Congratulations! On the release of Market Data Definition Language Version 1.0! A marvelous achievement! In record time! With far-reaching implications to the entire market data industry
MDDL Definition • MDDL is a XML-based specification to enable the interchange of information necessary to account for, analyze and trade financial instruments globally • Common format - data can be efficiently passed from one system to another • Common taxonomy - common understanding of data content and data relationships
Who’s Involved • Sell Side • Deutsche Bank, Goldman, Lehman, Merrill, Morgan Stanley • Buy Side • Capital group, Fidelity, Fleet Asset Management, State Street • Vendors • Bloomberg, Dow Jones, Fininfo, FT Information, S&P, Telekurs, Thomson Financial • Exchanges • Deutsche Borse, Helsinki Exchanges, Island, Nasdaq, SIAC • Others • DTCC, IPTC, ISO 15022, Middleware, SWIFT, XBRL
User Requirement (driver) Bridge Reuters Bloomberg Others Database Application 1 Application 2 Application 3 Application 4 Application N
Drawbacks • Multiple formats (fields don’t match) • Multiple interfaces (custom code for each application) • Redundancy not leveraged • Migrations difficult(products, versions and vendors) • Integration work(resource investment, training) • Non-Standard Query/Delivery Mechanism • Data warehousing difficult (security master files) • Third party tools
User Objective Bridge Feed Reuters Bloomberg Others Integration Layer Application 1 Application 2 Application 3 Application 4 Application N
Vendor Strategy • Importance of structured data • Efficiency/cost reduction • Faster trade processing(STP, T+1, workflow management) • Easier collection, integration and distribution • Utility • Integration and interoperability • Manipulation (analytics, value-add) • Packaging of content • Re-purposing of content (wireless, multi-media)
Stock Quotes? Trading Volume? P/E Ratio? Indices? Commodity Prices? Prime Rate? GDP? CPI? Fixed Income Prices? Unemployment Rates? Dividends? Stock Splits? Debt Rating? Bankruptcy Filings? What is Market Data?
MDDL Includes ... • Pricing of stocks, bonds, funds, commodities and contracts(exchange tradable or not) • Trade-related information and measures (symbology, volumes, indexes) • Macroeconomic statistics(public and private sector) • Security master file data (corporate actions, descriptive data, shares issued, earnings, splits, dividends, etc.)
Building Blocks of MDDL Vocabulary • Domains: discrete elements that form the content of market data (i.e. stocks, bonds, rates, indices) • Descriptors: terms and concepts applicable to market data elements across domains (i.e. name, identifier, price) • Controlled Vocabulary: sets of values that further modify descriptors (i.e. trading status, symbology, country codes, exchange codes)
Vocabulary Domains – Instruments and AssetClasses Included in 1.0 Annuity Exchange Traded Collective Investment Vehicle Fund Insurance Contract Trust Money Market Instruments/Asset Classes Certificate Debt Mutual Common Equity Umbrella Depositary Limited Unit Partnership Shared Preferred Units
Vocabulary Domains – Indicators & Averages Economic Included in 1.0 Exchange Statistic Financial & Monetary Rate Indicators & Averages Index & Average Industrial Rating Others [domain][class] [subclass] indexes/averages equity exchange stats new highs economic consumer credit industrialauto sales
MDDL Specification • Data model from vocabulary • Define “products” -- common equities, mutual funds, indices (version 1.0) • Define “properties” - individual terms that make up market data (150 terms in glossary) • Define “hierarchy” -- how properties relate to products • Minimal structure required (root element only)
Technical Development • Major “constructs” for grouping data • snap for snapshot quotes • timeseries for quotes over time • XML DTD and Schema supported (loses some functionality but leaves the door open for the future) • Element-based approach (easier to expand and facilitates inherited properties) • Concept of “reference” lists • Extensibility is the key!
Next Steps • Complete documentation (technical specification and implementation overview) • Technical developments • Define “query” construct • Define “update” construct • Global glossary evaluation(critical) • Determine next product areas • Fixed Income? • Security master file/reference data? • Derivatives? • Complete equities, CIV, indexes/averages?
MDDL Availability http://www.mddl.org
