FX Market Trading and Clearing System Schedule Update 

An updated version of Moscow Exchange”s ASTS FX market trading and clearing system is to come online on 28 April 2014.

Testing with the involvement of trading participants will take place on 26 April. The system will be available for connection at approximately 12:00 pm MSK.

To participate in the testing, participants should send their firm ID and contact details to help@moex.com. FAST feeds will be available to all current subscribers via the updated version.

Participants not planning to participate should disconnect external systems during the testing period to avoid receiving test data.

Functional changes:

1. Risk netting between FX and Derivatives Markets (technical readiness at the FX Market).
2. Risk management system innovations: individual risk parameters and concentration limits.

Technical changes:

1. A new version of the ASTS Bridge broker interface — IFCBroker_22.
2. Risk netting between FX and Derivatives Markets:

a. Risk netting command is initiated trough the Spectra trading and clearing system.
b. A new technological board for risk transfer (RSKC) with EURRUB_RSK and USDRUB_RSK instruments.
c. New position tags USRD, USRR, EURE, EURR for the risk netting positions.
d. Information on risk transfer will be visible in ASTS system as negotiated deals (with corresponding records in NEGDEAL and TRADES tables). Trade counterparty is NCC.
e. After the trade registration risk netting positions will change and the Unified limit will be recalculated.
f. The transaction is accounted at the current central rate and margin transfers are not charged.
g. The position opened for such transaction cannot expire and will be uploaded to the trading system every morning. Ruble position will be revaluated based on the last day central settlement rate.
h. Position can be closed by the opposite transaction with the same instrument.

3. The following changes are made by the analogy with the latest changes on Equity market:

a. Order amend transaction is extended with a flag to define the order cancellation behavior.
b. Public order ID in FAST feed is now available in ASTS Bridge and MFIX Transactional. This ID is also returned in reply to the ORDER transaction sent using the MTEExecTransEx function (search for the IN= key in text with the transaction result).
c. A new SET_RM_PRICERANGE_FIRM transaction to set individual risk parameters. This transaction allows users set a multiplier (with the two decimal precision) for the risk range, i.e. price ranges between the central rate and the lower and upper limits will be multiplied by this coefficient. Changes are applied on the next day and available in the RM_PRICERANGE_FIRM table.
d. Expanded data for market makers: a new EXT_MMSTATS table.
e. Concentration limits, see tables RM_INDICATIVE and RM_PRICERANGE.
f. Order withdrawal by client code: WD_ORDERS transaction has been extended.
g. Extended list of error messages that may be received after an order cancellation attempt using the new broker interface version (also applicable to order amendment transactions).

Error message codes:
(915) Can”t withdraw order. The order already matched.
(916) Can”t withdraw order. The specified order is not active. Current status is …

h. Updates to MFIX Transactional and FAST UDP Multicast market data services:
1) a new ParentID field that points to the initial SWAP trade in the derivative spot trades;
2) unification of MFIX Trade with the version on the Equity market (CancelOrigOnReject flag and MDEntryID field).
i. Limit orders entered with “fill or kill” or “immediately or cancel” flags that do not lead to any trades will be still registered by the system and listed in the ORDERS table.

Source: moex

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