Next release of trading and clearing systems
The next release of the Derivatives, FX and Securities markets trading and clearing systems is scheduled for 5 August 2019. Below is the description of changes on FX and Securities markets. They are already available on INET_GATEWAY and INETCUR_GATEWAY test environments. Information on Derivatives market can be found at https://www.moex.com/n24166
FX and Securities: New ASTS Bridge broker interfaces
New versions of trading and clearing interfaces on the FX market - IFCBroker34 and IFCBroker34R. Specs and comparison with a previous version are available at ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test2019/
New interface version on the Securities market - IFCBroker34. Specs and comparison with a previous version are available at ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/test2019/
There are no changes in FIX/FAST protocols.
FX and Securities: Update of trader terminals
MOEX Trade SE terminal will be updated to version 3.13.3. MOEX Trade Currency will be updated to version 3.13.2.
FX and Securities: Separation of trading and clearing membership
A project to separate trading and clearing membership is implemented on the Securities market. Technical implementation details can be found in the following presentation - ftp://ftp.moex.com/pub/ClientsAPI/ASTS/docs/Trading_and_Clearing_Membership_English.pdf Overview of changes in XML reports can be found in the attached document.
Implementation of trading and clearing membership separation on the FX market will be upgraded to match changes on the Securities market.
Securities: Early settlement of REPO with CCP trades
In order to provide clearing members with more liquidity management tools we introduce an option to allow early settlement of second parts of negotiated REPO with CCP trades.
Early settlement is possible between the next date after a first part settlement and the day preceding the second part settlement.
To execute early settlement both trade parties should enter an instruction for settlement date change (a new EARLY_SETTLE transaction from ASTS Bridge broker interface). Then such a trade will be settled 'today' via a standard procedure, including an opportunity to send a settlement report.
For second parts of REPO with CCP trades displayed in the USTRADES table cash liabilities and claims for second trade parts will be displayed assuming their early settlement 'today'. These liabilities and claims are calculated using the interest accrued during the actual term that has passed. Interest is calculated using the rate indicated in the original REPO with CCP trade and for the elapsed period including a current date.
New in ASTS Bridge interface:
Tables:
USTRADES
+ DUEDATE
+ EARLYSETTLESTATUS
+ EARLYSETTLEREPORT
+ EARLYSETTLECPREPORT
Transactions:
+ EARLY_SETTLE
Enumeration:
TEarlySettle - Early settlement flag
Changes in reports:
EQM06 :
SETTLEDATE
+ EarlySettle - Settlement date changed (Yes/No)
Securities: Federal Treasury deposit auctions with CCP
Technical readiness for Federal Treasury deposit auctions with CCP is introduced. Project production launch will be announced later. New trading boards will be implemented:
FKRP - Auct. CCP with GCP 1 day
FKOW - Auct. CCP with GCP 7 days
FKSW - Auct. CCP with GCP 14 days
FKOM - Auct. CCP with GCP 1 m.
FKSM - Auct. CCP with GCP 2 m.
FKTM - Auct. CCP with GCP 3 m.
FKUM - Auct. CCP with GCP 6 m.
FKOY - Auct. CCP with GCP 1 year
ADEP - Deposits CCP auct. settled (for deposit market members)
In order to support this mode a new field LSECCODE is added to the CCP_REPO_ORDER transaction in the new IFCBroker34 interface. This field should be used by members to indicate a particular general collateral certificate instrument. A new Federal Treasury GCP Basket instrument should be indicated in SECCODE field.
Securities: Dark pool for bonds in USD
A new TQDU board is introduced for dark pool auctions for bonds with settlement in USD.
All bonds of the following instrument types currently being traded in main T+ modes will be admitted to this board: federal bonds (TQDB), Bank of Russia's bonds (TQDB), Eurobonds (TQDU), bonds nominated in USD (TQDU).
Prices from main trading boards are used for price determination.
FX and Securities: Implementation of password policies
A new password policy will be introduced for firm user and bridge IDs.
When changing password a new one must include three of the following:
- Low case letters (a-z)
- Capital letters (A-Z)
- Digits (0-9)
- Special characters (@,+,_, etc)
Password cannot include three same symbols in succession and cannot repeat earlier used passwords. Password length must be 8 characters.
When reaching maximum number of incorrect password entries (5 attempts) a user ID will be suspended for 15 minutes.
The above listed restrictions do not affect current passwords.
Trading members may also submit an application to activate password life time (90 days) for particular user IDs. Users of such IDs will start receiving the following messages when approaching the expiration date: "(206) Logon OK (firm: FIRMID). (1109) Password expires in N day(s). Please change password!"
Securities: Orders from NCC to 'everyone'
A new function for the National Clearing Centre to conclude REPO trades with non-defaulting clearing members in order to attract securities to close the defaulting clearing member's obligations.
NCC may send negotiated REPO with CCP orders on the LIQR board with T0/Y1 settlement code that are addressed to 'everyone'. Clearing members can find such orders in the REPO_NEGDEALBOOK table. In order to send an order to conclude a deal the CCP_REPO_NEGDEAL should be used with CPFIRMID="*Всем".
FX: USD/JPY currency pair
Trading of a new USD/JPY currency pair will be introduced with full prefunding.
New instruments:
- USDJPY_TOD
- USDJPY_TOM
- USDJPY_SPT
Instruments will be available in the following modes:
- USDJPY_TOD, USDJPY_TOM, USDJPY_SPT - main mode and negotiated deals
- USDJPY_SPT - main mode, negotiated deals, OTCT
The following position TAGs will be added:
DJDD - USD/JPY_TOD - USD
DJDY - USD/JPY_TOD - JPY
DJMD - USD/JPY_TOM - USD
DJMY - USD/JPY_TOM - JPY
DJSD - USD/JPY_SPT - USD
DJSY - USD/JPY_SPT - JPY
Changes in commission fee on precious metal market
On the FX and precious metal market variable commission fee that is charged for precious metal spot trades in Rubles will be set to zero for buyers.