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| Market Data Definition Language (MDDL) |
Contents
[December 26, 2002] Market Data Definition Language (MDDL) is an XML specification designed "to enable the interchange of information necessary to account, to analyze, and to trade financial instruments of the world's markets. It defines an XML-based interchange format and common data dictionary on the fields needed to describe: (1) financial instruments, (2) corporate events affecting value and tradability, and (3) market-related, economic and industrial indicators. Financial instruments include identifiers and current/historical values; corporate events include specific corporate and instrument information affecting value and tradability; market-related information includes economic and industrial indicators. The principal function of MDDL is to allow entities to exchange market data by standardizing formats and definitions. MDDL provides a common format for market data so that it can be efficiently passed from one processing system to another and provides a common understanding of market data content by standardizing terminology and by normalizing the relationships of various data elements to one another... From the user perspective, the goal of MDDL is to enable users to integrate data from multiple sources by standardizing both the input feeds used for data warehousing (i.e., define what's being provided by vendors) and the output methods by which client applications request the data (i.e., ensure compatibility on how to get data in and out of applications)." [adapted]
[December 19, 2003] FISD XML Messaging Specification for Real Time Streaming XML-Encoded Market Data. The Software and Information Industry Association's Financial Information Services Division has released a beta version of FISD's XML Messaging Specification: fisdMessage Reference Guide, together with Appendices and Enumerations. The fisdMessage specification defines a standards-based way of delivering XML content like Market Data Definition Language (MDDL) information between a data provider and consumer. The fisdMessage specification is the realization of a standards-based realtime streaming data feed; it defines an industry-standard data feed protocol for transmitting statically formed content. The proper implementation of an fisdMessage enabled data feed thus allows a consumer to accept encoded XML content from any fisdMessage enabled provider. It is intended that applications (via toolkits) that implement this protocol faithfully, consistent with XML processing guidelines, will enable senders to distribute high-volumes of content changes in the lowest possible bandwidth while maintaining the ability to add content without breaking processing applications. This document uses the Market Data Definition Language (MDDL) to illustrate examples and demonstrate the functionality. MDDL is a specification based on the XML standard to enable interchange of data necessary to account for, to analyze, and to trade instruments of the world's financial markets."
[August 25, 2001] MDDL Overview. The goal in the MDDL project is to "define a publicly available standard that provides a generic XML-based interchange format on the fields needed to describe financial instruments (including identifiers and current/historical values), corporate events (including specific corporate and instrument information affecting value and tradability), and market-related information (including economic and industrial indicators). The goal is to promote data interoperability. MDDL is an open standard; anyone interested in the work of MDDL is free to participate. MDDL will focus on broad field definitions for market data content, applicable to multiple classes. The initial focus of MDDL will be end-of-day and snapshot applications that can be extended to historical, streaming and interpretative and vendor-specific data models as appropriate. An MDDL Steering Committee provides oversight of MDDL, operational management of the standards development process and external relations. A Technical Working Group sefines the structural model of the data including the architecture, structure and rules of MDDL. A Vocabulary Working Group defines the scope of the MDDL standard and identifies the specific data sets to be covered."
[November 06, 2001] FISD Publishes Market Data Definition Language (MDDL) Version 1.0. An announcement from the Financial Information Services Division of the Software and Information Industry Association (SIIA) describes the publication of the Market Data Definition Language (MDDL) Version 1.0. MDDL is "a publicly available standard that provides a generic XML-based message format and glossary of fields needed to describe financial instruments, corporate events, and market related indicators. The function of MDDL is to promote data interoperability as well as to provide a standard taxonomy for market data. MDDL Version 1.0 covers equities, mutual funds, and indices; future versions will be expanded to include all financial information necessary to account, analyze, and trade within a market. The initial use of MDDL is for end-of-day and snapshot applications but it has been designed to be extensible to streaming, historical, and other applications as appropriate." Acccording to Mark Hunt (Director of XML Strategy at Reuters, and Member of the MDDL Steering Committee), the MDDL V1.0 standard is "an important milestone in the financial services industry's use of XML, and will allow vendors and users alike to make more of their data."
[2001-08-24] Project status: "MDDL is being developed actively in preparation of its inaugural release at the World Financial Information Conference on Nov. 2, 2001. The current version is 0.92-beta which is changing daily while specifics are refined and data terms are clarified. A version 1.0-beta is expected in the middle of August 2001..." A notice of 2001-08-15 indicates that MDDL "remains on target for a Fall 2001 rollout."
