15.03.2018 13:25

Equity market ASTS system update

The next release of the equity and bond market ASTS trading/clearing system is scheduled to go live on 23 April 2018.
Changes and what's new:
1. New ASTS Bridge interface IFCBroker30 
Interface specs can be found at ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/
Note the following changes in this version:
a) Size of the TRADETIME.TYPE and TRDTIMETYPES.TYPE fields have been changed to two characters.
b) In the RM_INDICATIVE table:
A new BASEPOINT output field. Displays 'Y' for base (initial) percent risk points and 'N' for points calculated by approximation.
A new BASEPOINT input field. When set to 'Y' the reply will include only data for base points.
c) Changes in positions, liabilities and claims tables:
For the unified collateral pool accounts, the PlannedCovered field will no longer include values of profiles transferred to other markets. Instead, a new PlannedCoveredSellLimit field is added that will show the sum of Planned T+ position and transferred profiles.
2. New version of MICEX Trade SE terminal 
3. Technical readiness to support asset withdrawal from the unified collateral pool accounts when there's a negative limit on derivatives and/or FX markets, but positive single limit on a UCP account. 
Two new POSITIONS.TAG values will be added:

  •     MCCU - margin call for FX market, RUB
  •     MCFO - margin call for derivatives market, RUB

So when attempting to withdraw assets (securities, currency, precious metals) from a UCP account the following check will be performed: (single limit value) - (amount withdrawn) >= |MCCU| + |MCFO|.
4. Collateral reservation during buy-back auctions 
On the PSBB trading board that is used for buy-back auctions via negotiated deals a new optional mode will be implemented for collateral reservation for sell orders. Currently all the auctions on this board are held with no collateral check.
A new trading event 'After auction trades' (TRDTIMETYPES.TYPE='AP') will be added. When this event is triggered it is possible both for trading members to send orders to underwriters and for underwriters to fulfill these orders. Such events may be used after auctions for additional buy-back or additional offering.
5. Risk parameters synchronization 
Values of risk parameters will be synchronized online between equity, FX and derivatives markets in case if they change on any of these markets.
6. For user IDs with limited access to trading accounts there will be an option to enable receipt of incoming negotiated deal orders. 
In production, this option can only be set via a standard user ID application form.
There are no changes in FIX/FAST protocols.
The new version of the trading and clearing system will be available on the INET_GATEWAY test environment starting from 16 March 2018.

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