MIL OSI Translation. Region: Russian Federation –
Source: Moscow Exchange – Moscow Exchange –
We inform you about changes in the trading and clearing system of the stock and foreign exchange markets, scheduled for launch on December 4, 2023.
New version of Broker48 and BrokerRisk48 gateway interface
A new version of the broker’s gateway interface for connecting to the trading system and to the clearing system on the stock and foreign exchange markets will be released on the release date. Key changes:
An instrument attribute field with a variable nominal value VARIABLEFACEVALUE, which can take values Y/N, will be added to the SECURITIES table of the interface for connecting to the trading system on the stock market. A new table REPO_DISCOUNT for displaying information on discounts and terms of REPO auctions with the Central Bank of the Russian Federation will be added to the interface for connecting to the trading system on the stock market. Transactions will be added to the interface for connecting to the clearing system to work with the sign of acceptance as collateral: The COLLATERALPERCENT and COLLATERALPERCENT_TOM fields will be added to the list of individual risk parameters RM_TRDACC to display the value of partial acceptance of an asset as collateral for today and tomorrow, as well as the sign of acceptance as collateral for tomorrow (yes / no / undefined) will be transmitted in the new field COLLATERAL_TOM. The list of possible values for the COLLATERAL field (Indicator of acceptance of an asset as collateral) of the interface tables for connecting to the clearing system will change: the value “Undefined” will be added to the “Yes” and “No” values, which is indicated by a space symbol. A transaction will be added to set the value of partial accounting of the asset in the collateral for the next day SET_RM_COLLATERAL_PERCENT in the individual risk parameters. Transactions will be added to delete individual risk parameters: CLEAR_RM_COLLATERAL (removing the collateral acceptance attribute) and CLEAR_RM_COLLATERALPERCENT (deleting the collateral acceptance limit value).
A description of the new version of gateway interfaces, as well as a comparison with the previous version, is published on the Exchange’s FTP server.
On the stock market: http://ftp.moex.com/pub/KlintsAPI/ASC/Bridge_Interfaces/Ecoite/test/On the foreign exchange market: http://ftp.moex.com/pub/KlintsAPI/ASC/Bridge_Interfaces/Currencies/test/
Selecting a limitation period in an open date repo
Instead of the default value (360 days), the user now has the opportunity to independently select the period (at least two settlement days and no more than 360 days) of the repo, following which the transaction will become urgent for execution. Instead of a single settlement code for the second part of a repo transaction, a list of settlement codes is introduced that will indicate the maximum permissible period of a repo transaction with an open date from YOD2 to YOD360. Document “Repo transactions with open date in repo with CCP and interdealer repo” takes into account changes regarding the list of settlement codes and the mandatory completion of the REPOTERM field when submitting applications.
Anonymous REPO with CCP
Repo market participants will have the opportunity to enter into anonymous repo transactions with the Central Committee. The mechanism will be applicable on existing REPO boards with CCP Addressnoye (PSRP, PSRD, PSRE, PSRY) and REPO boards with CCP Addressnoe GCC (PSGC, PUGC, PEGC, PYGC). To send an anonymous application, the user will need to indicate the NCC company in the counterparty field, and indicate a combination of letters and numbers in the matchref field. If the combination matches the one specified in the counterparty’s counter-application, a transaction will be concluded with the party to the transaction – NCC.
In reports on trading results (SEM02, SEM03, SEM11) and clearing (EQM05, EQM06, EQM08, EQM6C, EQM6D, EQM63), as well as in the MOEX Trade SE terminal and in the ASTS Bridge gateway after submitting orders and concluding an anonymous repo transaction with the CCP NCC will be designated as the party to the transaction.
Please note that at this stage of implementation, it is impossible to do anything with all types of execution reports with anonymous REPO transactions with the CCP. You cannot refuse to execute part 1, execute part 2 of a REPO ahead of schedule, enter into transactions with an Open Date, or submit urgent bilateral reports for execution. At the same time, concluding transactions with floating rates with all available terms on these boards/securities will be possible.
Changes to stock market clearing reports New types of income transfer transactions (capital gains, interest income, redemptions) will be displayed in the Type field of the RECORDS node of the EQM98 transfer obligation/income requirement report.
The current specification of the structure of reports based on the results of clearing on the stock market is available on the Exchange website: http://fs.moex.com/files/951
Anonymous mode of negotiated transactions on the foreign exchange market
Please note that from the release date the behavior of SMA identifiers in the anonymous mode of negotiated transactions will be brought into line with the similar functionality of the stock market. Previously, any user, including SMA users of a trading participant with appropriate authority, had the opportunity to see and respond to an anonymous order sent to the participant by the counterparty. By analogy with the stock market system, the foreign exchange market has implemented the ability for SMA users to send targeted orders not only to the Trading Participant, but also to a specific SMA user of the Trading Participant.
Trading on an instrument with a weighted exchange rate in yuan
By analogy with trading at the weighted average rate for the USDRUB instrument, trading for the CNYRUB pair is launched on the Exchange’s foreign exchange market using the weighted average rate for transactions in the CETS mode with CNYRUB_TOM instruments calculated at 15:30, as well as using the fixing rate calculated at 12:30 per MB for transactions in the CETS addressless mode with the CNYRUB_TOM instrument.
A new instrument CNYRUB_WAP0 is being introduced, the transaction rate for which is equal to the weighted average rate for transactions with CNYRUB_TOM concluded between 10:00 and 15:30 MSK in CETS mode, respectively. In addition, a new instrument CNYRUB_FIX0 is being introduced, the transaction rate for which is equal to the fixing rate for transactions with CNYRUB_TOM concluded between 12:15 and 12:30 MSK in CETS mode.
A new instrument CNYRUB_WAPV is introduced. The order price for the instrument CNYRUB_WAPV is a discount (negative value) / premium (positive value) to the weighted average rate for transactions with CNYRUB_TOM concluded between 10:00 and 15:30 MSK in CETS mode (value 0 is possible, that is, the price equal to the weighted average rate CNYRUB_TOM at 15:30).
As with the USDRUB instrument, weighted average transactions CNYRUB_WAP0 and CNYRUB_WAPV are traded in the following modes: WAPS (System Weighted Average) and WAPN (Non-System Weighted Average). Transactions with CNYRUB_FIX0 are traded in the following modes: FIXS (System Fixing) and FIXN (Non-System Fixing).
Error code when canceling limit orders for exceeding the aggressiveness limit
Please note that when canceling orders “Immediately or Reject” due to exceeding the aggressiveness limit in the foreign exchange market, a new error message will be used with code 1320 and the text “(1320) Limit order
Updating MOEX Trade terminals
On December 4, 2023, it is planned to release an update to the MOEX Trade SE and MOEX Trade Currency terminals. All users will be prompted to install automatic updates when connecting to the trading and clearing system. Distributions for manual installation will be available on the FTP server from December 1:– http://ftp.moex.com/pub/Terminal/ASC/Ecoite for MOEX Trade SE– http://ftp.moex.com/pub/Terminal/ASC/Currency for MOEX Trade Currency
Contact information for media 7 (495) 363-3232PR@moex.com
Note; This information is raw content directly from the source of the information. This is exactly what the source states and does not reflect the position of MIL-OSI or its clients.
Please note; This information is raw content directly from the information source. It is accurate to what the source is stating and does not reflect the position of MIL-OSI or its clients.
EDITOR’S NOTE: This article is a translation. Apologies should the grammar and or sentence structure not be perfect.