1 Encore Data Distribution Services Workshop February 19, 2004.
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Transcript of 1 Encore Data Distribution Services Workshop February 19, 2004.
1
Encore Data Distribution Services
WorkshopFebruary 19, 2004
Encore Data Distribution Services
WorkshopFebruary 19, 2004
the
optionsclearingcorporation
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What is DDS?What is DDS?
Data Distribution Services (DDS) - ENCORE outbound data processing implementation
Replaces all Data Files (Data Service, Series, Prices, etc.)
Takes advantage of new and more flexible technologies: - XML based messages - Event Driven Processing - Real Time Delivery
Data Distribution Services (DDS) - ENCORE outbound data processing implementation
Replaces all Data Files (Data Service, Series, Prices, etc.)
Takes advantage of new and more flexible technologies: - XML based messages - Event Driven Processing - Real Time Delivery
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XML (Extensible Markup Language) allows for a more cost-effective, faster and easier means of modifying transmission content
No restrictions on message size, allowing data that belongs together to stay together
Self-describing in nature
Easy to read
Well suited for dynamically repeating data elements
XML (Extensible Markup Language) allows for a more cost-effective, faster and easier means of modifying transmission content
No restrictions on message size, allowing data that belongs together to stay together
Self-describing in nature
Easy to read
Well suited for dynamically repeating data elements
Advantages of XMLAdvantages of XML
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FIX (Financial Information eXchange) defines a standard industry protocol for content in both front and back office processing
OCC is one of several organizations working with FIX to create these standards
FIX releases are published in an 18 month cycle
The current FIXML version, available since April 2003, is 4.4
Transmissions will no longer be in a format proprietary to OCC
Goal for Subscribers: Utilize the same process for transmissions from multiple organizations
FIX (Financial Information eXchange) defines a standard industry protocol for content in both front and back office processing
OCC is one of several organizations working with FIX to create these standards
FIX releases are published in an 18 month cycle
The current FIXML version, available since April 2003, is 4.4
Transmissions will no longer be in a format proprietary to OCC
Goal for Subscribers: Utilize the same process for transmissions from multiple organizations
Industry Standard Definition and SupportIndustry Standard Definition and Support
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A FIX message, also referred to as a report, represents a group of fields used to describe a common functionality
The number of distinct message formats will decrease from 34 current data service layouts to 9 FIX messages
When OCC’s data service content does not map to any existing FIX messages customized fields or messages will be used
Customizations will be formalized through a proposal process with the goal of receiving an approval from the FPL (FIX Protocol Limited) committees
A FIX message, also referred to as a report, represents a group of fields used to describe a common functionality
The number of distinct message formats will decrease from 34 current data service layouts to 9 FIX messages
When OCC’s data service content does not map to any existing FIX messages customized fields or messages will be used
Customizations will be formalized through a proposal process with the goal of receiving an approval from the FPL (FIX Protocol Limited) committees
Current Data Service to DDS MappingCurrent Data Service to DDS Mapping
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DDS Process OverviewDDS Process Overview
DDS SubscriberCMTA Transfer
entered into ENCORE
CMTA Transfer is validated and posted to positions
PUSHDDS Subscriber
receives Post Trade Messages
immediately
PULLDDS Subscriber opens MQ channel or downloads file when they are ready to
process
Post Trade
Message
Post Trade
MessageCMTA Transfer is
translated into FIXML format
Messages are loaded onto
subscriber MQ or FTP server
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Real Time processing - transactional data will be available as soon as it is processed in the Encore system
Real Time outbound transmissions examples: trades and post trades
DDS will also offer real time subscription to master file data (product and contract data service records)
Batch data will be packaged and delivered as soon as it becomes available
Real Time processing - transactional data will be available as soon as it is processed in the Encore system
Real Time outbound transmissions examples: trades and post trades
DDS will also offer real time subscription to master file data (product and contract data service records)
Batch data will be packaged and delivered as soon as it becomes available
DDS - Event Driven ProcessingDDS - Event Driven Processing
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Subscriber - entity (clearing member, exchange, regulatory agency) that represents the final beneficiary of DDS data
Recipient - entity (clearing member, exchange, regulatory agency or service bureau) that owns the systems where DDS data will be delivered
A recipient can receive both real-time and batch transmissions
Possible setup scenarios: 1). a given entity can act as a subscriber and recipient at the same time
