The next release of securities, money and FX market systems
The next release of securities, money and FX market systems is planned on 10 October 2022. The following key changes are included. In case of any changes, MOEX will provide an update.
Trading schedule events logging
New TRADINGSTATUS table added to ASTS Bridge broker interface for securities and FX market trading system is planned to use to collect records about committed trading status changes by any security due to an event occurrence from the trading schedule. The table will contain following fields:
| FIELD | TYPE | DESCRIPTION |
|---|---|---|
| SECBOARD | CHAR (4) | Board ID for the security |
| SECCODE | CHAR (12) | Security ID |
| TIME | TIME | Event occurrence time |
| TRADINGSTATUS | ENUM (1) | Security trading status indicator |
| EVENTTYPE | CHAR (2) | Trading Schedule Event type. List of all types is contained in the TRDTIMETYPES table |
| TRADINGSESSION | CHAR(1) | Trading session number |
Binary encoding protocols for securities and FX market
New high-frequency trading and marketdata services based on Simple Binary Encoding technology will be available in production environment starting from September 26, 2022:
- SIMBA ASTS - marketdata feed
- TWIME ASTS trading service
Please be reminded that SIMBA ASTS service is available for public testing since December of 2021 and TWIME ASTS service is available in T1 test environment since 25 April, 2022
Production connection settings will be provided additionally.
"Passive only" orders on securities and FX market
New type of order by processing condition will be introduced in securities and FX market system: "Passive only" (Book or cancel). Order of this type will be withdrawn by trading system if it’s putting into order queue will lead to a trade conclusion. In this way, "Book or cancel (BOC)" order might be a passive part of trade (trade maker) only. BOC order is always a limit order.
New possible value to enter to IMMCANEL field of ORDER transaction will be added to the ASTS bridge broker interface. List of the TImmCancel enumeration type will be extended with the ‘8’ value (A book or cancel order).
MFIX Trade messaging protocol: new value ‘z’ (A book or cancel order) will be added to a TimeInForce (59) field of a New Order - Single (D) message.
TWIME ASTS messaging protocol: new value ‘8’ (A book or cancel order) will be added to a TimeInForce (59) field of a NewOrderSingle (message id=13).
The following conditions are foreseen for cross trade checks of BOC orders on the securities market:
- There is BOC order put into the queue and new order entering that will lead to a cross trade conclusion
- "Cancellation of passive order" option is using. BOC order in the queue will be canceled and new order will be put into order queue
- "Cancellation of passive order" option is not using. new order will be rejected
- There is order put into the queue that might lead to a cross trade conclusion and new BOC order entering
- "Cancellation of passive order option is using. the order in the queue will be canceled and new BOC order will be put into the order queue
- "Cancellation of passive order" option is not. new BOC order will be rejected by general definition of Book or cancel mechanism.
BOC order using available during normal trading period only. When Closing or, for example, Discrete auction starts, BOC order will be withdrawn by the trading system. New value of TOrderCancelReason enumeration type will be added in version 44 of ASTS Bridge broker interface: ‘42’ – "BOC orders in the order book are deleted at the start of an auction".
Passive only orders using established for the CETS board on the FX market and for Main T+ trading boards on the securities market.
Changes in fee packages for the securities market
Work is under way to update commission fee package system applicable on the securities market. It is planned to shorten list of fee packages. Instead of currently used 5 fee packages it is planned to implement asymmetric package with taker commission on the Main trading board and two symmetric packages. The specific information about commission fees and conditions of application of new fee packages will be publisher separately at the MOEX website.
ASTS Bridge broker interface update
New version of ASTS Bridge broker interface IFCBroker44, IFCBrokerRisk44 for trading and clearing system is planned to introduce on the securities and FX market. Besides described above changes designed for trading statuses logging, benchmark-linked orders entering and orders of BOC type there will be new fields added into tables.
- The BANKACC (Bank accounts) table will be supplemented with CSPECIAL field to broadcast value of Special bank account of type C maker value. Applicable in ASTS bridge trading and clearing broker interfaces on the securities and FX markets.
- The ASSETS table of the clearing system interface IFCBrokerRisk44 on the securities and FX market will be supplemented with the COLLATERALPERCENT field to display risk parameter as a percentage of free funds which is accepted as collateral.
- The new TRADINGRESTRICTION field will be added to the CLIENTCODES table to display client’s Possibility of making transactions with residents/non-residents. Applicable in ASTS bridge trading interface on the securities market.
- The MSGSETNO field "Message set version" to indicate version number of the interface used by user will be added to the USERS table of Broker44 and BrokerRisk44 interfaces for securities and FX markets.
- The QUOTES table of Broker44 interface for the securities market will include data on all orders submitted by the trading firms in negdeal mode with no counterparty specified (quotes) since the beginning of the trading session.
