Transcript Market Data Optimization Working Group - Home Page

FIX Algorithmic Trading Definition
Language (FIXatdlSM)
Presentation to the GTC
Feb 5, 2010
Agenda
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FIXatdl – a brief overview and key benefits
FIXatdl 1.0 to now (FIXatdl 1.1)
FIXatdl 1.1
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Key enhancements
Normative Specification (Artifacts)
Overall structure
GUI Widget library
Timeline and next steps
Screen Shots of actual FIXatdl implementations
Q&A
Live Demos as time permits
7/16/2015
Copyright (c) FIX Protocol Ltd.
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Introducing FIXatdlSM: FIX Protocol standard XML mark-up
language used to define the interface for an algorithmic order
Broker
FIX Specification
+
FIXatdl XML File
Strategy
FIXatdl Schema
Broker creates a FIXatdl XML file describing
its algorithms, parameters, FIX tag mappings,
validation rules, and how the algorithms should
be rendered in any 3rd party application
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OMS vendors parse these FIXatdl XML files
& render them in their application eliminating
the need for custom programming
Copyright (c) FIX Protocol Ltd.
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Advantages of Dynamic Rendering with FIXatdl
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Less Ambiguity
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Contents/knowledge of specification file replaced by FIXatdl file
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Definitions of parameters, rules and GUI layouts are standardized
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Language is easy to read and understand
XML Files are Machine Readable!
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OMS parses XML files on-the-fly and renders appropriate images on the screen
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XML file tells OMS which tag numbers to use
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Algorithms can be added or changed without custom programming
Reduced need for QA and Certification Testing
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An OMS supporting FIXatdl can accept any FIXatdl-based XML file
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Analogy – FIXatdl : OMS ≈ HTML : WebBrowser
End Result: Faster time-to-market for algo provider with less effort
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Copyright (c) FIX Protocol Ltd.
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FIXatdl 1.0 to now (FIXatdl 1.1)
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“The beginning”
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Started with OMS vendor input (5 in-depth interviews), initial schema created
15 major brokers published XML file samples
FIXatdl 1.0 Released - March 2008
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Brokers published XML files but no parsers/renders available to implement/test
OMS vendors identified additional needs
Identified numerous gaps and enhancements needed to actually use it
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Hamstrung by “data contract” too tightly coupled to “GUI”
FIXatdl 1.1 Development
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Decoupled “data contract” (Parameter) from GUI widget (Control)
Enhanced GUI Library (generic, cross-platform functional description of control)
Better aligned FIXatdl XML with FPL XML standards (Sexton report)
Iterative feedback and continued implementation process, weekly WG meetings
Developed “narrative documentation” (spec) in conjunction with XML Schema
Finalized schema and narrative documentation – submitting for approval/release
Copyright (c) FIX Protocol Ltd.
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FIXatdl 1.1 - Key Enhancements
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Division of data contract from GUI (Parameter vs. Control)
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Control@parameterRef, Parameter@wireValue, etc
Parameter@enumID <-> Control’s ListItem@enumID
Specifying GUI details (Layout) is now entirely optional
Parameters can be validated at Strategy-level (StrategyEdit)
Created FLOW to handle workflow and basic GUI event handling
Control’s visible, enabled, and value can be rule driven (StateRule)
Support nested/cascading rules (StrategyEdit and StateRule)
Strategy filtering enhanced (Regions/Country, SecurityTypes, Markets)
Explicit support for multi-language features via UTF-8
Support for New Order List and New Order Multileg
Enhanced GUI Library (generic, cross-platform description of widgets)
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Copyright (c) FIX Protocol Ltd.
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FIXatdl 1.1 – Normative Specification (Artifacts)
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Narrative specification document
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Jim Northey: The combination of the FIXatdl narrative specification document and the FIXatdl XML Schema
files represent the FIXatdl normative specification. Other documents are suggested, such as user's guides,
implementation guides, how-to's, but these are not part of the officially approved normative specification."
The normative specification should focus on trying to in as unambiguously as possible and as formally as
possible terms define "What is". The "how to" should be kept outside the normative specification.
Word-authored document (spec) for the FIXatdl XML Schema
XML Schema files
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atdl-core-1-1.xsd
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atdl-flow-1-1.xsd
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GUI: XML constructs describing how a parameter should be rendered within a UI
atdl-validation-1-1.xsd
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Data: used to author rules applied to the parameter values as a validation check
atdl-layout-1-1.xsd
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Data: describes the data content of the algorithm and the parameters
GUI: provides the ability to dynamically affect the behavior of a GUI control
Support lists (atdl-regions-1-1.xsd, atdl-timezones-1-1.xsd)
Sample XML file
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Copyright (c) FIX Protocol Ltd.
