The member extranet (http://nordic.nasdaqomxtrader.com/memberextranet/genium_inet/) contains the newest Genium INET related documentation such as API changes, connectivity information, test specifications and market model documents.
Please note, this IT Notice is in regards to the upcoming Genium INET 0222 release in March 2013!
NASDAQ OMX will release a new version of the Genium INET platform in March 2013. This release will focus on our upcoming Collateral Management Services (CMS) but may have changes that will affect other OMnet API users. FIX and TIP changes will be published in an upcoming IT Notice.
This IT Notice is of a technical nature, giving early information about the upcoming API changes.
Changes to all API users, independent of using CMS or not (sub heading gives reason for change):
CMS in general
CQ38 - Query Account - No changes, i.e. new field will not be returned
CQ128 - Query Account VIM:
- Change Query struct to filter on Account Type.
-
New fields in answer:
- Base Currency
- Collateral handling (CMS with DD, CMS without DD, No CMS)
- Collateral Account for DD
Changes to Deliveries & Settlement due to segregation
BD18 - Dedicated Delivery (Clearing Information)
CQ52, CQ53 - Query Dedicated Delivery
-
Content change:
- Field delivery account will no longer hold the clearing account as today, but the actual delivery/settlement account
- Field dvp_account_s (24 char) will be changed to a struct for clearing_account (20 char) + a filler (4 char). This field will now hold the clearing account, previously shown in field delivery_account
The above changes should not cause any technical problems, but is a change of business functionality.
SQxx - No changes
Changes to transactions used for Default Fund, and by Commodities members for Collateral Handling:
FQ3 - Query Collateral Value - This query can still be used by Commodities participants, when querying for Margin Collateral Values. When Commodities participants should query for Default Fund Collateral Values, queries FQ14 and FQ15 should be used. For Financial participants, queries FQ14 and FQ15 should be used for both Margin Collaterals and Default Fund Collaterals.
FQ4 - Query Collateral Information.
- Change query to VIM
-
New fields in the answer:
- Mutual fund
- Default fund
- Payment margin Settlement date
- Payment margin Future date
- Delivery margin Settlement date
- Delivery margin Future date
- Overdue Payment margin
- Overdue Delivery margin
FQ7 - Query Collateral State History
- Change name to Query Collateral Evaluations
- Change to VIM
-
New filter field in query (to be able to see only Pre-novation checks, only Eod evaluations etc)
- Collateral Evaluation Type
- New fields in answer:
- Collateral Evaluation Type
- Create Direct Debit (Y/N)
Changes for Financial Participants starting to use CMS for margin collaterals (and thereby using Margin Requirement Accounts)
Query RQ23 - Member Sum Margin, does no longer make sense. Use new JQ query instead, which will present Margin requirements per Margin Requirement Account (e.g. House, Client, or even segregated per NCM). Please note that new Margin Requirement Accounts have to be set up, and that it is on this level that margin requirements have to be covered by collaterals.
For GCM's new JQ query for Margin Requirement on Margin Aggregation group may also be relevant
New transactions for Financial Participants starting to use CMS for margin collaterals :
FQ1 - Query Collateral Balance and Holdings
FQ2 - Query Collateral Version
FQ3, FQ4, FQ7 - (se above) use also for Margin Collaterals
FB2 - Collateral Evaluation Info
FQxx (TBD) - Query Collateral Information in Base Currency
FQ14 - Query Collateral Value per Series
FQ15 - Query Collateral Value per Valuation Group
FQ20 - Query Collateral Transaction
FQ21 - Query Collateral Transaction Version
FQ22 - Query Missing Collateral Transaction
FB6 - Collateral Transaction Information
Swaptions
CB3 - Directed OTC Trade Report and
CQ80 - OTC Trade Report and
CQ81 - OTC Trade Report and
CQ82 - OTC Trade Report Version:
· A new named struct for swaption trade reports will be added to the broadcast and the query responses
JQ71 - Query RM margin simulation:
· A new named struct will be added that can be provided in the simulation request to specify virtual swaption trades
The following API messages will be added for swaption trading:
· CO15 - Enter IR Swaption Trade Report
· CC168 - Rectify Swaption Trade Report
· CC113 - Exercise Request Swaption
· CQ121 - Query Pending Exercise Request Swaption
· CC115 - Cancel Exercise Request Swaption
· JQ44 - Query Swaption Data Used in Margin Calculation
Interface files will (presumably) be added for JQ44
Changed Curve Logic
EQ10 - Yield Curve Names
· Curve Correlation Cube replaced by filler
JQ40 - Query for Risk Cubes per Instrument and
JQ41 - Query for Risk Cubes per Trade
· The fields primary_crv_id_s and secondary_crv_id_s will refer to stressed curves (see JQ15) instead of yield curves (as returned by EQ10)
New transaction to get stressed curves (with stress parameters and curve correlation):
· JQ15 - Query for Stressed Curves
For the interface files related to EQ10 (file name prefix YCT):
· Text version will not be updated (it will have the contents according old EQ10)
· Binary version will have response records from JQ15 and EQ10 concatenated for each record
FIX
Introduce new TradeID format for all exchanges (instr type+trade nbr). This will affect the Trade Capture Reports (outbound). This change was moved from the 0220 release. The new format is already in use by the Commodity Derivatives market.
For questions or comments, please contact:
Technical Support
technicalsupport@nasdaqomx.com
+46 8 405 67 50
Charlie Holmgren
Charlie.holmgren@nasdaqomx.com
+46 8 405 6944
Project readiness and rollout