MDDL documents from 0.92-beta release, 11-July-2001:
MDDL glossary: "The MDDL contains unique financial terms with their definitions as included in the MDDL specification. The definitions for each of the terms can be provided in multiple languages. The glossary entry also includes a reference to the type of the data included in the property for proper validation of the content in that field ..." [cache 2001-08025]
Mailing lists: "FISD maintains two public discussions on Yahoo Groups. To participate in the MDDL discussions you must first sign up for a Yahoo ID. All participants are free to join any MDDL group. For help joining the MDDL discussions on Yahoo Groups, please contact Tom Andresen, FISD Coordinator... The Financial Information Services Division (FISD), a divison of the Software & Information Industry Association (SIIA), has created the MDDL Technical Committee to operate within the MDDL Working Group for the purpose of promoting communication on issues related to the structural model of the data including the architecture, structure and rules of MDDL. The MDDL Vocabulary Committee has been set up for the purpose of promoting communication on issues related to defining the scope of the MDDL standard and to identify the specific data sets to be covered. Moderator for the lists: Mike Atkin, the Vice President of Financial Information Markets."
"Draft Version of XML-based Market Data Language Released MDDL Aims to Standardize Market Data." By Cristina McEachern. In Wall Street and Technology (July 06, 2001). "The Software Information Industry Association's (SIIA) Financial InformationServices Division (FISD) has released the draft version of its Market DataDefinition Language (MDDL) specification. The first version, 0.9, is an XML-based interchange format for market data covering global equities, indices and collective investment vehicles. The MDDL working groups will release the beta version 1.0 of the MDDL specification on August 15th with the final launch of the specification expected at the FISDs World Financial Information Conference October 30th to November 2nd... Firms will need to create a 'translation table' as Atkin calls it to take in the data from vendor feeds, translate into MDDL and input into their applications. But Atkin says that some vendors may publish directly in native MDDL, which would eliminate the work on the firm side for data translation. 'If a vendor is publishing in the common format, no problem, it goes right into the application,' says Atkin. 'But if the vendor isn't, then the firm would need to have translation software.' The draft specification of MDDL version 0.9 includes an MDDL XML schema, MDDL XML DTD, MDDL references XML schema, MDDL glossary/data dictionary and a sample style sheet for the glossary. The specification includes files, diagrams and examples, which is available on the FISD.net site. Before the beta launch of version 1.0 in August the FISD and MDDL working groups will continue to update the specifications with product hierarchies, glossary definitions and change management or a method for updating the data in the glossary. The MDDL specification will also be interoperable with other XML initiatives such as NewsML, IRML, FPML, RIXML and others, says Atkin. He uses an example of NewsML used in newspapers for financial stories with stock prices referenced in MDDL within NewsML format..."
[December 20, 2003] "To Boldly Go." By Martin Sexton (London Market Systems). In Financial IT [IncisiveMedia] (October 2003). "Since 2000, a number of industry and proprietary XML standards have emerged, raising concerns that there were too many XML vocabularies being developed. This has led to a general misconception that the market is full of competing XML standards, causing many participants to adopt a wait-and-see approach.' At the end of 2000 ISO 15022 Second Edition was initiated, its goal being to encourage convergence of industry-wide standards to create a single financial repository. The initial challenge was to merge SWIFT (post-trade and settlement) and FIX (pre-trade and trade) into a single XML standards framework. Discussions are now under way on the integration of MDDL (market data pricing and reference data, including corporate actions), FpML (derivatives trading), and TWIST (FX, money markets and commercial payments). The original delivery date for the ISO 15022 XML standard was December 2003, though to ensure the standards are properly integrated, tested and agreed this date has moved to mid-2004. Given the scope and plans of each standard is publicly available, one should not be concerned about committing to industry standards. Fears of being an early adopter should be balanced against meeting the needs of your organisation. Taking part in defining the standards will ultimately ensure the needs of your organisation are met. Financial standards landscape The working group behind ISO 15022 Second Edition produced an initial roadmap that is summarised in the diagram on the next page. It shows the Trade lifecycle and the scope of the existing 'non-XML' standards that are planned to be reverse engineered to produce the XML variants. Since its inception, ISO 15022 Second Edition has been expanded to include the other XML standards, FpML, MDDL, and TWIST. The principle driving force behind the creation of these standards has been the impending T+1 regulations. The SIA and GarnterG2 conducted a survey (July 2003) on the industry's efforts toward STP, and one of the report's recommendations was that industry leaders should, 'work with the Securities Industry Association and industry bodies to establish a consensus on STP standards'. Deploying global XML standards offers the opportunity for improvement in trade automation, resulting in tangibles benefits such as reduced staffing levels and shortened trade life cycles, as well as savings in hard currency... In April 2003, at the Defining the Reference Data Standard conference in New York, Keith Berry announced the success story of XML integration projects at Barclay Global Investors. By deploying XML, over 60 market data flat file interfaces were replaced with nine XML interfaces and a further 320 application interfaces were replaced by 75 XML equivalent. Other initiatives include the London Stock Exchange Sedol Master File and the FT Interactive Data pricing files projects; both have opted for MDDL as the delivery format. Potential users should not be concerned about possible standards 'turf wars' or whether or not to use standards in a prescriptive manner. If real business benefits can be identified, one needs to ask 'why are we not