Spectra update available for testing
Dear Derivatives market test environment users,
We have finished the next stage of upgrading derivatives market T1 test environment to version 6.4.20
Starting from 9 June 2020 the version with the negative price support will be available, i. e correct system behavior if futures prices and options strikes fall below zero during trading or as the result of clearing.
Key changes for negative price trading are:
There are two different modes for every underlying asset:
- Mode in which futures prices and options strikes are not limited. Negative and zero futures prices and options strikes are allowed in this mode. In this case options prices, volatility and risks are calculated based on modified Black-Scholes model, which takes into account only intrinsic value of an option in negative range. In next releases Bachelier model will be used.
- Mode in which futures prices and options strikes are limited to be positive. In this mode prices cannot fall below zero during or as the result of trades. Option prices are calculated based on Black-Scholes model (it is possible that Bachelier model will be used lately as alternative). However, this mode allows manual negative settlement price and /or indicative current market price setting in case of corresponding NCC decision. Nevertheless futures prices and options strikes have positive limits in this case.
Mode is set on underlying contract level and is effective for all instruments of this underlying contract. Modes can be switch in clearing sessions. To set the mode the following parameter of underlying contract is used:
- negative_prices: 1 – futures prices and options strikes are not limited; 0 - futures prices and options strikes are limited to be positive only.
Current parameter value is published in the fut_vcb/opt_vcb tables of FORTS_FUTINFO_REPL/FORTS_OPTINFO_REPL data streams in the gateway.
The full list of changes is attached.
New software packages are available from https://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/
The preliminary release date for this version — 6 July 2020. We would also like to remind you that the release of SPECTRA 6.5 encompassing changes to orders/trades numeration, synthetic matching and iceberg orders is rescheduled to the second half of the year.