# Sample data **URL:** \ **Category:** General Q&A\ **Tags:** algorithmic-trading, xid\_169154, imported\ **Created:** [September 17, 2007, 12:28am UTC](https://forum.fixtrading.org/t/sample-data/1457 "2007-09-17T00:28:58Z")\ **Posts on this page:** 8\ **Page:** 1
**Author:** ![anujsethi\_x](https://avatars.discourse-cdn.com/v4/letter/a/f0a364/32.png) [@anujsethi\_x](https://forum.fixtrading.org/u/anujsethi_x)\ **Post date:** [September 17, 2007, 12:28am UTC](https://forum.fixtrading.org/t/sample-data/1457/1 "2007-09-17T00:28:58Z")
Imported from previous forum ---
**Author:** ![anujsethi\_x](https://avatars.discourse-cdn.com/v4/letter/a/f0a364/32.png) [@anujsethi\_x](https://forum.fixtrading.org/u/anujsethi_x)\ **Post date:** [September 17, 2007, 12:28am UTC](https://forum.fixtrading.org/t/sample-data/1457/2 "2007-09-17T00:28:58Z")
Hello all. I want to write and test algorithms for level-II quotes for options trading. Before anything else, I want some sample data, because I want to find out whether this is for me. This should be easy for those who write their own code. Can you provide me some real data, and the schema to interpret it? At the moment I can get only simulated data (from marketcetera). Thank you, Anuj ---
**Author:** ![rick.labs](https://avatars.discourse-cdn.com/v4/letter/r/5daacb/32.png) [@rick.labs](https://forum.fixtrading.org/u/rick.labs)\ **Post date:** [September 17, 2007, 3:18am UTC](https://forum.fixtrading.org/t/sample-data/1457/3 "2007-09-17T03:18:42Z")
> Hello all. I want to write and test algorithms for level-II quotes for > options trading. Before anything else, I want some sample data, because > I want to find out whether this is for me. > > This should be easy for those who write their own code. Can you provide > me some real data, and the schema to interpret it? At the moment I can > get only simulated data (from marketcetera). > > Thank you, Anuj Anuj, Level II data would need to be licensed from the exchange or ECN that generates it. What we have at FIX is schema to publish algorithmic trading order types. It’s used when you want to allow others to use your algorithmic trading strategies. It defines the specific parameters that must be specified, and how they must be sent to cause the strategy to execute. It has nothing to do with how the algorithmic trading strategy (sometimes called a “black box”) operates internally. The FIX standard is designed to be an interface between the Sell-Side (creators of algos) and the Buy-Side (users who are not creators). It’s also very handy for quant shops to use internally - the internal gurus make up all sorts of new algorithmic trading strategies for the in-house proprietary traders to use. Each of these is expressed in this new standard XML format. The proprietary traders drop these xml files into their order management systems, and up pops the trade tickets, all tuned to that specific new algo strategy, complete with order entry workflow, help during the order build process, field by field level validation, and a final comprehensive set of rules for validation (across all fields) that may be run after all parameters have been populated (such as when the “send order” button has been pushed.) Quant shops can then offer their traders the full set of their in-house algo strategies right alongside the externally available strategies without any recoding of the OMS. It provides very good isolation between the order management system (with its human computer interface/GUI) and the actual execution systems. You can see all the documentation plus numerous xml instance files describing various algos, from 15 different firms, by logging in on the FIX site (guests may register quickly and for free at: [http://fixprotocol.org/register/](http://fixprotocol.org/register/) ). You then log in and go to: [http://fixprotocol.org/working\_groups/algowg/documents](http://fixprotocol.org/working_groups/algowg/documents). From there you can access all the .xsd and .xml files used to define algos. Just a quick note – the FIX standard expresses an algo strategy in XML. However, contained in that XML is the map between parameters on the trader’s screen and standard FIX Protocol (ascii tag=value) format to be placed “on the wire”. So there is no XML used in actually sending the order out of the OMS. All of that is standard FIX protocol (for example FIX 4.2 format). Also, most market data (last sale, bids, offers, etc.) is not expressed in XML. XML is thought to be too heavy a solution for huge volumes of market data. For some examples of data formats for market data take a look at some of the options here: [http://www.batstrading.com/subscriber\_resources.php](http://www.batstrading.com/subscriber_resources.php) Rick at [ITSdoc.org](http://ITSdoc.org) ---
