http://jira.mfd.msk:8088/browse/CLS-1000

clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/OrderCurrencyListener.java

@@ -29,6 +29,7 @@ import ru.clearing.platform.dictionary.CurrencyPairDictionary;
 import ru.spcex.clearing.dflt.management.component.validation.OrderCurrencyValidationStored;
 import ru.spcex.clearing.dflt.management.config.ValidationConfig;
 import ru.spcex.clearing.dflt.management.service.ImdgQueryService;
+import ru.spcex.clearing.dflt.management.service.TransferDateService;
 import ru.spcex.clearing.imdg.IMDGDistributedNames;
 import ru.spcex.clearing.platform.messaging.domain.BaseRequest;
 import ru.spcex.clearing.platform.messaging.domain.Consts;
@@ -69,6 +70,7 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
     private final ImdgQueryService imdgQueryService;
     private final IMessageResolver msgResolver;
     private final ValidationConfig validationConfig;
+    private final TransferDateService transferDateService;
 
     @Autowired
     public OrderCurrencyListener(Consumer<String, Object> kafkaQueue,
@@ -86,11 +88,12 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
                                  Function<OrderCurrencyUpdateRequest, IValidator> orderCurrencyUpdateStatusValidator,
                                  Function<CommonDeleteRequest, IValidator> orderCompanyDeleteValidator,
                                  ImdgQueryService imdgQueryService,
-                                 IMessageResolver msgResolver, ValidationConfig validationConfig) {
+                                 IMessageResolver msgResolver, ValidationConfig validationConfig, TransferDateService transferDateService) {
         super(kafkaQueue, kafkaProducer);
         this.registryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Registry, Registry.class);
         this.overnightSettingsImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OvernightSettings, OvernightSettings.class);
-        this.sOrdersImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_SOrders, SOrders.class);;
+        this.sOrdersImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_SOrders, SOrders.class);
+        this.transferDateService = transferDateService;
         this.orderCurrencyUpdateValidator = orderCurrencyUpdateValidator;
         this.orderCurrencyUpdateStatusValidator = orderCurrencyUpdateStatusValidator;
         this.overnightTypeUpdateValidator = overnightTypeUpdateValidator;
@@ -225,11 +228,16 @@ public class OrderCurrencyListener extends QueueConsumer implements Initializing
         Market market = imdgQueryService.getSpotMarket();
         Listing listingT0 = imdgQueryService.findListing(rgs, market.getCode(), SettleCode.T0.getKey());
         Listing listingT1 = imdgQueryService.findListing(rgs, market.getCode(), SettleCode.T1.getKey());
+        LocalDate now = LocalDate.now();
         //мб возвращать вместе с листингом?
         CurrencyPairDictionary currPairT0 = imdgQueryService.getCurrencyPairDictionaryBySecurityId(listingT0.getSecurityId());
-        SCrossRate rateT0 = imdgQueryService.getSCrossRates(currPairT0.getBaseCurrency(), LocalDate.now());
+        SCrossRate rateT0 = imdgQueryService.getSCrossRates(currPairT0.getBaseCurrency(), now);
         CurrencyPairDictionary currPairT1 = imdgQueryService.getCurrencyPairDictionaryBySecurityId(listingT1.getSecurityId());
-        SCrossRate rateT1 = imdgQueryService.getSCrossRates(currPairT1.getBaseCurrency(), LocalDate.now());
+        BigDecimal nextWorkDayDelta = transferDateService.numberOfDaysOfTransfer();
+        SCrossRate rateT1 = imdgQueryService.getSCrossRates(
+            currPairT1.getBaseCurrency(),
+            now.plusDays(nextWorkDayDelta.longValue())
+        );
 
         var pair = new Pair<>(orderT0, orderT1);
         Pair.forEach(pair, o -> {

clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/TaskListener.java

@@ -32,6 +32,7 @@ import ru.spcex.clearing.dflt.management.service.ImdgQueryService;
 import ru.spcex.clearing.dflt.management.service.OrderCurrencyTriExportService;
 import ru.spcex.clearing.dflt.management.service.SpotOvernightOrderService;
 import ru.spcex.clearing.dflt.management.service.SwapOvernightOrderService;
+import ru.spcex.clearing.dflt.management.service.TransferDateService;
 import ru.spcex.clearing.imdg.IMDGDistributedNames;
 import ru.spcex.clearing.platform.messaging.domain.BaseRequest;
 import ru.spcex.clearing.platform.messaging.domain.Consts;
@@ -44,6 +45,7 @@ import ru.spcex.platform.enumeration.ObjectType;
 import ru.spcex.platform.enumeration.OrderStatus;
 import ru.spcex.platform.enumeration.OvernightType;
 import ru.spcex.platform.enumeration.Priority;
+import ru.spcex.platform.enumeration.SettleCode;
 import ru.spcex.platform.enumeration.Task;
 import ru.spcex.platform.imdg.api.Imdg;
 import ru.spcex.platform.imdg.api.ImdgProvider;
@@ -64,6 +66,7 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
     private final Path storagePath;
     private final SendOrdersTypes sendOrdersTypes;
     private final Charset winCharset = Charset.forName("windows-1251");
+    private final TransferDateService transferDateService;
 
