This commit is contained in:
etreschenkov
parent
00c2ab02c9
commit
c8716d1c08
5 changed files with 577 additions and 11 deletions
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@ -14,6 +14,7 @@ public class DefaultManagementSettings {
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private HazelcastClientParams hazelcast;
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private KafkaConsumerSettings kafkaConsumer;
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private KafkaProducerSettings kafkaProducer;
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private String clearingSystem;
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public HazelcastClientParams getHazelcast() {
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return hazelcast;
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@ -38,4 +39,12 @@ public class DefaultManagementSettings {
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public void setKafkaProducer(KafkaProducerSettings kafkaProducer) {
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this.kafkaProducer = kafkaProducer;
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}
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public String getClearingSystem() {
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return clearingSystem;
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}
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public void setClearingSystem(String clearingSystem) {
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this.clearingSystem = clearingSystem;
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}
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}
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@ -1,5 +1,9 @@
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package ru.spcex.clearing.dflt.management.listener;
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import java.math.BigDecimal;
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import java.math.MathContext;
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import java.math.RoundingMode;
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import java.time.LocalDate;
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import java.util.Collection;
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import java.util.Optional;
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import org.apache.kafka.clients.consumer.Consumer;
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@ -9,18 +13,35 @@ import org.slf4j.LoggerFactory;
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import org.springframework.beans.factory.InitializingBean;
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import org.springframework.beans.factory.annotation.Autowired;
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import org.springframework.stereotype.Service;
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import ru.clearing.classes.statics.data.company.ClearingMemberCategory;
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import ru.clearing.classes.statics.data.company.Company;
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import ru.clearing.classes.statics.data.company.CompanyRoleSet;
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import ru.clearing.classes.statics.data.misc.Listing;
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import ru.clearing.classes.statics.data.misc.Market;
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import ru.clearing.classes.statics.data.misc.OrderCurrency;
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import ru.clearing.classes.statics.data.misc.OvernightSettings;
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import ru.clearing.classes.statics.data.registry.Registry;
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import ru.clearing.classes.statics.data.registry.TradingClearingRegistry;
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import ru.clearing.classes.statics.data.security.CurrencyPairSecurity;
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import ru.clearing.classes.statics.data.security.Rates;
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import ru.clearing.classes.statics.data.security.RiskParameter;
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import ru.clearing.platform.dictionary.CurrencyPairDictionary;
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import ru.spcex.clearing.dflt.management.config.settings.DefaultManagementSettings;
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import ru.spcex.clearing.dflt.management.service.OrderCurrencyService;
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import ru.spcex.clearing.imdg.IMDGDistributedNames;
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import ru.spcex.clearing.platform.messaging.domain.BaseRequest;
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import ru.spcex.clearing.platform.messaging.domain.cud.misc.OvernightSettingsNewRequest;
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import ru.spcex.clearing.platform.messaging.service.QueueConsumer;
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import ru.spcex.clearing.util.security.UserRoleVerification;
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import ru.spcex.platform.enumeration.CompanyRole;
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import ru.spcex.platform.enumeration.MarketType;
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import ru.spcex.platform.enumeration.OvernightType;
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import ru.spcex.platform.enumeration.Side;
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import ru.spcex.platform.enumeration.Task;