using XML standards to solve part or all of our data management needs?' Given the benefits of using XML within the enterprise, there seems little point in duplicating the months of effort these standards represent without taking a good look at what they can offer -- why reinvent the wheel?" [December 26, 2002] "What MDDL Can Do For You." By James Hartley (Chief Technologist, FISD). In Inside Market Data (December 02, 2002). ['As XML takes hold in the financial information industry, Market Data Definition Language (MDDL) is ready to carry the information from producers to consumers -- in a form the sender can easily generate and the recipient can understand.'] "MDDL is the XML specification to enable the interchange of information necessary to account, analyze and trade financial instruments of the world's markets. An MDDL committee -- made up of user firms, vendors and exchanges and coordinated via the Financial Information Services Division (FISD) of the Software & Information Industry Association -- has jointly developed the language. MDDL does not define a protocol per se for communication or transactions, but it does provide a universal way to explicitly identify market data. The specification encompasses all asset classes and supporting data, from equities and bonds to foreign exchange, futures and corporate actions. MDDL 1.0 defined common equities (ordinaries), mutual funds and indices. Version 2.0, available in beta form, adds setup information for bonds. Version 2.1, due the first quarter of 2003, will fill out equities and bonds while adding futures, options, and corporate actions. In addition, a query mechanism -- and a full suite of examples -- will be added over the next quarter. Additional features are added as FISD or MDDL members require it. MDDL focuses on the accuracy of the reporting of market data -- clearly specifying the content, its source and its relationship to other relevant facts. An MDDL document is an encapsulation of market data to describe the current status, valuation or defining parameters of an instrument at a specific instance in its lifetime. With a common encapsulation structure like MDDL, the user firm can have a standards- based infrastructure that is easily expanded. At least three major global brokerage/ investment houses have chosen XML to solve their internal problem. They expect to realize a cost savings over current practices by transforming all incoming data into a common internal XML framework. The new infrastructure permits the dissemination of wrapped existing content while permitting the introduction of new data in a phased approach. The data will be converted and inserted when available. No change to the infrastructure is necessary, and the end user application can be upgraded when convenient..." [June 24, 2002] "FISD Market Data Definition Language (MDDL) Version 2.0 Beta. MDDL Version 2.0 (Fixed Income) Scheduled for Release July 1, 2002." - "The beta version 2.0 of FISD's Market Data Definition Language (MDDL) covering the information required to set-up municipal, corporate, government and agency bonds is scheduled for release on July 1, 2002. The market data industry is encouraged to provide comments on the vocabulary structure, terms and definitions. The working spreadsheet (version 5c) of MDDL 2.0 vocabulary and hierarchical relationships is now online. The decision on the scope of 2.0 was made during the June 18, 2002 MDDL working meeting in NYC. FISD is working to deliver a functional MDDL specification to meet the application requests of the Bond Market Association's Security Master Database Project. Version 2.1 will cover the information required to disseminate price, yield and accrued interest data and will be released shortly after v2.0. In addition to the decision on the scope and timeframe for MDDL v2.0, the following issues were discussed during the working meeting. There will be no modifications to 1.0. Edits and missing features will be incorporated into v2.1. MDDL 2.0 terms and definitions need global review and validation. FISD is appending definitions in the following order - BMA required data elements; ISO standard terms; industry recommendations. Documentation for the vocabulary definitions is being reviewed by a small group and will be released for global review by mid-July (even though the beta specification will be released on July 1, 2002). Richard Robinson (Deutsche Bank) is the chair of the MDDL Vocabulary Committee and is managing the vocabulary process. Comments and suggestions should be directed to him. FISD reinforced its commitment to incorporating MDDL terms and definitions (semantics) into ISO 15022 data dictionary. Comments and suggestions should be directed to Michael Atkin. Practical applications of MDDL are FISD's primary focus. We have spoken with a number of firms in various stages of MDDL development and are interested in finding candidates to test the validity of the MDDL schema. If you are interested in working with us as a pilot case study, please contact Michael Atkin. MDDL 2.0 documentation is in process. The technical specification is being edited and an implementation overview is being written. James Hartley (Reuters) is the Chair of the Technical Committee..." "MDDL: Mapping the Market Data Genome." Presentation by James Hartley (Bridge, FISD's MDDL Technical Committee Co-Chair). At New York City 'Securities Industry News' seminar "Effectively Deploying XML Applications to Ensure Interoperability of Systems," September 13, 2001. New York City. [FISD] 5th World Financial Information Conference. October 30 - November 2, 2001. Landmark Hotel, London England. "The World Financial Information Conference brings together hundreds of senior executives representing exchanges, market data vendors, data redistributors, specialist data providers, brokerage firms, banks and other companies that are working together to shape the future of market data." See the full schedule, [program listing, cache] [August 25, 2001] "How and Where XML is Changing the Markets." By Anthony B. Coates (Reuters). Presented at XML Europe 2001. "XML has taken root in the financial world, but only the first pieces of the puzzle are in place. This paper presents an overview of the available financial XML specifications, what their scopes are, and how they relate to each other in practice. Reuters is the world's largest supplier of financial data, so this is a practical discussion of what is and is not possible at present, and what is in the pipeline going forward. XBRL, FpML, IRML, ISO15022, and others are covered."
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