07.02.2017 14:34

SPECTRA trading platform upgrade to version 5.3 (СР2017-1)

The SPECTRA trading platform will be upgraded to version 5.3 on 27 February 2017. On 24 February 2017, the evening trading session on the MOEX Derivatives Market will be cancelled due to the upgrade.

What`s new in version 5.3:

1. Formula for the volatility curve was changed

Calculation of parameter "y" has been changed as follows:

  • 𝑦=𝑥−𝑠∗(1/√𝑇)

For more details, please see the full text of the Volatility Curve Estimation Algorithm.

Please note that changes in the formula will cause recalculation of volatility curve parameters (s, a, b, c, d, e) which were set at the evening clearing session on February 24, 2017.

Due to recalculation initial margin for options may insignificantly change in the beginning of trading session on February 27, 2017.

2. Calendar spread orders with a life span

Starting from version 5.3, the SPECTRA trading platform is able to accept calendar spread orders with a life span ("date_exp" > the current day). Such orders are submitted by the command "FutAddMultiLegOrder"; the expiry date is set by the parameter "date_exp" (type "с8").

Trading in calendar spreads

3. Changes in the Derivatives Market terminal

  • Window "Administration" was modified to include a new hierarchical level for Settlement Code.
  • Window "Funds in Settlement Codes" was modified to include new parameters, variation margin per a given settlement code as calculated based on current and market quotes.
  • Option exercise rules were taken out to a separate window constituting a section in the main menu "Administration". 
  • Quick search bar for the table entries was changed to include a filtering button; search results include only entries with the given sequence of characters.

Installation packages and documents for SPECTRA terminal

4. Technical changes

  • Division of trading and clearing components

Modernisation of the matching engine and risk modules to enhance the system stability.

  • Changes to implementation process of the transaction flow limit at the SPECTRA system core

Gateway limits for client transaction flows were replaced by a single point. Previous versions implied a limit at every gateway.

  • Transactions logging with nanosecond precision

Tables of streams transmitting transactions and orders, contain now the new field "moment_ns".

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

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