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import ru.spcex.platform.enumeration.WorkflowStatus;
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import ru.spcex.platform.imdg.api.Imdg;
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import ru.spcex.platform.imdg.api.ImdgProvider;
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import ru.spcex.platform.imdg.api.predicate.ImdgPredicateBuilder;
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import ru.spcex.platform.utils.enumeration.IEnumKey;
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@Service
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@ -29,19 +50,42 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
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private final OrderCurrencyService orderCurrencyService;
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private final ImdgProvider imdgProvider;
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private final Imdg<Registry> registryImdg;
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private final Imdg<ClearingMemberCategory> categoryImdg;
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private final Imdg<OvernightSettings> overnightSettingsImdg;
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private final Imdg<CompanyRoleSet> companyRoleSetImdg;
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private final Imdg<Company> companyImdg;
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private final Imdg<TradingClearingRegistry> tradingClearingRegistryImdg;
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private final Imdg<CurrencyPairDictionary> currencyPairDictionaryImdg;
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private final Imdg<CurrencyPairSecurity> currencyPairSecurityImdg;
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private final Imdg<Listing> listingImdg;
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private final Imdg<Market> marketImdg;
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private final Imdg<RiskParameter> riskParameterImdg;
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private final Imdg<Rates> ratesImdg;
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private final DefaultManagementSettings settings;
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@Autowired
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public TaskListener(Consumer<String, Object> kafkaQueue,
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Producer<String, Object> kafkaProducer,
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ImdgProvider imdgProvider,
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UserRoleVerification userRoleVerification,
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OrderCurrencyService orderCurrencyService) {
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OrderCurrencyService orderCurrencyService,
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DefaultManagementSettings settings) {
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super(kafkaQueue, kafkaProducer);
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this.imdgProvider = imdgProvider;
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this.registryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Registry, Registry.class);
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this.overnightSettingsImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OvernightSettings, OvernightSettings.class);
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this.categoryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_ClearingMemberCategory, ClearingMemberCategory.class);
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this.companyRoleSetImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_CompanyRoleSet, CompanyRoleSet.class);
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this.companyImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Company, Company.class);
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this.tradingClearingRegistryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_TradingClearingRegistry, TradingClearingRegistry.class);
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this.currencyPairDictionaryImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_CurrencyPairDictionary, CurrencyPairDictionary.class);
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this.currencyPairSecurityImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_CurrencyPairSecurity, CurrencyPairSecurity.class);
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this.listingImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Listing, Listing.class);
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this.marketImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Market, Market.class);
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this.riskParameterImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_RiskParameter, RiskParameter.class);
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this.ratesImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_Rates, Rates.class);
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this.orderCurrencyService = orderCurrencyService;
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this.settings = settings;
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}
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@Override
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@ -53,19 +97,522 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
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}
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private void createOrder(BaseRequest<OvernightSettingsNewRequest> newReq) {
