Merge remote-tracking branch 'origin/dev' into dev
This commit is contained in:
commit
d98ba8ab24
10 changed files with 157 additions and 85 deletions
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@ -10,7 +10,6 @@ import org.springframework.scheduling.concurrent.ThreadPoolTaskExecutor;
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import ru.spcex.clearing.dflt.management.config.settings.DefaultManagementSettings;
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import ru.spcex.clearing.dflt.management.error.DefaultManagementErrors;
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import ru.spcex.clearing.util.security.UserRoleVerification;
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import ru.spcex.clearing.util.services.IMDGMessageResolver;
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import ru.spcex.platform.enumeration.UserRole;
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import ru.spcex.platform.imdg.api.ImdgProvider;
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import ru.spcex.platform.imdg.iml.hazelcast.service.HazelcastService;
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@ -57,9 +56,4 @@ public class AppConfig {
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public UserRoleVerification userRoleVerification(ImdgProvider imdgProvider, IMessageResolver messageResolver) {
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return new UserRoleVerification(imdgProvider, messageResolver, UserRole.Admin, DefaultManagementErrors.UserVerifyDenial);
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}
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@Bean
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public IMessageResolver messageResolver(ImdgProvider imdgProvider) {
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return new IMDGMessageResolver(imdgProvider);
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}
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}
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@ -16,7 +16,7 @@ import ru.spcex.clearing.dflt.management.service.SpotOvernightOrderService;
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import ru.spcex.clearing.dflt.management.service.SwapOvernightOrderService;
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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.domain.cud.schedule.LauncherCommandRequest;
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import ru.spcex.clearing.platform.messaging.service.QueueConsumer;
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import ru.spcex.platform.enumeration.OvernightType;
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import ru.spcex.platform.enumeration.Task;
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@ -48,13 +48,13 @@ public class TaskListener extends QueueConsumer implements InitializingBean {
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@Override
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public void afterPropertiesSet() {
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callback(OvernightSettingsNewRequest.class)
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callback(LauncherCommandRequest.class)
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.setConsumer(this::createOrder)
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.forDestination(Task.CROR.topic(), callbacks::put);
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init();
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}
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private void createOrder(BaseRequest<OvernightSettingsNewRequest> newReq) {
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private void createOrder(BaseRequest<LauncherCommandRequest> newReq) {
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log.info("CROR createOrder started, request={}", newReq);
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Collection<Long> registryIds = imdgQueryService.getCurrencyRegistry();
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@ -71,7 +71,7 @@ public class ImdgQueryService {
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public Optional<OvernightSettings> findOvernightSettingsByCompany(Long companyId) {
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ImdgPredicateBuilder builder = overnightSettingsImdg.predicateBuilder();
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ImdgPredicate predicate = builder.and(
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builder.equals("market", ru.spcex.platform.enumeration.Market.curr),
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builder.equals("market", ru.spcex.platform.enumeration.Market.curr.getKey()),
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builder.equals("companyId", companyId)
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);
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OvernightSettings overnightSettings = overnightSettingsImdg.getFirstObjectByPredicate(predicate);
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@ -89,7 +89,7 @@ public class ImdgQueryService {
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public CounterpartyInfo getCompanyByRole(CompanyRole role) {
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ImdgPredicateBuilder pb = companyRoleSetImdg.predicateBuilder();
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CompanyRoleSet roleSet = companyRoleSetImdg.getSingleObjectByPredicate(
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pb.equals("companyRole", role)
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pb.equals("companyRole", role.getKey())
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);
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Company company = companyImdg.getSingleObjectByID(roleSet.getCompanyId());
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@ -126,12 +126,12 @@ public class ImdgQueryService {
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public Market getSwapMarket() {
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ImdgPredicateBuilder pb = marketImdg.predicateBuilder();
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return marketImdg.getSingleObjectByPredicate(pb.equals("marketType", MarketType.SCSW));
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return marketImdg.getSingleObjectByPredicate(pb.equals("marketType", MarketType.SCSW.getKey()));
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}
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public Market getSpotMarket() {
