证券金融 - 订单管理系统设计与实现

众所周知，在证券金融行业交易系统设计中都不可避免地涉及到需要一套订单管理系统，以实现对买卖双方的交易订单进行交易管理，本文将基于 FIX5.0 协议讨论如何优雅地设计这样一套便于扩展的订单管理系统数据模型！

一、订单下单数据模型

数据结构设计

唯一主键：orderID
唯一性索引：tradingAccountID + clOrdID

领域内关键性行为

    boolean checkStatus(Action action) {
        switch (action.getExecType()) {
            case PendingNew:
                 return getOrdStatus() == OrdStatus.PendingNew;
            case New:
                 return getOrdStatus() == OrdStatus.PendingNew || getOrdStatus() == OrdStatus.PendingCancel;
            case Trade:
            case PendingCancel:
            case Cancelled:
                return getOrdStatus() == OrdStatus.PendingNew || getOrdStatus() == OrdStatus.New || getOrdStatus() == OrdStatus.PartiallyFilled || getOrdStatus() == OrdStatus.PendingCancel;
            case Rejected:
                return getOrdStatus() == OrdStatus.PendingNew || getOrdStatus() == OrdStatus.New || getOrdStatus() == OrdStatus.PendingCancel;
            case CancelRejected:
                return getOrdStatus() == OrdStatus.PendingCancel;
            default:
                LOGGER.warn("no switch case to check this action = {}", action);
                return false;
        }
    }

    void apply(Action action) {
        switch (action.getExecType()) {
            case PendingNew:
                setOrdStatus(OrdStatus.PendingNew);
                break;
            case New:
                setOrdStatus(OrdStatus.New);
                setLeavesQty(getOrderQty());
                break;
            case Trade:
                setCumQty(getCumQty() + action.getLastQty());
                setLeavesQty(getOrderQty() - getCumQty() - getCxlQty());
                setCumAmount(getCumAmount() + action.getLastQty() * action.getLastPx());
                computeAvgPx();
                if (DecimalUtil.isZero(getOrderQty() - getCumQty())) {
                    setOrdStatus(OrdStatus.Filled);
                } else if (DecimalUtil.isZero(getLeavesQty())) {
                    setOrdStatus(OrdStatus.Cancelled);
                } else {
                    if (OrdStatus.PendingCancel != getOrdStatus()) {
                        setOrdStatus(OrdStatus.PartiallyFilled);
                    }
                }
                break;
            case Rejected:
                setOrdStatus(OrdStatus.Rejected);
                setLeavesQty(0.0d);
                setRejectedReason(action.getRejectedReason());
                break;
            case PendingCancel:
                setOrdStatus(OrdStatus.PendingCancel);
                break;
            case Cancelled:
                setCxlQty(getCxlQty() + action.getCxlQty());
                setLeavesQty(getOrderQty() - getCumQty() - getCxlQty());
                if (DecimalUtil.isZero(getLeavesQty())) {
                    setOrdStatus(OrdStatus.Cancelled);
                }
                break;
            case CancelRejected:
                if (getCumQty() < ConstDefine.TradeManage.XConst.nearlyZero) {
                    setOrdStatus(OrdStatus.New);
                } else {
                    if (DecimalUtil.isZero(getOrderQty() - getCumQty())) {
                        setOrdStatus(OrdStatus.Filled);
                    } else {
                        setOrdStatus(OrdStatus.PartiallyFilled);
                    }
                }
                break;
            default:
                LOGGER.warn("no switch case to apply this action = {}", action);
                break;
        }

        LOGGER.info("applied by actionType={} after result ordStatus={}, orderID={}", action.getExecType(), getOrdStatus(), getOrderID());
    }

    boolean complete() {
        return (DecimalUtil.isZero(getOrderQty() - getCumQty() - getCxlQty())) || getOrdStatus().equals(OrdStatus.Rejected);
    }

