The next release of Securities and FX market systems
The next release of the FX and Securities markets trading and clearing systems is scheduled for 29 March 2021. The following changes are included.
FX market
Order book with small lots: technical readiness
New securities with lot size set to 1 cent for currency pairs USD/RUB and EUR/RUB:
- SPT securities USDRUB_TDS, EURRUB_TDS, USDRUB_TMS, EURRUB_TMS with value dates "today" and "tomorrow"
- Overnight SWAP securities USD_TDSTMS and EUR_TDSTMS.
New securities will be available for system and negotiated deals (BoardID: CETS and CNGD) and for Non System Settling Trades (BoardID:LICU). Only USDRUB_TMS и EURRUB_TMS securities will be available on CETS board.
All the new securities will be available on CNGD and LICU boards. Iceberg orders are not suitable for USDRUB_TMS и EURRUB_TMS securities.
All participants and their clients will have access to trading with new securities by default, except for the cases when participant applied the form about identifiers on the FX market and specify permissions of identifier(s) on these securities or boards.
The table below contains trading parameters of new securities:
| Security/ SWAP trade |
Currency | Currency of settlement | Settlement code | Lot size on CETS board, currency of lot | Lot size on CNGD, LICU board, currency of lot | Minimum order volume on CETS board, currency of lot | Minimum order volume on CNGD, LICU board, currency of lot | Maximum order volume on CETS board, currency of lot | Quote per volume of lot currency | Minimum price step on CETS board | Minimum price step on CNGD, LICU board | Number of decimals for price | Number of decimals for base price | Base price on CNGD, LICU boards |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| USDRUB_TDS | USD | RUB | T+0 | 0.01 | 0.01 | 1 USD | 0.0001 RUB | 4 | - | - | ||||
| EURRUB_TDS | EUR | RUB | T+0 | 0.01 | 0.01 | 1 EUR | 0.0001 RUB | 4 | - | - | ||||
| USDRUB_TMS | USD | RUB | T+1 | 0.01 | 0.01 | 1 | 0.01 | 999.99 | 1 USD | 0.0025 RUB | 0.0001 RUB | 4 | - | - |
| EURRUB_TMS | EUR | RUB | T+1 | 0.01 | 0.01 | 1 | 0.01 | 999.99 | 1 EUR | 0.0025 RUB | 0.0001 RUB | 4 | - | - |
| USD_TDSTMS | USD | RUB | - | 0.01 | 0.01 | 1 USD | 0.0001 RUB | 4 | 4 | Random price | ||||
| EUR_TDSTMS | EUR | RUB | - | 0.01 | 0.01 | 1 EUR | 0.0001 RUB | 4 | 4 | Random price |
То operate with small lots, users of ASTS Bridge should use LOTDIVIDER field value of the SECURITIES table of broker interface starting from IFCBroker34 version.
| Field | Type | Description | |
|---|---|---|---|
| LOTDIVIDER | INTEGER(8) | Indicates trading in 1/LotDivider fractions of LotSize. For example, LotSize=1 and LotDivider=100 combination for USD/RUB has a meaning of trading in quantities of 1 cent. |
If the LOTDIVIDER field contains coefficient different from 1, then number of lots in order will show number of lot fractions. LOTDIVIDER field processing is similar to LOTSIZE field of the Securities table. The difference is value in lots must be multiplied by LotSize value and divided by LotDivider value to get value expressed in the currency of the security.
The lot divider takes values multiples of power of 10. For instance, described new securities has LOTSIZE=1 and LOTDIVIDER=100. One lot of each order corresponds to 1/100 currency unit that equals to 1 cent. Example: if you need to calculate the volume of the last trade in currency of USDRUB_TDS lot, using value of the QTY (Lots in the last) field, you should calculate QTY(USD) = QTY * LotSize/LotDivider. If the QTY value transmitted by ASTS bridge equals to 20000, then the quantity expressed in USD will be calculated as 20000 * 1/100 USD = 200 USD.
The type of the VOLTODAY (Today Volume of concluded trades, expressed in the currency of the security) field of the new ASTS bridge interface IFCBroker38 for FX market will be changed from integer to float to transmit value expressed in currency of securities with small lots correctly. Previous versions of the interface (34 – 37) will transmit volume value rounded to the nearest integer.
We remind you that the FAST UDP multicast market data service broadcasts the LotDivider (10512) field in the Instruments definition (IDF).
There will be changes in XML reports: data per orders and trades with new securities will be submitted with reports on trades and orders (CUX22, CUX23, CUX33) similarly to existing SPT and SWAP securities. Number of decimals in the QUANTITY field will be changed from 0 to 2.
Decrease of the minimum order volume on CCP Clearing board
Minimum order volume on CCP Clearing board (BoardID: CPCL) will be set to 1 lot. Additionally, making deals using one FirmID will be banned on the CPCL board.
Extension of list of boards admitted to algorithmic trading
In addition to CETS and SDBP boards it will be allowed to enter TWAP trades on OTC market (BoardID: OTCT).
There will be changes in XML reports: Similarly to the Records node of CUX22 and CUX23 reports, the Records node of the CCX122 and CCX123 reports on OTCT orders and trades will be supplemented with non-required "Number of algorithmic order" (AlgoOrderNo) field.
New ASTS Bridge interfaces - IFCBroker38/IFCBroker38R
Specifications of new interfaces are available at MOEX ftp:
interfaces for the FX market ftp://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test/
Securities market
Market-maker orders placement in auctions
It will be available to place an order with "Market-maker's order" flag in Opening, Closing and Discrete auctions, including the closing period, on equities and bonds markets. The fulfillment of Market-maker's obligations per specific security will be controlled during auction or closing period if the time is included in the specified period of control over obligations fulfillment.
Negative values of rates on REPO with GCP boards
Money market users will be provided with functionality to enter orders and make system and negotiated deals on /REPO with CCP: GCP (general collateral pool certificates) boards. The functionality is still not suitable for deposit boards.
Changes in trading and clearing XML reports
It is planned to change structure of the SEM83 report. Detailed list of changes in trading and clearing reports and specification of structure will be published later.
Removal of technical boards
We remind you about the announced earlier removal of trading boards that were added temporarily to publish main session trade results. Starting from the release date mentioned boards will no longer be available in the Securities market trading system and its data feeds.
MOEX Trade terminals update
MOEX Trade SE and MOEX Trade Currency terminals will be updated. Users will be prompted to autoupdate when connecting to the trading system.
Packages for manual installation will be published at ftp://ftp.moex.com/pub/Terminals/ASTS/) on 26 March 2021.
Described changes are available on the INETCUR and INET test environments from 1 February 2021.
Dates of the new functionality technical readiness may not coincide with dates of the commercial launch.