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ImdgPredicateBuilder pb = marketImdg.predicateBuilder();
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return marketImdg.getSingleObjectByPredicate(pb.equals("marketType", MarketType.SCSP));
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return marketImdg.getSingleObjectByPredicate(pb.equals("marketType", MarketType.SCSP.getKey()));
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}
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public Listing findListing(Registry registry, String marketCode) {
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@ -164,8 +164,7 @@ public class ImdgQueryService {
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RiskParameter riskParameter = riskParameterImdg.getSingleObjectByPredicate(
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pb.and(
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pb.equals("settlementType", "T0"),
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pb.equals("currencyPairId", currencyPairDictionaryId),
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pb.equals("baseCurrency", baseCurrency)
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pb.equals("currencyPairId", currencyPairDictionaryId)
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)
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);
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return riskParameter.getQuoteValue();
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@ -256,9 +255,9 @@ public class ImdgQueryService {
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ImdgPredicateBuilder pb = registryImdg.predicateBuilder();
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return registryImdg.getSingleObjectByPredicate(
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pb.and(
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pb.regex("registryCode", "^PM.*T"),
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pb.regex("registryCode", "^AM.*T"),
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pb.equals("securitySymbol", securitySymbol),
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pb.equals("tradingClearingRegistryId", registry.getId()),
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pb.equals("tradingClearingRegistryId", registry.getTradingClearingRegistryId()),
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pb.equals("companyId", registry.getCompanyId())
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)
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);
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@ -12,21 +12,22 @@ import ru.clearing.classes.statics.data.security.Rates;
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import ru.clearing.platform.dictionary.CurrencyPairDictionary;
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import ru.spcex.clearing.dflt.management.model.CalculationResult;
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import ru.spcex.clearing.dflt.management.model.SwapContext;
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import ru.spcex.platform.enumeration.SettleCode;
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@Service
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public class SwapCalculationService {
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public class OrderCalculationService {
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private static final MathContext MC = new MathContext(20, RoundingMode.HALF_UP);
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private final ImdgQueryService imdgQueryService;
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private final TransferDateService transferDateService;
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public SwapCalculationService(ImdgQueryService imdgQueryService,
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public OrderCalculationService(ImdgQueryService imdgQueryService,
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TransferDateService transferDateService) {
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this.imdgQueryService = imdgQueryService;
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this.transferDateService = transferDateService;
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}
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public void calcAndEnrich(OrderCurrency order,
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public void calcAndEnrichSwap(OrderCurrency order,
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SwapContext context) {
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Registry registry = context.getRegistry();
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Listing listing = context.getListing();
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@ -46,6 +47,35 @@ public class SwapCalculationService {
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order.setQuantityLot(quantityLot);
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}
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public void calcAndEnrichSpot(OrderCurrency order,
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SwapContext context) {
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Registry registry = context.getRegistry();
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Listing listing = context.getListing();
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CurrencyPairDictionary pair = imdgQueryService.getCurrencyPairDictionaryByListing(listing);
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BigDecimal s = imdgQueryService.defineTransferRate(pair.getId(), registry.getSecuritySymbol());
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BigDecimal n = transferDateService.numberOfDaysOfTransfer();
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CalculationResult result = isRub(registry)
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? calculationSwapRubSums(registry, listing.getLotSize().intValue(), s, n)
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: calculationSwapSums(registry, listing.getLotSize().intValue(), s, n);
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Rates rates = imdgQueryService.getRate(pair.getBaseCurrency(), LocalDate.now());
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BigDecimal quantityLot;
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BigDecimal price;
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if (SettleCode.T0.equalsByKey(order.getSettleCode())) {
