Circular No: MCX/TECH/205/2018 May 29, Mock Trading

Transcription

1 Circular No: MCX/TECH/205/2018 May 29, 2018 Mock Trading In terms of provisions of the Rules, Bye-Laws and Regulations of the Exchange and in continuation to the Exchange circular no MCX/TECH/461/2017, dated December 14, 2017, members of the Exchange are notified that the Exchange shall be conducting mock trading session on Saturday, June 02, 2018 from Disaster Recovery (DR) site. Trading Members may please refer to Exchange Circular MCX/CTCL/423/2017 dated November 15, 2017 regarding testing of software used in or related to Trading and Risk Management. Members having approved algorithmic software are required to mandatorily participate in mock trading session using all User Ids approved for algorithmic trading, irrespective of the algorithm having undergone change or not. Trading members using third party trading platforms of empaneled vendors or in-house developed systems through FIX/Non-FIX APIs can use this opportunity to test their respective trading application during mock trading session. Members are requested to actively participate in the Mock Trading Session from all trading software. Schedule for Mock Trading Session Time Log-in period 09:45 am 09:55 am Special Session 09:55 am 09:59 am Mock trading timing 10:00 am 02:00 pm Client code modification session 02:00 pm 02:15 pm Further, Exchange is planning to implement new version of Member Admin Terminal ( x) with new functionalities and features as specified in Annexure 1. Members are requested to note that MCX Member Admin x is a compulsory download as part of this new version. Members may please note that trades resulting from mock trading on June 02, 2018 will not attract any obligation for pay-in and pay-outs. Procedures for downloading files for participating in mock trading are specified in Annexure-2. Members using CTCL facility are requested to actively participate in the mock trading session using CTCL software as per new API version 17.1 dated June 30, 2017 (non- FIX) and FIX API version 17.1 dated May 04, After the mock trading session, members are requested to take backup and download the mock trading reports from the SFTP (Extranet) Server. Members are requested to verify the

2 downloaded reports generated from mock trading with their back office software for the New file format Version as per circular no. MCX/TECH/092/2018 dated March 15, Members should put in place adequate mechanism to restore their trading systems to production state at the end of mock session so as to ensure integrity of the trading system. After the mock trading session, members are requested to log-in into live environment from 3:30 pm to 4:00 pm on Saturday, June 02, 2018 to check the connectivity in order to avoid any log-in problem on the next trading day in the live environment. exchange facility will not be available during mock trading and same would be available after live re-login session. Members are requested to take note of the same. Sandeep Doshi VP- Technology Encl: As above Kindly contact Customer Service Team on or send an at for any clarification Corporate office Multi Commodity Exchange of India Limited Exchange Square, CTS No. 255, Suren Road, Chakala, Andheri (East), Mumbai Tel.: Fax: CIN: L51909MH2002PLC

3 Annexure-1 Functionality and features of new trading software in Member Administrator Terminal (MAT) 1. Risk Management feature to assess margins for options positions likely to be devolved into futures positions A facility has been provided in MAT to generate What-If Devolved Positions File on real time basis. This feature will assist members for real-time risk management and computation of margin requirements for options positions likely to be devolved into futures positions. All positions in the ITM strikes will be considered (irrespective of Exercise /Do not Exercise requests placed by the member) for What If Devolved Position file. For generation of What If Devolved Position file, below mentioned steps are required to be followed: 1. Member Admin Terminal (MAT) has to be logged-in before Special Session (i.e. Order Cancellation Session). 2. If member has logged in before Special Session, What-If Devolved position file can be generated by following the steps mentioned hereunder: a. For generation of output for real time What-If Devolved Position File, member has to define a path in the menu Tools Preferences local paths.

4 b. A new window Generate Devolved Position File has been introduced under the View menu of MAT to generate real time What-If Devolved Position File. c. On clicking Generate Devolved Position File, following window shall appear: d. Click on button Generate Devolved Position File. e. The output file will get downloaded in the path defined by user in step (a) above. f. If Member has not defined the path and clicks on this button then an alert message Path not defined would be displayed.

