New FAST Gate 1.3.0 for Derivatives Market
We would like to inform that on February 27th, there are some changes planned to the FAST protocol on the Derivatives Market as well as to the FAST message templates, following the upcoming SPECTRA 5.3 version release.
List of changes:
1. Message OrdersLog now contains new optional fields: LastPx – matched trade price, LastQty – volume in trade. These fields are transmitted in the message sent upon partial or full order matching.
2. Field MDEntryPx of message Market Data - Incremental Refresh (OrdersLog) now contains order price value upon partial or full order matching.
3. Field MDEntrySize of message Market Data - Incremental Refresh (OrdersLog) regarding order deletion now contains volume to delete.
4. Fields SecurityId, UnderlyingSecurityID, LegSecurityID in messages Security Definition, Security Status, Security Definition Update Report of streams FUT-INFO and OPT-INFO now contain instrument ID value, equal to that transmitted via the PLAZA II gateway.
5. Field SecurityId in messages Market Data - Snapshot / Full Refresh and Market Data - Incremental Refresh of streams FUT-BOOK-1, FUT-BOOK-5, FUT-BOOK-20, FUT-BOOK-50, OPT-BOOK-1, OPT-BOOK-5, OPT-BOOK-20, OPT-BOOK-50, FUT-TRADES, OPT-TRADES now contains instrument ID value, equal to that transmitted via the PLAZA II gateway.
6. Field MDEntryTime in messages DefaultIncrementalRefreshMessage, DefaultSnapshotMessage, OrdersLog, OrdersBook now has its field type changed from uInt32 to uInt64. The field contains time value in decimal format: HHMMSSsssssssss (nanoseconds).
7. Price values m(Market Price) and p(Official Current Price) are no more transmitted.
List of changes and documentation are available at:
Please not that templates for all SPECTRA FAST feeds has changed: MOEX Derivatives, MOEX Board, MOEX OTC, UKEX, ETS. New templates attached.
For further information, please contact the Public Relations Department at (495) 363-3232.