2). a given subscriber can have its data distributed to one or more recipients
3). a given recipient can receive data for multiple subscribers
Subscriber - entity (clearing member, exchange, regulatory agency) that represents the final beneficiary of DDS data
Recipient - entity (clearing member, exchange, regulatory agency or service bureau) that owns the systems where DDS data will be delivered
A recipient can receive both real-time and batch transmissions
Possible setup scenarios: 1). a given entity can act as a subscriber and recipient at the same time
2). a given subscriber can have its data distributed to one or more recipients
3). a given recipient can receive data for multiple subscribers
Subscriber - Recipient ProfilesSubscriber - Recipient Profiles
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A subscriber can choose to have one or more transmissions bundled as one package
Every package will be associated with one or more recipient destinations of the following type:
1). real time - an MQ channel between OCC’s server and recipient’s systems 2). batch file - to be pushed to or pulled by recipient’s systems
Data level security can be applied to the transmission packages (e.g. a package can contain data related to a specific group of tier accounts)
Packages to be delivered in batch mode will become available when processing of the last transmission in the package has completed
A subscriber can choose to have one or more transmissions bundled as one package
Every package will be associated with one or more recipient destinations of the following type:
1). real time - an MQ channel between OCC’s server and recipient’s systems 2). batch file - to be pushed to or pulled by recipient’s systems
Data level security can be applied to the transmission packages (e.g. a package can contain data related to a specific group of tier accounts)
Packages to be delivered in batch mode will become available when processing of the last transmission in the package has completed
DDS PackagesDDS Packages
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For real-time transmissions the only supported mechanism will be MQ Series
For subscribers of real-time transmissions that already have MQ in house, the setup of a proper MQ channel will be required
For batch delivery, multiple communication lines are supported (leased lines, dial-up, internet, etc)
As we are in the process of testing various batch delivery software, details related to this subject will be forthcoming
For real-time transmissions the only supported mechanism will be MQ Series
For subscribers of real-time transmissions that already have MQ in house, the setup of a proper MQ channel will be required
For batch delivery, multiple communication lines are supported (leased lines, dial-up, internet, etc)
As we are in the process of testing various batch delivery software, details related to this subject will be forthcoming
Delivery MechanismsDelivery Mechanisms
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DDS FIXML message sizes will increase compared to ODS data service records by a certain expansion ratio
The latest efforts of reduction in message size are reflected in the FIXML 4.4 Schema version
The main enhancements are a heavier usage of attribute based fields and the abbreviations of field names
Moving from COBOL fixed length records to XML is a more fundamental system change than simply changing a record layout
To enhance performance, XML parsers that can pipeline content rather than require the hierarchy of the XML document to be formed should be considered
DDS FIXML message sizes will increase compared to ODS data service records by a certain expansion ratio
The latest efforts of reduction in message size are reflected in the FIXML 4.4 Schema version
The main enhancements are a heavier usage of attribute based fields and the abbreviations of field names
Moving from COBOL fixed length records to XML is a more fundamental system change than simply changing a record layout
To enhance performance, XML parsers that can pipeline content rather than require the hierarchy of the XML document to be formed should be considered
Implications - Performance and Storage RequirementsImplications - Performance and Storage Requirements
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Subscribers must have the ability to check for duplicate messages based on a supplied unique key(s) for each transmission
Subscriber’s systems need to be able to support multiple iterations of a transaction and take the appropriate actions
Example:
- A trade is received and processed within Encore and subsequently sent as a FIXML message to subscribers
- If the same trade gets busted (deleted) by an exchange, a new DDS message will be sent indicating that a backout needs to be applied for the given trade
Subscribers must have the ability to check for duplicate messages based on a supplied unique key(s) for each transmission
Subscriber’s systems need to be able to support multiple iterations of a transaction and take the appropriate actions
Example:
- A trade is received and processed within Encore and subsequently sent as a FIXML message to subscribers
- If the same trade gets busted (deleted) by an exchange, a new DDS message will be sent indicating that a backout needs to be applied for the given trade
Implications - Real Time Processing ChallengesImplications - Real Time Processing Challenges
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Redundant data will be reduced by offering Product Issue transmissions and Option Series/Futures Contract transmissions separately
