FIX Repository based Products Infrastructure for the infrastructure Presenter Kevin Houstoun

What is the repository? Information extracted from the FIX specification Information extracted from the FIX specification In a different more computer usable format In a different more computer usable format Currently a series of XML documents and schemas Currently a series of XML documents and schemas Can be loaded into a database Can be loaded into a database Specific SQL can reproduce the specification from the database Specific SQL can reproduce the specification from the database To be used to generate future releases of FIX To be used to generate future releases of FIX Will be made publicly available to FIX membership Will be made publicly available to FIX membership

Construction There are a number of parts to the repository There are a number of parts to the repository  Fields  Enumerations  Components  Messages – special type of component  Message Contents For each part of the repository there are 4 files For each part of the repository there are 4 files  *.xml – The data itself  *.xsd – The schema for the data  *.xsl – A transform to display the data in IE  *.html – A page to invoke the transform and display the data in IE

The FIX Specification Data Dictionary Fields & Enumerations – essentially the data dictionary from the FIX Specification - Volume 6 Fields & Enumerations – essentially the data dictionary from the FIX Specification - Volume 6 Fields xml file contains Fields xml file contains  Tag,  FieldName,  Description,  XML Name Enumerations xml file contains Enumerations xml file contains  Tag,  Value,  Description One to many relationship between Tag in Fields and Tag in Enumerations One to many relationship between Tag in Fields and Tag in Enumerations

Components (including messages) Components and Messages contains Components and Messages contains  Object ID,  Name,  Type,  Category,  Abbreviation,  Description  Indentation (only used for certain component types)  Order (only used for certain component types) Messages are a special case of components that include specific additional information. Messages are the top level application object in the FIX model. Messages are a special case of components that include specific additional information. Messages are the top level application object in the FIX model.

Message Content xml File Message Content contains Message Content contains  Object ID,  Tag Text,  Tag,  Description,  Required,  Position,  Indent,  Component Object ID Basically the result of selecting all records in from Message Content with an Object ID corresponding to a FIX message is data equivalent to the message table for that message in volumes 1, 3 – 5. Basically the result of selecting all records in from Message Content with an Object ID corresponding to a FIX message is data equivalent to the message table for that message in volumes 1, 3 – 5.

Thusbecomes

Why did we build the repository? I’m lazy and I make mistakes. I’m lazy and I make mistakes. BUT lazyness can be a virtue. BUT lazyness can be a virtue. Asked by Global Technical Committee to help prepare the DTD to match the FIX.4.4 release. Asked by Global Technical Committee to help prepare the DTD to match the FIX.4.4 release. Needed to allow me to generate the DTD rather than create it by hand. Needed to allow me to generate the DTD rather than create it by hand. This allowed us to apply one design to the whole of the FIX model. This allowed us to apply one design to the whole of the FIX model.

How have we used the repository? Generated Volume 6 – The FIX data dictionary Generated Volume 6 – The FIX data dictionary Can and will generate all message tables for future releases of FIX Can and will generate all message tables for future releases of FIX Supports addition of messages and fields for future versions of FIX Supports addition of messages and fields for future versions of FIX Generate FIXimate, FIX.4.4 DTD, FIX.4.4 Schema. Generate FIXimate, FIX.4.4 DTD, FIX.4.4 Schema.    Cross check FIX specification, are names in message tables same as names in data dictionary. Cross check FIX specification, are names in message tables same as names in data dictionary. Pre compile all valid message possibilities and check against FIX design rules. Pre compile all valid message possibilities and check against FIX design rules.

Repository Value Proposition Vendors. Vendors.  Access to the repository. A few vendors build and maintain subsets of the repository. Transact Tools, BtoBits. This is needed to offer a full FIX product. This is value at US $25,000. Engine vendors should use repository to drive engine. Buy sides, Sell sides, Exchanges. Buy sides, Sell sides, Exchanges.  Customers don’t need to pay for upgrades for engines with each FIX version release. FIX itself FIX itself  Improved management of protocol  Improved consistency and accuracy of specification  Tools to allow generation of schema etc

A sustainable revenue model Given the choice, customers would buy FIX services from FIX. One service is the updating of engines for each release. Given the choice, customers would buy FIX services from FIX. One service is the updating of engines for each release. The regular expansion of the protocol provides a regular upgrade requirement The regular expansion of the protocol provides a regular upgrade requirement This could be addressed by This could be addressed by  Engine design based on repository  Upgrades become either pay your FIX engine vendor or pay FIX. FIX engine vendors still have a model around upgrades to session layer, performance etc enhancements but are no longer coupled to FIX protocol releases. FIX engine vendors still have a model around upgrades to session layer, performance etc enhancements but are no longer coupled to FIX protocol releases. FIX supplies the IP to it’s members in raw format. FIX supplies the IP to it’s members in raw format. FIX has a product !!! FIX has a product !!!

How does a FIX engine use the repository? Fields table, data types, need to add data type for raw data precursor field Fields table, data types, need to add data type for raw data precursor field Message Content table. Can check validity of fields within a message etc. Message Content table. Can check validity of fields within a message etc. Possibly may wish to transform to own format, may wish to generate code from repository. Both lock customers to them but we still considerably reduce cost of upgrade to users! Possibly may wish to transform to own format, may wish to generate code from repository. Both lock customers to them but we still considerably reduce cost of upgrade to users!