SPECTRA UAT update to v.6.2.20
The next release of the Derivatives, FX and Securities markets trading and clearing systems is scheduled for 5 August 2019. Below is the list of changes in the Derivatives market Spectra system v.6.2.20 which are already available on the test T+1 environment. Details on changes on the FX and Securities market will be published in following announcements.
New distributives and docs are available at:
https://ftp.moex.com/pub/ClientsAPI/Spectra/CGate/test/
https://ftp.moex.com/pub/Terminals/Spectra/Test/
https://ftp.moex.com/pub/ClientsAPI/Spectra/SpectraIM/Test/
https://ftp.moex.com/pub/FIX/Spectra/test/docs/
https://ftp.moex.com/pub/IQS/test/CGate/
Changes in Spectra version 6.2.20:
1. Online registration of trading members
Customer registration is carried out using standard Moscow Exchange online registration interfaces: member's personal account on the site, EDI or web-API. To activate the online registration service, the participant needs to submit an application, in which indicate the BF codes used for the online registration, and the number of clients for each of them. Client account-blanks are automatically generated for the specified BFs after processing the application in the system. These blanks will be available in the next trading session for online binding. Unattached blanks are displayed in the member’s private data: in the table part in FORTS_PART_REPL stream and in the table investor in FORTS_FUTINFO_REPL and FORTS_INFO_REPL streams. In the investor table, such accounts have a special sign ('is_blank'). To register a client, the participant should choose a blank and transfer it along with the client details using standard Moscow Exchange online registration interfaces (member's personal account on the site, EDI or web-API). The trading account with an attached client is ready to trade after receiving a response about successful registration.
2. Individual SOMC for clients
Functionality of increasing of risk weight scenarios SOMC for clients was implemented. The clearing participant can put a multiplying coefficient in the appropriate risk revaluation scenario. A new parameter short_option_minimum_charge_ratio is introduced for the ultimate customers – individual coefficient of weight scenario SOMC (from 0 to 5, three decimal symbols). This parameter is set by the command for changing client parameters OptChangeRiskParameters and is transmitted in the gate in the table investor in FORTS_INFO_REPL and FORTS_FUTINFO_REPL streams.
3. Cross-contract spreads margin optimization
The algorithm for calculating IM for the cross-contract spreads has been optimized in order to reduce the total GO of the participants. Now you can choose the margining rule for the cross-contract spread contracts: half-nett/ nett. When you select the 'net' rule, the requirements for GO are reduced compared to the method of calculating 'half-nett'. You can choose the margining rule by the ChangeBFParameters and ChangeClientParametersNextSession paticipant parameter change commands, the set value is broadcasted in the gateway in the tables dealer and investor in FORTS_INFO_REPL and FORTS_FUTINFO_REPL streams (field 'ics_margin_type').
4. Options exercise in the intraday clearing session
Now any option series can be exercised in Intraday clearing session without exercising the underlying futures. The logic of auto-expiration and the procedure for options exercising remain unchanged. The sign of exercising in intraday/ evening clearing session is set at the level of the option series/ basic contract and published in the gateway in tables option_series in FORTS_OPTINFO_REPL stream and fut_vcb in FORTS_FUTINFO_REPL stream, respectively.
5. Derivatives market terminal changes
- settlement_price_open (d16.5) - settlement price of the previous session. Duplicates the 'old_kotir' field to be deleted in the future.
- market_price (d16.5) - current market price. Duplicates the 'cur_kotir' field to be deleted in the future.
Stream FORTS_OPTCOMMON_REPL, table common: added field:
- settlement_price_open (d16.5) - settlement price of the previous session. Duplicates the 'old_kotir' field to be deleted in the future.
Stream FORTS_FUTINFO_REPL: added table clearing_members:
- replID (i8) - service field of the replication subsystem
- replRev (i8) - service field of the replication subsystem
- replRev (i8) - service field of the replication subsystem
- code (c2) - member code
- lock_type (i1) - blocking type (0 – no blocking, 2 – liquidation netting in respect of the clearing member)
- lock_date (t) - blocking date
- name (c200) - member name
Stream FORTS_FUTINFO_REPL, table fut_sess_contents: 'd_exp', 'price_dir' fields are deleted.
Stream FORTS_FUTINFO_REPL, table fut_sess_contents: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- settlement_price_open (d16.5) - settlement price at the start of the session. Duplicates the 'old_kotir' field to be deleted in the future.
- settlement_price (d16.5) - settlement price after the last clearing session. Duplicates the 'last_cl_quote' field to be deleted in the future.
- last_trade_date (t) -expiration date. Duplicates the 'd_pg' field to be deleted in the future.
Stream FORTS_FUTINFO, table fut_vcb: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- signs (i4) - flags field.
Stream FORTS_FUTINFO_REPL, table fut_ instruments: 'price_dir' field is deleted.
Stream FORTS_FUTINFO_REPL, table fut_instruments: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- settlement_price_open (d16.5) - settlement price at the start of the session. Duplicates the 'old_kotir' field to be deleted in the future.
- settlement_price (d16.5) - settlement price after the last clearing session. Duplicates the 'last_cl_quote' field to be deleted in the future.
- last_trade_date (t) -expiration date. Duplicates the 'd_pg' field to be deleted in the future.
- d_exp_start (t) - start date of instrument exercise. Duplicates the 'd_exp' field to be deleted in the future.
- series_type (c1) - flag of dated option. D-daily, W-weekly, M-monthly. Duplicates the 'exec_name' field to be deleted in the future.
Stream FORTS_ FUTINFO_REPL, table prohibition: added field:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
Stream FORTS_FUTINFO_REPL, table dealer: added fields:
- short_option_minimum_charge_ratio (d5.3) - individual coefficient of SOMC scenario weight.
