Market
Data Definition Language (MDDL) Technical
Committee Mar. 22 Meeting
April
2, 2001
Organizations
Present
Associated
Press, Bear Stearns, Bloomberg, Bridge, Dow Jones, FISD, Fidelity, FinPortfolio,
Goldman Sachs, Lehman, Merrill Lynch, Morgan Stanley, Multex, Reuters
Meeting
Objectives
The
primary goal of the meeting was to review the architecture, structure and rules
of existing financial industry XML standards/specifications in terms of their
relevance to MDDL. The overall purpose is to resolve the up-front design issues
related to the structure of the standard. The secondary goal was to pinpoint the
user requirements for snapshot data and to ensure that the design goals of MDDL
match the problem we're trying to solve with the initiative.
Next
Meetings
- March
29 -- Technical Committee conference call. 9:00am EST
- March
29 -- Vocabulary Committee meeting. 1:00 EST at Dow Jones. Dial in available.
Contact Mike Atkin.
- April
2 -- User Specification Meeting. 2:00 - 5:00 EST on April 2 at Merrill Lynch.
- April
19 -- Technical Committee Meeting. Location to be confirmed shortly.
Specification
Review |
XBRL:
Extensible
Business Reporting Language, http://www.xbrl.org |
- Good
example of DTD taxonomy
- Attribute-oriented
format
- Potential
model for organizational structure and logistics
- They
have experience with cross-domain development -- common elements across domains
particularly for fundamental data
- XBRL
does cross-country comparison, MDDL will need to do cross-product comparison --
could be a model to emulate
- Vocabulary
link -- overlap of data elements and cross-linking of terminology
|
MPEG
21 | - Audio/video
format
- Primary
interest is in digital rights management
- Might
be useful if MDDL is going to consider more than data specification issues such
as protocols, security, rights, etc.
|
IRML:
Investment
Research Markup Language, http://www.irml.org |
- Defining
an open standard for exchange or research information from an analysts perspective
- Primary
relevancy is on the packaging of multiple sources into a common standard
- Good
example of cross-linking of common fields -- might offer approach on how to ensure
that common fields are aligned
- Vocabulary
link -- unique security identification
|
RIXML:
Research
Information Exchange Markup Language,
http://www.rixml.org |
- Open
standard for investment and financial research
- Expected
to by published April 4
- Primary
focus is on "document meta data" -- i.e. format independent -- focus on the content
of the document
- Relevancy
is approach to meta data and data extraction approach (i.e. how to mine specific
financial information from a general document) -- format-independent data mining
|
FIXML:
Financial
Information Exchange Protocol, http://www.fixprotocol.org |
- messaging
standard developed specifically for the real-time electronic exchange of securities
transactions
- Protocol-related
(MDDL is data related)
- Might
be some data element overlap
- Vocabulary
link -- unique instrument identification
|
MarketsML:
Markets
Markup Language |
- Internal
Reuters initiative to create a framework for integrating information from multiple
XML formats
- Internal
initiative to solve problems of data comparison
- Very
early stages of development
- Content
focused, not architecture/tag focused
|
FpML:
Financial
Products Markup Language, http://www.fpml.org |
- Transactional
standard (not directly relevant)
- Very
unique architecture for defining elements. Very few attributes, mostly elements
- Could
provide an architectural lesson for MDDL
|
OFX:
Open
Financial Exchange, http://www.ofx.net |
- Focus
is on personal finance
- Not
relevant to Technical Committee but might have a vocabulary link
|
MDML
(Dow Jones): Market
data markup language, http://www.fisd.net/news/0101_dowjones.html |
- Internal
DTD for Dow Jones (in use)
- Attribute-based
- Valid
architectural approach to explore
|
MDML
(Bridge): Market Data Markup Language,
http://www.fisd.net/mdpolicy/1100_mdmlspec.pdf |
- Draft
market data specification for Bridge
- Valid
architectural approach to explore
|
SWIFT:
http://www.iso15022.org,
http://www.swift.com |
- Message
format for transactions based on ISO 15022 Data Dictionary
- Vocabulary
link -- unique security identification
- Proprietary
design based on SWIFT message format, not relevant to architectural approach
|
NewsML:
News markup language, http://ww.iptc.org |
- Good
generic DTD for identifying third party vocabulary/lists
- Useful
model for cross-list management - makes it easy for vendor extraction by separating
the mechanism of access from the content.
