MDDL (Market Data Definition Language) Key to Market Data Automation

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MDDL (Market Data Definition Language)Key to
Market Data Automation

• Wall Street Technology Association Seminar
• Partners in Information Network Technology
• 13 November 2001, New York, U.S.A.

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Definition

• MDDL is an XML-based specification to enable the
  interchange of information necessary to account,
  analyze, and trade financial instruments of the
  worlds markets.
• Sponsor
• Financial Information Services Division
• Software Information Industry Association
• http//www.fisd.net/ or http//www.mddl.org/

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Presenters

• MDDL User Requirements
• Alex Kogon, Managing Director, Bear Stearns
• MDDL Vocabulary Committee
• Kevin Roche, MDDL Consultant to FISD
• MDDL Specification
• James Hartley, Catalyst, Reuters Group

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MDDL User RequirementsReal World Requirements
for Usability of a New Standard

• Alexander Kogon
• Managing Director, Bear Stearns
• Member, MDDL Technical Committee

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Overview of Discussion

• Market data without standards - Babel of the
  month
• Basic uses types of data for financial
  enterprise
• Vendor data feeds, Application data provision,
  Internal systems communication
• MDDL for vendor data feeds
• Standardized data format, Third party tools,
  Standardized vocabulary set
• MDDL for application development
• Plug-and-play data
• MDDL for inter-systems communication
• Systems have standard communications, Define
  gateways to legacy systems
• The future - to STP and beyond

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Market Data Without Standards

• Proprietary Vendor formats
• Each requires significant resource investment
• Training of staff to understand intricacies
• Development of custom code to process format
• May differ within vendor
• Acquisitions (FT/Muller, Reuters/Bridge)
• Product changes (Reuters Valufeed-gtDatascope)

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Market Data Without Standards

• Non-standard Query/Delivery mechanism
• Complicates developing stable process for
  acquisition
• Multidimensional process must be established to
  handle each feeds idiosyncrasies
• Staff confusion supporting subtleties of
  individual processes
• Reduces choice and flexibility

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Market Data for the Financial Enterprise

• Data Warehousing
• Security Master
• Complete snapshot dump of all securities
• Daily load of new and changed security
  information
• Historical Pricing Corporate Actions
• Daily file of prices and events for securities

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Market Data for the Financial Enterprise

• Application data provision
• Trading and Analytical Systems
• Back-end, security master and pricing data
  application
• Real-time and warehouse data access
• Internal systems communication
• Creates standard method for systems to
  communicate on Security Master, corporate action
  and pricing information
• STP

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MDDL for Vendor Data Feeds

• Standardized data format
• Single processing application for different feeds
  and vendors
• Eliminates good deal of overhead in working with
  new feed
• Reduces investment in and dependence on
  particular feed
• Allows greater flexibility in vendor selection,
  with less focus on the technical aspects and more
  on the business issues
• Data licensing and contractual issues
• Specific data item availability

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MDDL for Vendor Data Feeds

• Standardized vocabulary set
• Third party tools
• Off the shelf processing tools can handle
  standardized MDDL format
• Software vendors can focus on developing product
  features rather than supporting lots of
  proprietary formats
• Reduces need for internal development and support
  of custom systems

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MDDL for Application Development

• Plug-and-play data
• Standardized query/response mechanism allows for
  abstraction of data layer
• Data layer may be off-the-shelf product, ASP,
  custom solution or aggregate
• Architecture highly flexible
• Back-end may be easily switched

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MDDL for Inter-Systems Communication

• Define gateways to legacy systems
• Create bridge software to translate legacy
  systems/data into MDDL, MDDL into legacy standard
• Allows leveraging of existing legacy investment
  into new, highly integrated environment

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MDDL for Inter-Systems Communication

• Standardized communication method
• May query each other for standard MDDL data or
  extended XML data with MDDL data contained
• Standardized Security Master, Pricing format for
  STP
• Provides base language for systems to communicate
  on security identification and pricing details

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The Future TO STP and Beyond!

• Security Master, Pricing and Corporate Action
  standard
• Part of broad XML consortium for various
  financial applications (XBRL, FixML, etc)
• May be incorporated as part of Enterprise-wide
  XML solution

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MDDL Vocabulary CommitteeDefining the
Information to Exchange

• Kevin Roche
• MDDL Consultant to FISD
• Co-Chair, MDDL Vocabulary Committee

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What is Market Data?

• Stock Quotes?
• Trading Volume?
• P/E Ratio?
• Dow Jones Industrials?
• Commodity Prices?
• Prime Rate?
• GDP?

