Elasticia Production System upgrade - "Knock Out Buyback feature release"

Publiceringsdatum: Oct 24, 2012 9:48:45 AM

Dear all,

Elasticia Production System is planned to be upgraded on Monday, February 4, 2013 with the "Knock Out Buyback feature release"

This feature release has been thoroughly tested, but we invite you to take part in our beta testing program to assist us in assuring the quality of the system as well as your integration to the system.

Changes:

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- New "Knock Out Buyback" functionality introduced. Allows the market maker to immediately buy back the outstanding volume of a knocked security. This makes it possible for clients to immediately sell their volume back to the market maker, instead of having to wait the entire redemption period to receive their payment.

- New knock out procedure. Knocked securities are no longer halted with HaltReason (327) Knock-out (K). Instead, knock out status of a security is communicated in FinancialStatus (291) field.

- Updated NGM Market Model to reflect the changes described in this announcment.

- Updated NGM FIX specification, see below for details.

- Updated FAST templates.

- Updated Instrument Schema (SecurityXML (1185) field), see below for details.

- Update connection idle monitoring by making use of Heartbeat (0) and TestRequest (1) messages more standards-compliant.

- Internal changes to further improve stability, fail over functionality and performance.

Documents:

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- NGM FIX Protocol

New version: https://sites.google.com/site/elasticiatradingsystem/files/FIX_spec_1.6.0.pdf

New version (with change bars): https://sites.google.com/site/elasticiatradingsystem/files/FIX_spec_1.6.0_diff.pdf

- NGM Market Model

New version: https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_0.6.0.pdf

New version (with change bars): https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_0.6.0_diff.pdf

- NGM FIX Protocol FAST Templates

New version: https://sites.google.com/site/elasticiatradingsystem/files/FAST_templates_1.11.0.xml

Diff from previous version: https://sites.google.com/site/elasticiatradingsystem/files/FAST_templates_1.11.0_diff.txt

- NGM Instrument Schema

New version (pdf): https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_1.10.0.pdf

New version (with change bars): https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_1.10.0_diff.pdf

New version (xsd): https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_1.10.0.xsd

Beta testing program

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- We encourage everyone to run any automated test suites during the beta test period and try to monitor the results for functional or performance changes by comparing the results to historical results from before the upgrade.

- The beta testing will take place in the Elasticia Test System.

Upgrade procedure - TEST System

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- Friday, November 2, 2012, 18:00 CET. Upgrade starts. Gateways will be periodically inaccessible.

- Monday, November 5, 2012, 08:00 CET. Upgrade completed.

- Market will be informed about progress via technical mail list.

Upgrade procedure - PRODUCTION System

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- Friday, February 1, 2013, 18:00 CET. Upgrade starts. Gateways will be periodically inaccessible.

- Monday, February 4, 2013, 08:00 CET. Upgrade completed.

- Market will be informed about progress via technical mail list.

If you have any further questions please contact NGM Support at support@ngm.se or +46 8 566 390 60.

Best regards,

NGM Support

NGM FIX specification

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- Rejected Quote (S) messages now echoes OrigQuoteMsgID (20018).

- Logout (5) message. SessionStatus (1409) field. New value 104 sent as a response to Logon (A) with ResetSeqNumFlag (141) = 'Y' and MsgSeqNum (34) != 1.

- QuoteStatusReport (AI) message. QuoteStatus (297) field. Removed unused value Active (16).

- QuoteStatusReport (AI) message. QuoteStatus (297) field. Added value Removed From Market (6).

- QuoteStatusReport (AI) message. QuoteStatus (297) field. Increased granularity by utilising all possible values.

- Unknown required ids, for example OrderID (37) in ExecutionReport (8) when rejecting a NewOrderSingle (D), are now consistently reported as "[N/A]" instead of sometimes "[N/A]" and sometimes "NONE".

- SecurityStatus (f) message. HaltReason (327) field. Removed value Knock-out (K).

- SecurityStatus (f) message. FinancialStatus (291) field. Added mutually exclusive values Knock out (W), Knock out buyback (X) and Knock out soft (Y).

- TradeCondition (277) field. Added value Buyback Trade (XB).

- CorporateActionReport (U1) message. CorpActionDescr (20008) field (only!) can now be modified *after* a corporate action has been executed.

- TradeCaptureReport (AE) message. TradeReportTransType (487) now adheres to the specification for two party manual trades.

- BusinessMessageReject (j) message. BusinessRejectReason (380) and BusinessRejectRefID (379) in are now set to more relevant values in more situations.

- ExecutionReport (8) message. Removed unused value Done for day (3) from field ExecType (150).

- TradeCaptureReportAck (AR) message. TradeReportRejectReason (751) field. Added reason "Manual trades not allowed in any knock out state" (100).

- ExecutionReport (8) message. OrdRejReason (103) field. Added reasons "Orders not allowed in knock out or knock out soft state" (100), "Buy orders not allowed in knock out buyback state" (101) and "Suspended orders not allowed in knock out buyback state" (102).

- QuoteStatusReport (AI) message. QuoteRejectReason (300) field. Added reasons "Quotes not allowed in knock out or knock out soft state" (102), "Not authorized to quote security in knock out buyback state" (103), "Sell quotes not allowed in knock out buyback state" (104).

InstrumentSchema

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- Removed Reuters Instrument Code (RIC) in Common block.

- Made ObservationDates optional in CapitalProtectionWithCoupon (1140).

- Made KnockInHasBeenHit optional in BonusCertificate (1320).

- Made Strike and KnockOut optional in CapitalProtectionWithKnockOut (1130).

- Made CapitalProtection optional in CapitalProtectionWithKnockOut (1130) and CapitalProtectionWithCoupon (1140).

- Added KnockOutBuyback (optional) for MiniFuture (2210), TurboWarrant (2205), KnockOutWarrant (2200), ConstantLeverageCertificate (2220) and Other.

- Added ParticipationRate (optional) for Warrant (2100).

- Added NominalValue (optional) to Warrant (2100), OutperformanceCertificate (1310), MiscellaneousLeverageWithoutKnockOut (2199) and MiscellaneousParticipation (1399).

- Changed the documentation for the previously existing NominalValue tags to use the same description as for the new NominalValue tags. Also changed the type from xs:float to a xs:simpleType containing a single xs:float value. Affected instrument types: Bond, ETP, ConvertibleBond, ExpressCertificate (1260), MiscellaneousYieldEnhancement (1299), UncappedCapitalProtection (1100), CappedCapitalProtection (1120), CapitalProtectionWithCoupon (1140), CapitalProtectionWithKnockOut (1130), MiscellaneousCapitalProtection (1199) and Other.

- Various minor spelling corrections.