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MDDL Ready for Prime Time

MDDL Ready for Prime Time. James E. Hartley Chief Technologist, FISD 04 February 2004. Topics. What is MDDL? Suite of Specifications Web Services. Trading/Market Data Cycle. Trade. Negotiation. Settlement & Clearing. Trading. Reporting. Market Data. Indication Of Interest. Quote.

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MDDL Ready for Prime Time

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  1. MDDLReady for Prime Time James E. Hartley Chief Technologist, FISD 04 February 2004

  2. Topics • What is MDDL? • Suite of Specifications • Web Services

  3. Trading/Market Data Cycle Trade Negotiation Settlement & Clearing Trading Reporting Market Data Indication Of Interest Quote Analysis

  4. Why MDDL? • The Basic Problem • Many data feeds means many translations • Content compatibility (and between feeds) • Extensibility required to alleviate maintenance • User Firms (banks, brokerages, utilities) • Precision & transparency of data • Different symbology • Data sharing across applications… and companies

  5. What To Do… • Common Definitions • Removes confusion • Fosters precision • Common Format • Standardizes processing • Simplifies integration of multiple sources • Extensible Structure • Adaptable to new data • Allows value-added features

  6. Reference Data & Pricing • Market Data is… • Everything necessary: setup, pricing, maintenance • Reference Data is the Setup Side • But also includes some historical and “static” data • Pricing Includes Realtime and End-of-Day • As well as historical values • Corporate Actions Affect Both • Alters price going forward • Changes structure/content of reference data

  7. CIV, Annuity CIV, Fund Exchange Traded Insurance Money Market Mutual Umbrella CIV, Trusts OEI Unit Equity Common Depositary Limited Partnership Shared Partnership Units Partnership Preferred CAE, Corporate Actions CAE, Corporate Events Entity, Issuer MDDL Domains (Asset Classes)

  8. Derivative Certificate Forward Future Linked Option Right Swap Warrant Foreign Exchange Debt No subclasses Long list of attributes Combination defines type Index Interest Rate Indicators MDDL Domains (con’t)

  9. MDDL Current Status • MDDL 2.3-beta is Current Working Version • Working with ISO TC68/SC4 (via WG11) • Refinement Via Actual Applications • Actively working with 3 Exchanges, 2 Data Vendors • In discussions with banks, enablers, vendors • Pending: • Documentation, “Prototype” of Capabilities

  10. MDDL Suite of Specifications • mddl • The “response” or data content • mddlQuery • Asks for market data • Summary, search, individual stocks, etc. • mddlService • Web Service for exchanging request/response • fisdMessage • Extension for realtime streaming (w/compression)

  11. mddlService • “Message” Type of Web Service • Two functional interfaces (no RPCs) • Input Defined By “mddlQuery” • Output Defined By “mddl” • SOAP and Security (remember to wash!)

  12. Datafeed Redistributor Nominal Market Data System Application Display Datafeed Realtime Data System Headend Relay Node(s) Database Reference Data Application Datafeed Query (secondary data flow) Processing Node Response (primary data flow) Nominal Market Data System

  13. What Is Missing With WS? • Standard WS for Standard Functions • Sure, we can find a WS, but each is different… • Experience/Agreement on Granularity • When are WS appropriate? Which specifically? • Realtime Streaming Capability • High-volume, high-throughput • But solutions exist for that…

  14. Where Do Web Services Fit? • The “mddlService” Specification! • “mddlQuery” queries • Session establishment • Support Utilities • Symbology Translation • Reference Data Acquisition • Anyplace Where Data May Be Provided

  15. Questions? Discussion?

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