5 3. Output file would be generated in xml format and the naming convention would be MCX_ DevolvedPosition_<Member ID>_<YYYYMMDD>.xml 4. Output file would contain the complete portfolio of the member as under: a. Options positions converted into Futures positions which are ITM and which are in the Exercise intimation period. b. All existing Futures positions c. All other Options positions not considered in (a) above d. Netted positions of Futures will be considered after conversion of Options positions into Futures positions. 5. Member can import this file in SPAN to compute What If Margins. 6. If not a single contract is available or if no positions are available in any contract then file would not be generated and alert message as No contracts available would be displayed. 7. In case MAT is logged-in after Special Session (i.e. Order Cancellation Session), before clicking on a facility is provided to import expiry based positions, steps for import the position file is stated below: a. To import expiry based positions, member has to define a path in the menu Tools Preferences local paths. b. Member has to keep the previous trading day s expiry based position file provided by the Exchange on member s SFTP in comma separated values format (.CSV) in the path defined above.

6 c. A new window Expiry based Net Position File Import has been introduced in Control menu of MAT for importing the expiry based net position. d. On clicking Expiry based Net Position File Import, following window shall appear: g. Click on button Upload Expiry Based Net Position File Import for import of Expiry Based net position file kept in the path defined by user in step (a) above. 8. If member has logged in MAT before Special Session and tries to import the position file then same would not be allowed as position is already updated and an alert message Positions are already available! would be displayed. 9. System will provide message for successful import of file and appropriate error in case unsuccessful import.

7 10. In case if member logs off and then logs in again, and if Expiry based position is not available then member would be allowed to import the file once again. 11. A response file would be auto generated on default path of MAT logs with all the invalid records having appropriate remarks/reasons. Response file would be generated with an additional column as Remarks. 12. If the file is rejected multiple times then response file would be generated every time with updated date-time. 13. Following error messages would be displayed in the Remarks column of the Response file: Error Description Length and format of fields in the record is not as per specified format Mandatory field(s) having no values Product not found for the provided combination of Instrument Type Symbol Expiry Date Strike Price Option Type Error Message Invalid: Format/length of <field name> is not proper Invalid: Missing mandatory field <Field Name> Invalid: Product not found 14. On successful import of the expiry based position file, What-If Devolved position file can be generated by the steps mentioned point no (2) above. Note: For the purpose of What If Devolved Positions based on the LTP, positions will be categorised as ITM and OTM, and ITM positions shall be considered for devolvement. 2. Crystallised Loss As per the guidelines of SEBI, Intraday crystallised loss (i.e. loss made on square-off positions) incurred by the members would be blocked from the members available margin limit (eligible Collaterals). The guidelines given by the SEBI are as follows: 1) The intra-day crystallised losses shall be monitored and blocked by Commodity Derivatives Exchanges from the free collateral on a real-time basis only for those transactions which are subject to upfront margining. For this purpose, crystallized losses can be offset against crystallized profits at a client level, if any. 2) If crystallized losses exceed the free collateral available with the Commodity Derivatives Exchanges, then the entity shall be put into risk reduction mode. 3) Crystallised losses shall be calculated based on weighted average prices of trades executed. Functionality: Following changes have been incorporated in the Member Admin Terminal for intraday crystallised loss:

8 1) System would compute the crystallised loss incurred by members by computing the realized profit/loss at the client level across products. The clients that have crystallized loss would be grossed up to arrive at the crystallized loss of the member. 2) A new column for Crystallised Loss have been added in Margin Surveillance Watch window under Control menu of Member Administrator Terminal (MAT). 3) The crystallised loss computed at the member level would be added to the Margin Utilization of the member along with SPAN and other margins which would be compared against the Margin Limit. 4) Crystallised losses would be computed for Futures products only. 5) Crystallized loss would be computed as: (Sell Average Price - Buy Average Price) * Min of Buy and Sell Quantity (i.e. Square off Quantity) If it is negative, then same would be considered as crystallized loss and if it is positive then it would considered as profit. 6) Crystallized loss would be recomputed on every Trade 7) Expiry based open positions would also be considered for computing crystallized loss. For example: For a member i. Client carried forward position is received as Rs ii. Same client trades as Rs iii. Now the crystallized loss would be computed for qty. 20 iv. If the client again trades as Rs.1800 then again the crystallized loss would be recomputed after considering Avg. Buy Price of qty. Example Clien t A B C Product Weighted Average Buy Price Weighted Average Sell Price Squared off Qty Crystallised Profit/Loss (-) Client- Product level ABC Futures XYZ Futures ABC Futures XYZ Futures PQR- Futures ABC Futures XYZ Futures Member level crystallized loss would be ( ) = -240 Crystallised Loss Client level

