import ru.spcex.clearing.dflt.management.config.settings.DefaultManagementSettings;
import ru.spcex.clearing.dflt.management.enums.SendOrdersTypes;
import ru.spcex.clearing.dflt.management.service.ImdgQueryService;
@ -182,11 +181,11 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
}
String currency = isRubPmt ? CurrencyCode.CNY.getKey() : pmtRegistry.getSecuritySymbol();
SCrossRate sCrossRate = imdgQueryService.getSCrossRates(currency, LocalDate.now());
Rates rates = imdgQueryService.getRateOnNextWorkingDay(currency);
BigDecimal val = orderCurrency.getQuantityLot()
.multiply(orderCurrency.getLotSize())
.multiply(sCrossRate.getUnitRate());
.multiply(rates.getValue());
BigDecimal diff = isRubPmt ?
pmtRegistry.getBalance().add(val) :

20
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/ImdgQueryService.java
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@ -50,9 +50,11 @@ public class ImdgQueryService {
private final Imdg<Registry> registryImdg;
private final Imdg<OvernightSettings> overnightSettingsImdg;
private final Imdg<OrderCurrency> orderCurrencyImdg;
private final TransferDateService transferDateService;
public ImdgQueryService(ImdgProvider imdgProvider) {
public ImdgQueryService(ImdgProvider imdgProvider,
TransferDateService transferDateService) {
this.categoryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_ClearingMemberCategory, ClearingMemberCategory.class);
this.companyRoleSetImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_CompanyRoleSet, CompanyRoleSet.class);
this.companyImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Company, Company.class);
@ -67,6 +69,7 @@ public class ImdgQueryService {
this.registryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Registry, Registry.class);
this.overnightSettingsImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OvernightSettings, OvernightSettings.class);
this.orderCurrencyImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OrderCurrency, OrderCurrency.class);
this.transferDateService = transferDateService;
}
public Collection<Long> getCurrencyRegistry() {
ImdgPredicateBuilder builder = registryImdg.predicateBuilder();
@ -194,27 +197,18 @@ public class ImdgQueryService {
: findRiskParameterForOtherCurrency(registry);
}
public Rates getRate(String currency, LocalDate valueDate) {
public Rates getRateOnNextWorkingDay(String currency) {
LocalDate nextWorkingDate = transferDateService.findNextWorkingDate();
ImdgPredicateBuilder pb = ratesImdg.predicateBuilder();
return ratesImdg.getSingleObjectByPredicate(
pb.and(
pb.equals("currency", currency),
pb.equals("valueDate", valueDate),
pb.equals("valueDate", nextWorkingDate),
pb.equals("workflowStatus", WorkflowStatus.Active.getKey())
)
);
}
public SCrossRate getSCrossRates(String currency, LocalDate date) {
ImdgPredicateBuilder pb = sCrossRateImdg.predicateBuilder();
return sCrossRateImdg.getSingleObjectByPredicate(
pb.and(
pb.equals("currency", currency),
pb.equals("date", date)
)
);
}
public BigDecimal defineTransferRate(Long currencyPairDictionaryId, String securitySymbol) {
ImdgPredicateBuilder pb = riskParameterImdg.predicateBuilder();
boolean isRub = "RUB".equals(securitySymbol);