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Collection<Long> registries = orderCurrencyService.getCurrencyRegistry();
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for (Long registryId : registries) {
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Registry registry = registryImdg.getSingleObjectByID(registryId);
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Optional<OvernightSettings> overnightSettings = orderCurrencyService.findOvernightSettingsByCompany(registry.getCompanyId());
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Optional<OvernightType> overnightType = overnightSettings
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.map(settings -> IEnumKey.getEnumByKey(OvernightType.class, settings.getOvernightType()));
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log.info("CROR createOrder started, request={}", newReq);
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if (overnightType.isPresent() && overnightType.get() == OvernightType.SPOT) {
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Collection<Long> registryIds = orderCurrencyService.getCurrencyRegistry();
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if (registryIds == null || registryIds.isEmpty()) {
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log.info("No registries found for CROR processing");
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return;
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}
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} else if (overnightType.isEmpty() || overnightType.get() == OvernightType.SWAP) {
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for (Long registryId : registryIds) {
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try {
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Registry registry = registryImdg.getSingleObjectByID(registryId);
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if (registry == null) {
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log.warn("Registry not found by id={}", registryId);
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continue;
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}
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OvernightType overnightType = resolveOvernightType(registry);
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log.info("Processing registry id={}, companyId={}, overnightType={}",
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registry.getId(), registry.getCompanyId(), overnightType);
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switch (overnightType) {
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case SWAP -> createSwapOrders(registry);
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case SPOT -> createSpotOrders(registry);
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default ->
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log.warn("Unsupported overnightType={} for registry id={}", overnightType, registry.getId());
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}
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} catch (Exception e) {
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log.error("Error while processing registryId={}", registryId, e);
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}
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}
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log.info("CROR createOrder finished");
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}
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private OvernightType resolveOvernightType(Registry registry) {
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Optional<OvernightSettings> settingsOpt =
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orderCurrencyService.findOvernightSettingsByCompany(registry.getCompanyId());
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return settingsOpt
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.map(settings -> IEnumKey.getEnumByKey(OvernightType.class, settings.getOvernightType()))
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.orElse(OvernightType.SWAP);
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}
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private void createSpotOrders(Registry registry) {
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}
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private void createSwapOrders(Registry registry) {
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OrderCurrency primaryTransferOrder = new OrderCurrency();
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OrderCurrency counterTransferOrder = new OrderCurrency();
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OrderCurrency primaryBalancingOrder = new OrderCurrency();
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OrderCurrency counterBalancingOrder = new OrderCurrency();
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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ClearingMemberCategory category = categoryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", registry.getCompanyId())
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);
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String orderCategory = category.getClearingMemberCategory().equals("P") ? "PL" : "UK";
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Side primaryTransferSide = Side.SELL;
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Side counterTransferSide = Side.BUY;
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Side primaryBalancingSide = Side.BUY;
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Side counterBalancingSide = Side.SELL;
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if (registry.getSecuritySymbol().equals("RUB")) {
