SPECTRA FAST feeds update
Dear MOEX Derivatives FAST market data feeds users,
Please be informed that on 24 August 2015 MOEX FAST feeds for Derivatives market was upgraded for version 1.2 on test environment. Planned date for production roll-on is 19 November 2015.
What"s new in version 1.2:
- Currency rates translation within INDEX feed with Symbol=USD, Symbol=USR is ceased. New Symbol=USD/RUB rate should be used instead.
- New non-mandatory service field of the Revision (tag 20018) replication subsystem is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. New field allows comparing FAST messages with CGate messages. Revision field is available in quotes, trades and market fundamentals for Derivatives market only.
- New non-mandatory field LastFragment (tag 893) is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. Full description is available in the new documentation chapter 3.2.6.
- New non-mandatory field Order Side is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. Order Side field define the direction of order that initiated the trade. The new field is translated for Derivatives market only.
- UDP packet size was optimized for standard MTU value 1500 bytes for Ethernet.
- CFICode field, Contract Multiplier field and InstrAttribType=203 field translation in Security Definition message in OTC-ISSUES multicast channel is ceased.
- MarketSegmentID field value in Security Definition message in OTC-ISSUES multicast channel is changed to "Q".
- Compression operators (copy, delta, increment) are excluded from templates.
- Message J (Empty book) is translated in FUT-BOOK-1, FUT-BOOK-5, FUT-BOOK-20, FUT-BOOK-50, OPT-BOOK-1, OPT-BOOK-5, OPT-BOOK-20, OPT-BOOK-50 snapshot channels, if no orders were placed.
- Packet"s format in TCP Recovery service is changed. First four bytes in every FAST message contain message length.
- All trades prices are translated with Currency=RUB in MDEntryPx field in OTC-TRADES channel.
Change log, documentation for developers and new templates are available at our ftp site:
For further information, please contact the Public Relations Department at (495) 363-3232.