     @Autowired
     public TaskListener(Consumer<String, Object> kafkaQueue,
@@ -74,7 +77,7 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
                         SpotOvernightOrderService spotOvernightOrderService,
                         OrderCurrencyTriExportService orderCurrencyTriExportService,
                         KafkaSender kafkaSender,
-                        DefaultManagementSettings defaultManagementSettings) {
+                        DefaultManagementSettings defaultManagementSettings, TransferDateService transferDateService) {
         super(kafkaQueue, kafkaProducer);
         this.imdgQueryService = imdgQueryService;
         this.registryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Registry, Registry.class);
@@ -85,6 +88,7 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
         this.kafkaSender = kafkaSender;
         this.storagePath = Path.of(defaultManagementSettings.getFileStoragePath());
         this.sendOrdersTypes = defaultManagementSettings.getSendOrdersType();
+        this.transferDateService = transferDateService;
     }
 
     @Override
@@ -182,7 +186,12 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
         }
 
         String currency = isRubPmt ? CurrencyCode.CNY.getKey() : pmtRegistry.getSecuritySymbol();
-        SCrossRate sCrossRate = imdgQueryService.getSCrossRates(currency, LocalDate.now());
+        LocalDate rateDate = LocalDate.now();
+        if (SettleCode.T1.equalsByKey(orderCurrency.getSettleCode())) {
+            BigDecimal workDayDelta = transferDateService.numberOfDaysOfTransfer();
+            rateDate = rateDate.plusDays(workDayDelta.longValue());
+        }
+        SCrossRate sCrossRate = imdgQueryService.getSCrossRates(currency, rateDate);
 
         BigDecimal val = orderCurrency.getQuantityLot()
             .multiply(orderCurrency.getLotSize())

clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCalculationService.java

@@ -42,11 +42,16 @@ public class OrderCalculationService {
         BigDecimal n = transferDateService.numberOfDaysOfTransfer();
 
         CalculationResult result = isRub(registry)
-            ? calculationRubSums(registry, listing.getLotSize().intValue(), s, n)
+            ? calculationRubSums(registry, listing.getLotSize().intValue(), s, n, settleCode)
-            : calculationSums(registry, listing.getLotSize().intValue(), s, n);
+            : calculationSums(registry, listing.getLotSize().intValue(), s, n, settleCode);
 
         BigDecimal quantityLot = result.sum3().abs();
-        BigDecimal price = swapPriceCalc(pair.getBaseCurrency(), s, n, listing.getPrecision().intValue());
+        BigDecimal price;
+        if (SettleCode.T1.equals(settleCode)) {
+            price = swapPriceCalcT1(pair.getBaseCurrency(), s, n, listing.getPrecision().intValue());
+        } else {
+            price = swapPriceCalc(pair.getBaseCurrency(), s, n, listing.getPrecision().intValue());
+        }
 
         return new FinalCalculationResult(price, s, quantityLot, result);
     }
@@ -61,29 +66,35 @@ public class OrderCalculationService {
         BigDecimal n = transferDateService.numberOfDaysOfTransfer();
 
         CalculationResult result = isRub(registry)
-            ? calculationRubSums(registry, listing.getLotSize().intValue(), s, n)
+            ? calculationRubSums(registry, listing.getLotSize().intValue(), s, n, settleCode)
-            : calculationSums(registry, listing.getLotSize().intValue(), s, n);
+            : calculationSums(registry, listing.getLotSize().intValue(), s, n, settleCode);
 
-        SCrossRate rates = imdgQueryService.getSCrossRates(pair.getBaseCurrency(), LocalDate.now());
+        SCrossRate rates;
         BigDecimal quantityLot;
         BigDecimal price;
         if (SettleCode.T0 == settleCode) {
+            rates = imdgQueryService.getSCrossRates(pair.getBaseCurrency(), LocalDate.now());
             quantityLot = result.sum3().abs();
             price = rates.getUnitRate().setScale(listing.getPrecision().intValue(), RoundingMode.HALF_UP);
         } else {
+            rates  = imdgQueryService.getSCrossRates(pair.getBaseCurrency(), LocalDate.now().plusDays(n.longValue()));
             quantityLot = result.sum5().abs();
-            BigDecimal delta = swapPriceCalc(pair.getBaseCurrency(), s, n, listing.getPrecision().intValue());
+            BigDecimal delta = swapPriceCalcT1(pair.getBaseCurrency(), s, n, listing.getPrecision().intValue());
             price = rates.getUnitRate().add(delta).setScale(listing.getPrecision().intValue(), RoundingMode.HALF_UP);;
         }
 
         return new FinalCalculationResult(price, s, quantityLot, result);
     }
 
-    private CalculationResult calculationSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
+    private CalculationResult calculationSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n, SettleCode settleCode) {
         BigDecimal planPosition = registry.getBalance();
         BigDecimal sum1 = planPosition.abs();
 
