net.finmath.smartcontract.valuation.service.websocket.handler.ValuationHandler Maven / Gradle / Ivy
package net.finmath.smartcontract.valuation.service.websocket.handler;
import com.neovisionaries.ws.client.WebSocket;
import io.reactivex.rxjava3.core.Observable;
import net.finmath.smartcontract.model.ValueResult;
import net.finmath.smartcontract.product.SmartDerivativeContractDescriptor;
import net.finmath.smartcontract.product.xml.SDCXMLParser;
import net.finmath.smartcontract.valuation.implementation.MarginCalculator;
import net.finmath.smartcontract.valuation.marketdata.curvecalibration.CalibrationDataItem;
import net.finmath.smartcontract.valuation.marketdata.generators.MarketDataGeneratorWebsocket;
import net.finmath.smartcontract.valuation.marketdata.generators.WebSocketConnector;
import org.springframework.web.socket.*;
import java.io.FileInputStream;
import java.util.List;
import java.util.Properties;
import java.util.concurrent.TimeUnit;
/**
* Simple ValuationHandler based on a live market data feed for a Websocket-Connection
*
* Firste: As inbound message an xml will trigger a connect to market data adapter
* Second: A valuation observable will connect on the continous market data feed
* Third: A consumer subscribes to the valuation observable and sending test messages over the websocket connection
* - For Demo Purposes may also implement for RandomMarketDataFeed
* - marketDataWebSocketAdapter should be a single instance shared across several handlers
* - parse subscription settings out of product XML (i.e. settlement frequency)
* - Add other handlers
*
* @author Peter Kohl-Landgraf
*/
public class ValuationHandler implements WebSocketHandler {
private MarketDataGeneratorWebsocket marketDataWebSocketAdapter;
@Override
public void handleMessage(WebSocketSession session, WebSocketMessage message) throws Exception {
String payload = null;
if (message instanceof TextMessage) {
payload = ((TextMessage) message).getPayload();
} else {
throw new IllegalStateException("Unexpected WebSocket message type: " + message);
}
String sdcXML = payload;//new String(DemoLauncher.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract2.xml").readAllBytes(), StandardCharsets.UTF_8);
SmartDerivativeContractDescriptor sdc = SDCXMLParser.parse(sdcXML);
List mdItemList = sdc.getMarketdataItemList();
/* Load connection properties*/
String connectionPropertiesFile = "";
Properties properties = new Properties();
properties.load(new FileInputStream(connectionPropertiesFile));
/* Init Websockect Connection*/
final WebSocketConnector connector = new WebSocketConnector(properties);
final WebSocket socket = connector.getWebSocket();
/* Market Data Adapter*/
this.marketDataWebSocketAdapter = new MarketDataGeneratorWebsocket(connector.getAuthJson(), connector.getPosition(), mdItemList);
socket.addListener(marketDataWebSocketAdapter);
socket.connect();
// emitter.asObservable().throttleFirst(2, TimeUnit.SECONDS).subscribe(s->session.sendMessage(new TextMessage(s.serializeToJson().substring(2,24))));
/* Print Market Values*/
final Observable observableValuation = marketDataWebSocketAdapter.asObservable().throttleLast(6, TimeUnit.SECONDS).map(marketData -> {
MarginCalculator calculator = new MarginCalculator();
return calculator.getValue(marketData.serializeToJson(), sdcXML);
});
observableValuation.subscribe(s -> session.sendMessage(new TextMessage(s.toString())));
}
@Override
public void handleTransportError(WebSocketSession session, Throwable exception) throws Exception {
}
@Override
public boolean supportsPartialMessages() {
return false;
}
@Override
public void afterConnectionEstablished(WebSocketSession session) throws Exception {
}
@Override
public void afterConnectionClosed(WebSocketSession session, CloseStatus status) throws Exception {
}
}