MDDL Market Data Definition Language MDDLs Role in Market Data Delivery

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MDDL (Market Data Definition Language)MDDLs
Role in Market Data Delivery

• XML on Wall Street
• 20 November 2001, New York, U.S.A.

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MDDL (Market Data Definition Language)MDDLs
Role in Market Data Delivery

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

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Definition

• MDDL is an XML-based specification to enable the
  interchange of information necessary to account
  for, to analyze, and to 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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Who is Involved?

• Sell Side Firms
• Merrill, Lehman, Goldman, Morgan Stanley
• Buy Side Firms
• Fidelity, State Street, Fleet
• Vendors
• Bridge/Reuters, Dow Jones, Telekurs, SP, SIAC,
  FT-ID, Bloomberg
• Exchanges
• NASDAQ, CBOT, Island, other Non-US Exchanges
• Standards (interoperability under investigation)
• IPTC (NITF NewsML), XBRL, SWIFT, ISO 15022
• (note this list is indicative and not
  comprehensive)

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Market Data Without Standards

• Proprietary Vendor Formats
• Each Requires Significant Resource Investment
• Differ Within Vendor - Acquisitions or Product
  Changes
• Non-standard Query/Delivery Mechanism
• Complicates Normalized Process for Acquisition
• Reduces Choice and Flexibility

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MDDL for Vendor Data Feeds

• Standardized Data Format
• Single Application for Different Feeds and
  Vendors
• Standardized Vocabulary Set
• Third Party Tools
• Off-the-shelf processing tools for MDDL format

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Building Blocks of MDDL Vocabulary

• Domains
• Discreet Elements That Form Content
• example - stocks, bonds, rates, indexes
• Descriptors
• Cross Domain Terms Applicable to Market Data
• example - name, ID number or code, price, currency

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Building Blocks of MDDL Vocabulary

• Controlled Vocabularies
• 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 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 Domains Corporate Actions Domains

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

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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 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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Technical Development

• Data Model from Vocabulary Committee
• products - Domains, Classes, Subclasses
• properties Derived From Descriptors and
  Modifiers
• 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!