18.11.2019 17:55

Next release of FX and Securities markets systems

We inform you that the next release of trading and clearing systems of Securities, Money and FX markets is scheduled for December 16, 2019.

What's new and changes:
 
Securities and Money markets 
 
Changes in REPO with CCP 

Earlier announced changes in rules of determination of second leg settlement dates for REPO with GCC with CCP trades and changes in settlement codes.
Implementation details: https://www.moex.com/n25609
 
Changes in Dark pool auctions with bonds 

New phases are added to the auction schedule:
 - Phase of parallel order collection and matching
 - Dark pool (Bonds) auction end.
 
Now trade conclusion occurs instantly during the order collection and matching phase.
 
Also:
 - A new marketing tariff introduced - reduced to 0.0025% of the trades amount on all OFZ tariff plans and for all bonds (not OFZ)
 - Limit on the minimum order volume may be defined for each instrument individually
 - Information about the list of securities admitted to Dark Pool is available in the table "Dark pool (bonds)" from the beginning of a trading day and not from the beginning of an auction
 - Information on past auctions is deleted from the "Dark pool table.
 
New option for cross-trade prevention behavior 

Currently there are two behavior models available at client registration on what happens when the trading system detects a potential cross-trade:
 - Cross-trades are prohibited, cancellation of an aggressive order. An aggressive order leading to a potential cross-trade is executed in orderbook but if it meets a crossing order then the remainder of the aggressive order is cancelled.
 - Cross-trades are allowed. An aggressive order leading to a potential cross-trade is executed in orderbook including matching against a crossing order.
 
After this release a new option will be added - to cancel a passive order. An aggressive order leading to a potential cross-trade is executed in orderbook but if it meets a crossing order then a passive order will be cancelled. Cancellation of a passive order will occur only when both orders have been sent by clients who had chosen this new option.
 
The required behavior model is set during the client registration.
 
The CLIENTCODES.CROSSTRADING field will be added to the ASTS Bridge broker interface to display chosen model. Possible values are Y/N/P (cross-trades are allowed/cancel active order/cancel passive order).
 
Extension of SMA risk checks to user groups 

SMA users are given an opportunity (your trading member should submit a corresponding application) to group SMA user IDs with further application of checks similar to checks on usual SMA IDs but taking into account the total values of numerical indicators established for all SMA IDs in a group.
 
Changes in clearing reports 

 - New clearing report EQM94 - collateral report for an issuer concentration risk
 - Report EQM14 (Margin requirement report): a new type of settlement code 4 (settlement code to account collateral for an issuer concentration risk) is added to the ExtSettleCodeType field of the SETTLE node
 - EQM84 report (collateral evaluation report): changes in description of the NccRealAccount field.
 
New ASTS Bridge interfaces - IFCBroker35/IFCBroker35R 

Specs of new interfaces are available at: ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/test2019/
 
FX market 
 
Request for Stream 

Service documentation is available at https://www.moex.com/n25543
 
New ASTS Bridge interfaces - IFCBroker35/IFCBroker35R 

Specs of new interfaces are available at: ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test2019/
 
MOEX Trade terminals update 

MOEX Trade SE and MOEX Trade Currency terminals will be updated. Users will be prompted to autoupdate when connecting to the trading system.
Packages for manual installation will be published at ftp://ftp.moex.com/pub/Terminals/ASTS/) on 14 December 2019.
 
New versions of systems are already available on INETCUR_GATEWAY and INET_GATEWAY environments.
 

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