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

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This commit is contained in:
ialbert 2026-05-08 12:00:05 +03:00
parent 93fc004c29
commit 6746ced7e4
4 changed files with 72 additions and 21 deletions
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16
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/OrderCurrencyListener.java
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@ -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 -> {

13
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/listener/TaskListener.java
View file

@ -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())

48
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCalculationService.java
View file

@ -42,11 +42,16 @@ public class OrderCalculationService {
BigDecimal n = transferDateService.numberOfDaysOfTransfer();
CalculationResult result = isRub(registry)
? calculationRubSums(registry, listing.getLotSize().intValue(), s, n)
: calculationSums(registry, listing.getLotSize().intValue(), s, n);
? calculationRubSums(registry, listing.getLotSize().intValue(), s, n, settleCode)
: 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)
: calculationSums(registry, listing.getLotSize().intValue(), s, n);
? calculationRubSums(registry, listing.getLotSize().intValue(), s, n, settleCode)
: 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());
}

16
clearing-parent/default-management/src/main/java/ru/spcex/clearing/dflt/management/service/OrderCurrencyTriExportService.java
View file

@ -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();
Rates rates = imdgQueryService.getRate(currencyPairDictionary.getBaseCurrency(), now);
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, now);
log.warn("Не найден активный курс для валюты {} на дату {}", baseCurrency, rateDate);
return null;
}