• CPI?
• Unemployment Rate?
• Dividends?
• Stock Split?
• Debt Rating?
• Bankruptcy Filing?

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Market Data Includes

• Pricing of stocks, bonds, funds, commodities,
  contracts from publicly traded exchanges and
  venues
• Other trade-related information and measures
  (symbology, volume, indexes)

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Market Data Includes

• Macroeconomic statistics (public and private
  sector)
• Corporate actions affecting traded instruments
  (share issues, bond default, earnings)

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Building Blocks of MDDL Vocabulary

• Domains discreet elements that form the content
  of market data
• example - stocks, bonds, rates, indexes
• Descriptors terms and concepts applicable to
  market data elements across domains
• example - name, ID number or code, price

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Building Blocks of MDDL Vocabulary

• Controlled vocabularies a set of values that
  further modify descriptors
• trading status descriptor may be qualified with
  normal, delayed, resumed, or others

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Vocabulary Domains Instruments and Asset Classes
Included in 1.0
Annuity
Exchange Traded
Collective Investment Vehicle
Fund
Insurance
Contract
Trust
Money Market
Instruments/Asset Classes
Certificate
Debt
Mutual
Common
Equity
Umbrella
Depositary
Limited
Unit
Partnership
Shared
Preferred
Units
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Vocabulary Domains Indicators Averages
Economic
Included in 1.0
Exchange Statistic
Financial Monetary Rate
Indicators Averages
Index Average
Industrial
Rating
Others
domain class subclass indexes/averages
equity exchange stats new highs economic consu
mer credit industrial auto sales
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Vocabulary Structure Corporate Actions Domains

• Notification
• Descriptive
• Fundamentals
• See http//www.mddl.org/ for the complete list of
  domains
• domain class subclass
• notification dividend cash
• descriptive company profile
• fundamentals earnings

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Vocabulary Structure - Descriptors

• Components Modified by Text/Numeric Values
• Organized Into Hierarchical List of Descriptors

• Instrument Identification
• Issuer Identification
• Valuations
• Measures
• Statistics
• Dates Times
• Currency
• Locations

• Holdings
• Loads and Fees
• Industry
• Asset Class
• Source
• Status
• Indicators
• Features

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Vocabulary Structure Descriptor Examples

• category group class subclass
• instrument identification codes global ISIN
• valuation quantity volume trading
• dates times defined maturity
• location country region

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Vocabulary Structure Controlled Vocabularies

• MDDL will maintain most, including
• open
• close
• change
• instrument status
• market status
• Some will be anchored to ISO or other groups
• country code
• exchange identifier
• currency

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MDDL SpecificationEnabling the Standardized
Interchange of Market Data

• James Hartley
• Catalyst, Reuters Group
• Co-Chair, MDDL Technical and Liaison Committees

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Technical Development

• Data Model from Vocabulary Committee
• products - Domains, Classes, Subclasses
• Levels Derived from properties
• Minimal structure defined
• Main mddl and Optional header
• Major constructs (multiple) for grouping data
• snap for snapshot quotes
• timeseries for quotes (events) over time

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Technical Development

• XML Schema and DTD supported
• Limits some functionality
• Leaves door open for future (schema)
• Element based approach
• Easier to expand
• Facilitates inherited properties
• Schema Adjunct Framework
• Provides glossary of definitions

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Technical Development

• Controlled Vocabularies
• Registered lists of possible values
• EXTENSIBILITY IS KEY!
• Proprietary properties and products in
  other tag
• Concept of references lists
• Internal AND external common data

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Where is MDDL Available?

• http//www.mddl.org/
• http//www.fisd.net/

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MDDL and Other Initiatives

• Extensible Business Reporting Language (XBRL)
• Disclosures and Accounting Reports of Corporate
  Entities
• NewsML and News Industry Text Format (NITF)
• International Press Telecommunications Council
  (IPTC)
• Research Information Exchange Markup Language
  (RIXML)
• Research Reports on Corporations
• Financial Products Markup Language (FpML)
• (OTC) Derivatives and Forex Options Transactions

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When is MDDL to be Released?

• 1.0-draft available on website now
• Documentation to be produced
• 1.0-final released on 02 November 2001 (going
  to website)
• Common Equities, Indices
• Mutual Funds (subset of Collective Investment
  Vehicles)
• 1.1 not set but may include
• Deeper coverage of existing classes or other
  specific products
• Expansion sensitive to globalization
• Support for Security Master STP!
• Query format or other types of data?

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Where is MDDL Available?

• Questions?

Thank You!