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26.07.2021 18:13

Testing at T1 test environment for the Spectra 6.12 release

Dear Derivatives market test environment users,

The derivatives market T1 test environment has been upgraded to SPECTRA trading and clearing system version 6.12.

List of key changes:

  • A new margin mode was implemented for futures included in the inter-monthly spread (IMS), on the eve of their execution. The existing practice (exclusion of an exercisable futures from IMS two clearings before exercision) can create a sharp jump in the participants' collateral.
  • Use of risk parameters at the beginning of a new trading session in clearing results.
  • Scalper discounts on options in the negotiated mode.
  • Writing off the exchange and clearing fees of the client's SA (Settlement account) from the Own SA.
  • Own TTCA accounts.
  • Permanent requests for withdrawal of funds on the Derivatives Market.
  • Liquidation netting in the Derivatives Market.
  • Changing the replID generation policy for an index stream.
  • Decommissioning the old functionality - IQS and CGate 32 bit.

There are also changes applied to CGate library, user interface of CGate gateway, command scheme repository, reports and FAST protocol.

Full list of changes is attached.

Software distributives, schemes and documentation will be available via links:

http://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/
http://ftp.moex.com/pub/Terminals/Spectra/Test/

Software distributives will be updated soon:
http://ftp.moex.com/pub/ClientsAPI/Spectra/SpectraIM/Test/
http://ftp.moex.com/pub/OTC/RFS/test/OTCGate/

Production release for SPECTRA 6.12 trading and clearing system is scheduled for 27 September 2021.

Attachment

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