The message at the product level will be more detailed (delivery components and listing exchanges will be included)
Subscribers are advised to be able to process the Product updates independent of the Series/Contract updates
An incremental version for these messages will be available in real time and batch mode
The incremental message formats will contain a FROM section and a TO section allowing the retrieval of existing product/contract definition using the business keys from the FROM section and the update with the full definition supplied in the TO section
The 2 incremental message types will be delivered over the same MQ queue or in the same batch file in the chronological order of the occurrence of adds, modifies or deletes
Redundant data will be reduced by offering Product Issue transmissions and Option Series/Futures Contract transmissions separately
The message at the product level will be more detailed (delivery components and listing exchanges will be included)
Subscribers are advised to be able to process the Product updates independent of the Series/Contract updates
An incremental version for these messages will be available in real time and batch mode
The incremental message formats will contain a FROM section and a TO section allowing the retrieval of existing product/contract definition using the business keys from the FROM section and the update with the full definition supplied in the TO section
The 2 incremental message types will be delivered over the same MQ queue or in the same batch file in the chronological order of the occurrence of adds, modifies or deletes
Implications - Separate Product and Contract TransmissionsImplications - Separate Product and Contract Transmissions
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FIX standard encourages the use of dates to drive processing and OCC views the usage of dates as a critical factor in the processing of DDS data.
OCC will provide clearing business dates on all transactional and positions based data
For all security master transmissions, OCC will provide activate and inactivate/expiration dates as well as listing dates for each exchange
Subscriber back office and/or order routing processes may need to be modified to interrogate these dates when receiving transmissions
OCC expects that subscribers will use inactivation/expiration dates to drive purge processing when applicable
FIX standard encourages the use of dates to drive processing and OCC views the usage of dates as a critical factor in the processing of DDS data.
OCC will provide clearing business dates on all transactional and positions based data
For all security master transmissions, OCC will provide activate and inactivate/expiration dates as well as listing dates for each exchange
Subscriber back office and/or order routing processes may need to be modified to interrogate these dates when receiving transmissions
OCC expects that subscribers will use inactivation/expiration dates to drive purge processing when applicable
Implications - Date Driven ProcessingImplications - Date Driven Processing
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The final schema used for all DDS messages will be an extension to the current FIXML schema version at the time of DDS implementation
OCC expects to participate in a proposal process which involves submitting the necessary documentation to FPL to include the customized fields in FIX
The FPL committees and other FIX members will validate the viability of the content and representation of customized fields
OCC will periodically transition its FIXML messages to future FIX releases
OCC plans to provide at any time support for 2 concurrent FIXML releases
The final schema used for all DDS messages will be an extension to the current FIXML schema version at the time of DDS implementation
OCC expects to participate in a proposal process which involves submitting the necessary documentation to FPL to include the customized fields in FIX
The FPL committees and other FIX members will validate the viability of the content and representation of customized fields
OCC will periodically transition its FIXML messages to future FIX releases
OCC plans to provide at any time support for 2 concurrent FIXML releases
Implications - Adherence To Standards TradeoffsImplications - Adherence To Standards Tradeoffs
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DDS TimelineDDS Timeline
Q3 2005
Data Distribution Systems
Publish Formats and
Technical Specifications
Q1 2004 Q3 2004
DDS Go LiveDecommission
current data service
12 month overlap between DDS and current
data service
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Plan a project to accommodate processing of new DDS data service
Understand benefits and implications to your organization presented in the DDS external documentation
Get accustomed to the new layouts in FIXML format
Participate as a pilot user in the implementation of DDS
Plan for a testing phase of DDS transmissions between OCC and your organization
Contact your OCC CM Representative or email to [email protected] questions or comments related to DDS
Plan a project to accommodate processing of new DDS data service
Understand benefits and implications to your organization presented in the DDS external documentation
Get accustomed to the new layouts in FIXML format
Participate as a pilot user in the implementation of DDS
Plan for a testing phase of DDS transmissions between OCC and your organization
Contact your OCC CM Representative or email to [email protected] questions or comments related to DDS
Next StepsNext Steps