The next release of Securities and FX market systems
Dear MOEX clients,
The next release of the FX and Securities markets trading and clearing systems is scheduled for 27 September 2021. The following changes are included. In case the date changes, Moscow Exchange will provide an update.
New versions of ASTS Bridge broker interface IFCBroker39 and IFCBroker40
You may find descriptions of new versions 39 and 40 of IFCBroker and IFCBrokerRisk interfaces for FX and securities markets on FTP server.
IFCBroker39 and IFCBrokerRisk39 versions contain changes to support objectives of the planned release. IFCBroker40 and IFCBrokerRisk40 versions contain the full list of changes added in 39 version of broker interfaces and changes to increase size of price fields.
Increased size of price and price-related fields
IFCBroker40 version of ASTS Bridge broker interface is provided for FX and securities market members to test increased size of fields with prices and price-related values. IFCBroker40 and IFCBrokerRisk40 versions contain changes in all fields earlier having PRICE (9) type. Price fields and price-related fields will have FLOAT (17) type.
Updated password policy
During the first registration in the trading system with new identifier user will be prompt to change the password to the new one corresponds to safety requirements. There will be new transaction FORCE_USER_CHANGE_PASSWORD in new versions of Broker interface.
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 https://ftp.moex.com/pub/Terminals/ASTS/) on 24 September 2021.
On 2 August described changes will be available on the INETCUR and INET test environments.
SECURITIES MARKET
Technical readiness of the Links with Foreign liquidity providers project
Special securities to test new trade mode will be available on TQBD, PSTD, PSSD boards.
IFCBroker39 interface version will contain following new fields:
· LIQUIDITYTYPE (Type of liquidity either inner liquidity or external quote) in the ORDERS table, the ORDER transaction, and related tables. The field will be filled with values of new enumerated type TExtIntType.
· NEGDEALS table will have the new field PARENTTRADENO to mark technical trades with identifier of the original trade with a liquidity provider.
· TRADES table will have the new CANCELREASON field to specify the reason of trade cancellation by a liquidity provider.
There will be following new values in enumerated types:
TOrderStatus type: L - confirmation by liquidity provider required.
TTradeStatus type:
· L - confirmation by liquidity provider required
· H - Check for collateral sufficiency. Status assigned to a parent trade while its technical order is checking for collateral.
TTradeType: Q - trade concluded with liquidity provider.
TOrderCancelReasonType:
· 36 - Cancellation of active quotes due to the trading session end
· 37 - Withdraw internal liquidity order before trade with external quote order
· 38 - Withdraw external quote order before mathing
· 39 - Canceled due to liqudity provider confirmation timeout
· 40 - Withdrawn by liquidity provider
· 41 - Canceled due to collateral deficiency for liquidity provider order
Changed type of COMPLEXPRODUCT field of the SECURITIES table
TComplexProduct enumerated type will be removed from IFCBroker39. Instead of the type there will be new COMPLEXPRODUCTTYPES table contains list of values to mark complex financial products in SECURITIES table. Type of the COMPLEXPRODUCT field will be changed to INTEGER.
Restriction of SMA identifiers by pairs of Trading and Clearing account with boards
Firm administrator will be able to restrict his/her SMA identifier by entering orders only for specified list of "BoardID - Trading and Clearing account (TrdaccID)" pairs. IFCBroker39 version of interface will contain new table U_TRDACC_BOARD_RESTR to broadcast active restrictions and transaction U_TRDACC_BOARD_RESTR_SET to control restrictions. A procedure of setting restrictions will be also available from MOEX Trade SE terminal.
Other changes in ASTS Bridge broker interfaces for securities market
ORDERS and USTRADES tables will be supplemented with the SYSTEMREF field.
BrokerRisk interface will contain SECTYPE field in the SECURITIES table, like using in Broker interface current version.
Changes in rounding rules for trade volume of bonds calculated in foreign currency
During calculation of trade volume for bonds traded in a face unit currency value will be rounded by 2 decimals after the multiplication of volume in face unit currency by official exchange rate provided by Bank of Russia for trade date. Currently, value is rounded after calculation of trade volume in face unit currency.
Updated algorithm of trades conclusion in Primary distribution auctions on the bonds market
Currently, trades conclude if coupon rates are equal for buy and sell orders, and prices in buy and sell orders are equal too. After the release, while prices are equal, it will be enough for coupon rate in sell order to be greater or equal then coupon rate value of the opposite order.
Extended list of securities available for evening trades
Domestic bonds and Eurobonds will be available during the evening trading session. The following boards are engaged: TQCB, TQOB, TQOD, TQOE, TQIU, TQIE, TQIR, TQRD, TQED, TQUD, PSOB, PSEU, PSEO, PSIU, PSIE, PSIR, PSED, PSUD, PSDB, PTOB, PTOD, PTOE, PTIU, PTIE, PTIR, PTDB, PTED, PTUD. Settlement codes B01-B30 for negotiated deals will be using to settle between different Trading & Clearing Accounts.
REPO securities will be available during the evening sessions with the following settlement codes:
· Y0, T0 for REPO with CCP, Rb for REPO-M when settled on the one Trading & Clearing Account · Y1, Y2 for REPO with CCP and Deposits with CCP, S01, S02 for REPO-M when settled between different Trading & Clearing Accounts.
Planned changes in trading reports on the securities market
The SEM42 Register of transactions of sponsored market access (SMA) users report will be supplemented with the MMOrder field in the RECORDS node to mark market makers orders.
There will be new format of SEM11 report Consolidated order register to consolidate order registers by full distribution period.
Changes in clearing reports
Starting from 27 September 2021, it is planned to provide the new clearing report CCX50 Report on withheld amount of income tax paid to Non-Resident Clearing Members, containing the information on the amount of income tax paid by NCC to Non-Resident Clearing members in favor of Actual owner of income, considering the applicable tax rates. The report is generated as of date of income receipt and tax calculation. The report is not generated when the tax is not calculated.
We will provide you with the detailed information about changes in trading and clearing reports, including descriptions, XSD schemas and XSLT styles at a later date.
FX MARKET
Instruments traded with discount/premium to WAP USDRUB_TOM on 11:30 MSK
New instrument USDRUB_WAPV (variation) will be launched on currently active boards WAPS and WAPN. Order price of USDRUB_WAPV will be discount (negative value) or premium (positive value) or equivalent (zero value) to WAP value calculated at 11:30 MSK.
Changes in IFCBroker39 and IFCBroker40 versions of ASTS Bridge interface for the FX market
The PFIACCESS field will be added to the CLIENTCODES table to specify clients of non-resident Clearing member who has access to standardized derivatives trades.