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quantityLot = result.sum3().abs();
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price = rates.getValue();
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} else {
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quantityLot = result.sum5().abs();
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BigDecimal delta = swapPriceCalc(pair.getBaseCurrency(), s, n);
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price = rates.getValue().add(delta);
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}
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order.setPrice(price);
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order.setQuantityLot(quantityLot);
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}
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private CalculationResult calculationSwapSums(Registry registry, Integer lotSize, BigDecimal s, BigDecimal n) {
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BigDecimal planPosition = registry.getBalance();
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BigDecimal sum1 = planPosition.abs();
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@ -8,56 +8,61 @@ import ru.clearing.classes.statics.data.registry.Registry;
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import ru.clearing.classes.statics.data.security.RiskParameter;
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import ru.spcex.clearing.dflt.management.model.CounterpartyInfo;
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import ru.spcex.clearing.dflt.management.model.SwapContext;
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import ru.spcex.platform.enumeration.SettleCode;
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import static ru.spcex.platform.enumeration.SettleCode.T0;
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import ru.spcex.platform.enumeration.Side;
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@Service
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public class SwapOrderTemplateBuilder {
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public class OrderTemplateBuilder {
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public OrderCurrency buildPrimaryTransfer(SwapContext context) {
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public OrderCurrency buildPrimaryTransfer(SwapContext context, SettleCode settleCode) {
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OrderCurrency orderCurrency;
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switch (context.getOrderCategory()) {
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case "PL" -> orderCurrency = buildPrimaryTransferPl(context);
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case "UK" -> orderCurrency = buildPrimaryTransferUk(context);
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default -> throw new IllegalArgumentException("Unsupported order category: " + context.getOrderCategory());
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}
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Side side = resolvePrimaryTransferSide(context.getRegistry());
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enrichOrder(orderCurrency, context, side, "overnight");
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Side side = resolvePrimaryTransferSide(context.getRegistry(), settleCode);
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enrichOrder(orderCurrency, context, side, "overnight", settleCode);
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return orderCurrency;
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}
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public OrderCurrency buildCounterTransfer(SwapContext context) {
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public OrderCurrency buildCounterTransfer(SwapContext context, SettleCode settleCode) {
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OrderCurrency orderCurrency;
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switch (context.getOrderCategory()) {
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case "PL" -> orderCurrency = buildCounterTransferPl(context);
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case "UK" -> orderCurrency = buildCounterTransferUk(context);
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default -> throw new IllegalArgumentException("Unsupported order category: " + context.getOrderCategory());
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};
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Side side = resolveCounterTransferSide(context.getRegistry());
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enrichOrder(orderCurrency, context, side, "overnight");
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}
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;
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Side side = resolveCounterTransferSide(context.getRegistry(), settleCode);
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enrichOrder(orderCurrency, context, side, "overnight", settleCode);
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return orderCurrency;
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}
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public OrderCurrency buildPrimaryBalancing(SwapContext context) {
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public OrderCurrency buildPrimaryBalancing(SwapContext context, SettleCode settleCode) {
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OrderCurrency orderCurrency;
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switch (context.getOrderCategory()) {
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case "PL" -> orderCurrency = buildPrimaryBalancingPl(context);
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case "UK" -> orderCurrency = buildPrimaryBalancingUk(context);
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default -> throw new IllegalArgumentException("Unsupported order category: " + context.getOrderCategory());
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};
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Side side = resolvePrimaryBalancingSide(context.getRegistry());
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enrichOrder(orderCurrency, context, side, "balance");
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}
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;
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Side side = resolvePrimaryBalancingSide(context.getRegistry(), settleCode);
