Moscow Exchange, or Moskovskaya Birzha OAO (MCX:MOEX), the biggest Russian venue for trading currencies, derivatives and shares, keeps working on improving its derivatives trading infrastructure. Next in line is an update to SPECTRA FAST feeds.
On August 24, 2015, MOEX FAST feeds for Derivatives market was upgraded to version 1.2 in test environment. The planned date for production roll-on is November 19, 2015.
The update is obviously necessary, as the Moscow Exchange has experienced problems with its derivatives trading infrastructure several times over the past couple of months. On August 12, 2015, trading on the derivatives market was halted for nearly half an hour, from 11:23 MSK to 11:50 MSK. On June 29, 2015, transmission of market data was interrupted for a short time, whereas on June 15, 2015, trading on this market was suspended for more than two hours.
The SPECTRA trading system itself is set to be updated on August 31, 2015.
Below is a list of enhancements in the new version of SPECTRA FAST data feeds:
- Currency rates translation within INDEX feed with Symbol=USD, Symbol=USR is ceased. New Symbol=USD/RUB rate should be used instead.
- New non-mandatory service field of the Revision (tag 20018) replication subsystem is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. New field allows comparing FAST messages with CGate messages. Revision field is available in quotes, trades and market fundamentals for Derivatives market only.
- New non-mandatory field LastFragment (tag 893) is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. Full description is available in the new documentation chapter 3.2.6.
- New non-mandatory field Order Side is added to Market Data – Snapshot/Full Refresh (W) and Market Data – Incremental Refresh (X) messages. Order Side field define the direction of order that initiated the trade. The new field is translated for Derivatives market only.
- UDP packet size was optimized for standard MTU value 1500 bytes for Ethernet.
- CFICode field, Contract Multiplier field and InstrAttribType=203 field translation in Security Definition message in OTC-ISSUES multicast channel is ceased.
- MarketSegmentID field value in Security Definition message in OTC-ISSUES multicast channel is changed to “Q”.
- Compression operators (copy, delta, increment) are excluded from templates.
- Message J (Empty book) is translated in FUT-BOOK-1, FUT-BOOK-5, FUT-BOOK-20, FUT-BOOK-50, OPT-BOOK-1, OPT-BOOK-5, OPT-BOOK-20, OPT-BOOK-50 snapshot channels, if no orders were placed.
- Packet’s format in TCP Recovery service is changed. First four bytes in every FAST message contain message length.
- All trades prices are translated with Currency=RUB in MDEntryPx field in OTC-TRADES channel.
To view the official announcement about the Spectra Fast feeds update, click here.