二、订单撤单数据模型

数据结构设计

唯一主键：cxlOrderID
唯一性索引：tradingAccountID + clOrdID

三、订单报文数据模型

数据结构设计

唯一主键：orderID + execType + execID

四、客户资金数据模型

数据结构设计

唯一主键：tradingAccountID+ currency

领域内关键性行为

   double showTradableAmount() {
        return getHoldingAmount() + getUnfreezeAmount() - getFreezedAmount()  
		 - (getIntradayEntrustBuyAmount() - getIntradayBoughtAmount())  
		 - (getIntradayEntrustBuyComission() - getIntradayBoughtCommission())
		 - (getIntradayEntrustBuyStamp() - getIntradayBoughtStamp());
    }

    void updateTradableAmount() {
        setTradableAmount(showTradableAmount());
    }

   boolean check(double amount, double commission, double stamp) {
        double holdingAmountTemp = getHoldingAmount() + amount - commission - stamp;
        double tradableAmountTemp = holdingAmountTemp + getUnfreezeAmount() - getFreezedAmount()
 		- (getIntradayEntrustBuyAmount() - getIntradayBoughtAmount())
		- (getIntradayEntrustBuyComission() - getIntradayBoughtCommission())
                - (getIntradayEntrustBuyStamp() - getIntradayBoughtStamp()));
        return holdingAmountTemp >= 0 && tradableAmountTemp >= 0;
    }

    void triggerByFlows(FlowsBizType type, double amount, double commission, double stamp) {
        switch (type) {
	    case FreezeAmount:
		setFreezedAmount(getFreezedAmount() + amount);
		updateIntradayAmount();
		break;
	    case UnFreezeAmount:
		setUnFreezedAmount(getUnFreezedAmount() + amount);
		updateIntradayAmount();
		break;
            case Sell:
            case AmountIncrease:
            case Buy:
            case AmountDecrease:
                setHoldingAmount(getHoldingAmount() + amount - stamp- commission);
                setEndAmount(getHoldingAmount());
                if (type.equals(WarrantBuy)) {
                    setIntradayBoughtAmount(getIntradayBoughtAmount() - amount);
                    setIntradayBoughtCommission(getIntradayBoughtCommission() + commission);
		    setIntradayBoughtStamp(getIntradayBoughtStamp() + stamp);
                } else if (type.equals(WarrantSell)) {
                    setIntradaySoldAmount(getIntradaySoldAmount() + amount);
                    setIntradaySoldFeeCommission(getIntradaySoldCommission() +  commission);
		    setIntradaySoldFeeStamp(getIntradaySoldStamp() +  stamp);
                }
                updateIntradayAmount();
                break;
            default:
                break;
        }
    }

五、客户持仓数据模型

数据结构设计

唯一主键：tradingAccountID+ securityID + securityExchange

领域内关键性行为

   double showTradableQty() {
        return getHoldingQty() + getUnfreezeQty() - getFreezedQty()  
		 - (getIntradayEntrustSellQty() - getIntradaySoldQty());
    }

    void updateTradableQty() {
        setTradableQty(showTradableQty());
    }

   boolean check(double quantity) {
        double holdingQtyTemp = getHoldingQty() + quantity(根据买卖加减);
        double tradableQtyTemp = holdingQtyTemp  + getUnfreezeQty() - getFreezedQty()  
		 - (getIntradayEntrustSellQty() - getIntradaySoldQty());
        return holdingQtyTemp >= 0 && tradableQtyTemp >= 0;
    }

    void triggerByFlows(FlowsBizType type, double quantity) {
        switch (type) {	
  	    case Buy:
            case QtyIncrease:
                setHoldingQty(getHoldingQty() + quantity);
                setEndQty(getHoldingQty());
                if (type.equals(FlowsBizType.WarrantBuy)) {
                    setIntradayBoughtQty(getIntradayBoughtQty() + quantity);
                }
                updateIntradayQty();
                break;
            case Sell:
            case QtyDecrease:
                setHoldingQty(getHoldingQty() - quantity);
                setEndQty(getHoldingQty());
                if (type.equals(FlowsBizType.WarrantSell)) {
                    setIntradaySoldQty(getIntradaySoldQty() + quantity);
                }
                updateIntradayQty();
                break;
	    case FreezeQty:
		setFreezedQty(getFreezedQty() + quantity);
		updateTradableQty();
		break;
	    case UnFreezeQty:
		setUnFreezedQty(getUnFreezedQty() + quantity);
		updateTradableQty();
		break;
            default:
                break;
        }
    }

六、资金持仓变动流水数据模型

数据结构设计

References

• http://www.quickfixengine.org/FIX50.html
• https://www.onixs.biz/fix-dictionary/5.0.SP2/index.html
• 《证券交易数据交换协议》- STEP 20050325

TODO

• 符合 FIX5.0 协议的 下单、撤单、拒绝、报文 接口设计
• 基于 h2database 关系型内存数据库的极简订单管理系统实现
• 通用订单管理系统抽象