Imported from previous forum
Updated schema files for the draft FIX Algorithmic Trading Standard are immediately available to FIX members who are logged in at: http://www.fixprotocol.org/documents/3303/algo_schema_documents.zip
Non-Fix members may register free of charge at http://www.fixprotocol.org/register/ The only required fields are Name and Email address and the entire process can be complete in well under a minute. After that you may log in and then have immediate access to the above directory. You will also enjoy greater access to the entire FIX site if you register and log in.
Any member or non-member having difficulty logging in at FIX may also obtain the updated file set by simply emailing a request to: mailto:algotech@fixprotocol.org Files will then be sent back directly as an email attachment.
Changes to the .xsd from the prior version are documented in the file itself, near the bottom.
The documentation write up on the new standard is available on the public directory:
http://www.fixprotocol.org/working_groups/algowg/documents
That directory also has a current Issues List, which contains open items that are being worked on.
Technical comments are most welcome, and interested pilot testers may reach the work group development team directly by emailing: mailto:algotech@fixprotocol.org
Good stuff, glad to see the interest from the vendors from the number of downloads. Have there been any OMS/EMS vendors that have expressed interest in piloting sofware that uses the schema? It has been a while since my involvement with Algo Business Team; most of the recent advancements have all come from the technical side. Please advise. Thanks.
Updated schema files for the draft FIX Algorithmic Trading Standard are
immediately available to FIX members who are logged in at:
http://www.fixprotocol.org/documents/3303/algo_schema_documents.zipNon-Fix members may register free of charge at
http://www.fixprotocol.org/register/ The only required fields are Name
and Email address and the entire process can be complete in well under a
minute. After that you may log in and then have immediate access to the
above directory. You will also enjoy greater access to the entire FIX
site if you register and log in.Any member or non-member having difficulty logging in at FIX may also
obtain the updated file set by simply emailing a request to:
mailto:algotech@fixprotocol.org Files will then be sent back directly as
an email attachment.Changes to the .xsd from the prior version are documented in the file
itself, near the bottom.The documentation write up on the new standard is available on the
public directory:
http://www.fixprotocol.org/working_groups/algowg/documents That
directory also has a current Issues List, which contains open items that
are being worked on.Technical comments are most welcome, and interested pilot testers may
reach the work group development team directly by emailing:
mailto:algotech@fixprotocol.org
Good stuff, glad to see the interest from the vendors from the number
of downloads. Have there been any OMS/EMS vendors that have expressed
interest in piloting sofware that uses the schema? It has been a
while since my involvement with Algo Business Team; most of the
recent advancements have all come from the technical side. Please
advise. Thanks.
Kevin,
Great to hear from you – been too long.
Tons going on in the backfield here. We already have an OMS vendor coding with this thing and a Algo supplier in production use of the xml built off our latest schema (2-2-2). John and I are now in the process of getting the broker dealers to give this thing a real hard spin and run up their algos in this new xml format. That takes time because we like to meet with them one on one.
Remember all the in-depth OMS interviews we did to get a handle on this thing? Well, the tech guys have impressively solved all the business problems we identified a year ago. The OMS players get to completely retain all the “look and feel” and “workflow” proprietary stuff, yet there is still enough standardized to make everyone’s life a whole lot easier.
The tech guys also worked out all sorts of encryption/security scenarios so all the algo secrets out there can be held tight behind closed doors. As a WG we are not recommending any encryption/security scheme but will be happy to offer suggestions so everyone can feel totally comfortable that all the R&D and trade secrets around algos won’t leak out.
All the majors have downloaded the files. Everyone I know in the algo space is participating.
Next up on the agenda is getting a sufficient set of test algos to really make the pilot study meaningful. Frankly, I’d like to have 50 or more different algo strategies across several major BDs going into that phase so we can demo that 50 different algos can be rendered up in an OMS without any human intervention. And the next 50 would take the same effort – a push of a button. We are just out with v2-2-2 of the .xsd so that process of getting “live” samples is now moving to the top of our WG agenda. We have three BD’s already committed to running up samples on this version, and are work diligently to get several others, starting with the biggest players and working our way down the list to a few firms in the mid tier.
I’m working ahead in transport independence and making sure this thing is prime for Web Services – that’s right, total freedom from dedicated FIX pipes. When you look at all the DMA action going on and FIX standardization for the Exchanges and ECNs WG activity, this algo standard should just slide right in next to that. The algos themselves can execute anywhere, including on collocated servers plugged directly into the various exchange’s backbone communication pipes. So, its not buy-side → bd → bd’s EMS → exchange it’s straight buy-side → right down to broker’s collocated servers right on the floor of the exchange. Those “algo servers” just offer up as a web a service and that is it. The algo work can then get all done local to the exchange with near zero distance/latency issues. Very cool stuff.
We are also trying to be extra precise with our xml and the incorporation of other standards into this one. That way can have real time, up to the minute validation so tight and so automatic that errors and settlement discrepancies are mostly squeezed right out of the process before an order is even sent. That took a bit of time to address but is now pretty much resolved.
The tech emails on this are running fast and furious, often more than 20/day. We also have excellent input from the Global Technical Committee. They have really helped out with being sure we are all on the same wavelength with FIX 5.0 and forward, and ironing out all the xml cross standarization issues.
It’s been a long trip, but we are in the home stretch on this one. We just need to test the edges with a large pilot and then ship it.
Rick