- Architectural
relevancy is as a bridge between standards including vendor specific content (list)
|
Maintenance
Maintenance
of MDDL cross-reference is a core issue. The vocabulary list is huge and dynamic.
This is a critical question for both the Vocabulary and Steering Committee. Must
be able to answer the question of who is going to fund maintenance.
Security
Identification
Unique
security identification is the common denominator among all financial XML initiatives.
This is also the link between the technology and vocabulary committees. The unique
identification of "things" must be addressed at the outset of this work!
XML
Tool Vendors
MDDL
participants want us to expand the reach of the activity to include the XML tool
suppliers including Oracle, TIBCO-extensibility, Sunsoft, Microsoft, and IBM.
User
Application Requirement
There
is broad consensus among FISD members that user applications are the key driver
of the MDDL initiative. As such, both the Technical and Vocabulary Committees
are interested in the development of user case examples on how MDDL will be applied
in real-world situations. User firm participants agreed to coordinate their efforts
toward the development of a functional user requirement.
The
operating assumption is that user firms distribute a significant amount of pre-defined
snapshot data to a wide variety of database applications. As such they spend a
lot of time and money translating market data formats and modifying applications
for internal communication. The basis of the user requirement is for MDDL to:
1.
Support multiple vendors
2.
Common communication interface to various vendors
3.
Common request format for different vendors with standard request types and field
names
4.
Standard snap request by vendor specific instrument names or by vendor independent
ISIN, exchange code, instrument type (or any combination)
5.
Dynamic (user pull) snapshot data elements to be included in request/response
6.
Allow requests for vendor specific fields
7.
Allow requests for vendor specific services
8.
Each request must contain user, application and host information. Each request
to a service must be made with user information to allow entitlement checking
or entitlement checking must be done by our application.
9.
For all standardized requests, response must use standard field names
Among
the most common fields required for snapshot applications are: bid, ask, last,
previous close, high, low, exchange, previous close date, cumulative volume, trade
time, open and close.
MDDL
Functional Specification
OUTLINE
(draft 3/19/01)
Preface
(and acknowledgements)
Section
1. Introduction
Section
2. Scope
Section
3. Executive Summary
Section
4. MDDL Structure
4.1
Design goals (paradigms to which we have adhered)
- Hierarchical
versus flat
- Elements
versus attributes
- Extensibility
- Name
Space
- Request/Response
mechanisms and brief/full content
- DTD
versus Schema
- Conformance
and Compliance
4.2 Vocabularies
(market categories, domains, classes; data definitions or controlled lists)
http://www.fisd.net/reports/xml_030501datad.xls
4.3 XML
models (concepts generated or borrowed from existing work)
4.4 Elements
4.5 Attributes
Section
5. Relation to Other XML Initiatives
The
MDDL domain, as regards … (list needs to be fleshed out)
XBRL
FIXML
IRML
/ RIXML
SWIFT / ISO specs
FpML
NewsML / NITF …
SOAP
Section
6. Deliverables
6.1 Discussion
of Appendices
6.2 Description
of Website (www.mddl.org?)(w/contact links)
6.3 Maintenance
Committee Organization and Change Process
6.4 Reference
to API Tools and Validation Software
Section
7. References / Bibliography
Appendix
A Technical Specification
DTD
and/or XML Schema (examples and diagrams as needed)
Appendix B Technical
Documentation (to support Appendix A)
Appendix
C User Documentation
Implementation
Guidelines
Examples,
Diagrams
Appendix
D Data Dictionaries (from Vocabulary Committee)
Appendix
E Vocabularies (from Vocabulary Committee)
Design
Comparison of NewsML and NITF
This
is an example of ways to define the intended scope of MDDL:
Category
- NewsML
and NITF are both in the news industry domain (versus auto, aerospace, etc.)
Structure
- Both
are DTDs (as opposed to schema)
Nature
of Application
- NewsML
is a wrapper
- NITF
is a text format
Content
Focus
- NewsML
is database centric
- NITF
is document centric
Summary
- NewsML
is a container for multiple objects of any data type that make us a news story
- NITF
is used to mark up news articles -- within or independent of NewsML
Navigate
A
simple diagram would show NewsML as an outer container for discreet objects, which
may be test, graphic, photo, audio or video. Alternate versions of any object
may exist. A test object typically would be labeled as being NITF. The diagram
could have visual links to data providers (such as companies or stock exchanges)
and to customers (such as news aggregators).