Derivatives Clearing System Open Interface

Transcription

1 Derivatives Clearing System Open Interface Technical Description Overview April 2018 Interface 1/15

2 Contents 1. Give Ups Initiate Undo Give Up SendGiveUpUndoRequest GetGUAdvice_V File Extracts Requesting Extracts File Extracts ASX Limited ABN Version April 2018 Interface 2/15

3 Interface Technical Description Overview 18 April 2018 Introduction This document describes the changes to the Member Clearing Module (MCM)/Derivatives Clearing System (DCS) Open Interface (OI) and database schema required to support MCM/DCS v MCM/DCS OI v1.4.8 is a mandatory release. The ASX supplied MCM will be made available to Clearing Participants at no additional charge. The changes can be categorised and summarised as follows 1. Give Ups This change enables a participant to undo a give up provided it is not actioned by the take up participant. This is achieved via the trade allocation screen in the same way as an allocation deletion i.e. select the give-up and delete Initiate Undo Give Up Step 1: Select Give up in Allocation screen Interface 3/15

4 Step 2: Press Delete(key) Step 3: Click Yes in the pop up. User will be prompted for a reason Enter reason and click ok. A SendGiveUpUndoRequest message will be generated. Note: The trade cannot be re-allocated until the clearing house has accepted the undo request. The user will be notified via a message. Interface 4/15

5 1.2. SendGiveUpUndoRequest Message Type - GR A new SendGiveUpUndoRequest_V1 method is used to request ASXCL to undo a give-up. Sequence Argument In/Out Mandatory Notes 1 as_userid In Yes 2 al_exchid In Yes 3 al_trid In Yes 4 al_allocseq In Yes 5 as_rejreason In Yes Special Considerations This is a request to undo the give-up. If the take-up participant has not accepted the giveup, the request will be accepted by ASXCL via a Give-up advice message (GetGUAdvice_V1) with accept flag (as_acceptflag) set to D i.e. deleted by ASXCL. Requests to undo a give-up can be made if the give-up has not been accepted or rejected by the other party. Interface 5/15

6 1.3. GetGUAdvice_V1 Message Type GA The GetGUAdvice_V1 method is used to obtain details relating to whether a give-up has been accepted or rejected by the other party, or in response to a successful undo give-up request. The response to the Undo request is a give-up advice message (GU, GetGUAdvice_V1) with Accept Flag (as_acceptflag) = D. Note: The give-up advice message is an existing message. Sequence Argument In/Out Mandatory Notes 1 as_msgtext In No 2 al_trid Out No 3 al_allocseq Out No 4 as_acceptflag Out No 5 as_rejreason Out No 2. File Extracts Special Considerations The allocation sequence associated with a rejected give-up allocation should not be reused. ASXCL also issues a BC message type. A new facility in the Member Clearing Module (MCM) GUI that allows users to extract comma separated values (csv) files. The facility allows files to be automatically generated during MCM s SOD (start-of-day) process; or generated immediately. The file extracts that are available are: Collateral Activity, CollActivity.csv Collateral Holdings, CollHolding.csv Collateral Utilisation, CollUtil.csv Contract Postings, ContractPostings.csv Current Account, CurrentAccount.csv/CurrentAccountLast.csv Daily Financial Statement, FinancialStatement.csv Interest, Interest.csv/InterestLast.csv Daily Margin Summary, MarginSummary.csv Daily Position Activity, PositionActivity.csv Open Position, OpenPosition.csv Interface 6/15

7 2.1. Requesting Extracts To request an ad hoc extract or to set-up extract for extraction during MCM SOD, select SOD Extracts from MCM GUI s Parameters sub-menu: The following form will be displayed showing the available extracts and the extract parameters: Extract button: Used to generate the selected extract file immediately. Select the required extract and click Extract button. The following are you sure prompt will be displayed: Click yes to generate the extract. When the file has been generated the following message will be displayed: Interface 7/15

8 Amend button: Used to amend the parameters for selected extract. Select the required extract and click Amend button. The following will be displayed: Parameter usage: Extract checkbox: Check to invoke automatic generation of this extract Extract Today Only: Check if you wish to generate the file during tonight s MCM SOD only. Frequency: Select when you wish to have the file automatically generated. Refer screen shot below for the available (self-explanatory) extract frequency options Include Date in Extract file name (_YYYMMDD): If checked the name of the csv file will include the date. For example for Contract Postings file, the file name for files generated on 15 th May 2018 will be ContractPostings_ csv; if unchecked the file name will be ContractPostings.csv Note: if the include date option is selected for automatic file generation, ensure that you have a clean-up procedure in place to prevent the disk becoming full File Extracts This section lists all of the file extracts. The extracts are comma separated values (csv) files. In this section, the following icon is used to highlight the name of the extract. The extracts have been listed in alphabetical order. The file fields are listed below the name of the file. Interface 8/15

9 2.2.1 CollActivity.csv The CollActivity.csv file contains the data used to compile the Collateral Activity Statement. AccountOrGroup The account or group code for the collateral. 0 IsGroup Y/N. N for account Y for group AccountName The account name for the collateral (blank if group row). LodgementId Code that identifies the lodgement. Text 250 CollDetail Detail of the collateral e.g. Stock Code. Text 50 Holder Holder of the Stock Text 50 HIN The HIN for lodged stock if applicable 0 UnitCode Units for the collateral e.g. Shares Text 6 Units The number of units lodged e.g. number of shares Currency Currency of the collateral Text 3 DateLodged Date of first lodgement. Default date format ExpiryDate Expiry date of the collateral if applicable. Default date format SpecificCover Activity ActivitySeq Y if scrip collateral lodged is to be treated as specific cover or else N. Lodgement activity. E.g. Lodgment, Withdrawal Activity sequence, allows sorting in sequence that the activities occurred Text CollHolding.csv The CollHolding.csv file contains the data used to compile the Collateral Holdings Statement. Interface 9/15