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primaryTransferSide = primaryTransferSide.revers();
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counterTransferSide = counterTransferSide.revers();
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primaryBalancingSide = primaryBalancingSide.revers();
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counterBalancingSide = counterBalancingSide.revers();
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}
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Market market = marketImdg.getSingleObjectByPredicate(predicateBuilder.equals("marketType", MarketType.SCSW));
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Listing listing;
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RiskParameter riskParameter;
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if (registry.getSecuritySymbol().equals("RUB")) {
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listing = findListingForRub(registry, market.getCode());
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riskParameter = findRiskParameterForRub();
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} else {
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listing = findListingForOtherCurrency(registry, market.getCode());
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riskParameter = findRiskParameterForOtherCurrency(registry);
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}
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if (orderCategory.equals("PL")) {
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fillPrimaryTransferP(primaryTransferOrder, registry);
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fillCounterTransferP(counterTransferOrder, registry);
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fillPrimaryBalancingP(primaryBalancingOrder, registry);
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fillCounterBalancingP(counterBalancingOrder, registry);
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} else if (orderCategory.equals("UK")) {
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fillPrimaryTransferUK(primaryTransferOrder, registry);
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fillCounterTransferUK(counterTransferOrder, registry);
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fillPrimaryBalancingUK(primaryBalancingOrder, registry);
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fillCounterBalancingUK(counterBalancingOrder, registry);
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}
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fillSwapOrder(primaryTransferOrder, registry, listing, market, riskParameter, primaryTransferSide, "overnight");
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fillSwapOrder(counterTransferOrder, registry, listing, market, riskParameter, counterTransferSide, "overnight");
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fillSwapOrder(primaryBalancingOrder, registry, listing, market, riskParameter, primaryBalancingSide, "balance");
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fillSwapOrder(counterBalancingOrder, registry, listing, market, riskParameter, counterBalancingSide, "balance");
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}
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private void fillPrimaryTransferUK(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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orderCurrency.setAccount(registry.getTradingClearingRegistry());
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orderCurrency.setTradingClearingRegistryId(registry.getTradingClearingRegistryId());
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orderCurrency.setCompanyId(registry.getCompanyId());
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orderCurrency.setTradingCode(registry.getTradingCode());
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orderCurrency.setCounterPartyId(companyRoleSet.getCompanyId());
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orderCurrency.setCounterTradingCode(company.getTradingCode());
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orderCurrency.setType("CMOV");
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}
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private void fillCounterTransferUK(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", company.getId())
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);
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
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orderCurrency.setCompanyId(company.getId());
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orderCurrency.setTradingCode(company.getTradingCode());
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orderCurrency.setCounterPartyId(registry.getCompanyId());
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orderCurrency.setCounterTradingCode(registry.getTradingCode());
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orderCurrency.setType("CMOV");
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}
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private void fillPrimaryBalancingUK(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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ClearingMemberCategory category = categoryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("clearingMemberCategory", "P")
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);
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", category.getCompanyId())
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);
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Company company = companyImdg.getSingleObjectByID(category.getCompanyId());
