19.12.2016 15:53

About Derivatives market UAT server upgrade on 20-25.12.2016

Dear clients of MOEX Derivatives market,

Please be informed that MOEX Derivatives Market UAT environment will not be available for users from 20 to 25 December 2016 inclusive due to system upgrade to version 5.3. Planned date to be implemented to production - February 2017.

What"s new in version 5.3:

1. Upgrade of the matching engine and risk modules aimed to improve the trading system stability.

2. ForecastIM service implementation providing preliminary information about required margin amount after the price limits were raised.

The module predictively calculates required margin using the assumption the price limits will be raised for instruments reaching the price limit. Calculation algorithm:

  • Every minute the module polls for the market status for all instruments and finds those that have been close to the price limit for more than X minutes.
  • If such instruments exist, the margin is recalculated for all client portfolios. Risk parameters for instruments closed to the price limit will be updated in accordance with alleged price limit raise.
  • Calculated margin parameters are provided within replicated stream in a format compatible with FORTS_PART_REPL stream format.
  • Module algorithm repeats every minute.
  • Old data is stripped off the stream.

3. Changes in the volatility calculation formula. The changes did not affect the very method of volatility calculation.

4. Transactions logging includes nanosecond precision.

  • All tables of all streams, transmitting transaction requests now contain new moment_ns field.
  • UTC time in ns with unix epoch, 1/1/1970.
  • Previous fields in replication streams and reports will not change.
  • TWIME protocol time was changed from local to UTC.

5. In 5.3 version the transaction flow limiter is changed at the SPECTRA system core:

  • Common point of transaction flows
  • In previous versions an individual limiter was used on each gateway
  • Plus - full capacity utilization by all gateways
  • The best of both approaches is used:
  • Smooth limiter (as in cGate gateway)
  • Effectiveness of the implementation (as in TWIME gateway)"

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

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