FAST

Authorised users (persons that have signed an agreement on the provision of exchange trading information for further distribution, use in Non-display systems, calculation of derivative information) are provided with an opportunity to receive exchange information from the Moscow Exchange Group’s markets through the standard FIX/FAST Gate protocol in real time (information on the FIX protocol is available at http://www.fixprotocol.org).
Key features of implementation

• Multicast FIX/FAST Gate market data.
• Data from the Equity & Bond Market, Derivatives Market and FX Market.
• Tables: "Financial instruments" (prices, volumes, etc.), "Quotes", "All trades", "Indices", all active anonymised orders.
• Average update latency: less than 300 micro-seconds (for the Equity & Bond Market and FX Market).
• Multicast FIX/FAST Gate 5.0 SP1 (Derivatives Market), 5.0 SP2 (Equity & Bond Market and FX Market).

FAST Gate service is a group of the following channels:

Description

1. Market data group is a system of UDP channels. UDP protocol specifics allows to reduce information distribution latency, while channel duplication allows to reduce the risk of message loss.
2. Incremental Refresh channel allows to receive current trading information from the market.
3. Instruments Replay thread is used to receive messages with information on all the instruments admitted to trading.
4. Market snapshot thread is used to recover the actual trading information for all instruments.
5. Instruments Incremental channels are used to receive data on the Margin Requirement and price limits, in case of intraday changes, as well as data on volatility and theoretical price of options.
6. Message Replay (TCP-historical) allows to request messages missed in the Incremental Refresh channel.

Example scenario of connection and data receipt

1. Before trading starts:
   1. Connect to the Instruments Replay thread in order to receive information on all the instruments admitted to trading on the market, and disconnect when the new tickers are added.
   2. Connect to the snapshot channel and receive information on the current trading state, then connect to Incremental Refresh and Instruments Incremental and start receiving updates. Unsubscribe from Market Snapshot afterwards.
2. In case of late subscription or connection loss and temporary disconnection from the Incremental Refresh channel, connect to Market Snapshot to receive information on the current trading state for all instruments at the time of connection. After information update for all instruments, disconnect from the snapshot channel and switch to the information receipt mode via the Incremental channel.
3. In case of package loss from the channel, use the Message Replay thread to request messages published in the Incremental channel.

Recommendations on the communication channels for FAST UDP multicast marketdata
Configuration for connection

FAST documentation:

• ASTS FAST Gate (Equity & Bond Market and FX Market). Developer Manual, FAST compression and configuration templates
• Spectra FAST Gate (Derivatives Market). Developer Manual, FAST compression and configuration templates

Access to FAST for authorised users of information:

1. Conclude an agreement on the provision of exchange trading information for further distribution, Non-display use, calculation of derivative information by submitting a request via the feedback form or contacting the Sales Division of the Department of Exchange Information and Technology Services by phone +7 (495) 363-32-32 (ext. 5656).
2. Upon signing the agreement, submit a request at help@moex.com for access to FAST.
3. Connection to industrial environment is subject to availability of an allocated channel. Minimum bandwidth: 4 Mb/sec for Spectra FAST Gate, recommended bandwidth for ASTS FAST Gate: 15 Mb/sec for A and B copies of each market thread. List of channel providers.

For technical questions, and to get connected to the test FIX server, please call +7 (495) 733-95-07 or send e-mail at help@moex.com.