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CompanyRoleSet clccCompanyRole = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company clssCompany = companyImdg.getSingleObjectByID(category.getCompanyId());
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
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orderCurrency.setCompanyId(company.getId());
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orderCurrency.setTradingCode(company.getTradingCode());
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orderCurrency.setCounterPartyId(clccCompanyRole.getCompanyId());
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orderCurrency.setCounterTradingCode(clssCompany.getTradingCode());
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orderCurrency.setType("CMBL");
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}
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private void fillCounterBalancingUK(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", company.getId())
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);
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ClearingMemberCategory categoryP = categoryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("clearingMemberCategory", "P")
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);
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Company companyP = companyImdg.getSingleObjectByID(categoryP.getCompanyId());
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
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orderCurrency.setCompanyId(company.getId());
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orderCurrency.setTradingCode(company.getTradingCode());
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orderCurrency.setCounterPartyId(categoryP.getCompanyId());
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orderCurrency.setCounterTradingCode(companyP.getTradingCode());
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orderCurrency.setType("CMBL");
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}
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private void fillPrimaryTransferP(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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orderCurrency.setAccount(registry.getTradingClearingRegistry());
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orderCurrency.setTradingClearingRegistryId(registry.getTradingClearingRegistryId());
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orderCurrency.setCompanyId(registry.getCompanyId());
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orderCurrency.setTradingCode(registry.getTradingCode());
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orderCurrency.setCounterPartyId(companyRoleSet.getCompanyId());
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orderCurrency.setCounterTradingCode(company.getTradingCode());
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orderCurrency.setType("PLOV");
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}
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private void fillCounterTransferP(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", company.getId())
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);
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
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orderCurrency.setCompanyId(company.getId());
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orderCurrency.setTradingCode(company.getTradingCode());
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orderCurrency.setCounterPartyId(registry.getCompanyId());
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orderCurrency.setCounterTradingCode(registry.getTradingCode());
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orderCurrency.setType("PLOV");
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}
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private void fillPrimaryBalancingP(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.RGCM)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", company.getId())
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);
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CompanyRoleSet clccCompanyRole = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company clssCompany = companyImdg.getSingleObjectByID(clccCompanyRole.getCompanyId());
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
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orderCurrency.setCompanyId(company.getId());
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orderCurrency.setTradingCode(company.getTradingCode());
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orderCurrency.setCounterPartyId(clccCompanyRole.getCompanyId());
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orderCurrency.setCounterTradingCode(clssCompany.getTradingCode());
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orderCurrency.setType("PLBL");
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}
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private void fillCounterBalancingP(OrderCurrency orderCurrency, Registry registry) {
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ImdgPredicateBuilder predicateBuilder = categoryImdg.predicateBuilder();
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CompanyRoleSet companyRoleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.CLCC)
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);
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Company company = companyImdg.getSingleObjectByID(companyRoleSet.getCompanyId());
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TradingClearingRegistry tradingClearingRegistry = tradingClearingRegistryImdg.getFirstObjectByPredicate(
