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Synthetic Matching of Calendar Spreads



Synthetic matching is based on the combination of different order books which allows to match Calendar Spread orders with both orders from the Calendar Spread order book and orders from the leg futures order books for the spread legs. A Calendar Spread order thus crosses against opposite-side orders from orders books of its legs.

Synthetic Matching is available for all calendar spreads.

Calendar Spread – the service offered by the Derivatives Market which allow to purchase a futures contract, and sell another futures contract at the same time, provided that these two futures are on the same underlying asset, but in a different expiry.

The first leg of a Calendar Spread is the near month futures, and the second leg is the far month futures. For example, the far expiry in the Calendar Spread is the expiry following the near contract.

Example of Calendar Spread designation:

CS long code CS short code First leg Second leg
RTS-9.20-12.20 RIU0RIZ0 RTS-9.20 (RIU0) RTS-12.20 (RIZ0)
Si-9.20-12.20 SiU0SiZ0 Si-9.20 (SiU0) Si-12.20 (SiZ0)


Synthetic matching allows trading based on orders from different order books (i.e. order books for different instruments).

  • Bringing together open interest from different order books

Synthetic matching allows crossing Calendar Spread orders with opposite-side orders within the Calendar Spread order book and furthermore, with orders from orders books of the spread legs. Therefore, a Calendar Spread order can also be matched against opposite-side open positions from orders books of its legs.

  • Liquidity boost

Synthetic matching aims to increase liquidity in the instruments by combining order books.

  • Best price

With order books combined, traders may execute trades at prices which are the same or better than in any specific order book.

  • Further trading opportunities

MOEX plans to apply the synthetic matching method to inter-product spreads (BR-CL) and option strategies




  • A trader places a Calendar Spread order (allowed order types: limit, market or FOK order);
  • The order appears in the spread order book linked to order books of the futures from the spread legs;
  • The spread size (i.e.the difference between the prices of the far and near futures) is the order price which can be positive, negative or zero.
  • The order is filled when the spread buy order matches the spread sell order in the spread order book.

At the moment of matching, the margin requirement is the same as for two matched atomic orders in the spread instruments.




Calculation of the fee for Calendar Spread trades involving any futures contracts (except the OFZ basket futures contract) based on order book Calendar Spread orders:

FeeCS = Т * F * (1-K)

FeeCS – the fee for Calendar Spread;
Т – the number of futures contracts;
F – the amount of the exchange fee (for registration of order book trades as per Section 3 of the Tariffs);
K – the discount rate at 0.2 (zero point two) applies during the marketing period in case the futures contracts were executed*.
*The marketing period is:

  • 18 (eighteen) months for the OFZ basket;
  • 6 (six) months for other underlying assets.

Upon the expiration of the marketing period, discount rate (К) does not apply

Calculation of the fee for Calendar Spread trades involving any futures contracts based on off-order book Calendar Spread orders:

FeeCS = Т * F

FeeCS – the amount of the fee for Calendar Spreads;
Т – the number of futures contracts;

F – the amount of the exchange fee (for registration of order book trades as per Section 3 of the Tariffs)

Transaction fee:
Placement and removal of a Calendar Spread order is considered as one transaction, i.e. a trading member trading Calendar Spreads makes half as many transactions compared to the member trading on the order book for futures involved in the spread.





The calendar spread reports are send upon the end of the evening clearing session:

  • Calendar spread trade report: multilegf04_XXYY.csv;
  • Data on all calendar spread trades: multileg_deal.csv;
  • Log of calendar spread orders placed, matched and removed: multilegordlog_XXYY.csv;
  • Data on calendar spread instruments: multileg_dict.csv (shows instruments in the spread);
  • Report f04_XXYY.csv contains field id_mult which indicates the use of the technical trade as part of a multi-leg trade. The field shows the multi-leg ID. It is empty for regular trades. The value corresponds with id_deal from report multilegf04_XXYY.csv.
  • Report f07.csv contains field multileg – calendar spread instrument attribute.
  • In reports fpos_XXYY.csv, the position value changes only for atomic instruments. Example: the trade in RTS-12.17-3.18 changes positions in instruments RTS-12.17 and RTS-3.18, position in RTS-12.17-3.18 is not tracked.