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enrichOrder(orderCurrency, context, side, "balance", settleCode);
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return orderCurrency;
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}
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public OrderCurrency buildCounterBalancing(SwapContext context) {
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public OrderCurrency buildCounterBalancing(SwapContext context, SettleCode settleCode) {
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OrderCurrency orderCurrency;
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switch (context.getOrderCategory()) {
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case "PL" -> orderCurrency = buildCounterBalancingPl(context);
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case "UK" -> orderCurrency = buildCounterBalancingUk(context);
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default -> throw new IllegalArgumentException("Unsupported order category: " + context.getOrderCategory());
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};
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Side side = resolveCounterBalancingSide(context.getRegistry());
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enrichOrder(orderCurrency, context, side, "balance");
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}
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;
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Side side = resolveCounterBalancingSide(context.getRegistry(), settleCode);
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enrichOrder(orderCurrency, context, side, "balance", settleCode);
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return orderCurrency;
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}
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@ -184,7 +189,8 @@ public class SwapOrderTemplateBuilder {
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public void enrichOrder(OrderCurrency order,
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SwapContext context,
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Side side,
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String comment) {
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String comment,
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SettleCode settleCode) {
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Registry registry = context.getRegistry();
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Listing listing = context.getListing();
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Market market = context.getMarket();
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@ -198,26 +204,30 @@ public class SwapOrderTemplateBuilder {
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order.setLotSize(listing.getLotSize());
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order.setRate(riskParameter.getQuoteValue());
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order.setSide(side.getKey());
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order.setSettleCode("T1");
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order.setSettleCode(settleCode.getKey());
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order.setStatus("CRET");
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order.setComment(comment);
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order.setRegistryId(registry.getId());
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}
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private Side resolvePrimaryTransferSide(Registry registry) {
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return isRub(registry) ? Side.BUY : Side.SELL;
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private Side resolvePrimaryTransferSide(Registry registry, SettleCode settleCode) {
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Side side = T0 == settleCode ? Side.BUY : Side.SELL;
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return isRub(registry) ? side : side.revers();
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}
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private Side resolveCounterTransferSide(Registry registry) {
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return isRub(registry) ? Side.SELL : Side.BUY;
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private Side resolveCounterTransferSide(Registry registry, SettleCode settleCode) {
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Side side = T0 == settleCode ? Side.SELL : Side.BUY;
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return isRub(registry) ? side : side.revers();
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}
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private Side resolvePrimaryBalancingSide(Registry registry) {
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return isRub(registry) ? Side.SELL : Side.BUY;
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private Side resolvePrimaryBalancingSide(Registry registry, SettleCode settleCode) {
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Side side = T0 == settleCode ? Side.SELL : Side.BUY;
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return isRub(registry) ? side : side.revers();
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}
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private Side resolveCounterBalancingSide(Registry registry) {
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return isRub(registry) ? Side.BUY : Side.SELL;
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private Side resolveCounterBalancingSide(Registry registry, SettleCode settleCode) {
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Side side = T0 == settleCode ? Side.BUY : Side.SELL;
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return isRub(registry) ? side : side.revers();
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}
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private boolean isRub(Registry registry) {
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@ -12,6 +12,7 @@ import ru.spcex.clearing.dflt.management.model.CounterpartyInfo;
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import ru.spcex.clearing.dflt.management.model.SwapContext;
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import ru.spcex.clearing.imdg.IMDGDistributedNames;
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import ru.spcex.platform.enumeration.CompanyRole;
