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MX: API Upgrade

February

The Montréal Exchange is upgrading its SAIL Order Entry to B3 and Market data HSVF to D7 protocols.

  • SAIL Order Entry (B3) changes on the TT end are deployed in Production on December 19, 2022. The release note for the B3 protocol can be found here.
  • MX has communicated that the new ‘Market’ order is pending regulatory approval and will not be available in Production. A future date will be communicated. TT FIX clients can submit orders using the pre-upgrade Market order type implementation from MX by setting tag 40=K, Market-with-Leftover-as-Limit.
  • For FIX client apps, if “Intent To Cross” is set on TTUS accounts, it will be set on the order to the exchange. FIX Tag 16130 for ‘Intent To Cross’ will be added to TT FIX order execution reports (message type: 8) and TT FIX drop copy. This tag will be available is available UAT. It will be available in Production in February 2023. The Order Routing FIX sessions will not support an override of “Intent To Cross” set on TTUS accounts.
  • The HSVF D7 prices protocol will be available in UAT on 27th January 2023 and Production on 24th February 2023. This upgrade includes,
    • Covered Trade Functionality: The user would be able to create option legs strategies using the TT Strategy creation widget but creating covered strategies is not in the scope of this upgrade. Currently, we are adding limited changes to handle covered strategies sent by MX, the complete changes will be available in UAT in early February.
    • Bond Futures Deliverables: These are classified under Bonds. The reference data (like “conversionFactor”, “couponRate” and “outstandingBondValue”) are available as metadata. To view, select the bond instrument on the market grid, and press Ctl+Shift+x -> click “Export Instrument Info to csv”.
    • Last trading date time: We have made the necessary changes to process the last trading date in our system. Eg: SXF

TT Excel Plugin Certificate Expiration

February 27

On February 27, 2023, the certificate used with the TT Excel plugin will expire. 

TT Platform Impact

As of February 27, all TTW/TTD Excel plugin users will need to update to the new certificate, which is included in the latest TTD download or can also be installed through the TTW GUI by choosing File > Excel > Download Plugin.

Should you have any questions, please contact TT Support.

[Update] Eurex: Next Generation ETD Contracts

March 27

Eurex is aiming to introduce a more flexible set-up of Exchange Traded Derivatives (ETD) products by implementing an enhanced contract identification concept in March 2023 allowing more than one expiration per month on product level (sub-monthly contracts).

Initiative 1: Integration of Weekly Expiring Instruments on Product Level

Weekly contracts will follow the new format of DDMMYYYY (current format: MMYYY).

Example 1: AXA

  • Current PROD:
    • AXA main monthly (week 3) options
    • AXA1, AXA2, AXA4, AXA5 weekly options
      • AXA Jan23 C21.2
      • AXA1 W01Feb-23 C23.2
      • AXA2 W02Jan-23 C23.4
      • AXA4 W04Jan-23 C23.2
  • Current UAT:
    • All options are listed under AXA, with the following display name format:
      • AXA W2-Jan23 P21.4 
      • AXA Jan23 P22.4
      • AXA W4-Jan23 C21.2

Example 2: ODAX

  • Current PROD:
    • ODAX main monthly (week 3) options
    • ODX1, ODX2, ODX4, ODX5 weekly options
      • ODX2 W02Jan-23 P13600
      • ODX4 W04Jan-23 C12650
      • ODX1 W01Feb-23 C13200
      • ODAX Mar23 C13500
  • Current UAT:
    • All options are listed under ODAX, with the following display name format:
      • ODAX W2-Jan23 C12000
      • ODAX Jan23 P12900
      • ODAX W1-Feb23 P14700
      • ODAX Feb23-EOM C12150

Available Products in UAT:

  • OGBL 
  • AXA 
  • BAY 
  • CSGN
  • ROG
  • ODAX (including end of month contracts)
  • OSMI
  • NOA3 (don’t be confused, the ‘3’ here is not the week number)

For a full list of products, please refer to this doc – tab “MainOptionsPlus” and reference columns A and J-N: https://docs.google.com/spreadsheets/d/1We-lEUWma3KLiYa4PM1R4Yul1KeGyGo8/edit?usp=share_link&ouid=110689222129353141429&rtpof=true&sd=true

Initiative 2: Daily Single Stock Futures (for use in Volatility Strategies in Single Stock Options) and new naming convention for Daily contract.

