Moscow. October 16. Failure on the derivatives market of the Moscow exchange on Thursday night was caused by an error in the service of balancing risk between the term and currency markets, the message of the exchange.
The exchange suspended trading on the futures market at 18:10 after identifying problems with streaming market data.
Problems have arisen as a result of processing one transaction of the service balancing risk between the term and currency markets. This service is available from July 2014 and allows market participants to balance the position (risk) between the term and currency markets, thus reducing the amount of collateral. The service employs a sophisticated data communication connecting online system for the derivatives and currency markets.
On Thursday it had experienced an error resulting in the superposition of two parallel-processed electronic transaction: a message service balancing risk came into conflict with the standard application of the derivatives market. As a result stopped airing the participants of these trading systems.
The exchange suspended trading, and then promptly identified and corrected the mistake. After 40 minutes the trading system was available to remove previously placed bids. To give participants the opportunity to conduct market operations in the main session, start clearing session was postponed from 18:45 to 19:30 and the start time of the evening additional session – accordingly from 19:00 for 19:45.
The expiration of options and calculations within the clearing session passed correctly. The evening trading session of the derivatives market was held as usual.
Moscow exchange decided to temporarily suspend the provision of service balancing risk for the period of the technical measures with the purpose of increasing its reliability.
The last failure on the derivatives market of the Moscow exchange occurred on September 21, he led to the suspension of trading in 2 hours and 15 minutes. In addition, in September there were two failure – September 1, the hours were suspended trading on the stock market of the Moscow exchange, on September 7, nearly two hours the auction was not carried out at all markets of the exchange.