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28.12.2016 17:22

FX market ASTS+ trading and clearing system update

The production launch of the new version of the MOEX FX market ASTS+ trading and clearing system is scheduled for 16 January 2017. This version implements the technical readiness to execute discrete auctions as described below.

The planned date of the public testing of this update on the production environment is 14 January 2017.

Discrete Auctions technology on MOEX FX market is implemented by adding the new USDRUB_DIS instrument traded on the CETS board. This addition does not affect structure of client connectivity interfaces.

Details on Discrete Auctions technology:

1. The new "Discrete auction" (DA) period is implemented on the CETS board.

2. The USDRUB_DIS instrument is added to the CETS board with the following parameters: T1 settlement code and lot size of 1 thousand USD (similar to USDRUB_TOM); minimum tick value is 0,000 001 RUB (unlike 0,0025 RUB for USDRUB_TOM). Price move limits for the USDRUB_DIS are also similar to USDRUB_TOM. Commission fee for trades with USDRUB_DIS is calculated similar to ones with USDRUB_TOM.

3. The USDRUB_TOM trading on the CETS board is suspended during the Discrete Auction period and all the active orders are withdrawn before the auction start. Discrete Auction period does not affect USDRUB_TOM trading on CNGD board as well as other instruments and boards.

4. In case the Bank of Russia initiates the Discrete Auction, trading participants receive a notification on USDRUB_TOM trading suspension and the Discrete Auction for USDRUB_DIS start time.

5. Duration of a Discrete Auction is 15 minutes:

- 5.1. From the auction start to the 9th minute - participants can submit and withdraw limit orders for the USDRUB_DIS instrument. During the 10th minute order submission and withdrawal may also be performed until the random time of the order gathering end (participants receive a notification on the order gathering end). During the order gathering phase the orderbook is available to trading members with order quantities and prices (like for other spot instruments on the CETS board).

- 5.2. Starting from the order gathering phase end (10th minute) to the 14th minute the Bank of Russia submits orders for USDRUB_DIS.

- 5.3. 15th minute - auction end and trade conclusion (trade type "T").

6. Auction end (after the 15th minute)

- 6.1. The USDRUB_DIS trading on the CETS board is suspended after the auction end and all the active orders are withdrawn.

- 6.2. Participants receive a notification on the auction end containing WA auction price and trades volume.

- 6.3. The USDRUB_TOM trading on the CETS board is resumed.

7. The SECURITIES table displays the following details on the USDRUB_DIS instrument: lot size, settlement date, trading status ("N" - not available, "DA" - Discrete Auction), best bid and offer, last trade price, current and previous WA price and other details.

8. Participant's orders and trades with USDRUB_DIS are displayed in CUX22 and CUX23 XML reports as spot trades (TradeGroup="T").

9. Participant's transactions performed during the Discrete Auction period are included into Additional Commission Fee calculation similar to other spot instruments.

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

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