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SHFE Notice on Carrying Out the Simulation Trading of Gold Options

2019-09-04
SHFE will start to implement simulation trading of gold future since September 9, 2019.
 
I Account Opening Procedure
Client can open account through Futures Company. Investors with trading code of the simulation trading environment at the Exchange can participate in the simulation trading directly.
 
II Listing Contracts
Gold futures and gold options shall implement simulation trading simultaneously. The initial listing contract of gold futures are AU1909, AU1910, AU1911, AU1912, AU2002, AU2004, AU2006 and AU2008. The initial listing contract of gold options are AU1909, AU1910, AU1911, AU1912, AU2002, AU2004, AU2006 and AU2008.
 
III Trading hour
The trading hour of simulation trading shall be consistent with day session trading hours. No night session trading hours applied.
 
IV Relevant Parameters
The relevant parameters of gold futures in simulation trading shall be consistent with production environment. The relevant parameters of gold options are as follows:
 
Item Parameters of Simulation Trading
Risk-free interest rate of options pricing 1.5% (Interest rate of central bank one-year deposit)
Initial volatility rate of options pricing Historical volatility rate of underlying futures dominant contract in 90 days
Options opening commission 5 yuan/lot
Options closing commission 5 yuan/lot
Options closing intraday positions commission 0 yuan/lot
Exercise (performance) commission 5 yuan/lot
Futures opening commission after Exercise (performance) 0 yuan/lot
Options self-hedging commission 5 yuan/lot
Futures self-hedging commission after Exercise (performance) 0 yuan/lot
Maximum size per limit order 100 lot
Initial fund of memeber 2 billion yuan
Initial fund of non-FF 50 million yuan
Initial fund of market maker 200 million yuan
Initial fund of client Recommend 10 million yuan per client
 
 
V Holding Position limit
The gold futures holding position limit in the simulation trading is determined by the existing regulations and rules of the Exchange.
 
In the simulation trading, the holding position limit of gold options is separate from the holding position limit of gold futures, and the position limit of gold options for non-futures company members, clients and market makers use absolute position limit value, and the futures company members do not have a limit position. Two months before delivery month of gold futures contract, the gold options position limit for non-futures company member is 18,000 lots, the gold option position limit for clients is 9000 lots, the gold options position limit for market maker is 27,000 lots.
 
One month before the delivery month of gold futures contract (In the month of the expiration date of the options), the gold options position limit for non-futures company member is 5400 lots, the gold options position limit for clients is 2700 lots, and the gold options position limit for market maker is 9000 lots.
 
Position Limit of Gold Options in Simulation Trading From the Listing Day to Two Months before Delivery Month of the Underlying Futures Contract One Month before Delivery Month of the Underlying Futures Contract
Position Limit (lots, unilateral) Position Limit (lots, unilateral)
Non-futures Company Member Clients Market Maker Non-futures Company Member Clients Market Maker
18,000 9,000 27,000 5,400 2,700 9,000
 
 
VI Hedging Application
Investor can apply for hedging quotas in simulation trading. The approved hedging quota can be used for futures trading as well as options trading.
       
VII Contract Quoting Request
When there is no reasonable bid-ask spread for even-month options contracts, non-futures company members and clients can make quoting requesting to market makers on all even-month options contracts. The quoting request should indicate the options contract code, and the quoting request interval for the same options contract should not be less than 60 seconds. The Exchange can adjust the contract quoting request according to market conditions.
 
VIII Technical Guidance
The technical access parameters of this simulation trading are as follows:
1. Mock Trading System (Accessed via the Securities and Futures Industry Test Network)
Front-ends Name Sever (FENS) addresses: 42.24.1.47, 42.24.1.48
To obtain the IP addresses of mock trading systems through the FENS servers, use TCP port 5901 for normal connections, use TCP port 4911 for encrypted connections; to obtain the IP addresses of market data systems through the FENS servers, use TCP port 5903 for normal connections, use TCP port 4903 for encrypted connections.
 
The network security control strategy of each member and data information vendor should open access to TCP port 5901, 4911, 5903, 4913, 43005, 44305, 43011, 44311 of the network segment 42.24.1.0/24 and TCP port 80, 443, 7002 of the network segment 42.24.1.0/24. Ensure that the communication of the network segment and the protocol port mentioned above is normal.
 
SHFE’s level 1 market data has the subscription number of 1001, which send out twice every second.
 
2. Mock Member Service System
Exchange http://42.24.1.247
 
3. Unified Account Opening System
 (1) Web Addresses:
Accessed via Internet
China Unicom:  https://114.247.41.212/test/
China Telecom:  https://124.127.115.212/test/
Domain name:  https://zjfzkhweb.cfmmc.com.cn/test/
 
Accessed via the securities and futures industry test network
https://42.0.2.2:7002/test
 
(2) API Addresses:
Accessed via Internet
China Unicom:   ssl://114.247.41.213:51002
China Telecom:  ssl://124.127.115.213:1002
Domain name:  ssl://zjfzkhapi.cfmmc.com.cn:51002
 
Accessed via the securities and futures industry test network
ssl://42.0.2.3:51002
 
IX Contact Information
Derivatives division 021-20616787 021-20616786
Trading business 021-68401089 021-68401770
Settlement business 021-68402747 021-68401205
Auditing business 021-68402428 021-68400472
Technical consultation 021-20616345 021-20617680
Unified monitoring account opening:
Guo Rongrong Tel: 010-66553052
Monitoring data after the monitoring center:
Ge Mingyang Tel: 010-66553037
 
All members must conscientiously and carefully prepare the simulation trading of gold options, strictly control the market risk, and ensure the smooth operation and simulation trading of the gold options.
 

 
 
News Link: http://www.shfe.com.cn/news/notice/911334791.html