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import ru.spcex.platform.enumeration.SettleCode;
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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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@ -21,13 +22,13 @@ public class SpotOvernightOrderService {
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private final ImdgQueryService imdgQueryService;
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private final Imdg<OrderCurrency> orderCurrencyImdg;
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private final SwapOrderTemplateBuilder templateBuilder;
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private final SwapCalculationService swapCalculationService;
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private final OrderTemplateBuilder templateBuilder;
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private final OrderCalculationService swapCalculationService;
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public SpotOvernightOrderService(ImdgProvider imdgProvider,
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ImdgQueryService imdgQueryService,
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SwapOrderTemplateBuilder templateBuilder,
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SwapCalculationService swapCalculationService) {
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OrderTemplateBuilder templateBuilder,
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OrderCalculationService swapCalculationService) {
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this.imdgQueryService = imdgQueryService;
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this.orderCurrencyImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OrderCurrency, OrderCurrency.class);
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this.templateBuilder = templateBuilder;
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@ -55,20 +56,35 @@ public class SpotOvernightOrderService {
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.rgcm(rgcm)
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.build();
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// OrderCurrency primaryTransfer = templateBuilder.buildPrimaryTransfer(context);
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// OrderCurrency counterTransfer = templateBuilder.buildCounterTransfer(context);
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// OrderCurrency primaryBalancing = templateBuilder.buildPrimaryBalancing(context);
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// OrderCurrency counterBalancing = templateBuilder.buildCounterBalancing(context);
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//
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// swapCalculationService.calcAndEnrich(primaryTransfer, context);
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// swapCalculationService.calcAndEnrich(counterTransfer, context);
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// swapCalculationService.calcAndEnrich(primaryBalancing, context);
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// swapCalculationService.calcAndEnrich(counterBalancing, context);
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//
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// orderCurrencyImdg.insert(primaryTransfer);
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// orderCurrencyImdg.insert(counterTransfer);
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// orderCurrencyImdg.insert(primaryBalancing);
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// orderCurrencyImdg.insert(counterBalancing);
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OrderCurrency primaryTransferT0 = templateBuilder.buildPrimaryTransfer(context, SettleCode.T0);
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OrderCurrency counterTransferT0 = templateBuilder.buildCounterTransfer(context, SettleCode.T0);
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OrderCurrency primaryTransferT1 = templateBuilder.buildPrimaryTransfer(context, SettleCode.T1);
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OrderCurrency counterTransferT1 = templateBuilder.buildCounterTransfer(context, SettleCode.T1);
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OrderCurrency primaryBalancingT0 = templateBuilder.buildPrimaryBalancing(context, SettleCode.T0);
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OrderCurrency counterBalancingT0 = templateBuilder.buildCounterBalancing(context, SettleCode.T0);
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OrderCurrency primaryBalancingT1 = templateBuilder.buildPrimaryBalancing(context, SettleCode.T1);
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OrderCurrency counterBalancingT1 = templateBuilder.buildCounterBalancing(context, SettleCode.T1);
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swapCalculationService.calcAndEnrichSpot(primaryTransferT0, context);
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swapCalculationService.calcAndEnrichSpot(counterTransferT0, context);
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swapCalculationService.calcAndEnrichSpot(primaryTransferT1, context);
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swapCalculationService.calcAndEnrichSpot(counterTransferT1, context);
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swapCalculationService.calcAndEnrichSpot(primaryBalancingT0, context);
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swapCalculationService.calcAndEnrichSpot(counterBalancingT0, context);
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swapCalculationService.calcAndEnrichSpot(primaryBalancingT1, context);
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swapCalculationService.calcAndEnrichSpot(counterBalancingT1, context);
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orderCurrencyImdg.insert(primaryTransferT0);
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orderCurrencyImdg.insert(counterTransferT0);
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orderCurrencyImdg.insert(primaryTransferT1);
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orderCurrencyImdg.insert(counterTransferT1);
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orderCurrencyImdg.insert(primaryBalancingT0);
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orderCurrencyImdg.insert(counterBalancingT0);
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orderCurrencyImdg.insert(primaryBalancingT1);
