SPECTRA UAT update to v.6.1
Dear MOEX derivatives market users,
We would like to inform you that starting from 06 August 2018 test environment (T+1) is to update to v 6.1. Planned date for production roll-on is September 2018.
What is new in version 6.1:
1. SMA (sponsored member access) is now supported.
Sponsored Access provides clients of MOEX Member Firms direct technical access to the Moscow Exchange trading system using Member Firm's trading code. A client is able to give instructions to a Member Firm (the "sponsoring firm") to be executed on the market directly through the trading system. Client’s sponsored access login is linked to one or two Master logins and can send orders only in case if master login is connected to the trading system. To avoid erroneous orders in the trading system, the Moscow Exchange (the "Exchange") provides sponsoring firms with risk management tools: Cancel on disconnect functionality (cancels active orders in case of sma login inactivity timeout, logoff or connection loss), Cancel on drop-copy disconnect functionality (cancels active orders in case of master login inactivity timeout, logoff or connection loss), and User-kill-switch functionality (possibility to prohibit trading operations for sma login)
2. Risk Management tools for SMA clients:
To avoid erroneous orders in the trading system, the Exchange provides sponsoring firms with the following risk management tools:
- Maximum deviation from the last price. Set in percent from the last price, in case if instrument type and/or underlying asset code are set, check will be done for given instrument or group of instruments on given underlying asset.
- Maximum order value. Set in contracts, in case if instrument type and/or underlying asset code are set, check will be done for given instrument or group of instruments on given underlying asset.
- Negotiated trade mode prohibition. Set for all instructions from given SMA login
- Maximum volume of instructions in rubles. Set in rubles, in case if instrument type and/or underlying asset code are set, check will be done for given instrument or group of instruments on given underlying asset.
- Maximum sum of instructions for trading day (gross). Set in rubles, in case if instrument type and/or underlying asset code are set, check will be done for given instrument or group of instruments on given underlying asset.
- Maximum buy/sell position. Set in contracts for buy/sell side per client’s clearing account, in case if instrument type and/or underlying asset code are set, check will be done for given instrument or group of instruments on given underlying asset.
3. Precise fee payments rates:
Precise rates for fee payments will be published in FORTS_FEERATES_REPL replication stream. Please, pay attention that starting from v. 6.2 release fee rates translation in exch_pay fields in fut/opt_sess_contents tables FORTS_FUT/OPTINFO_REPL replication streams will be ceased.
4. Intermediate clearing execution for FX futures:
Evening clearing variation margin for FX futures executed during intermediate clearing will be equal to intermediate clearing variation margin.
5. Execution for deliverable futures on precious metals on FX market:
New technology of executions for deliverable futures on precious metals on FX market on T+1 is available for participants.
6. Changes applied to the CGate interface:
- Fields amount/amount_rest/pos/status (i4) are deleted in all tables of all replication streams. Appropriate values must be obtained from fields xamount/xamount_rest/xpos/xstatus (i8).
- To support SMA functionality new table user is added into FORTS_FUTINFO_REPL replication stream:
- replID (i8) – service field of replication subsystem
- replRev (i8) – service field of replication subsystem
- replAct (i8) – service field of replication subsystem
- login (c20) – trading member login
- start_date (t) – date of availability for login
- end_date (t) – date of termination for login
- client_code (с7) – client’s clearing account
- operation_mask (i4) – binary mask showing available operations
- lang (i2) – language code available for login
- sma_flags (i4) – binary mask for available options (COD – 1st bit, COdcD – 2nd bit, SMA login – 3rd bit)
- sma_status (i4) – binary mask for login’s flags (login is active – 1st bit, cancel / not cancel orders when login is deactivated – 2nd bit)
- aspref (i4) – link to login
- To support SMA functionality new table sma_master is added into FORTS_FUTINFO_REPL replication stream:
- replID (i8) – service field of replication subsystem
- replRev (i8) – service field of replication subsystem
- replAct (i8) – service field of replication subsystem
- sma_asp (c20) – trading member client’s login
- sma_aspref (i4) – link from table user on trading member client’s login
- master_asp (c20) – trading member’s login (master login)
- master_aspref (i4) - link from table user on trading member’s master login
- To support SMA functionality new table sma_pre_trade_check is added into FORTS_FUTINFO_REPL replication stream:
- replID (i8) – service field of replication subsystem
- replRev (i8) – service field of replication subsystem
- replAct (i8) – service field of replication subsystem
- check_id (i8) – unique code of check
- sma_asp (c20) – trading member client’s login
- sma_aspref (i4) – link from table user on trading member client’s login
- check_number (i1) – check number
- base_contract_code (c25) – underlying asset code
- instrument_type (i1) – instrument type (0 – futures, 1 – option, 2 – calendar spread)
- client_code_check (c7) – client’s clearing account
- value (d26.2) – value for check
- To support SMA functionality new field aspref (i4) link to master login, is added into tables orders_log/multileg_orders_log FORTS_FUTTRADE/OPTTRADE_REPL replication streams and into table orders FORTS_FUTORDERBOOK/OPTORDERBOOK/ORDBOOK_REPL replication streams.
