User Guide Template
Contents
1. The New 7 Exchange PUMA Trading System Index Pricing System Update vd pact Document ES A Version 1 1 0 f a modified 4 15 2015 BMEFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document Contacts e Services Development Department GDS handles all requests for connectivity setup and general exchange supported services o bvmfsolution bvmf com br e Certification and Testing Center CTC performs certification of all software solutions applying for EntryPoint and UMDF connectivity o ctc bvmf com br e Trading Support Department GSN provides real time connectivity monitoring and troubleshooting o tradingsupport bvmf com br o 55 11 2565 5000 option 2 BMEFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document The information within this document has been compiled by BM amp FBOVESPA for general purposes only BM amp FBOVESPA assumes no responsibility for any errors or omissions Additionally all examples in this brochure are hypothetical situations used for explanation purposes only and should not be considered investment advice or the results of actual market experience All matters pertaining to rules and specifications herein are made subject to and are superseded by official BM amp FBOVESPA rules Current rules should be consulted in all cases concerning contract specifications Copyr2. MDEntryType SecurityID SecuritylDsSo0urce T SecurityExchange MDEntryPx Customer Impact Document 0 NEW 3 INDEX VALUE 4097069 8 EXCHANGE SYMBOL BVMF 45487 8351280 o NEW 4 OPENING PRICE 4097069 8 EXCHANGE SYMBOL BVMF 45944 2523221 O NEW 7 TRADING SESSION HIGH PRICE 4097069 8 EXCHANGE SYMBOL BVMF 45944 2523221 Version 1 1 0 2 3 Index Settlement Price The index Settlement Price 269 6 based on the last three 8 hours of the trading session configurable by BVMF will continue to be published together with the Index Value 269 3 2 4 Index Adjusted Closing Price The Index Pricing System can now publish Adjusted Closing Price 269 5 286 4 like regular UMDF 2 0 equities instruments This new feature allows the adjustment of the last session closing price The Adjusted Closing Price will be published during the platform startup on Sundays and during a session change see UMDF 2 0 specification for details about session change see chapters 13 5 and 14 5 It can also occur during the day as a correction of the value published previously MDUpdateAction MDEntryl ype SsecurityID 4097069 d Security DSource a EXCHANGE SYMBOL SecurityExchange BYVHF 45944 252732271 20150212 2015 02 12 080708650 0 NEW 5 CLOSING PRICE MDEntryPx MDEntryDate MDEnt ryTime MpDStreamiD N OpenClosesSettlFlag 4 ENTRY FROM PREVIOUS BUSINESS DAY The other two types of closing pr
3. ation of index in relation to the previous year s last type of index 1 2 5 Percentage variation of index in relation to previous year s last Type of Index 1 2 5 Position was determined using a Proxydiff 47 length header 82 85 5 108 1 109 5 d The following fields will continue having no valid data blanks or zeros Number of stocks falling in index portfolio Number of stocks rising in index portfolio Number of Stocks with no variation in Index portfolio Number of stocks reserved in index portfolio Number of stocks suspended in index portfolio Total number of stocks in index portfolio Number of stocks with no quotation in index portfolio 170 Indicator of presence of supplementary data on index portfolio Ad Position was determined using a Proxydiff 47 length header 11 BMEFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document 4 Key dates Certification New Release environment is available since March 16 2015 Production date is expected to be May 25 2015 Any change to these plans and more information will be made available on Circular Letters and the BM amp FBOVESPA IT Newsletter 12
4. e to the rollout of the Index Pricing system This new version disseminates UMDF PUMA 2 0 natively that also will be converted and disseminated to Proxydiff The scope of this manual is describing the impacts on the messages which are transmitted for market data index messages The set of impacts described in this document will not_require recertification by any customer however we strongly recommend retesting in our New Release environment which will contain the new version and hence any willing customer may solicit access and request a retest session The update will be performed in one single phase for both UMDF and ProxyDiff feeds For the actual dates for the migration plans see Chapter 3 BMAFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document 1 1 Dependencies lt is assumed that the reader of this document has knowledge of the basic functioning of the FIX protocol UMDF PUMA specification market data For more information regarding these protocols please refer to http www bmfbovespa com umdf 1 2 Abbreviations Abbreviation BVMF Bolsa de Valores Mercadorias amp Futuros or BM amp FBOVESPA FAST FIX Adapted for Streaming a specification for data compression to reduce bandwidth usage especially for market data feeds 1 3 Glossary Securities Commodities and Futures Exchange located in Sao BM amp FBOVESPA Paulo Brazil For more information visit ht
5. ecurityExchange IndexPet IndexTheoreticalOty SecurityID d Security DSo0urce Symbol SecurityExchange NoApp1liDds ApplipD NoUnderlyings UnderlyingSymbol UnderlyingSecurityID UnderlyingSecuritylDsSource UnderlyingSecurityExchange IndexPct IndexTheoreticalOty Index statistics Y SECURITY LIST 23 Y 23 4097457 8 EXCHANGE SYMBOL IVBX BVMF 1 MBO62 50 CSAN3 3801776 8 BVMF 1 0219968 1092765505 4097069 2 EXCHANGE SYMBOL IBOV BVMF 1 MBOG2 69 BBASS 38300356 3 BVMF 3 0825860 2828582888 The index statistics Opening Price 269 4 Session High Price 269 7 Session Low Price 269 8 and Session VWAP Price 269 9 will now be disseminated together on each new Index Value 269 3 publication In this update all calculated values will have bigger precision always respecting FIX data type specification Index security definition message remains without TickSizeDenominator FIX tag 5151 information if you want to use values with less precision it is your application responsibility to choose an appropriate number of decimals BM amp F BOVESPA PUMA Trading System Index Pricing System The New Exchange 279 MDUpdateAction 269 MDEntryT ype SecurityID Security lDSo0urce SecurityExchange MDEntryP 48 22 207 270 279 MDUpdateAction 2693 MDEntryType 48 22 207 270 279 SecurityID SecurityIDSource SecurityExchange MDEntryP MDUpdateAction 269