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orderCurrencyImdg.insert(counterBalancingT1);
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log.info("Spot orders created for registryId={}", registry.getId());
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}
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@ -12,6 +12,7 @@ import ru.spcex.clearing.dflt.management.model.CounterpartyInfo;
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import ru.spcex.clearing.dflt.management.model.SwapContext;
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import ru.spcex.clearing.imdg.IMDGDistributedNames;
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import ru.spcex.platform.enumeration.CompanyRole;
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import ru.spcex.platform.enumeration.SettleCode;
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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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@ -21,13 +22,13 @@ public class SwapOvernightOrderService {
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private final ImdgQueryService imdgQueryService;
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private final Imdg<OrderCurrency> orderCurrencyImdg;
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private final SwapOrderTemplateBuilder templateBuilder;
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private final SwapCalculationService swapCalculationService;
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private final OrderTemplateBuilder templateBuilder;
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private final OrderCalculationService swapCalculationService;
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public SwapOvernightOrderService(ImdgProvider imdgProvider,
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ImdgQueryService imdgQueryService,
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SwapOrderTemplateBuilder templateBuilder,
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SwapCalculationService swapCalculationService) {
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OrderTemplateBuilder templateBuilder,
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OrderCalculationService swapCalculationService) {
|
||||
this.imdgQueryService = imdgQueryService;
|
||||
this.orderCurrencyImdg = imdgProvider.getImdg(IMDGDistributedNames.Map_OrderCurrency, OrderCurrency.class);
|
||||
this.templateBuilder = templateBuilder;
|
||||
|
|
@ -55,15 +56,15 @@ public class SwapOvernightOrderService {
|
|||
.rgcm(rgcm)
|
||||
.build();
|
||||
|
||||
OrderCurrency primaryTransfer = templateBuilder.buildPrimaryTransfer(context);
|
||||
OrderCurrency counterTransfer = templateBuilder.buildCounterTransfer(context);
|
||||
OrderCurrency primaryBalancing = templateBuilder.buildPrimaryBalancing(context);
|
||||
OrderCurrency counterBalancing = templateBuilder.buildCounterBalancing(context);
|
||||
OrderCurrency primaryTransfer = templateBuilder.buildPrimaryTransfer(context, SettleCode.T1);
|
||||
OrderCurrency counterTransfer = templateBuilder.buildCounterTransfer(context, SettleCode.T1);
|
||||
OrderCurrency primaryBalancing = templateBuilder.buildPrimaryBalancing(context, SettleCode.T1);
|
||||
OrderCurrency counterBalancing = templateBuilder.buildCounterBalancing(context, SettleCode.T1);
|
||||
|
||||
swapCalculationService.calcAndEnrich(primaryTransfer, context);
|
||||
swapCalculationService.calcAndEnrich(counterTransfer, context);
|
||||
swapCalculationService.calcAndEnrich(primaryBalancing, context);
|
||||
swapCalculationService.calcAndEnrich(counterBalancing, context);
|
||||
swapCalculationService.calcAndEnrichSwap(primaryTransfer, context);
|
||||
swapCalculationService.calcAndEnrichSwap(counterTransfer, context);
|
||||
swapCalculationService.calcAndEnrichSwap(primaryBalancing, context);
|
||||
swapCalculationService.calcAndEnrichSwap(counterBalancing, context);
|
||||
|
||||
orderCurrencyImdg.insert(primaryTransfer);
|
||||
orderCurrencyImdg.insert(counterTransfer);
|
||||
|
|
|
|||
|
|
@ -0,0 +1,22 @@
|
|||
package ru.spcex.clearing.gatewayapi.config.deserializers;
|
||||
|
||||
|
||||
import com.fasterxml.jackson.core.JsonParser;
|
||||
import com.fasterxml.jackson.databind.DeserializationContext;
|
||||
import com.fasterxml.jackson.databind.JsonDeserializer;
|
||||
import java.io.IOException;
|
||||
import java.time.LocalDateTime;
|
||||
import java.time.format.DateTimeFormatter;
|
||||
|
||||
public class LocalDateTimeV2Deserializer extends JsonDeserializer<LocalDateTime> {
|
||||
private static final DateTimeFormatter formatter = DateTimeFormatter.ofPattern("dd.MM.yyyy HH:mm:ss.SSS");
|
||||
|
||||
@Override
|
||||
public LocalDateTime deserialize(JsonParser p, DeserializationContext ctxt) throws IOException {
|
||||
String date = p.getText();
|
||||
if (date == null || date.trim().length() == 0) {
|
||||
return null;
|
||||
}
|
||||
return LocalDateTime.parse(date, formatter);
|
||||
}
|
||||
}
|
||||
|
|
@ -6,7 +6,7 @@ import java.math.BigDecimal;
|
|||
import java.time.LocalDate;
|
||||
import java.time.LocalDateTime;
|
||||
import ru.spcex.clearing.gatewayapi.config.deserializers.LocalDateDeserializer;
|
||||
import ru.spcex.clearing.gatewayapi.config.deserializers.LocalDateTimeDeserializer;
|
||||
import ru.spcex.clearing.gatewayapi.config.deserializers.LocalDateTimeV2Deserializer;
|
||||
|
||||
public class CurrencyRate {
|
||||
|
||||
|
|
@ -32,11 +32,11 @@ public class CurrencyRate {
|
|||
|
||||
private BigDecimal price;
|
||||
|
||||
@JsonDeserialize(using = LocalDateTimeDeserializer.class)
|
||||
@JsonDeserialize(using = LocalDateTimeV2Deserializer.class)
|
||||
@JsonProperty("update_date_time")
|
||||
private LocalDateTime updateDateTime;
|
||||
|
||||
@JsonDeserialize(using = LocalDateTimeDeserializer.class)
|
||||
@JsonDeserialize(using = LocalDateTimeV2Deserializer.class)
|
||||
@JsonProperty("source_date_time")
|
||||
private LocalDateTime sourceDateTime;
|
||||
|
||||
|
|
|
|||
|
|
@ -121,7 +121,7 @@ public class RatesMessageListener extends QueueConsumer implements InitializingB
|
|||
ImdgPredicateBuilder predicateBuilder = ratesImdg.predicateBuilder();
|
||||
Collection<Long> rateIds = ratesImdg.getCollectionIdsByPredicate(
|
||||
predicateBuilder.and(
|
||||
predicateBuilder.equals("date", elem.getDate()),
|
||||
predicateBuilder.equals("valueDate", elem.getDate()),
|
||||
predicateBuilder.equals("currency", elem.getBaseCurrencyLetterCode())
|
||||
));
|
||||
if (rateIds.isEmpty()) {
|
||||
|
|
|
|||
Loading…
Add table
Reference in a new issue