|
FISD
Launches XML for Market Data Initiative
January 23, 2001 A
large working group of FISD members met on Jan. 17 to launch a formal activity
designed to produce an open XML standard for market data. Tentatively labeled
MDDL (Market Data Definition Language), the primary focus is the development
of a market data DTD/schema on the fields needed to describe a security and its
price. The initial target is a practical and realistic MDDL standard in six months.
Three working groups were created: (1) Steering Committee (responsible for overall
strategy); (2) Technical Committee (responsible for structural design and the
DTD architecture); and (3) Vocabulary Committee (responsible for definition of
the data elements to be included, semantics and terminology). Participation on
the Technical and Vocabulary Committees is voluntary and open to all interested
parties. For more information, contact Michael Atkin (p) 202-452-1600 x361 (e)
matkin@siia.net. Executive
Summary of Meeting FISD
members launched a formal activity designed to produce an open XML standard for
market data. Tentatively labeled MDDL (market data definition language), the primary
focus is the development of a market data DTD/schema on the fields needed to describe
a security and its price. And while good progress was made at the initial meeting,
the full parameters of MDDL have not yet been completely defined/agreed. Refinement
and agreement on the scope of the domain to be defined by MDDL will be one of
the first objectives of the working group. Rationale:
At the outset of the meeting, FISD members quickly established that while
there are a lot of groups working on a number of niche areas within the financial
arena, no one is dealing with the product/price aspects of market data. And since
a lot of what is passed around within firms is product/price data, a common interchange
format among multiple sources of market data is both important and useful. And,
of course, interoperability is the goal so coordination with the other XML groups
in the financial domain was characterized as essential. Strategy:
The initial target is a workable, practical and realistic MDDL standard
(of the most useful fields) in 6 months that can be extended as appropriate. Three
working groups were created: (1) Steering Committee (responsible for overall strategy);
(2) Technical Committee (responsible for structural design and the DTD architecture);
and (3) Vocabulary Committee (responsible for definition of the data elements
to be included, semantics and terminology). Participation on the Technical and
Vocabulary Committees is voluntary and open to all interested parties. FISD membership
is not a requirement. Jeremy Sanders
(Merrill) is the Chair of the Steering Committee. Steering Committee members have
not been finalized. Michael Atkin (FISD) is the staff coordinator (e) matkin@siia.net
(p) 202-452-1600 x 361. Next
Meeting: The first meeting of the Steering Committee is scheduled for
February 5 at Merrill Lynch in NYC. Additional information to be provided shortly.
Why MDDL? The
rationale for MDDL is threefold -- (1) facilitation of straight through processing,
(2) ease of mapping between market data applications, and (3) enhanced market
data product functionality. Straight
Through Processing: T+1 and global straight through processing (GSTP)
are efficiency problems. The global financial pipeline and network is under tremendous
strain and is undergoing whole scale infrastructure and format design (hence the
number of settlement and re-engineering initiatives dealing with post execution
and settlement). The message syntax for GSTP is XML. Applications:
User firms spend a lot of time and money translating market data formats
and modifying applications for internal communication. The goal is to integrate
data from multiple sources into disparate systems throughout the global enterprise
without having to understand how information providers format and package data
internally. The payoff is to shift the focus of internal resources from issues
associated with the "formatting of data" to those associated with the
"quality of data." Product
Functionality: Market data vendors have spent decades building competitive
advantage based (in part) on data delivery. Why would they voluntarily give that
up and participate in MDDL? The honest answer is twofold. (1) In the age of efficiency,
customers will increasingly demand standard data formats and interoperability.
(2) XML can help vendors add value by making the data work for the user rather
than requiring the user to work on the data to derive useful information. For
example, the "meta data" nature of XML will allow a vendor to personalize
information by embedding descriptive data into their products to allow for seamless
browsing and intelligent monitoring/filtering across related data -- such as prices,
news, company information, and economic data. Ultimately, the long-term benefits
of interoperability and product enhancement appear to outweigh the short-term
competitive benefits of proprietary data formats. Parameters
of MDDL The
definition of "market data" is potentially huge and there are currently
a number of independent groups working on niche areas in the financial domain
(i.e. XBRL, FIXML, IRML, and newsML). As stated, there is no current initiative
dealing with the product/price dimension of market data -- which accounts for
a significant portion of data passed around within firms. This is the domain of
MDDL. FISD
members repeatedly emphasized their interest in the creation of a practical, achievable,
and realistic market data interchange meta language. The up-front approach is
to make MDDL evolutionary, not revolutionary -- and to focus on data fields where
there is a high degree of congruence. MDDL will likely be flat, simple to map
and relatively non-controversial (i.e. minimal granularity). The initial focus
is on end-of-day and intra-day snapshot applications that can be extended into
real-time and into more interpretative data models if appropriate. There
are likely to be three stages of "vocabulary" work -- (1) identification
of the broad domain (i.e. equities, currencies), (2) identification of the types
within that domain (i.e. common of preferred for stocks, commercial or floating
rate for currencies), and (3) identification of the specific data points with
the domains and types (i.e. open/high/low for equities, unit per U.S. $ for currencies)
and the detail to be included at the data dictionary level. Other
Issues Intellectual
Property: The intent is to make MDDL an open standard. SIIA/FISD will
own the standard solely for data quality purposes (i.e. to prevent modification
by unauthorized agents). Members issued a cautionary note -- indicating that MDDL
should not incorporate proprietary standards or standards that do not meet open
licensing requirements into the MDDL DTD. Decision-Making:
MDDL will be managed on a consensus basis with final decision making authority
resting on the Steering Committee. Exchange
Participation: FISD members are encouraging exchanges and market centers
to be involved in MDDL. Exchange interest is likely to be threefold: (1) some
of the vocabulary of MDDL will clearly relate to exchange products; (2) there
is a permissioning component that needs to be incorporated; and (3) exchanges
are becoming vendors in their own right. Vendor and user participants just want
to ensure the exchange perspective is incorporated into the development at the
earliest stages. Meeting
Participants Michael
Atkin (FISD), Sudhakar Bandu (Lehman), Mike Benveniste (Fidelity), Dan Berndt
(Morgan stanley), John Bottega (Merrill Lynch), David Breau (Jordan & Jordan),
Jing Chi (Associated Press), Ike Copperman (The Morris Group), Karin Deridder
(SWIFT), Gary Dreiscoll (Lipper Analytics), Avner Gelb (SIAC), Mayauk Gupta (Morgan
Stanley), James Hartley (Bridge Information Systems), Wai-Yee Helfrich (Dow Jones),
Daniel Hong (Bloomberg), Mark Hunt (Reuters), Sumedh Kapoor (S&P Comstock),
Doug Kemp (Bloomberg), Sheila Morrissey (Dow Jones), Stuart Myles (Dow Jones),
Daniel Perez (Dow Jones), Hung Phas (Associated Press), Denise Pollock (Fidelity),
Kevin Roche (Dow Jones), Linda Rolufs (Merrill Lynch Research), Frances Sames
(Bloomberg), Jeremy Sanders (Merrill Lynch), Kim Sever (Jordan & Jordan),
Nat Sey (Financial Times), Craig Shumate (The Morris Group), Pamela Trendell (Sungard
Trading & Risk Systems), Brian Yeah (Jordan & Jordan), Richard Zellnier
(Jordan & Jordan), Tony Zhang (FinPortfolio, Inc)
| |