Elasticia Production System upgrade - "Official day closing price enhancement release"

Publiceringsdatum: Dec 09, 2013 3:55:45 PM

Dear all,

Elasticia Production System is planned to be upgraded with the "Official day closing price enhancement release".

The upgrade will be performed in three steps, starting on Monday, December 16 and completed on Friday, March 14, 2013:

    • Step 0. December 16, 2013. Internal system changes. No action required.

      • A short "glitch" in system availability will be noticeable while we upgrade the internal system.

    • Step 1. December 18, 2013. Business changes. No action required.

      • The official day closing price will be set to the theoretical closing price for instruments on the NDX market segments where active market making takes place. The official day closing price is disseminated on the public channel (market data statistics).

      • The new Closing Price MarketMakerQuote-flag *will not* be used.

      • The traditional official day closing price for the affected instruments will be available as Last Price in the market data statistics.

    • Step 2. March 17, 2014. Technical changes. Action required to ensure that your systems support the dissemination of the MarketMakerQuote-flag for closing price.

      • The new Closing Price MarketMakerQuote-flag *will* be used.

The release has been thoroughly tested, but we would now like to invite you to take part in the public testing of the release to help us ensure the quality and give you an opportunity to to test your integration.

Changes

    • New functionality introduced for NDX instruments. Allows the official day closing price (part of the market data statistics disseminated on the public channel) to be set on other criteria than, as of today, being based on the actual trades having been performed. This new feature makes it possible for a market maker to provide a theoretical closing price after the market has been closed.

    • Updated NGM Market Model to reflect the changes described in this announcement.

    • Updated NGM FIX Specification to reflect the changes described in this announcement, see below.

Documents

    • NGM Market Model

      • Added information about theoretical official day closing price.

      • Added new market segments previously announced to market segments list

New version: https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_0.7.0.pdf

New version (with change bars): https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_0.7.0_diff.pdf

    • NGM FIX Specification

      • MarketDataSnapshotFullRefresh ('W') and MarketDataIncrementalRefresh ('X') messages. MarketMakerQuote (20033) field can now be present and set to 'Y' for Closing Price MDEntryType ('5')

New version: https://sites.google.com/site/elasticiatradingsystem/files/FIX_spec_1.6.3.pdf

New version (with change bars): https://sites.google.com/site/elasticiatradingsystem/files/FIX_spec_diff_1.6.3.pdf

Public testing period

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

    • The public testing will take place in the Elasticia Test System.

Upgrade procedure - TEST System

Participants will be informed about progress via technical mail list.

    • Monday, December 9, 2013.

      • Step 0. Internal system changes. Upgrade starts. Gateways will be periodically inaccessible.

      • Step 1. Business changes. First day where official day closing price is set to the theoretical closing price.

      • Step 2. Technical changes. First day where official day closing price is flagged with MarketMakerQuote-flag.

Upgrade procedure - PRODUCTION System

Market will be informed about progress via technical mail list.

    • Friday, December 13, 2013, 18:00 CET.

      • Step 0. Internal system changes. Gateways will be periodically inaccessible.

    • Wednesday, December 18, 2013.

      • Step 1. Business changes. First day where official day closing price is set to the theoretical closing price.

    • Monday, March 17, 2014.

      • Step 2. Technical changes. First day where official day closing price is flagged with MarketMakerQuote-flag.

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

Best regards,

NGM Support