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."

Bibliographic Information

FISD's XML Messaging Specification: fisdMessage Reference Guide. Edited by James E. Hartley (SIIA/FISD Chief Technologist, FISD/SIIA, Denver, U.S.A.). 'fisdMessage' Version 1.0-beta Technical Specification. 2003/12/16. Copyright (c) 2003 SIIA Software & Information Industry (SIIA) Financial Information Services Division (FISD). 71 pages. This is the first formal release of this document and is available coincident with the public announcment of FISD Message Version 1.0-beta at the FISD Quarterly Meetings held 10 and 11 December 2003 in New York City. Note: the beta is characterized as a very rough draft made publically available to support discussion of the implementation; reviewers should expect many frequent changes as the current documentation is completed and concerns are addressed.

FISD's XML Messaging Specification: fisdMessage Reference Guide Appendices. Edited by James E. Hartley (SIIA/FISD Chief Technologist, FISD/SIIA, Denver, U.S.A.). 'fisdMessage' Version 1.0-beta Technical Specification Appendices. 2003/12/16. Copyright (c) 2003 SIIA Software & Information Industry (SIIA) Financial Information Services Division (FISD). 70 pages.

Outline of Standard Enumerations. Value, message type mnemonic, description. Updated 2003/12/16. Via 'fisdMessage-1.0-beta-enumerations.xls'] 39 pages.

fisdMessage Overview

"The realities of distributing realtime streaming XML-encoded market data content (like MDDL - Market Data Definition Language) has led to the need for a compaction scheme and messaging protocol for efficiently conveying XML content from sender to recipient. The fisdMessage specification defines session establishment protocols as well as 'on-wire' message structures that are suitable for high-volume high-throughput of statically formed XML documents. Proper adherence to the specification enables any fisdMessage capable receiver to accept all content from any fisdMessage conformant distributor via interactive or broadcast network media...

The fisdMessage specification is intended as a standard protocol for the exchange of XML content. Specifically, fisdMessage facilitates an industry standard protocol for the financial industry to exchange market data content. Note that fisdMessage does not seek to dictate what data is exchanged over such a datafeed, only how that data is delivered. For the financial industry, Market Data Definition Language (MDDL) is the natural choice for market data feed applications but any relevant XML derived specification may be appropriate depending on the capabilities of the provider and the needs of the consumer.

The fisdMessage protocol is predicated on the fact that most data for a particular class of information, as distributed from a source or aggregator, has the same structure when represented in XML. For example, one can abstract that all equities reported from a particular exchange will have the same datafields for each of the instruments traded. This fact is evident in the existing datafeeds that are prevalent in the financial industry -- although the exact fields available for specific instruments varies, the datafeeds are able to deliver the exact same fields for all instruments of a particular class. The fisdMessage protocol capitalizes on this normalization and seeks to formalize a datafeed based on this consistency of source content.

The initial test case for fisdMessage is market data (specifically MDDL) but the protocol is applicable to all XML derived specifications that result in documents that have the same 'static' structure -- the only real differences between one instance of the document and the next being the content of the elements within the document. The protocol provides a structure for delivering the maximum number of updates to the content with the mimimal use of bandwidth -- a key factor in many realtime updating systems.

The fisdMessage protocol utilizes a template that outlines the static structure of an instance document. The template identifies all of the fields within the XML document that are of interest to the datafeed. Individual instances of that template are created to carry the values for a unique dataset of interest - for example, there would be an instance for each stock traded on a particular exchange that references the template of content for that exchange. The protocol uses messages to define a template (or multiple templates), create an instance of a template (also called an 'image' or 'refresh'), and update fields within the instance..." [from the Beta spec]

About MDDL

"Market Data Definition Language (MDDL) is 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.

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.

The goal of Market Data Definition Language (MDDL) 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 focuses on broad field definitions for market data content, applicable to multiple classes. The initial constructs of MDDL are for snapshot and time series applications. MDDL can be extended to historical, streaming and interpretative and vendor-specific data models as appropriate..." [adapted from the Overview]