6. f it is the first value there will be a RLC B1 with type of index 2 together with RLC B1 with type of index 1 at opening Current feed Opening 100B1083 909AIBOV 20150409100001153638155363815100001536381510000100100267 00000 00004 00000 01057 000000000000000000000 0000000000000000000 Real time index 100B1083 909AIBOV 20150409100030253594315363815100001535943110003002702548 00000 00012 00000 01048 000000000000000000000 0000000000000000000 New feed Opening 100B1083 909AIBOV 20150409100001153638155363815100001536381510000100000000 00000 00004 00000 00000 000000000000000000000 0000000000000000000 100B1083 909AIBOV 20150409100001253638155363815100001536381510000100000000 00000 00004 00000 00000 000000000000000000000 0000000000000000000 Real time index 100B1083 909AIBOV 20150409100030253594315363815100001535943110003000000000 00000 00012 00000 00000 000000000000000000000 0000000000000000000 b Messages RLC B1 with type of index 8 pre opening forerunner and type of index 3 real time forerunner that used to follow IEEX before its official opening will no longer be available c The following information will no longer be available sent as blanks 10 BM amp F BOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document 3 Percentage Capitalization of the Active Stocks in Index fl a Number of actively traded stocks in index Indicator direction of vari
7. ices that are Final Closing Price 269 5 286 0 and Preliminary Closing Price 269 5 286 3 remain valid with the same behavior 2 5 State change Closed 35 f 625 4 The state change to Closed 35 f 625 4 will not be disseminated for indices The reset statistics message will be disseminated early morning in each Open state 35 f 625 17 1174 4 This message should be used only to reset statistics The index opening still respect previous adopted rules BM amp F BOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document 3 Proxydiff Since UMDF 2 0 becomes the primary market data source some fields in RLC messages will be suppressed as the new source has a different data set This chapter outlines these changes in the Proxydiff interface for legacy RLC protocol 3 1 RLC A7 Index Composition There were no changes to this message It will remain being published only for INDEX instruments IOPVs information will continue to be published in message RLC 53 Creation of Instrument Characteristics 3 2 RLC B1 Real time Data for an Index The following changes have been made a Presently at opening event there is only one message RLC B1 with type of index 1 first real time index of the day continuous broadcast is sent as RLC B1 with type of index 2 real time index As described in section 2 2 since Index Values will always be published no matter i
8. ight 2015 BM amp FBOVESPA All rights reserved BMEFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document Contents 1a INTRODUCTION EE 6 1 1 DISINDA 7 1 2 ABBREVIATIONS n tt cricvasendnseasusduncaxatiwtadseslovwexadnmacdsesduseanceuutndsacduumexsdousadesuunrcaiuutediectouenabouanes 7 1 3 Eiere EE 7 2 RR Eeer 8 2 1 MESSAGE BANDWIDTH OPTIMIZATIONS ccsceccececcececcececccceccecucecececcecueaecuececseececaeuecauaeceuaeeeeaeeas 8 2 2 INDEX STATISTICS EE 8 2 3 INDEX SETTLEMENT DIE 9 2 4 INDEX ADJUSTED CLOSING DpICE nna 9 2 5 STATE CHANGE GLOSSED 399 F E AE 9 3 PROXYDIFF RE 10 CP RLC A7 INDEX CGOMPBOSITION aenn aneura ennnen nanena nnnn 10 32 RLC B1 INDEX COMPOSITION arara nr ananuna anann a naaran annann nnne 10 3 3 RLC B2 STOCK INDEX DAILY SUMMARY anaannnnannannannannnnnnnnnnnnnnnnnnnnnrnnrnnrarrnrrnrrnrnnrnnrnnrnnrnnne 11 A SE EE eege 12 BM amp F BOVESPA The New Exchange PUMA Trading System Index Pricing System Version 1 1 0 Customer Impact Document Revision History BEIG Version Description Author Feb 18 2015 EAP Apr 09 2015 Added some changes on proxydiff feed Key dates section EAP was updated BMEFBOVESPA PUMA Trading System Index Pricing System Version 1 1 0 The New Exchange Customer Impact Document 1 introduction This document outlines the possible impact on client systems du
9. tp www bmfbovespa com Market Data A collective term for quotes last sales volume statistics and other information used by the market to evaluate trading opportunities Indication of market performance benchmark it reflects the variation of a basket of shares created under Exchange criteria Ibovespa IGC ISE and others A stock bond or contract that has been authorized for trading on Security and by a registered exchange Each exchange has different criteria to determine a security s eligibility for listing 2 2 1 BM amp F BOVESPA The New Exchange Market Data This chapter outlines the changes for the market data interface for UMDF PUMA 2 0 Message bandwidth optimizations PUMA Trading System Index Pricing System Customer Impact Document Version 1 1 0 Regarding indices the Security List 35 y and Incremental Refresh 35 X messages were previously published by the index pricing system with data about a single instrument Now these messages will contain information related to multiples instruments This behavior will reduce the header overhead but it might increase the overall message size making FAST messages with multiples chunks more likely Ec MsgType TotNoRelatedsS ym LastFragment NoRelatedsym SecurityID d Security lDS5o0urce 1 Symbol SecurityExchange NoAppl1liDds ApplipD NoUnderlyings UnderlyingSymbol UnderlyingSecurityID UnderlyingSecuritylDSo0urce UnderlyingS
Download Pdf Manuals
Related Search