-        SCrossRate sCrossRates = imdgQueryService.getSCrossRates(registry.getSecuritySymbol(), LocalDate.now());
+        LocalDate rateDate = LocalDate.now();
+        if (settleCode.equals(SettleCode.T1)) {
+            rateDate = rateDate.plusDays(n.longValue());
+        }
+        SCrossRate sCrossRates = imdgQueryService.getSCrossRates(registry.getSecuritySymbol(), rateDate);
         if (sCrossRates == null) {
             throw new IllegalStateException(String.format("Not fond rate by security symbol: %s", CurrencyCode.CNY.getKey()));
         }
@@ -102,9 +113,13 @@ public class OrderCalculationService {
         return new CalculationResult(sum1, BigDecimal.ZERO, sum3, sum4, sum5, sum6);
     }
 
-    private CalculationResult calculationRubSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
+    private CalculationResult calculationRubSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n, SettleCode settleCode) {
         BigDecimal planPosition = registry.getBalance();
-        SCrossRate sCrossRates = imdgQueryService.getSCrossRates(CurrencyCode.CNY.getKey(), LocalDate.now());
+        LocalDate rateDate = LocalDate.now();
+        if (settleCode.equals(SettleCode.T1)) {
+            rateDate = rateDate.plusDays(n.longValue());
+        }
+        SCrossRate sCrossRates = imdgQueryService.getSCrossRates(CurrencyCode.CNY.getKey(), rateDate);
         if (sCrossRates == null) {
             throw new IllegalStateException(String.format("Not fond rate by security symbol: %s", CurrencyCode.CNY.getKey()));
         }
@@ -141,6 +156,17 @@ public class OrderCalculationService {
             .setScale(precision, RoundingMode.HALF_UP);
     }
 
+    private BigDecimal swapPriceCalcT1(String baseCurrency, BigDecimal s, BigDecimal n, int precision) {
+        long nextWorkDayDelta = n.longValue();
+        Rates rate = imdgQueryService.getRate(baseCurrency, LocalDate.now().plusDays(nextWorkDayDelta));
+        BigDecimal p = n.divide(BigDecimal.valueOf(365), MC);
+        log.info("Calculation swap price: {}*{}*{}", rate.getValue(), s, p);
+        return rate.getValue()
+            .multiply(s, MC)
+            .multiply(p, MC)
+            .setScale(precision, RoundingMode.HALF_UP);
+    }
+
     private boolean isRub(Registry registry) {
         return "RUB".equals(registry.getSecuritySymbol());
     }

clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCurrencyTriExportService.java

@@ -19,6 +19,7 @@ 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
@@ -26,12 +27,14 @@ public class OrderCurrencyTriExportService {
     private static final Logger log = LoggerFactory.getLogger(OrderCurrencyTriExportService.class);
     private final ImdgQueryService imdgQueryService;
     private final KafkaSender kafkaSender;
+    private final TransferDateService transferDateService;
     private static final String ACTION = "Ввод внебиржевой заявки";
 
     public OrderCurrencyTriExportService(ImdgQueryService imdgQueryService,
-                                         KafkaSender kafkaSender) {
+                                         KafkaSender kafkaSender, TransferDateService transferDateService) {
         this.imdgQueryService = imdgQueryService;
         this.kafkaSender = kafkaSender;
+        this.transferDateService = transferDateService;
     }
 
     /**
@@ -106,11 +109,16 @@ public class OrderCurrencyTriExportService {
 
         CurrencyPairDictionary currencyPairDictionary = imdgQueryService.getCurrencyPairDictionaryBySecurityId(orderCurrency.getSecurityId());
         String baseCurrency = currencyPairDictionary.getBaseCurrency();
-        LocalDate now = LocalDate.now();
+        LocalDate rateDate = LocalDate.now();
-        Rates rates = imdgQueryService.getRate(currencyPairDictionary.getBaseCurrency(), 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, now);
+            log.warn("Не найден активный курс для валюты {} на дату {}", baseCurrency, rateDate);
             return null;
         }