**Author:** ![fplpo\_x](https://avatars.discourse-cdn.com/v4/letter/f/7ab992/32.png) [@fplpo\_x](https://forum.fixtrading.org/u/fplpo_x)\ **Post date:** [October 15, 2007, 6:32am UTC](https://forum.fixtrading.org/t/sample-data/1457/4 "2007-10-15T06:32:44Z")
[original email was from Ameya Nisal - [ameyanisal@gmail.com](mailto:ameyanisal@gmail.com) ] Hi Anuj, I was curious to know wether we can program this algorithm of level II boxes for all the exchanges, especially the Indian exchanges (BSE, NSE). We are a consulting group in India, looking forward to provide FIX products to Indian investment hubs, hence we are running a leg for programming products compatible for Indian markets. Thank you. Regards, Ameya Nisal > > Hello all. I want to write and test algorithms for level-II quotes for > > options trading. Before anything else, I want some sample data, > > because I want to find out whether this is for me. > > > > This should be easy for those who write their own code. Can you > > provide me some real data, and the schema to interpret it? At the > > moment I can get only simulated data (from marketcetera). > > > > Thank you, Anuj > > Anuj, > > Level II data would need to be licensed from the exchange or ECN that > generates it. > > What we have at FIX is schema to publish algorithmic trading order > types. It’s used when you want to allow others to use your algorithmic > trading strategies. It defines the specific parameters that must be > specified, and how they must be sent to cause the strategy to execute. > It has nothing to do with how the algorithmic trading strategy > (sometimes called a “black box”) operates internally. > > The FIX standard is designed to be an interface between the Sell-Side > (creators of algos) and the Buy-Side (users who are not creators). > It’s also very handy for quant shops to use internally - the internal > gurus make up all sorts of new algorithmic trading strategies for the > in-house proprietary traders to use. Each of these is expressed in this > new standard XML format. The proprietary traders drop these xml files > into their order management systems, and up pops the trade tickets, all > tuned to that specific new algo strategy, complete with order entry > workflow, help during the order build process, field by field level > validation, and a final comprehensive set of rules for validation > (across all fields) that may be run after all parameters have been > populated (such as when the “send order” button has been pushed.) > Quant shops can then offer their traders the full set of their in-house > algo strategies right alongside the externally available strategies > without any recoding of the OMS. It provides very good isolation between > the order management system (with its human computer interface/GUI) and > the actual execution systems. > > You can see all the documentation plus numerous xml instance files > describing various algos, from 15 different firms, by logging in on the > FIX site (guests may register quickly and for free at: > [http://fixprotocol.org/register/](http://fixprotocol.org/register/) ). You then log in and go to: > [http://fixprotocol.org/working\_groups/algowg/documents](http://fixprotocol.org/working_groups/algowg/documents). From there you > can access all the .xsd and .xml files used to define algos. > > Just a quick note – the FIX standard expresses an algo strategy in > XML. However, contained in that XML is the map between parameters on the > trader’s screen and standard FIX Protocol (ascii tag=value) format to > be placed “on the wire”. So there is no XML used in actually sending > the order out of the OMS. All of that is standard FIX protocol (for > example FIX 4.2 format). > > Also, most market data (last sale, bids, offers, etc.) is not expressed > in XML. XML is thought to be too heavy a solution for huge volumes of > market data. > > For some examples of data formats for market data take a look at some of > the options here: [http://www.batstrading.com/subscriber\_resources.php](http://www.batstrading.com/subscriber_resources.php) > > Rick at [ITSdoc.org](http://ITSdoc.org) ---