9 8) In case of INST trades: a. Till the time the status of INST trades are Pending/Rejected, crystallized loss would be computed at TM-Client level b. Once the INST trades are accepted the crystallized loss would be computed at CP level 9) TM/CP level crystallized loss would be grossed up at CM Level. 10) Crystallized loss blocked in margin utilisation shall not be carried forward for the next trading day. 3. Net Buy Premium Column in MAT Presently, net premium payable/receivable is added in Margin Utilisation of member along with the other applicable margins. In order to facilitate the members, this information shall now be provided in Margin Surveillance Watch window under a new column Net Buy Premium a) At Client Level, Net Buy Premium is calculated by netting the Buy Premium against Sell Premium for each client. b) At Member Level, Net Buy Premium is calculated by grossing the value across all clients. 4. Alert for Collaterals Inadequacy against applicable Margins Currently, at the time system Begin of Day (BOD), If the margin utilization of member exceeds 90% (Voluntary Square Off Upper Limit) then Exchange system moves such member to Voluntary Square Off mode and if the Margin Utilization exceeds 100%, then the system moves such member to Square-Off mode. On moving into Voluntary Square Off/Square-Off mode, all the pending orders (i.e. carried forward GTC/GTD orders) of the member are cancelled by the system. Subsequently, even if the member increases the collaterals and moves out of the Voluntary Square-Off/Square-Off mode before the start of the market, the pending orders which were cancelled cannot be restored. In order to facilitate the Members, Exchange has decided that if the member goes in to Square off / Voluntary Square off mode at BOD, then the event of putting the member in Square off / Voluntary Square off mode shall be postponed from BOD to the time defined by the exchange (i.e. at 09:30:00 AM). Exchange would not cancel the pending orders (i.e. GTC/GTD) of such member and alert message as Your Margin Utilization has exceeded the Margin Limit. You are required to bring in additional collateral. would be displayed to the Member when member places a login request in Member Admin Terminal (MAT). After system BOD and before 09:30:00 AM, if member has increased the collaterals, then member margins shall be recomputed to check margin adequacy. If margins are found to be adequate then the member shall move in to Active status and pending orders (i.e. (GTC/GTD) of such member would NOT be cancelled.

10 Annexure-2 Steps for downloading files for participating in Mock Trading Download THRU, TWS, Member Admin, THRUFEED Client, Dot Net Framework and VC++ Redistributable 2008 files, CTCL Contract Master for mock, THRU & THRU Feed User Manual V.1.0 kept in the Common/Setup/MockSetup x/ folder in the SFTP (Extranet) Server using address for downloading through VSAT/Lease Line and for downloading through Internet to the members system. Files can be downloaded any time through Internet or can be downloaded through VSAT / Leased Line from Friday, June 01, 2018 after trading hours. Install VC++Redistributable 2008 on the system. Install Dot Net Framework on the system. For installing and configuring THRU (Version x), refer to THRU User Manual 1.0 For details, installing and configuring THRUFEED Client (Version x), refer to THRU Feed User Manual V1.0 Double click MCXTWS11.msi. It will install MCX TWS TEST for mock Version x Double click MCXMADMIN11.msi. It will install MCX Member Administrator TEST for mock Version x Market data updates for VSAT and Leased Line mode of connectivity: a. For VSAT mode of connectivity After installation start TWS / MAT and follow below mentioned steps: Go to Tools System configuration For connecting with THRU, select Mode of Connectivity as THRU / For connecting without THRU, select Mode of Connectivity as Dedicated. Select Market Data Updates as Normal. Enter THRU machine IP address in Host IP Address under Interactive settings. THRU machine IP address is same as entered in THRU configuration Client Network Interface Click on Modify. System will set the configuration as entered / selected and TWS / MAT will be closed. Start TWS / MAT and login to the mock environment of MCX. b. For Leased Line mode of connectivity After installation start TWS / MAT and follow below mentioned steps: Go to Tools System configuration For connecting with THRU, select Mode of Connectivity as THRU / For connecting without THRU, select Mode of Connectivity as Dedicated. Select Market Data Updates as High. Enter THRU machine IP address in Host IP Address under Interactive settings.

11 THRU machine IP address is same as entered in THRU configuration Client Network Interface Click on Modify. System will set the configuration as entered / selected and TWS / MAT will be closed. Start TWS / MAT and login to the mock environment of MCX. c. Internet users: Internet users are not required to connect using THRU. However, Members may participate in mock trading using following steps. Download test setup from following path Double click MCXTWS11.msi. It will install the MCX TWS TEST for mock Version x For Internet mode of connectivity After installation start TWS and follow below mentioned steps: Go to Tools System configuration Select Mode of Connectivity as Internet After selection click on Modify System will set the configuration as selected and TWS will be closed. Start TWS and login to the mock environment of MCX.