Ecominds Limited http://blog.ecominds.com Changing Markets Mon, 10 Dec 2007 02:22:24 +0000 http://wordpress.org/?v=2.9 en hourly 1 Federated symbology http://blog.ecominds.com/archives/2007/01/23/federated-symbology http://blog.ecominds.com/archives/2007/01/23/federated-symbology#comments Tue, 23 Jan 2007 10:57:47 +0000 Sigurd Hogsbro http://blog.ecominds.com/archives/3 Anyone who has worked in a cross asset-class trading area of investment banks will be aware of the issue of quality reference data. There simply is no single, cross asset class, authoritative source for identifying all tradable instruments. This leads to a large number of syndication and reconcilliation feeds to ensure no breaks/mistakes occur.

In addition, the trend over the last decade has been towards a proliferation of liquidity points competing for orderflow. This has arisen through advances in technology and decreases in average lot-size arising from DMA flow.

The recent regulatory interventions of RegNMS and MiFID [1, 2] have created further economic impetus for the institutional participants to set up their own trading and price-dissemination facilities, as these players will be obligated to distribute a substantially increased volume increases of quotes/prices. BOAT, LiquidityHub and Turquoise are all manifestations thereof, which will all increase the amount of reference data traders need integrated into their tools.

The growth in OTC/structured products has created a different need: intra-day instantiation of new tradable entities, an anathema for many overnight batch-oriented processes within banks. 24/7 STP implementation suffers from similar problems.

What all these examples have in common is the lack of a common framework to create, replicate and lookup federated instrument related data in semi-realtime.

A solution should exhibit these attributes:

  • open & well-governed standard
  • extensible data-model
  • support wide character sets (using the UTF-8 encoding of Unicode)
  • P2P federation mesh, both internally within and external to an enterprise
  • recursive resolver client library
  • control of federation/lookup at multiple levels
  • leverage existing relevant standards efforts (FIX, FpML, etc)
  • encompass existing vendor/exchange symbology (Reuters, Bloomberg, ISIN, SEDOL, VALOREN, WKN, QUICK, CUSIP, …)
  • security/authorisation support
  • freely available reference platform
  • reference built using free/inexpensive components
  • bi-directional resolution (walking the tree)
  • associated meta-data records with each A-record (attributes such as liquidity, daily turnover, average spread, …)

A possible solution is a concept not unlike DNS name-resolution on the Internet, assuming you consider symbology namespaces to be alike domains. Reusable design elements include SOAs for each namespace, sub-namespaces, record lifetimes/timeouts, A (returns data definition) and CNAME (alias instrument to another, potentially in another namespace) records.

Links on DNS:

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