24
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCalculationService.java
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@ -3,13 +3,11 @@ package ru.spcex.clearing.dflt.management.service;
import java.math.BigDecimal;
import java.math.MathContext;
import java.math.RoundingMode;
import java.time.LocalDate;
import java.util.Collection;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.springframework.stereotype.Service;
import ru.clearing.classes.statics.data.misc.Listing;
import ru.clearing.classes.statics.data.misc.SCrossRate;
import ru.clearing.classes.statics.data.registry.Registry;
import ru.clearing.classes.statics.data.security.Rates;
import ru.clearing.platform.dictionary.CurrencyPairDictionary;
@ -53,10 +51,8 @@ public class OrderCalculationService {
BigDecimal quantityLot = result.sum3().abs();
BigDecimal price;
long nextWorkDayDelta = n.longValue();
LocalDate searchingValueDate = LocalDate.now().plusDays(nextWorkDayDelta);
int precision = listing.getPrecision().intValue();
Rates rates = imdgQueryService.getRate(pair.getBaseCurrency(), searchingValueDate);
Rates rates = imdgQueryService.getRateOnNextWorkingDay(pair.getBaseCurrency());
price = swapPriceCalc(rates, s, n, precision);
return new FinalCalculationResult(price, rates.getValue().setScale(precision, RoundingMode.HALF_UP), s, quantityLot, result);
}
@ -74,8 +70,7 @@ public class OrderCalculationService {
? calculationRubSums(registry, listing.getLotSize().intValue(), s, n)
: calculationSums(registry, listing.getLotSize().intValue(), s, n);
long nextWorkDayDelta = n.longValue();
Rates rates = imdgQueryService.getRate(pair.getBaseCurrency(), LocalDate.now().plusDays(nextWorkDayDelta));
Rates rates = imdgQueryService.getRateOnNextWorkingDay(pair.getBaseCurrency());
BigDecimal quantityLot;
BigDecimal price;
if (SettleCode.T0 == settleCode) {
@ -94,11 +89,11 @@ public class OrderCalculationService {
BigDecimal planPosition = registry.getBalance();
BigDecimal sum1 = planPosition.abs();
SCrossRate sCrossRates = imdgQueryService.getSCrossRates(registry.getSecuritySymbol(), LocalDate.now());
if (sCrossRates == null) {
Rates rates = imdgQueryService.getRateOnNextWorkingDay(registry.getSecuritySymbol());
if (rates == null) {
throw new IllegalStateException(String.format("Not fond rate by security symbol: %s", CurrencyCode.CNY.getKey()));
}
BigDecimal rateValue = sCrossRates.getUnitRate();
BigDecimal rateValue = rates.getValue();
BigDecimal sum3 = mathCeil(sum1, lotSize);
BigDecimal sum4 = sum3.multiply(rateValue, MC).negate();
BigDecimal sum5 = sum3.negate();
@ -115,11 +110,11 @@ public class OrderCalculationService {
private CalculationResult calculationRubSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
BigDecimal planPosition = registry.getBalance();
SCrossRate sCrossRates = imdgQueryService.getSCrossRates(CurrencyCode.CNY.getKey(), LocalDate.now());
if (sCrossRates == null) {
Rates rates = imdgQueryService.getRateOnNextWorkingDay(CurrencyCode.CNY.getKey());
if (rates == null) {
throw new IllegalStateException(String.format("Not fond rate by security symbol: %s", CurrencyCode.CNY.getKey()));
}
BigDecimal rateValue = sCrossRates.getUnitRate();
BigDecimal rateValue = rates.getValue();
BigDecimal sum1 = planPosition.divide(rateValue, MC).abs();
@ -162,8 +157,7 @@ public class OrderCalculationService {
}
private BigDecimal swapPriceCalcT1(String baseCurrency, BigDecimal s, BigDecimal n, int precision) {
long nextWorkDayDelta = n.longValue();
Rates rate = imdgQueryService.getRate(baseCurrency, LocalDate.now().plusDays(nextWorkDayDelta));
Rates rate = imdgQueryService.getRateOnNextWorkingDay(baseCurrency);
BigDecimal p = n.divide(BigDecimal.valueOf(365), MC);
log.info("Calculation swap price: {}*{}*{}", rate.getValue(), s, p);
return rate.getValue()

32
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCurrencyTriExportService.java
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@ -2,7 +2,6 @@ package ru.spcex.clearing.dflt.management.service;
import java.math.BigDecimal;
import java.nio.charset.StandardCharsets;
import java.time.LocalDate;
import java.util.ArrayList;
import java.util.Collection;
import java.util.List;
@ -11,15 +10,7 @@ import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.springframework.stereotype.Service;
import ru.clearing.classes.statics.data.misc.OrderCurrency;
import ru.clearing.classes.statics.data.security.Rates;
import ru.clearing.platform.dictionary.CurrencyPairDictionary;
import ru.spcex.clearing.platform.messaging.domain.Consts;
import ru.spcex.clearing.platform.messaging.domain.cud.utilities.NotificationNewRequest;
import ru.spcex.clearing.platform.messaging.service.sender.KafkaSender;
import ru.spcex.platform.enumeration.ObjectType;
import ru.spcex.platform.enumeration.OvernightType;
import ru.spcex.platform.enumeration.Priority;
import ru.spcex.platform.enumeration.SettleCode;
import ru.spcex.platform.enumeration.Side;
@Service
@ -89,29 +80,6 @@ public class OrderCurrencyTriExportService {
return "";
}
public String resolveBaseRate(OrderCurrency orderCurrency) {
if (OvernightType.SPOT.equalsByKey(orderCurrency.getOvernightType())) {
return "";
}
CurrencyPairDictionary currencyPairDictionary = imdgQueryService.getCurrencyPairDictionaryBySecurityId(orderCurrency.getSecurityId());
String baseCurrency = currencyPairDictionary.getBaseCurrency();
LocalDate rateDate = LocalDate.now();
if (SettleCode.T1.equalsByKey(orderCurrency.getSettleCode())) { //всегда т.к. SWAP?
BigDecimal n = transferDateService.numberOfDaysOfTransfer();
rateDate = rateDate.plusDays(n.longValue());
}
Rates rates = imdgQueryService.getRate(currencyPairDictionary.getBaseCurrency(), rateDate);
if (rates == null || rates.getValue() == null) {
log.warn("Не найден активный курс для валюты {} на дату {}", baseCurrency, rateDate);
return null;
}
return formatDecimalStripZeroes(rates.getValue());
}
private String formatDecimal(BigDecimal value) {
return value == null ? "" : value.toPlainString();
}