Example 1: AXAP

  • Current Prod: AXAP (just a monthly future)
    • AXAP Jan23
    • AXAP Feb23
    • AXAP Mar23…
  • Current UAT Cal Date Jan 9/Business Day Jan 11 per SIM calendar:
    • AXAP T 
      • LTD/Mat Date = Jan 11 2023

Every day, a contract named “AXAP T” will exist. It will expire each day; the alia’ will be re-used but the instrument ID and LTD/mat dates will always update.

Available Products in UAT:

  • ROGP
  • NO3P
  • BAYP
  • AXAP
  • ADSP
  • BMWP
  • UBSP

Initiative 3: Market-On-Close Futures T+X (Basis Trading in Equity Index Futures)

Example 1: FMEA

  • Current Prod:
    • FMEA Quarterly Contracts
      • FMEA Mar23
      • FMEA Jun23
      • FMEA Sep23…
  • Current UAT:
    • FMEA T
    • FMEA T+1
    • FMEA T+2
    • FMEA Mar23
    • FMEA Jun23…

Very Important to Know:

  • T = Current Business Day = Last Trading Date = Contract Date = Tag 200
  • Maturity Date (Expiry Date) is always LTD + 1 Business Day for these 3-day MSCI Futures
  • When there is a regular Quarterly Contract, there is no “T” contract on that day. 
  • On any Business Day (with the exception of the bullet point above), there is a T, T+1 and T+2 contract. 
  • These contracts roll, so today’s T+2 will become tomorrow’s T+1, and then the following business day will become T0. It will expire on T-1, but no T-1 contract will ever be visible because it has passed the Last Trading Date.
  • Eurex Sim Calendar Link: https://www.eurex.com/resource/blob/2348578/d5cfb2d379d82a32aa3220375a58f2e5/data/P-SimuCal-Eurex-20221219-20230326.pdf
  • In UAT, this is all based on the Eurex SIM calendar, which does not follow a normal schedule. Please refer to Eurex Sim Jan – March MSCI 3 day Futures.pdf for date conversions based on the sim calendar.

In Production, this will apply to all MSCI Futures.

Available Products in UAT:

  • FMEA
  • FMWN
  • FMWO
  • FMJP
  • FMEF
Additional Resources

Eurex Circular

ICE: Exchanges Data Center Migration

In March of 2023, ICE will migrate to a new data center. Additional information on the move is available from the exchange here.

Key Dates:

  • October 3, 2022 – Telnet testing begins
  • November 5-6, 2022 – Weekend Login and Heartbeat testing prior to Mock Trading Session #1
  • November 10-11, 2022 – Weekend Login and Heartbeat testing prior to Mock Trading Session #2
  • November 12, 2022 – Mock Trading Session #1 (Production Site)
  • December 3, 2022 – Mock Trading Session #2 (Disaster Recovery Site)
  • January 21, 2023 – Mock Trading Session #3 (Production Site)
  • February 4, 2023 – Mock Trading Session #4 (Disaster Recovery Site)
  • March 4, 2023 – LIFFE Markets Data Center Migration
  • March 18, 2023 – ICE and Endex Markets Data Center Migration

TT plans to participate in the following testing:

  • COMPLETED: November 5-6, 2022 – Weekend Login and Heartbeat testing prior to Mock – Trading Session #1 – No customer involvement 
  • COMPLETED: November 12, 2022 – Mock Trading Session #1 (Production Site)
    • Testing will be supported from 5am to 11am  EST
  • COMPLETED: December 3, 2022 – Mock Trading Session #2 (Disaster Recovery Site)

Customers should plan to participate in testing on these dates. If testing is successful, TT will not participate in the testing scheduled in January and February.

Simulation / UAT Access

In addition to the Production Data Center move, ICE will migrate its AP1 test environment to the new data center on November 9. TT will make all necessary changes to connectivity, however, ICE requires that customers take the following actions: 

  • Open a support ticket with ICE listing sessions to be migrated
  • Change passwords associated with these sessions

Customers will then need to update passwords for any sessions which they own in UAT. Details from the exchange on this process may be found here.

