CURRENCY DERIVATIVES SEGMENT Circular No. 049

Transcription

1 Dear Members, CURRENCY DERIVATIVES SEGMENT Circular No. 049 Sub: Mock trading in CDS on Saturday, November 14, 2009 Auction functionality for IRF Change in file formats Date: Nov 13, 2009 Download No: Vikramaditya Delima Vikas Mishra Arvind Goyal No of Pages: 6 With reference to circular download no dated November 6, 2009 the Exchange will be conducting a mock trading session in the Currency Derivatives Segment on Saturday, November 14, 2009 to further test the Auction facility for IRF contracts as per the following schedule: Activity Time (hrs) Normal Market open time 10:00 Normal Market close time 10:30 Pre-open Time 10:35 Normal Market Re-Open time 10:40 Auction Market Open time 11:00 Auction Trade Modification and Give up end time 12:00 Normal Market close time 12:15 Position Limit/Collateral value Set up cut off time/ Trade modification end time 12:30 Live Re-login Activity Live Re-login start time 14:00 Broadcast of mock successful / unsuccessful message 14:15 Live Re-login close time 14:30 The following operational instructions are annexed herewith: Annexure 1: Important instructions regarding mock trading session Annexure 2: Additional values in fields of Trader Report (X_ddmmyyyy_<member code>.txt.gz) Annexure 3: Additional values in fields of order log report (cd_ord_log_<ddmmyyyy>_<member code>.csv) Members are advised to note that on successful completion of mock trading, Auction Market functionality & changes in file formats will go live from Monday November 16, Auction related parameters viz. timings, securities etc shall be intimated to members separately. For any technical assistance kindly contact the HELPDESK on For and on behalf of National Stock Exchange of India Ltd. Suprabhat Lala Assistant Vice President

2 ANNEXURE 1 Important Instructions regarding mock trading 1. Trades resulting from the mock trading session shall not attract any obligation in terms of funds and / or securities pay-in and pay-out. Members are also requested not to transfer any data files for this mock trading session. 2. The successful / unsuccessful outcome of the mock trading session shall be intimated to members through a message broadcast as per the mock trading schedule above. Members are advised to also refer to the website of NSE at for any information which may be updated by the Exchange regarding the mock session. 3. Members using NEAT CDS and CTCL facility (using their CTCL software) are advised to participate actively in the mock trading session and are required to re-login into live environment during the above mentioned timings to check the connectivity and also to avoid login problems on Monday, November 16, 2009.

3 ANNEXURE 2 Currently, a consolidated trade report (X_ddmmyyyy_<member code>.txt.gz) is provided to members daily after market hours on the Extranet server at the path /cdsftp/x<member code>/onlinebackup/. On account of Auction Market being introduced for Interest Rate Futures contracts, additional field values would become applicable for the said file as follows (marked in bold): Sl Field Field description Remarks Length 1 Trade id Trade Number Without 'Trade Date' pre-fix int(16 digits) 2 Activity type Trade Activity Type 3 Symbol 4 Instrument Type 5 Expiry date 6 Strike price Underlying Asset Instrument Type 11 - Original Trade 12 Modified Trade 13 Cancelled Trade 14 Rejected Trade 15 Trade Modification Rejected 16 Trade Cancellation Rejected 17 Give Up Trade Approved 18 Give Up Trade Rejected int(2 digits) char(10) char(6) Expiry Date Last Trading Date char(13) Strike Price 0.00 for 7 Option Type Option Type XX' for Futures char(2) 8 Contract name Contract Name Contract Name based on contract descriptor - <Underlying Asset><YYMON of Expiry Date><First Three Letters from the Instrument Type> For auction, name of the auctioned security will be displayed. char(25) 9 Book type Book Type 1 - Regular Lot 3 - Stop Loss 7 Auction int(2) 10 Market type Market Type 1 - Normal Market 4 Auction Market int(2) 11 User id Dealer ID int(5) 12 Branch id Branch Code int(3) 13 Buy/sell Buy/ Sell side 1 - Buy 2 Sell int(1) 14 Quantity Traded Quantity in number of contracts traded int(9) 15 Price Trade Price with Upto 7th decimal 1 - CLI 16 Pro client flag Account Type 2 PRO int(1) 17 Account Client Code char(10)

