Testing SBE FOL Derivatives Market Service

Dear MOEX Derivatives Market clients,

With this letter, we would like to announce our new SBE FOL market data feed.

The service will be available to MOEX collocation clients exclusively.

The go-live date anticipated in Q4 2021, more information about product offering and network connectivity will become available later.

SBE FOL Gateway is a low-latency market data feed for the Derivatives Market and disseminates the Full Order Log including unmatched IOC and FOK orders, technical trades for multileg orders, and negotiated orders and trades.

It will also provide the new resulting best prices in the very beginning of each transaction.

The gateway broadcasts market data as SBE encoded FIX messages over UDP multicast.

A prototype of the new gateway is available on the T1 public test environment. Please note, the new best prices are not yet fully implemented, the gateway always translates zero values.

The following materials are available on our ftp server:

• Protocol specification draft: https://ftp.moex.com/pub/SBE/test/doc/
• Multicast groups and TCP replay service configs: https://ftp.moex.com/pub/SBE/test/
• SBE Message scheme: https://ftp.moex.com/pub/SBE/test/sbe_fol.xml
• A client application: https://ftp.moex.com/pub/SBE/test/sbe_sensor.zip
• PCAP dumps: https://ftp.moex.com/pub/SBE/test/pcap/

t1-9_57-10_07.pcap – sequence number reset, EmptyBook and trading activity;

t1-13_43-14_20.pcap – trading activity, clearing.

SBE FOL access from colocation is similar to T1 test environment access - either from colocation or via test VPN access.