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17.05.2016 12:58

New risk transfer functionality between Derivatives and FX markets is available for testing

Moscow Exchange informs that new risk transfer functionality between Derivatives and FX markets is available for testing on test environment.

Planned date for production roll-on is 27 June 2016.

Risk transfer between Derivatives and FX markets:

  • In SPECTRA TCS two technical instruments EURRUB_RSK and USDRUB_RSK are implemented (cannot be traded de jure) which can be used for risk management. These instruments special 0h80000 status in the "signs" field.
  • Lot size for technical instruments is 1000.
  • In ASTS system serving FX market corresponding instruments are added to the RSKC board.
  • In SPECTRA Clearing System each Broker firm is assigned with the specific Clearing code registered in FX market Trading System.
  • If the Trading Participant needs to amend their limit on the FX market, the Participant (Broker firm) must place a special FutTransferRisk transaction via CGate interface or SPECTRA terminal. In this transaction participant should specify clearing register, instrument and amount of transferring position.
  • After placing an order to FX market, the Trading System creates address order to NCC as the counterparty, then the order passes standard risk management procedures, and if the funds are sufficient, the order is filled and the balance is recalculated. The transaction is accounted at the current central rate and margin transfers are not charged.
  • In SPECTRA TCS the technical transaction is created for risk transfer instrument, which will be visible through API interfaces in the "deals" table having nosystem=1 flag, however this trade will not be displayed in your reports.
  • The position opened for such transaction cannot expire; it can be closed by the opposite transaction with the same instrument.

All previous test risk parameters for participants are available for testing. In case of any questions please, email at help@moex.com

New version distributives and documentation with new transaction are available at ftp://ftp.moex.com/pub/FORTS/test/CGate/.

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