SPECTRA trading system version 4.5 (СР2015-2) is scheduled to roll on production for 7 September 2015

SPECTRA trading system version 4.5 is scheduled to roll on production for 7 September 2015.

What"s new in v.4.5:

1. MOEXREPO futures launch.

This instrument allows exchanging collected REPO rate with CC overnight to fixed rate. Financial result for bought MOEXREPO futures is the difference between fixed and collected REPO rates. For sold MOEXREPO futures the result is the difference between collected and fixed REPO rates respectively.

To support this new instrument we implement the following changes in gate interfaces:

New fields are added into fut_sess_contents table of FORTS_FUTINFO_REPL feed.

• pctyield_coeff {d 16:5} Yield calculation coefficient for futures on interest rates.
• pctyield_total {d 16:5} Sum of rates for yield calculation for futures on interest rates.

Is_percent field of the fut_sess_contents table in FORTS_FUTINFO_REPL feed can have value equal to 4 indicating futures contract to MOEXREPO rate.

2. Canceled restriction on Settlement Price change.

Restriction on futures settlement price changing more than the limit calculated during the previous clearing session is removed. It does not require any client-side changes. Technical implementation, this change will be rolled on production after new trading and clearing rules come into force.

3. Canceled margin restriction.

Restriction on maximum margin of double price limits for the futures contract has been removed. It does not require any client-side changes.

4. Positive Variation Margin for closed positions will be included into available funds for trading.

Positive VM for Client"s closed positions increases available funds for trading. It does not require any client-side changes.

5. Removed limitations for maximum FX rate change for Variation margin calculation at clearing/intermediate clearing.

Minimum tick value calculation (and Variation Margin value) will be done without any limits applied for possible FX rate changes. Technical implementation, this change will be rolled on production after new trading and clearing rules come into force.

6. Debt repayment mechanism for bankrupt clearing members through the Central Bank execution.

In case any clearing member has unpaid debt to NCC, this debt can be paid by liquidating portfolio equities that belong to the Clearing member. It does not require any client-side changes.

7. Billing subsystem update.

In scope of billing subsystem update we plan to implement new billing module calculating market member"s commission fees which will be provided in a separate FORTS_FEE_REPL replication stream. Commission fees in FORTS_FUT/OPTTRADE_REPL replication stream will only contain approximate fees estimation which is greater than or equal to exact commission fee.

Billing subsystem update will happen in 3 steps:

• The service is available on UAT environment (including new FORTS_FEE_REPL replication stream) and billing module setup similar to current commission fee calculation. The service was implemented on 22 June 2015.
• Technical implementation on production (including new FORTS_FEE_REPL replication stream) and billing module setup similar to current commission fee calculation. Planned implementation period is – 2nd Derivatives market release (end of August 2015).
• New billing server launch on production with new commission fee calculation parameters. Planned implementation period is – 2nd Derivatives market release (end of November 2015). This step will not be included into v.4.5.

8. Guaranteed address orders matching.

New match_ref {c10} field is added into FutAddOrder/OptAddOrder and FutAddMultilegOrder transactions. Address orders matching algorithm now contains new condition stating address orders can be matched only if match_ref field is set for at least one of them, and is only possible when match_ref values match for both address orders. Please note that match_ref field is not provided as replication data and you should mark own trades in "comment" field as before. For address orders moved to the next trading day, match_ref field would not be transferred.

All other existing orders matching criteria for address orders will remain the same.

9. Options analysis update in Derivatives market terminal.

The changes include improved GUI, improved client portfolio visualization.

Please note that old version of Derivatives market terminal are no longer supported. New distributive and documentation are now available at: ftp://ftp.moex.com/pub/Terminals/Spectra/.

10. Technology changes.

• Old versions of client libraries are no longer supported.  Starting from the 3nd Derivatives market release we support client library v.196 or higher. Please ensure your software uses latest versions of the client software.
• Trading and clearing separation. The update includes technology changes to support SPECTRA trading and clearing separation. Does not require any client side changes.
• Technology changes to prepare to separate margining per account ID. Does not require any client side changes.
• Data replication rate is changed from 15 ms to 10 ms for standard replication rate feed users. Does not require any client side changes.

New version distributives are available at:  ftp://ftp.moex.com/pub/FORTS/test/CGate/

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For further information, please contact the Public Relations Department at (495) 363-3232.