CME: DR Data Center Migration and Test

March 4

The mock disaster recovery test previously scheduled for September 10 has been postponed to Saturday, March 4, 2023 at 9:00am ET. Additional details, test scripts, and registration information will be announced in future CME Globex Notices.

TFEX: New Trading System Upgrade

March 7

TFEX has scheduled the official Go-Live date of their new Trading System Upgrade for March 7, 2023. Prior to Go-Live there will be a migration period in which TT staff will work together with customers to ensure preparedness for the upgrade.

The TFEX Trading System Upgrade Migration Guide is available now and will continue to be updated with new details and information as the Go-Live date draws nearer. It is recommended that customers check the document from time to time so that new updates will be received in a timely manner.

TFX: Three-month TONA Futures and Options

March 20

TFX has announced the introduction of Three-month TONA (Tokyo Overnight Average) Futures and Options with a launch date of March 20, 2023. The Product Code is O3 For Futures and Spreads and O3O for Options. All Three-month TONA products are available for testing in UAT now. Updated information will be relayed here in System News and Updates whenever it becomes available from the exchange.

Additional Resources

News File

ASX: Business Continuity Testing

March 25

ASX has scheduled a business continuity test on the production ASX 24 environment for March 25, 2023. This test will include component failure from the primary ASX data centre (ALC) to the Secondary Data Centre (SDC). Further details are awaited from ASX, and will be included in subsequent System News and Updates.

BIST: BISTECH 3.0

April 10

A new phase of the BISTECH system, called BISTECH 3.0, is announced to be launched by the exchange on April 10, 2023. As part of this, the TT platform will support the connection changes required for the FIX Order Entry and TIP channels in the derivatives markets.

Equity Markets, Fixed Income Markets, Precious Metals Markets, exchange’s Drop Copy functionality and ITCH protocol for market data are not supported by the TT platform currently, and hence the TT platform will be unaffected by any changes to these.

On 7 April 2023, in preparation for the transition to BISTECH 3.0, there will be no evening session in the Derivatives market and all GTC, GTD and inactive Stop orders waiting in the system will be deleted by the exchange, and these will not be reinstated post the cutover. Hence, TT recommends that traders cancel such orders on or before 7 April.

Final production connection details are awaited from the exchange, and hence further details will be provided in subsequent System News and Updates.

JPX: Three-month TONA Futures

May 29

JPX has announced the introduction of Three-month TONA (Tokyo Overnight Average) Futures with a launch date of May 29, 2023. The new products will be available for testing in UAT prior to product launch.

Updated information, including details about UAT test availability, will be relayed here in System News and Updates as it becomes available from the exchange.

Additional Resources

English: Market News
日本語: マーケットニュース

JPX: Nikkei 225 Micro Futures and Nikkei 225 Mini Options

May 29

JPX has announced the introduction of Nikkei 225 micro Futures and Nikkei 225 mini Options linked to the Nikkei Stock Average with a launch date of May 29, 2023. JPX ‘s decision to launch the new products is in response to recent trends toward smaller investment units in the cash equity market as well as the increasing demand for more precise risk management tools.

Updated information, including details about UAT test availability, will be relayed here in System News and Updates as it becomes available from the exchange.

Additional Resources

English: Market News
日本語: マーケットニュース

JPX: ESG Index Futures

May 29

JPX has announced the introduction of three new ESG Index Futures with a launch date of May 29, 2023. The new contracts will be utilized in asset management taking into account ESG (Environmental, Social, and Governance) factors. Listing them is part of JPX’s effort to assist in the creation of a society in which sustainability-focused information, products and services are easily accessible to all.

Updated information, including details about UAT test availability, will be relayed here in System News and Updates as it becomes available from the exchange.

Additional Resources

English: Market News
日本語: マーケットニュース

JPX: Contract Unit Change for Silver Futures and Palladium Futures

May 29

JPX has announced a change of the Contract Unit for Silver Futures and Palladium Futures with an effective date of May 29, 2023.

Updated information, including details about UAT test availability, will be relayed here in System News and Updates as it becomes available from the exchange.

IDEM: Migration to Euronext

Late 2023

IDEM products will be migrating to Euronext at the end of 2023. Further details will be provided as the date approaches, which can be found here.