- The SECURITIES table will be supplemented with fields broadcasting values of price move limit boundaries per security.
| FIELD | TYPE | DESCRIPTION |
|---|---|---|
| PMLUPPERLIMIT | FLOAT (17) | PRICEMOVELIMIT High boundary |
| PMLLOWERLIMIT | FLOAT (17) | PRICEMOVELIMIT Low boundary |
New versions specification and changes from the current version of of ASTS Bridge broker interface you may find at MOEX FTP server:
Securities market https://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Equities/test/
FX market https://ftp.moex.com/pub/ClientsAPI/ASTS/Bridge_Interfaces/Currency/test/
REPO, deposit, and credit trades with floating rates
Mechanism for REPO with CCP or Deposits with CCP trades, credits or Inter-Dealer REPO using benchmark-linked floating rates will be introduced as technical readiness.
ASTS Bridge broker interface will have following relevant updates:
Credits and Inter-Dealer REPO: Bank of Russia key interest rate (RREFKEYR), SOFR, RUSFAR, RUSFARUSD
Negotiated REPO deals with CCP and Deposits with CCP: RUSFAR, Bank of Russia key interest rate (RREFKEYR)
REPO with CCP with GCP: RUSFAR
List of supported indicators may be extended.
For trades of mentioned types, rate will be calculated daily as
[Benchmark current value] + [Deal spread]
Relevant changes in ASTS Bridge broker interface for trading system;
Following transactions will have new parameter BENCHMARK to specify needed benchmark identifier required to float rate link with:
CCP_REPO_NEGDEAL,
CP_REPO_COMPLEX_NEGDEAL,
EXT_REPO_NEGDEAL,
EXT_REPO_COMPLEX_NEGDEAL
The ORDER table will be supplemented with the BENCHMARK field to display benchmark ID with which REPO interest is linked
The USTRADES table will be supplemented with following new fields:
BENCHMARKVALUE - The value of the indicator that was used "today" to calculate the interest of the trade
BENCHMARKCHANGEDATE - The nearest date for determining the new value of the benchmark
BENCHMARK field size will be increased from 8 to 12 symbols in following tables:
BOARDS,
USTRADES,
TRADES,
ALL_TRADES,
NEGDEALS
ID field size will be increased from 8 to 12 symbols in the BENCHMARKS table. Also, following new fields will be added:
| FIELD | TYPE | DESCRIPTION |
|---|---|---|
| ASSET | CHAR (12) | Virtual asset to account positions on benchmark-linked interest |
| STARTDATE | DATE | Date of benchmark value was determined |
| SETTLECODE | CHAR (12) | Settlement code |
| CURRENCYID | CHAR (4) | Currency of settlement |
| NEXTVALUE | FLOAT (10) | The value of the indicator by the next calendar day, % |
Following information will be included into the EQM06 report on Trades included into clearing:
- Trade criteria by rate type (RateType field)
- Indicative rate ID (Benchmark field) The field size will be increased from 8 to 12 symbols
- Indicative rate value, expressed in per cent (BenchmarkRate field)
You may find specifications of Securities market clearing reports at the MOEX website.
You may find XSD schemes at FTP server: https://ftp.moex.com/pub/Reports/Equities/XSD
New instruments with small lots for currency pairs in operation
By analogy with small lots instruments in operation for USDRUB and EURRUB, there will be introduced new instruments with small lots predicated on range of currency pairs.
Trading members and their clients will be able to conclude system deals on the CETS board using TMS instruments. On the CNGD negotiated deals board trading members and their clients will be able to conclude negdeals with TDS instruments and SWAP TDSTMS negdeals in addition to negdeals with TMS instruments. Besides, the whole list of new instruments will be available for non-system settling trades (LICU board). Iceberg orders entering will be not allowed with new TMS instruments.
Mechanism of aggressive market orders control is acting during the full trading day from 7:00 to 23:50 MSK for orders entered with new TMS instruments on the CETS board. For CNYRUB maximum shift from the best price is set as 0,5%. For the rest of new instruments, maximum shift value is set as 1%.
Changes in FX market trading reports
IsActualMM flag attribute of CUX22 (Order registry) and CUX23 (Trade registry) will be filled as following:
Y - market-maker order complies with the terms of the market-maker agreement
M - market-maker order does not comply with the terms of the market-maker agreement
[empty] - the order is not a market-maker order
New CUX83 report on user’s logins on the FX market
There will be new CUX83 report on logins of the FX market user. Data providing procedure: CUX83 report formed on the daily basis contains list of changed or added logins. Complete list of FX market user’s logins is formed at the last trading day of each month.
You may find specifications of trading reports at the MOEX website: https://fs.moex.com/files/13904