FIX Algorithmic Trading Definition Language (FIXatdl SM ) Presentation to the GTC Feb 5, 2010.
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Transcript of FIX Algorithmic Trading Definition Language (FIXatdl SM ) Presentation to the GTC Feb 5, 2010.
FIX Algorithmic Trading Definition Language (FIXatdlSM)
Presentation to the GTCFeb 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
+
FIXatdl Schema
Strategy
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
OMS vendors parse these FIXatdl XML files & render them in their application eliminating the need for custom programming
FIXatdl XML File
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
FIXatdl 1.0 Released - March 2008 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
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 <-> 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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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
XML Schema files atdl-core-1-1.xsd
Data: describes the data content of the algorithm and the parameters atdl-flow-1-1.xsd
Data: used to author rules applied to the parameter values as a validation check atdl-layout-1-1.xsd
GUI: XML constructs describing how a parameter should be rendered within a UI atdl-validation-1-1.xsd
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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FIXatdl 1.1 – Overall Structure
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StrategyLayout
StrategyPanel
StrategyPanel
Control
1..inf 1..inf
or
HelpText
StateRule
EditRef
Description
xor
0..1 0..1
0..1
1 1
ListItem
0..inf
Edit
StrategyEdit
EditRef
Description
0..1 1 1
Edit
xor
Strategies
Strategy
Description
StrategyLayout
RepeatingGroup
Markets
SecurityTypes
Regions
Parameter
StrategyEdit
Description
Region
Country
Market
SecurityType Description
Parameter
1..inf 0..inf0..1
0..inf
1..inf1..3
0..inf
0..1 0..1 0..1
0..1 1..inf1..inf
0..1 0..1
0..inf 0..inf1
Edit
Edit
Parameter
Description
EnumPair
0..1 0..inf
FIXatdl 1.1 – GUI Widget LibraryClock
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TextField
SingleSpinner
DoubleSpinner
CheckBox
CheckBoxList
RadioButton
RadioButtonList
DropDownList
Slider
Label
EditableDropDownList
SingleSelectList
MultiSelectList
Timeline and Next Steps FPL’s 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 Ongoing management
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
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Screen Shots of actual FIXatdl implementations Portware Townsend RealTick Rapid Addition Ullink Nomura / atdl4j
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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 next-generation 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 http://fixprotocol.org/FIXatdl
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