Presentation on theme: "FIX Algorithmic Trading Definition Language (FIXatdlSM)"— Presentation transcript:
1FIX Algorithmic Trading Definition Language (FIXatdlSM) Presentation to the GTCFeb 5, 2010
2Copyright (c) FIX Protocol Ltd. AgendaFIXatdl – a brief overview and key benefitsFIXatdl 1.0 to now (FIXatdl 1.1)FIXatdl 1.1Key enhancementsNormative Specification (Artifacts)Overall structureGUI Widget libraryTimeline and next stepsScreen Shots of actual FIXatdl implementationsQ&ALive Demos as time permits4/14/2017Copyright (c) FIX Protocol Ltd.
3Broker FIX Specification Introducing FIXatdlSM: FIX Protocol standard XML mark-up language used to define the interface for an algorithmic orderBroker FIX SpecificationFIXatdl XML File+StrategyFIXatdl SchemaBroker 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 applicationOMS vendors parse these FIXatdl XML files & render them in their application eliminating the need for custom programming4/14/2017Copyright (c) FIX Protocol Ltd.
4Advantages of Dynamic Rendering with FIXatdl Less AmbiguityContents/knowledge of specification file replaced by FIXatdl fileDefinitions of parameters, rules and GUI layouts are standardizedLanguage is easy to read and understandXML Files are Machine Readable!OMS parses XML files on-the-fly and renders appropriate images on the screenXML file tells OMS which tag numbers to useAlgorithms can be added or changed without custom programmingReduced need for QA and Certification TestingAn OMS supporting FIXatdl can accept any FIXatdl-based XML fileAnalogy – FIXatdl : OMS ≈ HTML : WebBrowserEnd Result: Faster time-to-market for algo provider with less effort4/14/2017Copyright (c) FIX Protocol Ltd.
5FIXatdl 1.0 to now (FIXatdl 1.1) “The beginning”Started with OMS vendor input (5 in-depth interviews), initial schema created15 major brokers published XML file samplesFIXatdl 1.0 Released - March 2008Brokers published XML files but no parsers/renders available to implement/testOMS vendors identified additional needsIdentified numerous gaps and enhancements needed to actually use itHamstrung by “data contract” too tightly coupled to “GUI”FIXatdl 1.1 DevelopmentDecoupled “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 meetingsDeveloped “narrative documentation” (spec) in conjunction with XML SchemaFinalized schema and narrative documentation – submitting for approval/release4/14/2017Copyright (c) FIX Protocol Ltd.
6FIXatdl 1.1 - Key Enhancements Division of data contract from GUI (Parameter vs. Control)etc<-> Control’sSpecifying GUI details (Layout) is now entirely optionalParameters can be validated at Strategy-level (StrategyEdit)Created FLOW to handle workflow and basic GUI event handlingControl’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-8Support for New Order List and New Order MultilegEnhanced GUI Library (generic, cross-platform description of widgets)4/14/2017Copyright (c) FIX Protocol Ltd.
7FIXatdl 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 documentWord-authored document (spec) for the FIXatdl XML SchemaXML Schema filesatdl-core-1-1.xsdData: describes the data content of the algorithm and the parametersatdl-flow-1-1.xsdData: used to author rules applied to the parameter values as a validation checkatdl-layout-1-1.xsdGUI: XML constructs describing how a parameter should be rendered within a UIatdl-validation-1-1.xsdGUI: provides the ability to dynamically affect the behavior of a GUI controlSupport lists (atdl-regions-1-1.xsd, atdl-timezones-1-1.xsd)Sample XML file4/14/2017Copyright (c) FIX Protocol Ltd.
10Timeline and Next Steps FPL’s Target of launch at beginning March:Friday Feb 5 - Presentation to GTCIf approved, Public Comment Period - One WeekComments received and any necessary changes proposed by the WGReviewed by the GTC Governance Board (expeditiously)GTC Governance Board voting - no more than one weekProposed public launch event (in person media conference run by Daniella Baker) Mar 23 at the FPL EMEA Conference in LondonOngoing managementUsing FPL’s JIRA system to track issues and enhancementsUsing FPL’s Central Desktop system to manage milestones/tasksCoordinating launch and roll-out plan with FPL’s marketing and management teams4/14/2017Copyright (c) FIX Protocol Ltd.
11Screen Shots of actual FIXatdl implementations PortwareTownsend RealTickRapid AdditionUllinkNomura / atdl4j4/14/2017Copyright (c) FIX Protocol Ltd.