MOEX FX Market Innovations, 2020
A new order execution algorithm is introduced on the FX Market from November 23 – Time Weighted Average Price (TWAP)
TWAP Algorithm helps to execute large volumes smoothly by small lumps of money in a series of predefined time periods in the course of the day to prevent large market impact on the Moscow Exchange currency market.
Following a demand of our corporate participants we also introduced a new algorithmic order type e-TWAP (Trade Weighted Average Price) which helps them to execute large volumes smoothly by small lumps of money in a series of predefined time periods in the course of the day to prevent large market impact.
Available instruments: SPOT, SWAP (TODTOM, TOMSPT) and SWAP contracts in the Main Board (CETS mode) and Speedbump (SDBP mode).
TWAP algorithm parameters:
- Execution time: within the main trading session, i.e. from 10:00-23:50 MSK
- The price: market or limit
- Rate: the worst rate (for limit orders)
- The total quantity submitted for execution within TWAP
- Random deviations for times orders are placed and orders quantities (0– no deviation from normal distribution; 1- max spread (±50% from average values))
- Time intervals between the orders:
- Time in the hh:mm:ss format, or
- The number of orders that may be placed in the trading system
Basic principles and an example of the TWAP algorithm execution
Extension of trading time until 12:00 MSK
From September 28, 2020 on FX Market the trading time will be extended from 11:00 to 12:00 in the TOD and swap O/N (TOD/TOM) instruments of currency pairs CNY/RUB, USD/CNY, CHF/RUB, USD/CHF, TRY/RUB, USD/TRY, BYN/RUB, KZT/RUB, USD/KZT (trading time will be from 10:00 to 12:00 GMT+3). The end of trading time for TOD and TOD/TOM instruments for HKD/RUB will not be changed:
| Currencies | Now | From 28.09.2020 | ||
|---|---|---|---|---|
| End of trading | Cut-off time | End of trading | Cut-off time | |
| HKD | 11:00 | 12:00 | 11:00 | 12:00 |
| CNY | 13:00 | 12:00 | 13:00 | |
| CHF | 13:00 | 13:00 | ||
| TRY | 13:00 | 14:00 | ||
| BYN | 12:00 | 13:00 | ||
| KZT | 12:00 | 13:00 | ||
- The time for participants to enter early settlements at 11:00 (GMT+3) is preserved both for the request for collateral return and standing instructions to return.
- The time for participants to enter early settlements at 12:00 (GMT+3) is added, both for the request for collateral return and standing instructions to return.
- Access to early settlements on request for collateral return in the period from 11:00 to 14:00 (GMT+3) is reduced to the period 12:00 - 14:00 (GMT+3).
More info about trading time extension
New Trading schedule
On 22 June 2020 MOEX FX Market introduced the following modifications:
Pre-trade checks for SMA logins
The additional pre-trade checks functionality for client orders with SMA identifiers is implemented in the same way as for the securities market. New pre-trade on-exchange SMA risk controls have been made launched for Clearing Members to risk manage their clients/participants more comprehensively.
EURUSD_SPT block trade liquidity at the price of global liquidity providers
OTC block trades in EURUSD_SPT instruments now possible with the Full Amount settlement at fixed price bands of 1, 2, 5 and 10 mln EUR. Lot size is changed to 1 EUR (similar to the existing OTCT board).
| Board | OTCF |
|---|---|
| Instrument | EURUSD_SPT |
| Settlement date | T+2 |
| Tick size | 0.00001 |
| Lot size | 1 EUR |
| Bands (order size) | 1 mio, 2 mio, 5 mio, 10 mio EUR |
| Settlement | Full Amount Partial execution is not possible, FoK (Fill or Kill) order is implemented |
| Connection | GUI, FIX |
| Fee | 0.0006% ($6/mln) |
Clearing of OTC trades with CCP – new board (CPCL)
MOEX FX Market now allows centralized clearing for OTC trades that MOEX clearing participants execute through electronic OTC platforms.
This solution protects from credit and settlement risks and allows cross-margining and netting between exchange and OTC trades.
Connection is via FIX protocol (specifications are similar to those for the OTCT board).
RFS service without anonymous RFQs
The information about the taker may be optionally disclosed to the liquidity provider when the request for quotation is initiated. The liquidity provider remains anonymous.
From 23 March 2020 MOEX FX Market has extended trading hours for OTC trading (OTCT and OTCF board) and RFS ( RFSM board).
Trades now start from 09:30 MSK.
From 17 February FX Market has expanded trading opportunities in EUR/USD currency pair at the price of global FX liquidity providers. Trades are cleared and settled via NCC.
A new trading board on the FX market – OTCF (OTC Full amount) has been introduced. New instrument parameters:
| Instrument | EURUSD_SPT |
|---|---|
| Settlement date | T+2 |
| Tick size | 0.00001 |
| Lot size | EUR 5,000,000 |
| Min order size | EUR 5,000,000 |
| Max order size | EUR 10,000,000 |
| Settlement type | Full Amount Partial execution in not allowed, FoK (Fill or Kill) order is implemented |
| Connection | GUI, FIX |
| Fee | 0.06 pips ($6/mln) |
Contact us:
MOEX FX Market
Tel: +7 (495) 363-3232 ext. 5383, 5389, 5406, 5548
E-mail: fx@moex.com