10 AccountOrGroup The account or group code for the collateral. 0 IsGroup Y/N. N for account Y for group AccountName The account name for the collateral (blank if group row). Text 250 LodgementId Code that identifies the lodgement. integer CollDetail Detail of the collateral e.g. Stock Code. Text 50 Holder Holder of the Stock Text 50 HIN The HIN for lodged stock if applicable 0 UnitCode Units for the collateral e.g. Shares Text 6 Units The number of units lodged e.g. number of shares Currency Currency of the collateral Text 3 SpecificCover Y if scrip collateral lodged is to be treated as specific cover or else N CollUtil.csv The CollUtil.csv file contains the data used to compile the Collateral Utilisation Statement. CoverGroup The group code of the collateral if applicable 0 Account The account code of the collateral. 0 AccountName The account name for the collateral (blank if group row). Text 250 CollType The type of collateral e.g. Shares Text 20 Currency Currency of the collateral Text 3 Utilised UnUtilised The value of the collateral that has been utilised to cover margins. The value of the collateral that has not been utilised numeric numeric Interface 10/15

11 2.2.4 ContractPostings.csv The ContractPostings.csv file contains details of all contract related postings by account and product. Account The account code of the posting. 0 AccountName The account name Text 250 PostingCode The posting code. Text 6 PostingDescription The posting description. Text 50 Product The product to which the posting relates. Text 6 Currency Currency of the posting Text 3 Amount The amount of the posting CurrentAccount.csv, CurrentAccountLast.csv The CurrentAccount.csv file contains the data used to compile the Current Account Statement for the current month. The CurrentAccountLast.csv file contains the data used to compile the Current Account Statement for the previous month. Both CurrentAccount.csv and CurrentAccountLast.csv share the same file definition. Ledger The ledger code 2 Currency Currency of the posting Text 3 PostingDate The business date of the posting. Default date format PostingCode (not printed) The posting code Text 6 PostingDesc The posting description. Text 50 Amount The amount of the posting. ReportingSequence (not printed)the reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and posting date). Number Interface 11/15

12 2.2.6 FinancialStatement.csv The FinancialStatement.csv file contains the data used to compile the Daily Financial Statement. Ledger The ledger code 2 Currency Currency of the posting Text 3 PostingCode (not printed)the posting code Text 6 PostingDesc The posting description. Text 50 Amount The amount of the posting. ReportingSequence (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and posting date). Number Interest.csv, InterestLast.csv The Interest.csv contains the data used to compile the Interest Statement for the current month. The InterestLast.csv file contains the data used to compile the Interest Statement for the previous month. Both Interest.csv and InterestLast.csv share the same file definition. Ledger The ledger code 2 Currency Currency code e.g. AUD Text 3 Date The business date of the interest accrual. Default date format InterestBalance InterestRate The balance on which the interest is calculated The interest rate used to calculate the interest Interface 12/15

13 InterestDays The number of days for which the interest is calculated InterestAmount The amount of interest Notes ReportingSequence Any additional notes relating to the interest line (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and date). Text 50 Number MarginSummary.csv The MarginSummary.csv contains the data used to compile the Daily Margin Summary. Ledger The ledger code 2 Currency Currency of the posting Text 3 CoverGroup The cover group of account. Blank for accounts that are not assigned to a cover group. Text 20 Account The account code of the margin. 0 CombinedCommodity The combined commodity of the margin. Text 5 PremiumMargin InitialMargin MarginRequirement AccountMargin AccountCollateralUtil CoverGroupMargin CoverGroupCollateralUtil SPAN Premium/Delivery Margin for this account and combined commodity SPAN Requirement (Initial Margin) for this account and combined commodity. Total SPAN Margin Requirement for the account and combined commodity. Total Margin Requirement for the account. The collateral utilised to cover the account s margin. Margin remaining to be covered with collateral for the cover group. The collateral utilised to cover the cover group margin. Interface 13/15

14 TotalMargin TotalCollateralUtil Total SPAN Margin for the segregation type Total amount of collateral utilised for the segregation type PositionActivity.csv The PostionActivity.csv file contains the data used to compile the Position Activity Statement. Account The account code of the activity. 0 AccountName The account name Text 250 Product The product to which the activity relates. Text 6 OptionType Call or Put. Text 4 DeliveryMonth The delivery month (or expiry date for weeklies). Strike The strike price. Text (monthlies: MMMYY; weeklies: DDMMMYY) ExerciseStyle A/E American or European ExpiryDate The expiry date. Default date format BuySell Qty ActivityDesc Notes ReportingSequence B/S indicating Buy(long) or Sell (short) position activity. The number of lots for this position activity. Description of the activity e.g. B/Fwd, New Business, C/Fwd. Any additional notes relating to the activity (not printed) The reporting sequence number which defines the sequence in which the postings are reported (within ledger, currency, segregation type and date). Text 20 Text 50 Number 7 Interface 14/15

15 OpenPosition.csv The OpenPosition.csv file contains the data used to compile the Open Position Statement. Account The account code of the activity. 0 AccountName The account name Text 250 Product The product to which the position relates. Text 6 OptionType Call or Put. Text 4 DeliveryMonth The delivery month (or expiry date for weeklies). Strike The strike price. Text (monthlies: MMMYY; weeklies: DDMMMYY) ExerciseStyle A/E American or European ExpiryDate The expiry date. Default date format BuySell B/S indicating Buy(long) or Sell (short) position Qty The number of lots for this position. Price The settlement price for this position. 7 Interface 15/15