The next release of securities and FX market system
Please be informed about the next release of the securities, money and FX market trading and clearing system that take affect at production environment starting from 04 December 2023. The following key changes are included.
ASTS Bridge broker interface update
The new version of ASTS Bridge broker interface IFCBroker48, IFCBrokerRisk48 for trading system and for clearing system on the securities market and on the FX market is planned to be introduced.
- Broker interface for clearing system on the securities market and on the FX market:
- New fields COLLATERALPERCENT and COLLATERALPERCENT_TOM (collateral acceptance limit percentage value for current day and for tomorrow) will be added to the RM_TRDACC table, the COLLATERAL_TOM field will be added to indicate that an asset can be included into collateral for tomorrow.
- The list of possible values for COLLATERAL field in the interface for clearing system will be extended with the "undefined" value indicated by space character.
- Transaction SET_RM_COLLATERAL_PERCENT to change a Collateral limit percentage value will be added.
- Transactions to remove individual risk-parameters will be added: CLEAR_RM_COLLATERAL (remove the inclusion into collateral sign) and CLEAR_RM_COLLATERALPERCENT (remove the set limit value).
- The SECURITIES table of the trading interface on the securities market will be supplemented with the VARIABLEFACEVALUE field (Y/N) to indicate securities with variable face value.
- The new REPO_DISCOUNT table to present an information on discount values for auctions with Bank of Russia will be added to the trading interface for securities market.
You may find the new versions specification and changes from the current version of ASTS Bridge broker interface at MOEX FTP server.
FX market: https://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test/
Securities market: https://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/test/
Setting a restriction for REPO period in Open Date REPO
Instead of the default value (360 days), the users now have the opportunity to select the REPO term on their own (at least two trading days and no more than 360 days) of the REPO, the REPO trade will become trade to be settled by the end of the selected term. Instead of the existing settlement code for the second leg of a REPO transaction, a range of settlement codes will be introduced, which will indicate the maximum REPO term of open date REPO trade from YOD2 to YOD360. REPOTERM field will become required to be filled during the order entering.
Anonymous REPO trades with CCP
REPO market members will have the opportunity to enter into anonymous REPO trades with the CCP. The mechanism will be applicable on existing boards for REPO with CCP Negdeals (PSRP, PSRD, PSRE, PSRY) and REPO with CCP with GCP Negdeals (PSGC, PUGC, PEGC, PYGC). To send an anonymous REPO order, the user will need to specify NCC as the counterparty, and specify a combination of characters in the matchref field. If the combination matches the one specified in the counterparty's counter order, a trade will be concluded with the party to the transaction - NCC.
In the trading (SEM02, SEM03, SEM11) and clearing (EQM05, EQM06, EQM08, EQM6C, EQM6D, EQM63) reports, as well as in the MOEX Trade SE terminal and in the ASTS Bridge, after entering orders and concluding an anonymous REPO trade with the CCP, NCC will be indicated as a party to the trade.
Please note that at this stage of the implementation of anonymous REPO trades with the CCP, it is not possible to perform operations with any of execution reports. It is not possible to refuse to execute the first part, to settle the second part with the early settle report, to conclude open date REPO trades, to send an instruction for quick settlement. At the same time, it will be possible to conclude transactions with floating rates on REPO terms available for boards/securities.
Changes in securities market clearing reports
New principal payment type values (capital gain, interest, redemption) will be added for the Type field of the EQM98 report on principal liabilities payment / claims receipt.
Specifications for clearing report formats are available on the MOEX website: https://fs.moex.com/files/951
Negotiated deals for SMA users on the FX market
Please note that from the release date, the implementation of SMA identifiers in the anonymous mode of negotiated deals will be brought in line with the similar functionality implemented in the securities market system. By analogy with the securities market system, it will be possible for SMA users to send targeted orders to a specific SMA user instead of orders to the Trade member on the FX market.
Instruments with a weighted exchange rate in CNY
By analogy with trading at the weighted average exchange rate of the USDRUB instrument on the FX Market, CNYRUB pair trading will be launched using the weighted average rate calculated at 15:30 based on trades on the CETS board with CNYRUB_TOM instruments, as well as using the fixing rate calculated at 12:30 on the exchange based on trades on the CETS board with the CNYRUB_TOM instrument.
The new CNYRUB_WAP0 instrument will be added, the rate of transactions for which is equal to the weighted average rate for transactions with CNYRUB_TOM concluded in the period from 10:00 to 15:30 MSK on the CETS board. In addition, a new CNYRUB_FIX0 instrument is introduced, the rate of transactions for which is equal to the fixing rate for trades with CNYRUB_TOM concluded in the period from 12:15 to 12:30 MSK on the CETS board.
The new CNYRUB_WAPV instrument will be added. The order price for instrument CNYRUB_WAPV is a discount (negative value) / premium (positive value) to the weighted average rate for trades with CNYRUB_TOM concluded in the period from 10:00 to 15:30 MSK on the CETS board (a 0 value is possible, i.e. a price equal to the weighted average rate of CNYRUB_TOM at 15:30).
By analogy with the USDRUB instrument, CNYRUB_WAP0 and CNYRUB_WAPV weighted average trades are available on the following boards: WAPS (System WAP Deals) and WAPN (Negotiated WAP Deals). Trades with CNYRUB_FIX0 are available on the following boards: FIXS (System Fixing) and FIXN (Negotiated fixing).
Error code for aggressive limit orders withdrawn
Please note that error, sent by FX market trading system during the "Fill or Kill" order withdrawing on breach the control limit of aggressive orders, will have 1320 code and "Limit Order #%ld could not be filled completely. This order breaches the limit order depth limit. Order withdrawn." text starting from the release date.
MOEX Trade terminals update
On the release date it is planned to update MOEX Trade SE and MOEX Trade Currency terminals. Users will be prompted to autoupdate while connecting to the trading and clearing system. Packages for manual installation will be available at FTP server starting from 01 December:
- https://ftp.moex.com/pub/Terminals/ASTS/Equities for MOEX Trade SE
- https://ftp.moex.com/pub/Terminals/ASTS/Currency for MOEX Trade Currency