FIX Algorithmic Trading Definition Language (FIXatdlSM) Presentation to the GTC Feb 5, 2010

Agenda
  

FIXatdl a brief overview and key benefits FIXatdl 1.0 to now (FIXatdl 1.1) FIXatdl 1.1
   

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

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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

+
Strategy

FIXatdl XML File

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

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Advantages of Dynamic Rendering with FIXatdl

Less Ambiguity Contents/knowledge of specification file replaced by FIXatdl file Definitions of parameters, rules and GUI layouts are standardized Language is easy to read and understand

XML Files are Machine Readable! OMS parses XML files on-the-fly and renders appropriate images on the screen XML file tells OMS which tag numbers to use Algorithms can be added or changed without custom programming Reduced need for QA and Certification Testing An OMS supporting FIXatdl can accept any FIXatdl-based XML file Analogy FIXatdl : OMS HTML : WebBrowser

End Result: Faster time-to-market for algo provider with less effort
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FIXatdl 1.0 to now (FIXatdl 1.1)



The beginning
 

Started with OMS vendor input (5 in-depth interviews), initial schema created 15 major brokers published XML file samples 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


FIXatdl 1.0 Released - March 2008

  

Hamstrung by data contract too tightly coupled to GUI

FIXatdl 1.1 Development

     

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

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FIXatdl 1.1 - Key Enhancements



Division of data contract from GUI (Parameter vs. Control)

  

Control@parameterRef, Parameter@wireValue, etc Parameter@enumID <-> Controls 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 Controls 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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FIXatdl 1.1 Normative Specification (Artifacts)



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.

Narrative specification document



Word-authored document (spec) for the FIXatdl XML Schema atdl-core-1-1.xsd



XML Schema files



Data: describes the data content of the algorithm and the parameters Data: used to author rules applied to the parameter values as a validation check GUI: XML constructs describing how a parameter should be rendered within a UI GUI: provides the ability to dynamically affect the behavior of a GUI control

atdl-flow-1-1.xsd


atdl-layout-1-1.xsd


atdl-validation-1-1.xsd


Support lists (atdl-regions-1-1.xsd, atdl-timezones-1-1.xsd)

Sample XML file

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FIXatdl 1.1 Overall Structure

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FIXatdl 1.1 GUI Widget Library

Clock RadioButton EditableDropDownList

RadioButtonList TextField

SingleSpinner

DropDownList

SingleSelectList

DoubleSpinner Slider CheckBox MultiSelectList

CheckBoxList Label

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Copyright (c) FIX Protocol Ltd.

Timeline and Next Steps



FPLs Target of launch at beginning March:

     

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 Using FPLs JIRA system to track issues and enhancements Using FPLs Central Desktop system to manage milestones/tasks Coordinating launch and roll-out plan with FPLs marketing and management teams

Ongoing management
  

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Screen Shots of actual FIXatdl implementations

    

Portware Townsend RealTick Rapid Addition Ullink Nomura / atdl4j

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< ? x m l v e r s io n = " 1 .0 " e n c o d in g = " U T F - 8 " ? > < S tr a te g ie s x m ln s = " h ttp :// w w w . f i x p r o to c o l.o r g /A T D L - 1 - 1 / C o r e " x m ln s : v a l= " h ttp :// w w w . f i x p r o to c o l.o r g /A T D L - 1 - 1 /V a lid a tio n " x m ln s :la y = " h ttp :// w w w . f i x p r o to c o l.o r g /A T D L - 1 - 1 / L a y o u t" x m ln s : f lo w = " h ttp :// w w w . f i x p r o to c o l.o r g /A T D L - 1 - 1 /F lo w " x m ln s : x s i= " h ttp :// w w w . w 3 .o r g /2 0 0 1 /X M L S c h e m a - in s ta n c e " x s i: s c h e m a L o c a tio n = " h ttp :// w w w . f i x p r o to c o l.o r g /A T D L - 1 - 1 /C o r e a td l - c o r e - 1 - 1 .x s d " s tr a te g y I d e n ti f ie r T a g = " 8 4 7 " v e r s io n I d e n tif ie r T a g = " 9 6 8 2 " ta g 9 5 7 S u p p o r t= " f a ls e " c h a n g e S tr a te g y O n C x l R p l= " tr u e " i m a g e L o c a tio n = " N O M U R A .J P G " > < D e s c r ip tio n > A r e c o g n iz e d g l o b a l le a d e r in E le c tr o n ic T r a d in g , N o m u r a o f f e r s a f u ll y i n te g r a te d s o lu tio n c o m b i n i n g D M A , a lg o r it h m ic e x e c u t io n v ia th e M o d e lE x s u i te , a n d e le c tr o n ic g u a r a n te e d c a p ita l p r o d u c ts , s u p p le m e n te d w it h p r e - , in tr a - a n d p o s t - tr a d e a n a l y tic a l to o ls . A ll e x e c u t io n c h a n n e ls a r e u n d e r p in n e d b y n e x t g e n e r a tio n s m a r t o r d e r r o u tin g lo g ic a n d in te g r a tio n w it h N o m u r a 's N X d a r k liq u id it y p o o l. E u ro p e : + 4 4 2 0 7 1 0 3 5 4 8 5 J a p a n : + 8 1 3 3 2 4 4 -3 3 4 7 A s ia : + 8 5 2 2 2 5 2 - 6 7 0 0 U S : + 1 2 1 2 6 6 7 - 1 1 4 6 < /D e s c r ip tio n > < !-- IS --> < S tr a te g y n a m e = " IS " u iR e p = " I S " w ir e V a l u e = " 3 " v e r s io n = " 1 .4 .3 " fix M s g T y p e = " D " p r o v id e r I D = " N o m u r a " > < D e s c r ip tio n > M i n i m iz e s lip p a g e r e la tiv e to a r r iv a l p r ic e ( im p le m e n ta t io n s h o r tf a ll ) b a s e d o n u s e r to le r a n c e f o r r is k o r m a r k e t i m p a c t.< /D e s c r ip tio n > < R e g io n s > < R e g io n n a m e = " E u r o p e M id d le E a s t A f r ic a " in c l u s io n = " I n c lu d e " /> < /R e g io n s > < P a r a m e te r n a m e = " T a r g e tS u b I D " x s i: t y p e = " S tr in g _ t" d e s c r ip tio n = " " m u ta b le O n C x lR p l= " f a ls e " fix T a g = " 5 7 " u s e = " r e q u ir e d " c o n s tV a l u e = " M O D E L E X " c o n s t= " tr u e " d e f in e d B y F I X = " tr u e " > < D e s c r ip tio n > I n s tr u c t io n to r o u te to N o m u r a M o d e lE x .< /D e s c r ip tio n > < /P a r a m e te r > < P a r a m e te r n a m e = " H a n d I n s t"

Q&A / Demos


http://fixprotocol.org/FIXatdl

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Copyright (c) FIX Protocol Ltd.

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