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predicateBuilder.equals("companyId", company.getId())
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);
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CompanyRoleSet rgcmCompanyRole = companyRoleSetImdg.getSingleObjectByPredicate(
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predicateBuilder.equals("companyRole", CompanyRole.RGCM)
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);
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Company rgcmCompany = companyImdg.getSingleObjectByID(rgcmCompanyRole.getCompanyId());
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orderCurrency.setAccount(tradingClearingRegistry.getCode());
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orderCurrency.setTradingClearingRegistryId(tradingClearingRegistry.getId());
|
||||
orderCurrency.setCompanyId(company.getId());
|
||||
orderCurrency.setTradingCode(company.getTradingCode());
|
||||
orderCurrency.setCounterPartyId(rgcmCompanyRole.getCompanyId());
|
||||
orderCurrency.setCounterTradingCode(rgcmCompany.getTradingCode());
|
||||
orderCurrency.setType("PLBL");
|
||||
|
||||
}
|
||||
|
||||
private void fillSwapOrder(OrderCurrency orderCurrency,
|
||||
Registry registry,
|
||||
Listing listing,
|
||||
Market market,
|
||||
RiskParameter riskParameter,
|
||||
Side side,
|
||||
String comment) {
|
||||
orderCurrency.setOvernightType("SWAP");
|
||||
orderCurrency.setMarket(market.getCode());
|
||||
orderCurrency.setListingId(listing.getId());
|
||||
orderCurrency.setSecuritySymbol(listing.getSymbolCode());
|
||||
orderCurrency.setSecurityId(listing.getSecurityId());
|
||||
orderCurrency.setLotSize(listing.getLotSize());
|
||||
orderCurrency.setRate(riskParameter.getQuoteValue());
|
||||
orderCurrency.setSide(side.getKey());
|
||||
orderCurrency.setSettleCode("T1");
|
||||
orderCurrency.setStatus("CRET");
|
||||
orderCurrency.setComment(comment);
|
||||
orderCurrency.setRegistryId(registry.getId());
|
||||
}
|
||||
|
||||
private Listing findListingForRub(Registry registry, String market) {
|
||||
ImdgPredicateBuilder predicateBuilder = currencyPairDictionaryImdg.predicateBuilder();
|
||||
CurrencyPairDictionary currencyPairDictionary = currencyPairDictionaryImdg.getFirstObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("baseCurrency", "CNY"),
|
||||
predicateBuilder.equals("quoteCurrency", registry.getSecuritySymbol())
|
||||
));
|
||||
Collection<Long> securitiesIds = currencyPairSecurityImdg.getCollectionIdsByPredicate(
|
||||
predicateBuilder.equals("currencyPairId", currencyPairDictionary.getId())
|
||||
);
|
||||
Listing listing = listingImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.in("securityId", securitiesIds.toArray(new Long[0])),
|
||||
predicateBuilder.equals("market", market)
|
||||
)
|
||||
);
|
||||
return listing;
|
||||
}
|
||||
|
||||
private Listing findListingForOtherCurrency(Registry registry, String market) {
|
||||
ImdgPredicateBuilder predicateBuilder = currencyPairDictionaryImdg.predicateBuilder();
|
||||
CurrencyPairDictionary currencyPairDictionary = currencyPairDictionaryImdg.getFirstObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("baseCurrency", registry.getSecuritySymbol()),
|
||||
predicateBuilder.equals("quoteCurrency", "RUB")
|
||||
));
|
||||
Collection<Long> securitiesIds = currencyPairSecurityImdg.getCollectionIdsByPredicate(
|
||||
predicateBuilder.equals("currencyPairId", currencyPairDictionary.getId())
|
||||
);
|
||||
Listing listing = listingImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.in("securityId", securitiesIds.toArray(new Long[0])),
|
||||
predicateBuilder.equals("market", market)
|
||||
)
|
||||
);
|
||||
return listing;
|
||||
}
|
||||
|
||||
private RiskParameter findRiskParameterForRub() {
|
||||
ImdgPredicateBuilder predicateBuilder = currencyPairDictionaryImdg.predicateBuilder();
|
||||
CurrencyPairDictionary currencyPairDictionary = currencyPairDictionaryImdg.getFirstObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("baseCurrency", "CNY")
|
||||
));
|
||||
return riskParameterImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("currencyPairId", currencyPairDictionary.getId()),
|
||||
predicateBuilder.equals("settlementType", "T0")
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
private RiskParameter findRiskParameterForOtherCurrency(Registry registry) {
|
||||
ImdgPredicateBuilder predicateBuilder = currencyPairDictionaryImdg.predicateBuilder();
|
||||
CurrencyPairDictionary currencyPairDictionary = currencyPairDictionaryImdg.getFirstObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("baseCurrency", registry.getSecuritySymbol())
|
||||
));
|
||||
return riskParameterImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("currencyPairId", currencyPairDictionary.getId()),
|
||||
predicateBuilder.equals("settlementType", "T0")
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
private static final MathContext MC = new MathContext(20, RoundingMode.HALF_UP);
|
||||
|
||||
//registry.securitySymbol != 'RUB'
|
||||
private CalculationResultHolder calculationSwapSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
|
||||
BigDecimal planPosition = registry.getBalance();
|
||||
BigDecimal sum1 = planPosition.abs();
|
||||
|
||||
Registry amtRubRegistry = findAmtRegistry(registry, "RUB");
|
||||
BigDecimal planPositionRub = amtRubRegistry.getBalance();
|
||||
|
||||
Rates rates = findRates(registry);
|
||||
BigDecimal ratesValue = rates.getValue();
|
||||
|
||||
BigDecimal sum2 = planPositionRub.divide(ratesValue, lotSize, RoundingMode.HALF_DOWN);
|
||||
|
||||
BigDecimal ceilSum1 = sum1.setScale(0, RoundingMode.CEILING);
|
||||
BigDecimal sum3 = ceilSum1.min(sum2);
|
||||
BigDecimal sum4 = sum3
|
||||
.multiply(ratesValue, MC)
