Next FX and Securities market release
Dear clients,
The next release of the FX and Securities markets trading and clearing systems is scheduled for 4 March 2019.
What's new on FX market
Functional changes
· New LICU board for settling of unfulfilled obligations via normal and swap negotiated deal orders addressed to everyone. This is implemented by sending a NEGDEAL transaction and specifying the "*Всем" value as counterparty. Trading members can only act as takers and send orders that match orders entered by the National Clearing Center. Order volume cannot exceed volume of a NCC's order. Active orders entered by the NCC can be found in the NEGDEALBOOK table.
· New WAPS and WAPN trading boards with a new USDRUB_WAP0 instrument for trading at the USDRUB_TOM weighted average price determined at 11:30 MSK (the Central Banks's rate). Technical implementation of this trading mode is the same as trading at the price of fixing. See the following document for more details: ftp://ftp.moex.com/pub/ClientsAPI/ASTS/docs/FX_WAP0_English.pdf
New trading boards
· LICU - Non System Settling Trades
· WAPS - System WAP Deals
· WAPN - Negotiated WAP Deals
Position identifiers (POSITION.TAG)
· New position ID for trades at WA price - USWU (USD/RUB_WAP - USDW)
Assets
· New asset for trades at WA price - USDW
New ASTS Bridge broker interface IFCBroker32/IFCBroker32R
Main changes compared to version 31:
· CURRENCY.CROSSRATE field type and size changed from char(10) to float(17).
· The SECURITIES.FULLCOVEREDFLAG field has been removed from the trading interface. The ASSETS.FULLCOVEREDFLAG value from the clearing interface should be used instead.
· The ASSETS.FACEVALUE field has been replaced by ASSETS.UNIT for correct reflection of its contents.
New interface specs can be found at: ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test-release-2019-1/
What's new on Securities market
Functional changes
· Boards for unfulfilled obligations settlement (LIQB, LIQO, LIQR) are enhanced with opportunity to enter negotiated deal and negotiated REPO orders addressed to everyone. This is implemented by sending a NEGDEAL/CCP_REPO_NEGDEAL transaction and specifying the "*Всем" value as counterparty. Trading members can only act as takers and send orders that match orders entered by the National Clearing Center. Order volume cannot exceed volume of a NCC's order. Active orders entered by the NCC can be found in the NEGDEALBOOK and REPO_NEGDEALBOOK tables.
· An additional algorithm to calculate single limit value which includes planned scenarios is implemented for report transactions and for profile transfers to other markets. Currently such transactions will be immediately rejected if they lead to the negative single limit value. In the new implementation such transactions will undergo another verification using so called accurate check. This algorithm will calculate a future single limit value after a trade counterparty accepts the settlement report. If this future value is expected to remain positive then the transaction will be accepted. Important note: if a report receives the accurate check flag (the corresponding field is added to broker interface and trader terminal) all the following reports will only undergo the standard verification procedure until this report is either cancelled or accepted by the counterparty.
· The dark pool trading mode will be migrated to T+ settlement with Y2 settlement code. The existing EQDP board will be closed and the new TQDP board will be created with MarketID=FNDT.
· Admission of instruments to the earlier announced boards with settlement in Yuan - EQRY (REPO with CCP 1 day CNY) and PSRY (REPO with CCP Negdeal CNY).
Changes in trading boards
· Display name of the existing LIQB board changes to "Settl.unfulfil.oblig.CCP"
· New board LIQR - Settl.unfulfil.oblig.CCP-REPO
· Board replacement for darkpools - EQDP changes to TQDP
· New anonymous REPO with CCP boards:
- EQMP - REPO with CCP 1m.
- EQMD - REPO with CCP 1m. USD
- EQME - REPO with CCP 1m. EUR
- EQTP - REPO with CCP 3m.
- ETQD - REPO with CCP 3m. USD
- EQTE - REPO with CCP 3m. EUR
New position identifiers (POSITIONS.TAG)
· UTLF (Single limit for first settlement session) and UTLS (Single limit for second settlement session) position IDs will show the single limit value calculated for full liabilities settlement for T+ instruments to be settled 'today' during the corresponding settlement session. This data will be displayed for information purposes to help clearing members determine the correct amount of cash required for trade settlement. Demand for this data derives from availability of option to short sell instruments which are not used as collateral, and also from a scenario of buying securities which could be used as collateral while being the issuer of these securities, because in this case such securities will not be considered as collateral for this clearing member.
New ASTS Bridge broker interface IFCBroker32
Main changes compared to version 31:
· CURRENCY.CROSSRATE field type and size changed from char(10) to float(17).
· The ASSETS.FACEVALUE field has been replaced by ASSETS.UNIT for correct reflection of its contents.
· New REPORTS.ACCURATE flag.
· New RM_FULLCOVERED_RANGE table to display range of dates when assets should be fully covered for selling. These dates are set by the NCC.
New interface specs can be found at: ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/test-release-2019-1/
New versions of MOEX Trade SE and MOEX Trade Currency terminals will be released.
Also note that update of FIX services (https://www.moex.com/n22226) will go live on the same date as the trading systems release.
The INETCUR_GATEWAY and INET_GATEWAY test environments have already been updated to the latest versions. New boards for WAP trading on the FX market will become available for testing on 28 January 2019.