4 Sl Field Field description Remarks Length number For institutional trades, CP Code 18 Participant Participant ID/ Settler Else TM Code char(12) 19 Settlement Settlement Days Default 10 int(2 digits) 20 Trade date time Trade Execution Date and Time Format - DD MMM YYYY HH24:MI:SS char(20) 21 Modify date time Trade Modification Date and Time Format - DD MMM YYYY HH24:MI:SS char(20) 22 Order number Order Number Order Number int(16) 23 Cpid Counter Party ID Default NIL char(7) Entry date Format - DD MMM YYYY 24 time Order Entry Date and Time HH24:MI:SS char(20) * means Field size communicated vide circular download no dated September 9, 2008 stands corrected

5 ANNEXURE 3 Currently, a consolidated order log cd_ord_log_<ddmmyyyy>_<member code>.csv is provided to members daily after market hours on the Extranet server at the path /cdsftp/x<member code>/onlinebackup/. On account of Auction Market being introduced for Interest Rate Futures contracts, additional field values would become applicable for the said file as follows (marked in bold): Data Width Sl Field Name Type Field Description 1 Trading Member ID String *5 Trading Member Id 2 Trading Member Branch ID Num *4 Branch Id 3 User ID Num *5 User Id 4 Market Type String 7 NORMAL, AUCTION. 1 - Regular Lot Book 3 - Stop Loss Book 5 Book Type Num *2 7 Auction Book 6 On Stop Indicator Character *1 Y - Stop Loss order N - Normal order 7 Order Number Num *16 Order number B - Buy order 8 Buy / Sell Indicator String *1 S - Sell order 9 Instrument Name String 6 Instrument type 10 Symbol String 10 Symbol Date in the format DD-Mon-YY example 02-Sep-08 Auction Market 11 Expiry Date String 11 This field is blank 12 Strike Price Num *11 Strike Price (in Rs.) of the options contract (Zero is displayed as blank). For USDINR format is XXX.XXXX 13 Option Type String *2 Option Type of the contract CA, CE, PA, PE 14 Volume Original Num *9 Original quantity 15 Volume Disclosed Num *9 Disclosed quantity 16 Volume Disclosed Remaining Num *9 Disclosed quantity remaining 17 Minimum Fill/ All or None Num *9 Currently displayed as blank Y - If Market order 18 Market Price Indicator Character *1 N - If limit order 19 Limit Price Num *11 Normal Market Blank in case of market order Price (in Rs.) in case of Limit Order. For USDINR format is XXX.XXXX Auction Market ATA will be displayed for market orders 20 Trigger Price Num *11 Trigger price (in Rs.). For USDINR format is XXX.XXXX 21 Pro / Client Indicator String *3 CLI - Client order

6 Sl Field Name Data Type Width Field Description PRO - Proprietary order 22 Client Account number String 10 Client account number 23 Open / Close Indicator String 6 Indicator flag for open/close 24 Volume Remaining Num *9 Remaining Quantity 25 Special Terms String 8 Currently displayed as blank 26 Good Till Date String *8 Good Till Days/Date Y - If day order 27 Day Indicator Character *1 N - If IOC order Participant ID - for participant order 28 Participant Id String Order Entry/User Modification Time String *8 Trading Member ID - for non participant orders HH:MM:SS Last update date time or order entry time 30 Activity type String 10 Note- * means right aligned Order cancellation - OCXL Order modification - OMOD Batch order Cancellation - SYSCXL Price Freeze -PRFRZ Price Freeze Cancellation -PRFRCXL Quantity Freeze - QTYFRZ Quantity Freeze Cancellation - QTYFRZCXL Stop loss trigger -SLTRIG