|
||||
.negate();
|
||||
BigDecimal sum5 = sum3.negate();
|
||||
|
||||
BigDecimal daysInYear = BigDecimal.valueOf(365);
|
||||
// (S / 365) * n
|
||||
BigDecimal carryPart = s.divide(daysInYear, MC).multiply(n, MC);
|
||||
// 1 + S / 365 * n
|
||||
BigDecimal multiplier = BigDecimal.ONE.add(carryPart, MC);
|
||||
|
||||
BigDecimal sum6 = sum3
|
||||
.multiply(ratesValue, MC)
|
||||
.multiply(multiplier, MC);
|
||||
return new CalculationResultHolder(sum1, sum2, sum3, sum4, sum5, sum6);
|
||||
}
|
||||
|
||||
//registry.securitySymbol == 'RUB'
|
||||
private CalculationResultHolder calculationSwapRubSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
|
||||
BigDecimal planPosition = registry.getBalance();
|
||||
Rates cnyRates = findRates(registry);
|
||||
BigDecimal ratesValue = cnyRates.getValue();
|
||||
BigDecimal sum1 = planPosition.divide(ratesValue, MC);
|
||||
|
||||
Registry amtRubRegistry = findAmtRegistry(registry, "CNY");
|
||||
BigDecimal planPositionCny = amtRubRegistry.getBalance();
|
||||
|
||||
BigDecimal sum2 = planPositionCny.divide(ratesValue, lotSize, RoundingMode.HALF_DOWN);
|
||||
|
||||
BigDecimal ceilSum1 = sum1.setScale(0, RoundingMode.CEILING);
|
||||
BigDecimal sum3 = ceilSum1.min(sum2).negate();
|
||||
BigDecimal sum4 = sum3
|
||||
.multiply(ratesValue, MC)
|
||||
.negate();
|
||||
BigDecimal sum5 = sum3.negate();
|
||||
|
||||
BigDecimal daysInYear = BigDecimal.valueOf(365);
|
||||
// (S / 365) * n
|
||||
BigDecimal carryPart = s.divide(daysInYear, MC).multiply(n, MC);
|
||||
// 1 + S / 365 * n
|
||||
BigDecimal multiplier = BigDecimal.ONE.add(carryPart, MC);
|
||||
|
||||
BigDecimal sum6 = sum3
|
||||
.multiply(ratesValue, MC)
|
||||
.multiply(multiplier, MC);
|
||||
return new CalculationResultHolder(sum1, sum2, sum3, sum4, sum5, sum6);
|
||||
}
|
||||
|
||||
private Registry findAmtRegistry(Registry registry, String securitySymbol) {
|
||||
ImdgPredicateBuilder predicateBuilder = registryImdg.predicateBuilder();
|
||||
return registryImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.regex("registryCode", "^PM.*T"),
|
||||
predicateBuilder.equals("securitySymbol", securitySymbol),
|
||||
predicateBuilder.equals("tradingClearingRegistryId", registry.getId()),
|
||||
predicateBuilder.equals("companyId", registry.getCompanyId())
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
private Rates findRates(Registry registry) {
|
||||
ImdgPredicateBuilder predicateBuilder = registryImdg.predicateBuilder();
|
||||
return ratesImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("currency", registry.getSecuritySymbol()),
|
||||
predicateBuilder.equals("valueDate", LocalDate.now()),
|
||||
predicateBuilder.equals("workflowStatus", WorkflowStatus.Active.getKey())
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
private Rates findCnyRates(Registry registry) {
|
||||
ImdgPredicateBuilder predicateBuilder = registryImdg.predicateBuilder();
|
||||
return ratesImdg.getSingleObjectByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("currency", "CNY"),
|
||||
predicateBuilder.equals("valueDate", LocalDate.now()),
|
||||
predicateBuilder.equals("workflowStatus", WorkflowStatus.Active.getKey())
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
public static BigDecimal ceilMath(BigDecimal value, BigDecimal significance) {
|
||||
if (significance == null || significance.compareTo(BigDecimal.ZERO) <= 0) {
|
||||
throw new IllegalArgumentException("significance must be > 0");
|
||||
}
|
||||
if (value == null) {
|
||||
throw new IllegalArgumentException("value must not be null");
|
||||
}
|
||||
|
||||
BigDecimal divided = value.divide(significance, 0, RoundingMode.CEILING);
|
||||
return divided.multiply(significance);
|
||||
}
|
||||
|
||||
public static class CalculationResultHolder {
|
||||
private BigDecimal sum1;
|
||||
private BigDecimal sum2;
|
||||
private BigDecimal sum3;
|
||||
private BigDecimal sum4;
|
||||
private BigDecimal sum5;
|
||||
private BigDecimal sum6;
|
||||
|
||||
public CalculationResultHolder(BigDecimal sum1,
|
||||
BigDecimal sum2,
|
||||
BigDecimal sum3,
|
||||
BigDecimal sum4,
|
||||
BigDecimal sum5,
|
||||
BigDecimal sum6) {
|
||||
this.sum1 = sum1;
|
||||
this.sum2 = sum2;
|
||||
this.sum3 = sum3;
|
||||
this.sum4 = sum4;
|
||||
this.sum5 = sum5;
|
||||
this.sum6 = sum6;
|
||||
}
|
||||
|
||||
public BigDecimal getSum1() {
|
||||
return sum1;
|
||||
}
|
||||
|
||||
public BigDecimal getSum2() {
|
||||
return sum2;
|
||||
}
|
||||
|
||||
public BigDecimal getSum3() {
|
||||
return sum3;
|
||||
}
|
||||
|
||||
public BigDecimal getSum4() {
|
||||
return sum4;
|
||||
}
|
||||
|
||||
public BigDecimal getSum5() {
|
||||
return sum5;
|
||||
}
|
||||
|
||||
public BigDecimal getSum6() {
|
||||
return sum6;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -4,7 +4,9 @@ import ru.spcex.platform.utils.enumeration.IEnumKey;
|
|||
|
||||
public enum CompanyRole implements IEnumKey {
|
||||
ODEP("ODEP"),
|
||||
SETH("SETH")
|
||||
SETH("SETH"),
|
||||
RGCM("RGCM"),
|
||||
CLCC("CLCC")
|
||||
;
|
||||
|
||||
private final String key;
|
||||
|
|
|
|||
|
|
@ -3,7 +3,7 @@ package ru.spcex.platform.enumeration;
|
|||
import ru.spcex.platform.utils.enumeration.IEnumKey;
|
||||
|
||||
public enum MarketType implements IEnumKey {
|
||||
PRMR("PRMR"), SCND("SCND");
|
||||
PRMR("PRMR"), SCND("SCND"), SCSW("SCSW"), SCSP("SCSP");
|
||||
|
||||
private final String key;
|
||||
|
||||
|
|
|
|||
|
|
@ -28,4 +28,12 @@ public enum Side implements IEnumKey, ISide {
|
|||
public boolean isSell() {
|
||||
return equals(SELL);
|
||||
}
|
||||
|
||||
public Side revers() {
|
||||
if (isBuy()) {
|
||||
return SELL;
|
||||
} else {
|
||||
return BUY;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Add table
Reference in a new issue