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

Publiceringsdatum: Jun 25, 2014 11:10:10 AM

Dear all,

Elasticia Production System is planned to be upgraded with the "Sold Out Buyback feature release", on Monday, October 20, 2014.

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, June 27, 2014. Upgrade starts. Gateways will be periodically inaccessible.

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

Upgrade procedure - PRODUCTION System

    • Friday, October 17, 2014, 18:00 CET. Upgrade starts. Gateways will be periodically inaccessible.

    • Monday, October 20, 2014, 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.

Changes

    • Replaces interim solution for Sold Out Buyback substate with a new solution which introduces a new (real) Sold Out

    • Buyback substate.

    • Updated NGM Market Model.

    • Updated NGM FIX specification.

    • Updated FAST templates.

    • Updated Instrument Schema.

    • Updated filtering of drop copies of rejection messages within the trader group(see details below)

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

Documents

    • NGM FIX Protocol

    • New version: FIX_spec_1.8.4.pdf

    • NGM Market Model

    • New version: MarketModel_0.8.0.pdf

    • New version (with change bars): MarketModel_0.8.0_diff.pdf

    • NGM FIX Protocol FAST Templates

    • New version: FAST_templates_1.12.4.xml

    • NGM Instrument Schema

    • New version (pdf): InstrumentSchema_1.12.0.pdf

    • New version (with change bars): InstrumentSchema_1.12.0_diff.pdf

    • New version (xsd): InstrumentSchema_1.12.0.xsd

NGM FIX Protocol changes - Private Service (trading)

    • Message Logout

      • Field SessionStatus id=1409

        • New Value '6' = Account Locked

    • Component Order

      • Field OrdType id=40

        • New Value 'M' = Market Order

      • Field TimeInForce id=59

        • New Value '1' = Good Til Cancel

    • Message ExecutionReport

      • Field RejectReason id=103

        • New Value 103=Buy orders not allowed in sold out buyback state

        • New Value 104=Sell orders not allowed in distribution state

        • New Value 105=Suspended orders not allowed in distribution state

    • Message QuoteStatusReport

      • Field QuoteRejectReason id=300

        • New Value 105=Not authorized to quote security in distribution state

        • New Value 106=Buy quotes not allowed in distribution state

        • New Value 107=Not authorized to quote security in sold out buyback state

        • New Value 108=Sell quotes not allowed in sold out buyback state

    • Component Trade

      • Field TradeCondition id=277

        • Modified description XB=Knockout buyback Trade

        • New Value XS=Soldout buyback Trade

        • New Value XD=Distribution Trade

    • Message TradeCaptureReportRequest

      • Field TradeID tag 1003 removed

    • Message TradeCaptureReportRequestAck

      • Field TradeID tag 1003 removed

      • Component SecurityRef removed

    • New Message UserSecurityStatusUpdateRequest

    • New Message UserSecurityStatusUpdateResponse

NGM FIX Protocol changes - Public Service (market data)

    • Component Security

      • New Field MinTradeVol id=562

      • New Field AllowMarketOrder id=20036

    • Component MDEntry

      • Field TradeCondition id=277

        • Modified description XB=Knockout buyback Trade

        • New Value XS=Soldout buyback Trade

        • New Value XD=Distribution Trade

    • Component SecurityStat

      • Field FinancialStatus id=291

        • New Value U=Sold out buyback

        • New Value V=Distribution

Updated Instrument Schema

Please note that the change of tag name in multiple instruments, from <Multiplier> to <Parity> is being made to clarify what the field represents - the values or their calculation themselves will not change.

Updated filtering of drop copies of rejection messages within the trader group

Rejection messages should normally not be sent as drop copies within the trader group but rather only

to the original sender.

Updated filtering of rejections such as BusinessMessageReject, ExecutionReport with ExecType=8(Rejected) and

QuoteStatusReport with QuoteStatus=5 (Rejected).