New ForecastIM service
Dear clients of MOEX Derivatives market,
Please be informed that new ForecastIM service is planned for production roll-on 5 June 2017.
ForecastIM service implementation providing preliminary information about required margin amount after the extension of price limits.
The module predictively calculates required margin using the assumption the price limits will be extended for instruments reaching the price limit.
Calculation algorithm:
- Every minute the module polls for the market status for all instruments and finds those that have been close to the price limit for more than X minutes.
- If such instruments exist, the margin is recalculated for all client portfolios. Risk parameters for instruments closed to the price limit will be updated in accordance with alleged price limit raise.
- Calculated margin parameters are provided within replicated stream FORTS_FORECASTIM_REPL in a format compatible with FORTS_PART_REPL stream format.
- Module algorithm repeats every minute.
- Old data is stripped off the stream.
- In case if extention of price limits was happened or canceled (instrument stopped to reach the price limit) module algorithm stopped to translate data.
To support this service new replication stream FORTS_FORECASTIM_REPL with part_sa_forecast and part_forecast tables was added in SPECTRA v. 5.3
Table part_sa_forecast (preliminary information about funds for Settlement Account)
| replID | i8 | Service field of the replication subsystem |
| replRev | i8 | Service field of the replication subsystem |
| replAct | i8 | Service field of the replication subsystem |
| settlement_account | c12 | Settlement Account |
| money_free | d26.2 | Preliminary information about free funds for Settlement Account |
| MarketDataRev | i8 | Service field of the replication subsystem. In preliminary information about initial margin all trades and orders with replRev<MarketDataRev were counted. |
Table part_forecast (preliminary information about funds for Broker)
| replID | i8 | Service field of the replication subsystem |
| replRev | i8 | Service field of the replication subsystem |
| replAct | i8 | Service field of the replication subsystem |
| client_code | c7 | Broker Account |
| money_free | d26.2 | Preliminary information about free funds for Broker Account |
| money_blocked | d26.2 | Preliminary information about blocked funds for Broker Account |
| pledge_free | d26.2 | Preliminary information about free pledge funds for Broker Account |
| pledge_blocked | d26.2 | Preliminary information about blocked pledge funds for Broker Account |
| MarketDataRev | i8 | Service field of the replication subsystem. In preliminary information about initial margin all trades and orders with replRev<MarketDataRev were counted. |
Installation pack and documentation are available at our ftp site: https://ftp.moex.com/pub/FORTS/test/
For further information, please contact the Public Relations Department at (495) 363-3232.