- coeff_im (d16.5) -total collateral ratio value, for BF. Duplicates the 'go_ratio' field to be deleted in the future.
- ics_margin_type (i1) - margin type for cross-contract spreads: 3 - half nett; 4 - nett.
- Stream FORTS_FUTINFO_REPL, table investor: added fields:
- is_blank (i4) - the account-blank flag for the online registration.
- short_option_minimum_charge_ratio (d5.3) - individual coefficient of SOMC scenario weight.
- ics_margin_type (i1) - margin type for cross-contract spreads: 3 - half nett; 4 - nett.
- coeff_im (d16.5) - total collateral ratio value.
- no_fut_discount (i1) - discount on futures. 1 - discount prohibited, 0 - discount allowed.
- num_clr_2delivery (i4) - number of clearing sessions before the expiration for starting the expiration scenarios calculation.
- exp_weight (d3.2) - expiration scenario weight, in the total collateral.
Stream FORTS_OPTINFO_REPL, table opt_sess_contents: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- settlement_price_open (d16.5) - settlement price at the start of the session. Duplicates the 'old_kotir' field to be deleted in the future.
- settlement_price (d16.5) - settlement price after the last clearing session. Duplicates the 'last_cl_quote' field to be deleted in the future.
- last_trade_date (t) -expiration date. Duplicates the 'd_pg' field to be deleted in the future.
- base_im_covered_sell (d16.2) - basic size of the collateral to be posted on one open position of the option writer (Russian rubles). Duplicates the 'bgo_c' field to be deleted in the future.
- base_im_sell (d16.2) - basic size of collateral to be posted on one unsecured position of the option writer (Russian rubles). Duplicates the 'bgo_nc' field to be deleted in the future.
- base_im_ buy (d16.2) - basic size of collateral requested in order to buy a futures-style option. Duplicates the 'bgo_buy' field to be deleted in the future.
Stream FORTS_ OPTINFO_REPL, table opt_vcb: added field:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
Stream FORTS_ OPTINFO_REPL, table option_series: added field:
- signs (i4) - flags field
Stream FORTS_CLR_REPL, table pledge_details: 'com_ensure' field is deleted.
Stream FORTS_ CLR_REPL, tables money_clearing, money_clearing_sa: added field:
- asset_type (i1) - account type: 0 - roubles, 1 - pledge.
Stream FORTS_ CLR_REPL, tables fut_pos, opt_pos: added field:
- account_type (i1) - account type: 0 - CF, 1 - BF, 2 - client.
Stream FORTS_VM_REPL, tables fut_vm, opt_vm, fut_vm_sa, opt_vm_sa: 'vm_real' field is deleted.
Stream FORTS_INFO_REPL: virtual_futures_params table is deleted.
Stream FORTS_INFO_REPL: added table multileg_dictionary:
- replID (i8) - service field of the replication subsystem
- replRev (i8) - service field of the replication subsystem
- replRev (i8) - service field of the replication subsystem
- isin_id (i4) - multileg instrument ID
- isin_id_leg (i4) – instrument ID which is a component of specified multileg instrument
- leg_order_no (i1) - leg order in a multileg instrument
Stream FORTS_INFO_REPL, table base_contracts_params: 'is_usd' is deleted.
Stream FORTS_INFO_REP, table base_contracts_params: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- window_size (f) - coefficient of determination smoothing window size for cross-contract spread margining.
Stream FORTS_INFO_REPL, table futures_params: added fields:
- base_contract_code (c25) - underlying asset code. Duplicates the 'code_vcb' field to be deleted in the future.
- risk_range_center (d16.5) - risk calculation center. Duplicates the 'settl_price' field to be deleted in the future.
- settlement_price (d16.5) - settlement price after the last clearing session. Duplicates the 'settl_price_real' field to be deleted in the future.
Stream FORTS_INFO_REPL, table dealer: added fields:
- short_option_minimum_charge_ratio (d5.3) - individual coefficient of SOMC scenario weight.
- ics_margin_type (i1) - margin type for cross-contract spreads: 3 - half nett; 4 - nett.
- coeff_im (d16.5) -total collateral ratio value, for BF. Duplicates the 'go_ratio' field to be deleted in the future.
Stream FORTS_INFO_REPL, table investor: added fields:
- short_option_minimum_charge_ratio (d5.3) - individual coefficient of SOMC scenario weight.
- ics_margin_type (i1) - margin type for cross-contract spreads: 3 - half nett; 4 - nett.
- coeff_im (d16.5) - total collateral ratio value. Duplicates the 'go_ratio' field to be deleted in the future.
- is_blank (i4) - the account-blank flag for the online registration.
Stream FORTS_INFO_REPL, table investor: field 'n_clr_2delivery' renamed to 'num_clr_2delivery'.
7. Command scheme repository changes
- broker_code (c4) - Brokerage Firm code
- code (c4) - client code
- calendar_spread_margin_type (i4) - margin type for calendar spreads for the client: 3 - half nett; 4 - nett
- ics_margin_type (i4) - margin type for cross-contract spreads: 3 - half nett; 4 - nett.
Command OptChangeRiskParameters: added field short_option_minimum_charge_ratio (c6) - individual coefficient of SOMC scenario weight.
8. SpectraIM changes:
New parameter WindowSizePercentage (smoothing range as a percentage of risk rate) added to tab Instruments for the underlying assets.
New parameters added to tab Clients:
- ShortOptionMinimumChargeRatio – individual interest rate;
- InterСontractSpreadMarginType – margin rule for contracts included in cross-contract spread spread
9. Changes in reports
10. Changes to FIX protocol
Field group UndInstrmtGrp removed from New Order Single message.