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FIXatdl 1.1 – Overall Structure
StrategyLayout
Strategies
0..1
1..inf
Description
0..inf
Strategy
StrategyPanel
Edit
or
1..inf
0..1
0..1
Regions
0..inf
Markets
0..1
Edit
0..1
Description
0..1
RepeatingGroup
1..inf
StrategyPanel
Control
SecurityTypes
0..1
1..3
1..inf
1..inf
0..1
Region
HelpText
1..inf
Market
0..1
Parameter
0..inf
0..1
Country
0..inf
Parameter
1
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Description
0..inf
StrategyLayout
xor
1
Edit
StrategyEdit
1
EditRef
StrategyEdit
Parameter
Description
ListItem
SecurityType
Description
0..1
0..inf
StateRule
0..inf
EnumPair
xor
0..1
Description
1
Edit
1
EditRef
Copyright (c) FIX Protocol Ltd.
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FIXatdl 1.1 – GUI Widget Library
Clock
RadioButton
EditableDropDownList
RadioButtonList
TextField
SingleSpinner
DropDownList
SingleSelectList
Slider
MultiSelectList
DoubleSpinner
CheckBox
CheckBoxList
Label
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Copyright (c) FIX Protocol Ltd.
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Timeline and Next Steps
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FPL’s Target of launch at beginning March:
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Friday Feb 5 - Presentation to GTC
If approved, Public Comment Period - One Week
Comments received and any necessary changes proposed by the WG
Reviewed by the GTC Governance Board (expeditiously)
GTC Governance Board voting - no more than one week
Proposed public launch event (in person media conference run by
Daniella Baker) Mar 23 at the FPL EMEA Conference in London
Ongoing management
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Using FPL’s JIRA system to track issues and enhancements
Using FPL’s Central Desktop system to manage milestones/tasks
Coordinating launch and roll-out plan with FPL’s marketing and
management teams
Copyright (c) FIX Protocol Ltd.
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Screen Shots of actual FIXatdl implementations
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Portware
Townsend RealTick
Rapid Addition
Ullink
Nomura / atdl4j
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Copyright (c) FIX Protocol Ltd.
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<?xml version="1.0" encoding="UTF-8"?>
<Strategies
xmlns="http://www.fixprotocol.org/ATDL-1-1/Core"
xmlns:val="http://www.fixprotocol.org/ATDL-1-1/Validation"
xmlns:lay="http://www.fixprotocol.org/ATDL-1-1/Layout"
xmlns:flow="http://www.fixprotocol.org/ATDL-1-1/Flow"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="http://www.fixprotocol.org/ATDL-1-1/Core atdl-core-1-1.xsd"
strategyIdentifierTag="847"
versionIdentifierTag="9682"
tag957Support="false"
changeStrategyOnCxlRpl="true"
imageLocation="NOMURA.JPG">
<Description>A recognized global leader in Electronic Trading, Nomura offers a fully integrated solution
combining DMA, algorithmic execution via the ModelEx suite, and electronic guaranteed capital products,
supplemented with pre-, intra- and post-trade analytical tools. All execution channels are underpinned by nextgeneration smart order routing logic and integration with Nomura's NX dark liquidity pool.
Europe: +44 207 103 5485
Japan: +81 3 3244-3347
Asia: +852 2252-6700
US: +1 212 667-1146</Description>
<!-- IS -->
<Strategy
name="IS"
uiRep="IS"
wireValue="3"
version="1.4.3"
fixMsgType="D"
providerID="Nomura">
<Description>Minimize slippage relative to arrival price (implementation shortfall) based on user
tolerance for risk or market impact.</Description>
<Regions>
<Region name="EuropeMiddleEastAfrica" inclusion="Include"/>
</Regions>
<Parameter
name="TargetSubID"
xsi:type="String_t"
description=""
mutableOnCxlRpl="false"
fixTag="57"
use="required"
constValue="MODELEX"
const="true"
definedByFIX="true">
<Description>Instruction to route to Nomura ModelEx.</Description>
</Parameter>
<Parameter
name="HandInst"
Q&A / Demos
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http://fixprotocol.org/FIXatdl
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Copyright (c) FIX Protocol Ltd.
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