**Author:** ![anujsethi\_x](https://avatars.discourse-cdn.com/v4/letter/a/f0a364/32.png) [@anujsethi\_x](https://forum.fixtrading.org/u/anujsethi_x)\ **Post date:** [May 1, 2008, 5:58pm UTC](https://forum.fixtrading.org/t/sample-data/1457/5 "2008-05-01T17:58:50Z")
Sorry, can’t be of much help for Indian markets. I’d say you contact the stock markets directly, ask them about the protocols they will allow. For US markets, I’d advise that you use a product like marketcetera rather than code it from scratch. Good luck. It is not as complicated as people are projecting it to be. / > Hi Anuj, > > I was curious to know wether we can program this algorithm of level II > boxes for all the exchanges, especially the Indian exchanges (BSE, NSE). > > We are a consulting group in India, looking forward to provide FIX > products to Indian investment hubs, hence we are running a leg for > programming products compatible for Indian markets. Thank you. > > Regards, > > Ameya Nisal > > > > Hello all. I want to write and test algorithms for level-II quotes > > > for options trading. Before anything else, I want some sample data, > > > because I want to find out whether this is for me. > > > > > > This should be easy for those who write their own code. Can you > > > provide me some real data, and the schema to interpret it? At the > > > moment I can get only simulated data (from marketcetera). > > > > > > Thank you, Anuj > > > > Anuj, > > > > Level II data would need to be licensed from the exchange or ECN that > > generates it. > > > > What we have at FIX is schema to publish algorithmic trading order > > types. It’s used when you want to allow others to use your > > algorithmic trading strategies. It defines the specific parameters > > that must be specified, and how they must be sent to cause the > > strategy to execute. It has nothing to do with how the algorithmic > > trading strategy (sometimes called a “black box”) operates > > internally. > > > > The FIX standard is designed to be an interface between the Sell-Side > > (creators of algos) and the Buy-Side (users who are not creators). > > It’s also very handy for quant shops to use internally - the > > internal gurus make up all sorts of new algorithmic trading strategies > > for the in-house proprietary traders to use. Each of these is > > expressed in this new standard XML format. The proprietary traders > > drop these xml files into their order management systems, and up pops > > the trade tickets, all tuned to that specific new algo strategy, > > complete with order entry workflow, help during the order build > > process, field by field level validation, and a final comprehensive > > set of rules for validation (across all fields) that may be run after > > all parameters have been populated (such as when the “send order” > > button has been pushed.) Quant shops can then offer their traders the > > full set of their in-house algo strategies right alongside the > > externally available strategies without any recoding of the OMS. It > > provides very good isolation between the order management system (with > > its human computer interface/GUI) and the actual execution systems. > > > > You can see all the documentation plus numerous xml instance files > > describing various algos, from 15 different firms, by logging in on > > the FIX site (guests may register quickly and for free at: > > [http://fixprotocol.org/register/](http://fixprotocol.org/register/) ). You then log in and go to: > > [http://fixprotocol.org/working\_groups/algowg/documents](http://fixprotocol.org/working_groups/algowg/documents). From there you > > can access all the .xsd and .xml files used to define algos. > > > > Just a quick note – the FIX standard expresses an algo strategy in > > XML. However, contained in that XML is the map between parameters on > > the trader’s screen and standard FIX Protocol (ascii tag=value) > > format to be placed “on the wire”. So there is no XML used in > > actually sending the order out of the OMS. All of that is standard FIX > > protocol (for example FIX 4.2 format). > > > > Also, most market data (last sale, bids, offers, etc.) is not > > expressed in XML. XML is thought to be too heavy a solution for huge > > volumes of market data. > > > > For some examples of data formats for market data take a look at some > > of the options here: > > [http://www.batstrading.com/subscriber\_resources.php](http://www.batstrading.com/subscriber_resources.php) > > > > Rick at [ITSdoc.org](http://ITSdoc.org) ---