For more information regarding these and other reports, please click here.




Synthetic matching of calendar spreads




TickerLast tradeBidAskDaily highDaily lowAmountVolumeTradesArchive data
AFKS-3.22-6.2205516860000,000 archive
AFLT-3.22-6.22145131145145131845 396,002 archive
ALMN-2.22-3.220000000,000 archive
ALRS-3.22-6.2226824428231026844491 574,0015 archive
BR-2.22-3.22-1,48-1,49-1,46-1,29-1,48132293 161 105,42122 archive
CHMF-3.22-6.220-6276-28060000,000 archive
CL-2.22-3.220-7,437,440000,000 archive
Co-2.22-3.22006210000,000 archive
ED-3.22-6.22000006525 117,143 archive
Eu-3.22-6.222366231223692380229714412 845 181,0033 archive
FEES-3.22-6.2202874220000,000 archive
FIVE-3.22-6.22-335-393-326-335-34528484 102,008 archive
GAZR-3.22-6.22697697712719693112237 733 318,00251 archive
GLD-2.22-3.2200271,50000,000 archive
GMKN-3.22-6.22-555-635-575-555-59612264 755,005 archive
GOLD-3.22-6.224,94,44,94,94,3588 111 736,8116 archive
HYDR-3.22-6.2201551760000,000 archive
IRAO-3.22-6.220-6299950000,000 archive
LKOH-3.22-6.22136913691449136913692138 785,001 archive
MAGN-3.22-6.220-2997-28630000,000 archive
MAIL-3.22-6.2201731930000,000 archive
MGNT-3.22-6.22109-2110109109210 099,001 archive
MIX-3.22-6.220122514250000,000 archive
MOEX-3.22-6.220-598-5010000,000 archive
MTSI-3.22-6.2276756876676776114409 216,007 archive
MXI-3.22-6.2217,2510,416,8517,2517,2520708 725,002 archive
NG-2.22-3.22-0,22-0,22-0,21-0,2-0,26110440 151 259,99427 archive
NLMK-3.22-6.220-568-4480000,000 archive
NOTK-3.22-6.22043726660000,000 archive
Nl-2.22-3.220000000,000 archive
OZON-3.22-6.2203316160000,000 archive
PLD-3.22-6.2201,65,990000,000 archive
PLT-3.22-6.225,35,36,495,3383 016 047,5512 archive
PLZL-3.22-6.220412380000,000 archive
POLY-3.22-6.22-139-161-80-139-139222 245,001 archive
ROSN-3.22-6.22-959-880-488-801-9596341 522,003 archive
RTKM-3.22-6.2216632214166166214 968,001 archive
RTS-12.22-3.230-970-700000,000 archive
RTS-3.22-6.22-2910-2910-2880-2880-292025455 508 084,4586 archive
RTS-6.22-9.22-3960-4030-3960-3960-40504851 463,072 archive
RTS-9.22-12.22154015301780154015402421 295,451 archive
RTSM-3.22-6.22-30-30,5-29,5-29,5-30,51503 281 281,9345 archive
SBPR-3.22-6.220-1343-12490000,000 archive
SBRF-3.22-6.22-1341-1341-1328-1328-13503569 029 428,0092 archive
SILV-3.22-6.220,130,130,150,140,1361610 768 390,4874 archive
SLV-2.22-3.220-4,977,170000,000 archive
SNGP-3.22-6.2208349310000,000 archive
SNGR-3.22-6.2208639140000,000 archive
SPYF-3.22-6.22-0,68-0,68-0,46-0,27-0,79219874 637 944,09351 archive
SUGR-3.22-5.2200,652,530000,000 archive
Si-3.22-6.221925191719251927190110168811 360 899,001074 archive
Si-6.22-9.221888181918881888188812978 322,005 archive
TATN-3.22-6.22087010260000,000 archive
TCSI-3.22-6.22090510980000,000 archive
TRNF-3.22-6.220-184040610000,000 archive
VTBR-3.22-6.2296961001009670312 271,0032 archive
YNDF-3.22-6.22801763801805760642 264 588,0020 archive
Zn-2.22-3.220000000,000 archive


Derivatives Market Department of Moscow Exchange

tel: +7 (495) 363-3232