- Tables fut/opt_sess_settle are removed from FORTS_FUTINFO/OPTINFO_REPL replication streams. Tables are moved to FORTS_CLR_REPL replication streams.
- Obsolete fields coeff_out and min_vol are deleted from table opt_vcb FORTS_ OPTINFO_REPL replication stream.
- New table option_series_params is added into FORTS_INFO_REPL replication stream, table structure is similar to virtual_futures_params table.
- New fields are added into rts_index table RTS_INDEX_REPL replication stream. More accurate index values will be available in new fields.
- value_highprec (d18.6)
- prev_close_value_highprec (d18.6)
- open_value_highprec (d18.6)
- max_value_highprec (d18.6)
- min_value_highprec (d18.6)
- Due to FX and Equities market system upgrade and new interface version (30) the following changes will be done:
- Field SETTLEDATE is removed from table common MCXCC_MDCOMMON_REPL replication stream
- Type of field FACEVALUE in table SECURITIES MCXCC_INFO_REPL replication stream is changed to f
- New field FIXINGDATE (t) is added into SETTLECODES table MCXCC_INFO_REPL replication stream
- Type of field TEVERSION in STATS table MCXCC_INFO_REPL replication stream is changed to с10
- Type of field TYPE in TRADETIME table MCXCC_INFO_REPL replication stream is changed to с2
- Type of field TYPE in TRDTIMESTYPE table MCXCC_INFO_REPL replication stream is changed to с2
- New field FIXINGDATE (t) is added into ALL_TRADES table MCXCC_MDTRADE_REPL replication stream
- New field INDEXCROSSRATE (t) is added into INDEXES table MCXSPOT_INFO_REPL replication stream
- Type of field FACEVALUE in table SECURITIES MCXSPOT_INFO_REPL replication stream is changed to f
- Type of field TEVERSION in STATS table MCXSPOT_INFO_REPL replication stream is changed to с10
- Type of field TYPE in TRADETIME table MCXSPOT_INFO_REPL replication stream is changed to с2
- Type of field TYPE in TRDTIMESTYPE table MCXSPOT_INFO_REPL replication stream is changed to с2
- Field SETTLEDATE is removed from table common MCXSPOT_MDCOMMON_REPL replication stream
7. Changes applied to command scheme repository:
- New non-trade command SetSMAPreTradeCheck – set parameters for SMA prechecks.
- broker_code (c4) – broker’s_code
- sma_asp (c20) – trading member client’s login
- check_number (i1) – check number, values 1..7*
- base_contract_code (c25) – underlying asset code
- instrument_type (i1) – instrument type (0 – futures, 1 – option, 2 – calendar spread)
- client_code_check (c3) – last three digits of client’s clearing account
- value (c29) – value for check. Integer up to 26 digits or fractional up to 26 digits before comma and up to 2 digits after comma.
Full description for values of check_number field you can find in documentation.
- New non-trade command DelSMAPreTradeCheck – remove parameters for SMA prechecks.
- broker_code (c4) – broker’s_code
- check_id (i8) – check ID
- New non-trade command UserKillSwitch – trade mode prohibition for SMA login.
- login (c20) – trading member client’s login
- disable (i1) – flag for login activity (0 – prohibit mode for trading operations is off/1 – prohibit mode for trading operations is on)
- cancel_orders (i1) – flag for order canceling (0 – do not cancel orders when prohibition for trade operation is set/1 – cancel orders when prohibition for trade operation is set)
8. New SpectraIM version.
9. Changes applied to reports:
- New fields asp (c20) and aspref (numeric) are added into multilegordlogXXYY.csv
- New reports mon_newXXYY.csv, moncl_newXXYYZZZ.csv, opos_newXXYY.csv, fpos_newXXYY.csv, oposcl_newXXYYZZZ.csv, fposcl_newXXYYZZZ.csv are added. New reports’ structure will be similar to current monXX, monclXX, oposXX, fposXX, oposclXX, fposclXX, with initial margin values calculated with risk parameters of a new session.
Software distribution kits and documentation for developers will be available soon at ftp://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/