**Author:** ![varunkumaryadav\_x](https://avatars.discourse-cdn.com/v4/letter/v/258eb7/32.png) [@varunkumaryadav\_x](https://forum.fixtrading.org/u/varunkumaryadav_x)\ **Post date:** [May 3, 2008, 1:04pm UTC](https://forum.fixtrading.org/t/sample-data/1457/6 "2008-05-03T13:04:59Z")
Hi Ameya, It is possible to program any algorithm for NSE or BSE but you would have to take permission from the exchange and other formalities to be done. Regards, Varun > Hi Anuj, > > I was curious to know wether we can program this algorithm of level II > boxes for all the exchanges, especially the Indian exchanges (BSE, NSE). > > We are a consulting group in India, looking forward to provide FIX > products to Indian investment hubs, hence we are running a leg for > programming products compatible for Indian markets. Thank you. > > Regards, > > Ameya Nisal ---
**Author:** ![rick.labs](https://avatars.discourse-cdn.com/v4/letter/r/5daacb/32.png) [@rick.labs](https://forum.fixtrading.org/u/rick.labs)\ **Post date:** [May 5, 2008, 3:43am UTC](https://forum.fixtrading.org/t/sample-data/1457/7 "2008-05-05T03:43:08Z")
My understanding is program trading in India requires regulatory approval granted in advance. During registration, all the internal math/logic models must be fully exposed in painstaking detail. As a result, the market for algorithmic trading Indian markets tends to be underdeveloped. There are however, sophisticated algorithmic trading development groups in India building models for proprietary use in non-Indian markets. Also, there are plenty of top notch Indian born programmers working outside India to develop algorithmic trading techniques for deployment in various world markets. Were India to modify its disclosure laws, my guess is the market opportunity would be very quickly addressed by several local and international algo experts. > Hi Ameya, It is possible to program any algorithm for NSE or BSE but > you would have to take permission from the exchange and other > formalities to be done. > > Regards, > > Varun > > > Hi Anuj, > > > > I was curious to know wether we can program this algorithm of level > > II boxes for all the exchanges, especially the Indian exchanges > > (BSE, NSE). > > > > We are a consulting group in India, looking forward to provide FIX > > products to Indian investment hubs, hence we are running a leg for > > programming products compatible for Indian markets. Thank you. > > > > Regards, > > > > Ameya Nisal ---
**Author:** ![raghavendrahegd\_x](https://avatars.discourse-cdn.com/v4/letter/r/da6949/32.png) [@raghavendrahegd\_x](https://forum.fixtrading.org/u/raghavendrahegd_x)\ **Post date:** [May 5, 2008, 5:04am UTC](https://forum.fixtrading.org/t/sample-data/1457/8 "2008-05-05T05:04:18Z")
I think even the DMA also has a lot of regulatory approvals in India, so if at all you want to use Algo Strategies for DMA orders, you may have to expose all your strat logics to the regulatory body along with your DMA platform details…a recent notification from BSE —[http://bseindia.com/dma.asp](http://bseindia.com/dma.asp) > My understanding is program trading in India requires regulatory > approval granted in advance. During registration, all the internal > math/logic models must be fully exposed in painstaking detail. As a > result, the market for algorithmic trading Indian markets tends to be > underdeveloped. > > There are however, sophisticated algorithmic trading development groups > in India building models for proprietary use in non-Indian markets. > Also, there are plenty of top notch Indian born programmers working > outside India to develop algorithmic trading techniques for deployment > in various world markets. > > Were India to modify its disclosure laws, my guess is the market > opportunity would be very quickly addressed by several local and > international algo experts. > > > Hi Ameya, It is possible to program any algorithm for NSE or BSE but > > you would have to take permission from the exchange and other > > formalities to be done. > > > > Regards, > > > > Varun > > > > > Hi Anuj, > > > > > > I was curious to know wether we can program this algorithm of level > > > II boxes for all the exchanges, especially the Indian exchanges > > > (BSE, NSE). > > > > > > We are a consulting group in India, looking forward to provide FIX > > > products to Indian investment hubs, hence we are running a leg for > > > programming products compatible for Indian markets. Thank you. > > > > > > Regards, > > > > > > Ameya Nisal