Changes in v. 6.0 on test/Update with attach

Dear MOEX derivatives market users,

Following newsletter #17 we would like to inform you about additional changes in version 6.0: 

1.     New Risk Management system: 

·         New rules for pledges accounting. Partial pledges will be unsupported in version 6.0 and all fields in replication schemes corresponding with partial pledges (pledge_free,d26.2/ pledge_blocked,d26.2/ coeff_liquidity,d16.5/ pledge_old,d26.2/ pledge_amount,d26.2. in table part FORTS_PART_REPL replication stream) will be deleted. All pledges including currency, equities,  FX/asset profile transfer will be full pledges, pledge amount in rubles will be available in money_amount_pledge field in table part FORTS_PART_REPL replication stream. 

2.               2.    Additional changes applied to the CGate interface:

·         Table sys_events in FORTS_FUTINFO_REPL replication stream will be translated after all other tables.

·         New field signs,i4 (brokerage firm is blocked sign) is added in table diler/dealer FORTS_FUTINFO_REPL replication stream

·         New fields are added in table base_contract_params FORTS_INFO_REPL replication stream:

1.     has_options,i1 – sign of option’s contract presence for base contract.

2.     msp_type,i1 – service field.

3.     currency_id,i4 – currency identifier.

·         New table currency_params is available at FORTS_INFO_REPL replication stream:

1.     currency_id,i4 – currency identifier.

2.     radius,f – radius for currency rates wave.

3.     signs,i1 - service field.

·         New table common_params is available at FORTS_INFO_REPL replication stream:

1.     common_rev,i4 – service field.

2.     edge_coeff,f – weight coefficient for out-of-limits spots in initial margin calculation scenario.

·         New fields are added in table virtual_futures_params FORTS_INFO_REPL replication stream:

1.     strike_step,f – step for option’s contract strike.

2.     exp_clearings_bf,i4 – number of clearings before expiration when risk calculation for option settlement should be applied to brokerage firm

3.     exp_clearings_cc,i4 - number of clearings before expiration when risk calculation for option settlement should be applied to client account  

·         New field lot,i4 (lot size) is added in futures_params table FORTS_INFO_REPL replication stream.

 Full list of changes in client’s schemes is attached.

            3.     We would like to remind you that 32-bit CGate version for Linux will be ceased in v. 6.0. 32-bit CGate version for Windows is still supported.

4.     New SpectraIM version roll-out, with new Risk Management system implied. API documentation for developers are available at ftp://ftp.moex.com/pub/ClientsAPI/Spectra/SpectraIM/Test/doc/

5.     Changes applied to reports: 

·         Reports fposXXYY00.csv (obligations on trades), oposXXYY00.csv (obligations on option contracts), riskposXX00.csv (positions for instruments) now omit information on obligations for position accounting sections with Clearing Participant ID (code ‘RF’), and contain the total obligation data accounted on position accounted sections within the same Settlement account (code ‘RK’).

·         Report moncbXX00.csv (FX and securities as pledged as collateral) now omits information on FX/securities accounted on all sections of cash account/collateral depositary account of Clearing firm (code ‘RF’), and contain information on FX/securities accounted on all sections within the same Settlement account (code ‘RF’).

·         Report monXX00.csv (funds in Rubles, FX, and securities as pledged collateral), and preliminary report daymonXX00.csv (funds in Rubles, FX, and securities as pledged collateral) now omit the Clearing firm level information (code ‘RF’).

·         Consolidated financial statement F14_XX00.xls now omits the following consolidated data on cash accounts and collateral accounts of Clearing firm:

- ‘Cash collateral account, total’;

- ‘Depositary collateral account, total’.

·         Reports fposXXYY00.csv/oposXXYY00.csv (information on position status of Clearing participant/Brokerage firm, and their respective clients), and reports fposclXXYYZZZ.csv/oposclXXYYZZZ.csv (information on position status of clients for futures/option instruments) now contain a new field VAR_MARG_PROM with intraday clearing variation margin value.

·         Reports f04_XXYY.csv/f04clXXYYZZZ.csv in field type now contains new type of deals:

17 – position change for futures contract with current settlement date with FX/asset/profile transfer on FX/asset underlying active

18 – deals on indicative quotes

19 – first deal on indicative quotes for futures contract in calendar spread.

20 – second deal on indicative quotes for futures contract in calendar spread. 

·         Reports o04_XXYY.csv/o04clXXYYZZZ.csv in field type now contains new type of deals:

5 – deals on indicative quotes. 

·         For report clientsXX00.csv:

Field margin_type will be renamed in margin_type_rk,

New field margin_type_bf  is added (information about actual rules of initial margin calculation for brokerage firm)

New field cal_spread_type is added (calendar spreads calculation rules for brokerage firm) 

·         In reports f07.csv/ dayf07.csv field kof will be deleted.

·         For reports riskposXXYY.csv in field type new type of instrument "K" (collateral instrument) is added.

Software distribution kits and documentation for developers are available at ftp://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/