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Derivatives API Workshop ITD 09 February 2009

Derivatives API Workshop ITD 09 February 2009. Agenda. Introduction Proposed API and Derivatives system changes Timeline Anonymous Trading Publishing of Futures Closeout Iterations Early Valuations download What needs to be re-conformed prior to go live ?. Introduction. Introductions

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Derivatives API Workshop ITD 09 February 2009

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  1. Derivatives API Workshop ITD09 February 2009

  2. Agenda • Introduction • Proposed API and Derivatives system changes • Timeline • Anonymous Trading • Publishing of Futures Closeout Iterations • Early Valuations download • What needs to be re-conformed prior to go live ?

  3. Introduction • Introductions • Support for API queries and test environment queries • Derivative_info@jse.co.za • Log call with CSS (011 520 7777) • STT support facilitated through contacts above • Documentation available on www.jse.co.za under SAFEX APD or SAFEX EDM tab using the Projects link

  4. Proposed API and system changes • Introduction of Anonymous Trading on APD and EDM Markets • Publishing of futures closeout iterations via API • Early Valuations download

  5. Proposed Dates • 18 February 2009 – Derivatives API Specification 2 becomes available • 23 February 2009 – Anonymous Trading software version made available in the JSE external test environment • 24 March 2009 – Early Valuations and publishing of futures closeout values made available in JSE external test environment • Proposed GO live of all changes early May 2009

  6. Anonymous Trading - Changes Some or all instruments will be loaded as anonymously trade instruments on both the APD and EDM Markets To facilitate this the following changes have been made to the API: • The login response message (1) provides the user with unique pairs of member codes and numbers to identify own orders in the stack • The contract Dates download (3) will indicate if a future and/or option is traded anonymously or not. • The Display Update message (59) will indicate if the update received is for an anonymous contract, has an added phantom indicator (as small letter member codes for anonymous contracts no longer exist) and contain unique numbers for members to identify their own orders. To facilitate this the following changes have been made to the API:

  7. Publishing of Futures Closeout Values – NEW Publishing of the futures closeout minute-by-minute prices of the index and the index constituents as they are calculated during the futures closeout period This is ONLY available during the futures closeout period (currently between 12h00 and 13h40 on the third Thursday or March, June, September and December) To facilitate this the following additions have been made to the API: • Addition of a new subscription message (142) to subscribe or unsubscribe to Index Prices and/or Constituent Prices. • Two new messages received after subscription for the Index Prices (143) and/or the Constituent Prices (144) To facilitate this the following changes have been made to the API:

  8. Early Valuations – NEW A new download message will be added to facilitate the exchange to publish 3pm valuations of all contracts for market participants. To facilitate this the following additions have been made to the API: • New download message structure (100). • A new information message advising users the data is available for download.

  9. Re-conformance • The proposed changes affect core functionality of the trading engine. • Users are required to re-conform the following messages/scenarios: Mandatory (with go-live anticipated for early May 2009 this needs to be completed by the end of April 2009) • Login process • Receiving and interpreting of Display update (59) messages for anonymous and non-anonymous traded contracts, including identifying phantom prices Optional • Subscription to Futures closeout prices for Indices and Constituents • Receiving of Futures closeout prices for Indices and Constituents

  10. Questions

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