Imported from previous forum
[This was sent to alpha participants, posted here for broader distribution]
UPDATED schema files for the new Algorithmic Trading Standard being developed at FIX are now available at:
http://www.fixprotocol.org/working_groups/algowg/documents
You are being notified of these new files because there was a major reorganization of the basic structure; however note that no individual data elements were eliminated or modified by this. This was done for clarity purposes and to enable efficient coding during implementation. Since you downloaded a prior set of these files the Algo Work Group felt obligated to directly notify you of these new files to keep you up to date. Only major file revisions will result in an emailing to you. If by chance, over the past couple of days, you were sent files version 2-2-7 we apologize for this duplication; your 2-2-7 file set is the most current version.
Progress continues at the Algo Work Group at a very rapid pace. We are directly working with virtually every major broker dealer to insure they fully understand how they can apply this new FIX standard and easily express their algorithmic orders in the new standard xml format. Feedback and participation has been outstanding.
The Algo Work Group is working towards a deadline of 7/15 to have the majority of the algo providers in a verifiable position to fully support this standard as soon as it is fully implemented. This sell-side readiness is demonstrated by having numerous sell-side firms thoroughly understand the new xml format, and have actually run up several of their standing algos, and submitted those files to the public xml file test set. Three examples of files from that growing test set are actually included in the current file set. These match the new 2-2-7 version of the schema files.
Some parameter names and strategy names may be scrambled to protect intellectual property but otherwise all of the sample xml files are identical to live algos actually in use in the marketplace today. A major news announcement showing all the sell-side entities that are standing ready to support this new standard, complete with their xml instance file samples, will be released for broad media distribution in that mid July timeframe.
After 7/15, the Algo Work Group will turn the bulk of its attention back to address the need of the OMS and the Buy-Side communities. Starting in June last year, the group conducted in-depth interviews with five major OMS vendors and listened very carefully to their needs. Over this past year the group has met weekly and worked extensively in between meetings on a dependable, low risk xml solution that is expected to be easily implemented. What will be released into beta testing on 7/15 is well thought through, thoroughly alpha-tested, and broadly supported.
Broker dealers and other algo providers, that have not done so previously, are strongly encouraged to provide example algos run up in this new xml format by the 7/15 deadline. The Algo Work Group is fully prepared to provide high-level technical support to that effort. At any point in the process technical questions may be submitted to algotech@fixprotocol.org. The target response time is one business hour in the Eastern Time zone.
It is currently anticipated that some OMS vendors may be in a position to utilize quick translations (xslt) from this new FIX standardized xml directly into their standing, proprietary internal formats. Adoption by these vendors could be extremely rapid, perhaps on the order of just a few weeks. Others may have significantly longer implementation cycles, particularly if they also use this as an opportune time to reexamine, and perhaps reengineer their internal data models, refactor their existing code bases, or otherwise fine tune their solutions to allow even greater service orientation for supporting complex, next generation algorithms.
Attached to this email are two articles recently published on the new standard covering the basics, plus offering several glimpses into where the standard might lead in a few years. Executing algorithms in open collocation facilities directly hooked to exchange backbones, and running multi product algos (for instance some combination of debt/equity/future/options/FX all in one algo order) are a few of the exciting futuristic possibilities explored.
Lastly, here is a very good pointer to an executable file that is NOT located at the FIX website: http://trac.marketcetera.org/trac.fcgi/wiki/FIX/AlgoValidator. This is a small Java executable file (.jar) that is a (lint like) validation tool that can help check through algo instance file drafts and flag certain common errors. It’s written in Java and is open source. The firm that provided this tool is Marketcetera, a new member of FIX that has also contributed significantly this new draft standard.
All released file sets and documentation may be found at:
http://www.fixprotocol.org/working_groups/algowg/documents
Technical people will readily understand in any alpha or beta testing cycle that written documentation generally lags and is only periodically brought up to date. The best place to find the details is in the files themselves; a change log is included at the bottom of each file. Don’t be afraid to ask questions because if anything is in the least bit unclear chances are its being worked on, or needs to be further polished in the files, or in the documentation, before this standard goes final. Please do not struggle, just ask, chances are it’s not you!
The Algo Work Group welcomes all participants (both FIX members and non-members) who would like to participate in the technical development and refinement of this standard. There is an official Issues List where you can find a list of the items that are open and most active on the Algo Work Group technical agenda. Version 1 of the standard is designed to provide major benefits, solid clarity and low implementation costs. Future versions are also being worked on with target deliveries two or more years out, using more emerging technologies that were deemed too unstable at this time to move forward with.
If you have any questions or comments please feel to respond. You can email back to me directly or you can email algotech@fixprotocol.org and reach each and every technical person working on the new standard, all in parallel. We look forward to your continuing interest and participation.
Rick Labs
FIX Algorithmic Order Work Group
*Richard J. Labs, CPA, CFA
*CL&B Capital Management, LLC
*7583 Hunt Lane
*Fayetteville, NY 13066-2554
*315-637-0915x11
Hi Rick
Thanks for the update on FIX Algo. Looks very exciting stuff!
Certainly the dynamic GUI side of things is going to be pretty cool to
see in action!
I work with the Prime Brokerage group at [budge bracket broker]. We work closely with our DMA execution teams and so this is an area of interest for me.
In your email you mentioned “Attached to this email are two articles
recently published on the new standard covering the basics, plus
offering several glimpses into where the standard might lead in a few
years.”
These seemed to have been dropped by the discussion board software.
Any chance of you being able to forward these to me at your convenience?
Kind regards
–Mark
Mark,
Thanks for the note. Yes, the uptake has been very brisk! We have every major broker dealer cued up to provide FIX standard .xml files of their algos and a majority of them will have those ready to go by 7/15. Your firm has the first one done, and the rest are expected within a day or two of being completed.
Just a few minutes ago a high end boutique tech firm sent me screen shots - they already have a solution that reads all the xml files, draws the order tickets on the screen, and prepares the standard FIX order message out the back end. As long as the xml files validate, they are good to go with the press of a button. Imagine having a set of over 100 algos, all from different firms, and you can render each unique order ticket on your screen with the touch of a button? Tomorrow you look at another full set of 100 just by getting tiny updated xml files via FTP or email? Very exciting stuff!
I’m sorry the two published articles were not posted. Since they were commercial magazines that published them I don’t have permission to freely post them open to all on the web. Thankfully however we do have permission to one-on-one email them to people privately so I’ll send them directly to you. If anyone else is interested in the articles they can post here or email me directly and I’ll send them right out.
Keep an eye on this new algo standard – it’s sure looks like it’s going create quite a stir in the mid July timeframe!
Rick