Elasticia Production System upgrade - "Order protection feature release"

Publiceringsdatum: Mar 17, 2015 2:8:54 PM

Dear all,

Elasticia Production System is planned to be upgraded with the

Order Protection feature release

on Monday, June 1, 2015.

In this process, NGM will also be launching two new test systems. The former

test system will be split into two separate systems, one containing customer-

specific instruments, as well as Instrument Schema reference instruments, and

the other one will have a copy of the production instruments. The same accounts

as before can be used in the new environments.

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.

See below for all the details of this release and please don't hesitate

to contact us for further information.

Best regards,

NGM Support

support@ngm.se

+46 8 566 390 60

Upgrade procedure - TEST System

- Friday, February 27, 2015. Test system will become accessible during the day.

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

Upgrade procedure - PRODUCTION System

- Friday, May 29, 2015, 18:00 CET. Upgrade starts. Gateways will be periodically inaccessible.

- Monday, June 1, 2015, 08:00 CET. Upgrade completed.

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

Beta testing program

- 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.

New and updated features

- Introduction of Opening Auction and Closing Auction.

- Introduction of Circuit Breaker Auctions.

- Introduction of Equilibrium Price Dissemination during auctions.

- Introduction of Pre Trade Control.

- Introduction of Order Protection for market orders.

- Full market data transparency in phase Pre Open.

- Updated support for Market Orders.

- Three Price Decimals are now fully supported.

- Order Prioritization in pre open is now identical to continuous trading (no randomization).

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

Updated documents

- NGM Market Model

- New version (pdf) and diff to previous version (pdf with change bars)

https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_0.9.1.pdf

https://sites.google.com/site/elasticiatradingsystem/files/MarketModel_diff_0.9.1.pdf

- NGM FIX Protocol

- New version (pdf)

https://sites.google.com/site/elasticiatradingsystem/files/FIX_1.9.1.pdf

- NGM FAST Templates

- New version (xml)

https://sites.google.com/site/elasticiatradingsystem/files/FAST_templates_1.13.1.xml

- NGM Instrument Schema

- New version (xsd)

https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_1.13.0.xsd

- New version (pdf) and diff to previous version (pdf)

https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_1.13.0.pdf

https://sites.google.com/site/elasticiatradingsystem/files/InstrumentSchema_diff_1.13.0.pdf

Market Model changes

New Chapters and Sections

- Section 3.2 "Opening Auction"

- Section 3.4 "Closing Auction"

- Section 8.4 "Circuit breaker auction substates"

- Chapter 9 "Circuit breakers"

- Section 10 "Pre Trade Control"

Changed Chapters and Sections

- Section 6.1 Order time priority is no longer random during auctions.

- Section 6.4 "Equilibrium Price" (was: "Opening/Equilibrium Price")

- Chapter 3 "Trading Session and Phases"

- Introduction.

- Section 3.1 "Pre Open"

- Section 4.1 "Market Types and Validity"

- Market orders.

NGM FIX Protocol changes - Private Service (trading)

- All messages:

- Field: SenderCompID (49): Stricter validation; must be set to the tradergroup name, e.g. FOO-1 if the username is FOO-1-1.

- Message: ExecutionReport (8)

- Field: OrdRejReason (103).

- New value: 106=Order not allowed to breach circuit breaker

- New value: 107=Order breached pre trade control price limit

- New value: 108=Order breached pre trade control value limit

- Message: QuoteStatusReport (AI)

- Field: QuoteRejectReason (300).

- New value: 109=Quote breached pre trade control price limit

- New value: 110=Quote breached pre trade control value limit

- Component: Trade

- Field: TradeCondition (277).

- New value: XAO=Opening auction Trade

- New value: XAC=Closing auction Trade

- New value: XAD=Circuit breaker dynamic auction Trade

- New value: XAS=Circuit breaker static auction Trade

- Message: UserSecurityStatusUpdateResponse (FR)

- Field: FinancialStatus (291).

- New value: D=Circuit breaker dynamic

- New value: S=Circuit breaker static

- Components: Order, QuoteGrp and Trade

- Field: AccountType (581)

- Now required when entering orders, quotes and manual trades.

NGM FIX Protocol changes - Public Service (market data)

- All messages:

- Field: SenderCompID (49): Stricter validation; must be set to the tradergroup name, e.g. FOO-1 if the username is FOO-1-1.

- Component: Security

- New field: OrderProtection (20047)

- Component: SecurityStat

- Field: SecurityTradingStatus (326)

- New value: 101=Opening auction

- New value: 102=Closing auction

- Field: FinancialStatus (291)

- New value: D=Circuit breaker dynamic

- New value: S=Circuit breaker static

- Component: TradingSession

- Field: TradSesStatus (340)

- New value: 7=Opening auction

- New value: 8=Closing auction

- Component: "MDEntry"

- Field: MDEntryType (269)

- New value: 'b'=Equilibrium Buy

- New value: 's'=Equilibrium Sell

- Field: MDEntrySize (271)

- Now also required for MDEntryType: 'b' and 's'

- Field: TradeCondition (277)

- New value: XAO=Opening auction Trade

- New value: XAC=Closing auction Trade

- New value: XAD=Circuit breaker dynamic auction Trade

- New value: XAS=Circuit breaker static auction Trade

- Message SecurityDefinitionUpdateReport (BP):

- Field: SecurityAltID (455)

- Value now always present.

- Section 4.5 "Market data messages"

- New text about equilibrium price dissemination.

FAST templates

- New fields according to the list in "NGM FIX Protocol changes".

Instrument Schema changes

New instrument types

- Credit Linked Note.

- Currency Linked Note.

- TicBond

- Miscellaneous Constant Leverage Products

- Loan debenture

New fields in existing instrument types

- Bond. Accrued interest. Optional.

- Bond. Agent. Optional.

- ETF. SwapCounterparty. Optional.

- ETF. CustodianBank. Optional.

- ETF. ActivelyOrPassivelyManagedETF.

- ETF. FundManager. Optional. Note: The previously existing field called FundManager has been renamed to FundManagerCompany.

- Other. InterestRate.

- Other. Pricing.

- Other. InterestRateType.

- Other. DayCount.

- Other. CouponFrequency.

- Other. CouponDates.

- Many types. SettlementMethod.

Changed fields in existing instrument types

- Bond. Pricing. Now optional.

- Bond. NominalCurrency. Now mandatory.

- ETF. Category. New value: MULTIASSET.

- All types. TER. Updated description: Total *Experience* Ratio -> Total *Expense* Ratio.

- ETF. FundManager. Renamed to FundManagerCompany. Note. A new field called FundManager has been introduced.

- All types. OptionType. New value: Bermudan.

- All types. DeliveryType -> SettlementMethodType

- All types. Delivery -> SettlementMethod.

Removed fields in existing instrument types

- ETF. Parity. Removed.

- ConvertibleBond. Removed field: Underlying/Category

- ConvertibleBond. Removed field: Underlying/SubCategory

- ConvertibleBond. Removed field: Underlying/ReferenceMarket.

General notes

- AccruedInterest field can be updated daily.

- ConstantLeverageCertificate. EUSIPA code changed from 2220 to 2300

- TurboWarrant. EUSIPA code changed from 2205 to 2200

- KnockOutWarrant. EUSIPA code changed from 2200 to 2205.