Changes to derivatives market TWIME/FIX/SIMBA/FAST protocols in April 2023
Dear derivatives market customers,
We inform you about upcoming changes to TWIME/FIX/SIMBA/FAST protocols, that will be included in Derivatives market SPECTRA system upgrade, scheduled for 3rd of April 2023. In case of date change we will issue a new notice.
Changes to TWIME protocol
1. Message scheme version (version attribute in sbe:messageSchema attribute) is changed from 5 to 6.
2. New flag in FlagsSet: "DueToCrossCancel" – passive cross-order cancelation. Please note that order cancelation with new "DueToCrossCancel" flag happens in the middle of the matching transaction.
3. Flags2 field added in NewOrderSingleResponse message (message id=7015). Message identifier (message id) is changed from 7000 to 7015.
4. Flags2 field added in NewOrderIcebergResponse (message id=7016). Message identifier (message id) is changed from 7013 to 7016.
5. Flags2 field added in OrderCancelResponse (message id=7017). Message identifier (message id) is changed from 7003 to 7017.
6. Flags2 field added in OrderReplaceResponse (message id=7018). Message identifier (message id) is changed from 7005 to 7018.
7. Flags2 field added in ExecutionSingleReport (message id=7019). Message identifier (message id) is changed from 7008 to 7019.
8. Flags2 field added in ExecutionMultilegReport (message id=7020). Message identifier (message id) is changed from 7009 to 7020.
9. sinceVersion attribute is removed from message scheme.
Speficifation and message scheme can be found here: https://ftp.moex.com/pub/TWIME/Test/April 2023/
Changes to FIX protocol
1. New flag added for Flags (tag 20008) field: 0x2000 - passive cross-order cancelation.
2. New Flags2 (tag 20051) field added in Execution Report message – bite mask extension (in addition to Flags field).
Speficifation can be found here: https://ftp.moex.com/pub/FIX/Spectra/test/April 2023/
Changes to SIMBA SPECTRA protocol
1. Message scheme version (version attribute in sbe:messageSchema attribute) is changed from 5 to 6.
2. New flag added to MDFlagsSet: "DueToCrossCancel" – passive cross-order cancelation. Please note that order cancelation with new "DueToCrossCancel" flag happens in the middle of the matching transaction.
3. BPFlags field removed in BestPrices (msg id=14) message, new fields added: MktBidSize (best buy price order volume) and MktOfferSize (best sell price order volume) Message identifier (msg id) changed from 3 на 14.
4. BPFlagsSet flag set removed.
5. MDFlags2Set flag set added.
6. MDFlags2 field added OrderUpdate (msg id=15) message. Message identifier (msg id) changed from 5 to 15.
7. MDFlags2 field added OrderExecution (msg id=16) message. Message identifier (msg id) changed from 6 to 16.
8. MDFlags2 field added OrderBookSnapshot (msg id=17) message. Message identifier (msg id) changed from 7 to 17.
9. New flag added to MDFlags field for OrderUpdate (msg id=15) message: "DueToCrossCancel" - passive cross-order cancelation
Speficifation and message scheme can be found here: https://ftp.moex.com/pub/SIMBA/Spectra/test/April 2023/
Changes to FAST protocol
1. Message identifier for OrdersLogMessage changed from '14' to '29'.
2. Message identifier for BookMessage changed from '15' to '30'.
3. Message identifier for DefaultSnapshotMessage changed from '25' to '32'.
4. Message identifier for DefaultIncrementalRefreshMessage changed from '24' to '31'.
5. MDFlags2 field added to message templates for OrdersLogMessage и BookMessage messages - bite mask extension (in addition to MDFlags field).
6. TradingSessionSubID field added to message templates for DefaultIncrementalRefreshMessage и DefaultSnapshotMessage messages – Trading period: 'S' – opening auction; 'N' – normal trading period. Values for these fields FO-TRADES are present only for MDEntryType = '2' – Trade messages, else nullValue is set.
7. New flag added in MDFlags field for OrdersLogMessage message: 0x2000 - passive cross-order cancelation. This flag can be present only in OrdersLogMessage message with с MDUpdateAction = 2 (order removal).
Speficifation can be found here: https://ftp.moex.com/pub/FAST/Spectra/test/templatesT1/April 2023/