FAST SPECTRA changes - November 23, 2020

Dear Derivatives market clients,

Moscow Exchange informs you of the SPECTRA FAST changes, scheduled for November 23, 2020. In case the date changes, Moscow Exchange will provide an update. The UAT environment availability will be announced separately.

The planned changes include:

1. Fields MinPriceIncrementAmountCurr and SettlPriceOpen will be added to the "SecurityDefinition" template. Template id will be changed to "21".
   • MinPriceIncrementAmountCurr - Value of the minimum increment in USD;
   • SettlPriceOpen - Settlement price at the start of the session;

The MinPriceIncrementAmountCurr field will have a value in the FUT-INFO and IQS-FUT-INFO streams, while the OPT-INFO, IQS-OPT-INFO, and SPOT-INFO streams will contain nullValue.
The SettPriceOpen field will have a value in the FUT-INFO, OPT-INFO, IQS-FUT-INFO and IQS-OPT-INFO streams, and the SPOT-INFO stream will contain nullValue.

2. New combined streams (multicast groups) will be added:

• FO-TRADES – stream of trades and statistics of futures, calendar spreads and options;
• FO-BOOK-1 – stream of aggregated Top of Book of futures, calendar spreads and options;
• FO-BOOK-5 – stream of aggregated order books (depth=5) for futures, calendar spreads, and options;
• FO-BOOK-20 – stream of aggregated order books (depth=20) for futures, calendar spreads, and options;
• FO-BOOK-50 – stream of aggregated order books (depth=50) for futures, calendar spreads, and options;
• IQS-TRADES – stream of indicative deals and statistics of futures, calendar spreads and options;
• IQS-BOOK-1 – stream of aggregated Top of Book of futures, calendar spreads and options from the IQS system;
• IQS-BOOK-50 – stream of aggregated order books (depth=50) for futures, calendar spreads, and options from the IQS system;

The new FO streams are the result of combining current FUT and OPT streams.

3. In the spring of 2021, the following streams will stop disseminating:

• FUT-BOOK-1, FUT-BOOK-5, FUT-BOOK-20, FUT-BOOK-50, OPT-BOOK-1, OPT-BOOK-5, OPT-BOOK-20, OPT-BOOK-50 – updates of the aggregated order book;
• FUT-TRADES, OPT-TRADES – updates of the deals table and statistics of the derivatives market;
• IQS-FUT-BOOK-1, IQS-FUT-BOOK-50, IQS-OPT-BOOK-1, IQS-OPT-BOOK-50 – updates of the aggregated order book from the IQS system;
• IQS-FUT-TRADES, IQS-OPT-TRADES – updates of the table of quasi-trades and statistics of the IQS system;

Termination of the dissemination of these streams will be announced later.

The updated templates and config, which will take effect from the release date, are attached to this notification. Specification update and the templates will become available on the MOEX ftp along the with the UAT availability.