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MDDL Technical and Vocabulary Feb. 27 Working Meetings Summary

March 5, 2001


Participating Organizations

Associated Press, Bank of NY, Bloomberg, Bridge, Clearnet, Deutsche Boerse, Dow Jones, Fidelity, Financial Times, Fin Portfolio, FISD, Goldman Sachs, Interactive Data Company, Jordan &Jordan, Lipper Analytics, Merrill Lynch, Morgan Stanley, Morris Group, Multex, Nasdaq, Primark, Reuters, SIAC, Soliton Associates, Standard & Poor's Corporation, Sungard, SWIFT, Telekurs Financial, Thomson Financial

Executive Summary

  • This was the initial meeting of the MDDL Technical and Vocabulary Working Groups. The principal task was definition and agreement on objectives, deliverables, operational structure and communication.

  • The objective of the Technical Committee is to address issues related to the structural model of the data. The first tasks are:

1. To review the architecture, structure and rules of existing XML financial standards (e.g. FpmL, XBRL, NewsML, see FISD links) and evaluate their applicability to MDDL requirements.

2. To begin to develop the functional specification based on real-world user case applications (i.e. specific and granular examples of how firms expect to use MDDL).

  • The objective of the vocabulary Committee is to define the scope of the standard and to identify the specific data sets to be covered. The initial tasks are:

1. To review the data attributes covered in the Bridge MDML specification, Dow Jones MDML DTD, the categories, groups and attributes that comprise the Classification of Financial Instruments (CFI) standard (ISO 10962) and the ISO 15022 Data Dictionary Standard.

2. To build the MDDL data dictionary (see list of broad categories, domains and classes).

  • FISD will appoint co-chairs (one user firm, one vendor) for each of the working groups. Chairs will be asked to participate on the Steering Committee and to ensure cross-committee discussion and workflow coordination.

  • All working group activities will be published on the FISD web site. A separate MDDL segment will be created on FISD.net. The web will serve as the primary document delivery channel. We will set up an e-mail communication mechanism through yahoo e-groups and will explore other methods of facilitating remote project management.

MDDL Mission Statement (Draft 2, changes in red)

Market Data Definition Language (MDDL)

The mission of the activity 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 and 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 will focus on broad field definitions for market data content, applicable to multiple asset classes.

  • The initial focus of MDDL will be end-of-day and snapshot applications that can be extended to historical, streaming real-time and interpretative and vendor-specific data models as appropriate.

  • MDDL will accept extensions to permit vendor-specific content.

  • The MDDL standard will be ratified by a 2/3-majority vote of the MDDL Steering Committee.

  • Intellectual property rights in MDDL will be retained by the Financial Information Services Division (FISD), but freely licensed and made available on an "as is" basis.

The overriding issue on the scope of MDDL is one of practicality and the ability of the market data industry to develop a useful standard in a reasonable time frame (current target is June 2001).

Technical Committee Minutes

Scope of MDDL

A significant part of the initial discussion was devoted to the scope of MDDL and whether the standard would be structured for end-of-day, intraday snapshot, historical, real-time or transactional applications.

  • The discussion suggested that the most important distinction was between static (i.e. end-of-day, historical, snapshot) versus streaming data (i.e. real-time interchange between systems).

  • A clear distinction was also made on decisions related to the scope/depth of data elements included in the standard versus performance issues associated with steaming data applications. The Technical Committee will design toward static data with an emphasis on including a robust/broad number of data fields.

  • Performance issues are important, but are secondary to issues of data field depth. It's important that the Technical Committee fully understand the design implications to streaming data and consciously deal with the ramifications.

Design Issues

Here's a core list of the technical issues that must be addressed by the working group.

1. Technical mechanism -- DTD versus XML Schema.

2. The risks/benefits of a hierarchical (product-based) versus a thesaurus (flat, terminology-based) structure.

3. Morph versus grow-our-own. How much of the MDDL architectural and structural approach can be leveraged from existing XML standards versus what must be developed for our specific application.

4. Elements/tags versus attributes.

5. Name space versus no-name space.

6. Design structure for extensibility -- for product, field and vendor-specific extensions.

7. How strict is the MDDL standard? What's the criteria for measuring compliance/conformity?

8. Definition of the technical rules by which the MDML vocabulary is defined.

9. Definition of the request/response data delivery model. What are required data elements versus what are optional data elements.

Technical Deliverables

Here is a list of the core technical deliverables from the initiative.

1. Functional and technical specifications

2. MDDL DTD or schema

3. Documentation at both a programmers and users guide level

4. Examples of MDDL including a repository of pre-constructed formats

Next Steps

1. The members of the Technical Committee are asked to review the architecture, structure, technical approach and rules of existing XML financial standards (e.g. FpmL, XBRL, NewsML, the Bridge specification, Dow Jones DTD, see also FISD links) and evaluate their applicability to MDDL requirements.

2. User firms are asked to begin to develop the functional specification based on real-world user case applications. Case applications are the driver of the specification. It is essential to begin to document the specific and granular examples of how firms expect to use MDDL.

The next meeting of the Technical Committee is being scheduled for the week of March 19. Details to follow shortly.

Vocabulary Committee Minutes

The objective of the Vocabulary Committee is to determine what's included in the MDDL data dictionary. The objective is to make the standard as broad as possible within the realm of practical reality and in line with the implementation deadlines.

Market Data Categories

The Vocabulary Committee suggested three broad categories within the realm of MDDL:

1. Financial Instruments. This is information required to trade specific financial instruments, including identifiers, current and historical values.

2. Indicators. This is information related to markets and industries that affects values of instruments. Indicators include index values, commercial statistics, macro-economic statistics, and interest rates and exchange statistics.

3. Corporate Events. This is information related to specific corporations or issuers that affects their value or tradability, including corporate actions and fundamental data.

Initial Data Dictionary

Vocabulary Committee members are asked to recommend adjustments to this data structure and to begin to identify all possible classes (sub-domains) that need to be included in the standard.

MDDL Data Dictionary
Category
Domain
Class
Financial Instruments
Commodities
blank
blank
Currencies
blank
blank
Debt
e.g. corporate bonds, mortgage-backed, treasury, government agency
blank
Derivatives
blank
blank
Equities
e.g. exchanges, common, preferred, warrants, intraday, historical
blank
Futures
blank
blank
Mutual Funds
e.g. open-end, closed-end, variable annuities
blank
Options
e.g. equity, commodity, index
blank
Unit Trusts
blank
blank
blank
blank
Indicators
Economic Indicators
e.g. money supply, CPI, GDP, inflation, unemployment, consumer confidence
blank
Exchange Statistics
e.g. index, volume, up/down, highs/lows
lank Industrial Indicatorse.g. productivity, labor costs, inventories, manufacturing capacity, industrial production, capacity utilization
blank
Indices
blank
blank
Rates
e.g. bank interest rates, yields on government securities
blank
blank
blank
Corporate Events
Corporate Actions
e.g. dividends, stock splits, M&A, earnings
blank
Fundamental Data
blank

Next Steps

The members of the Vocabulary Committee are asked to review the data attributes covered in the Bridge MDML specification, Dow Jones MDML DTD, the categories, groups and attributes that comprise the Classification of Financial Instruments (CFI) standard (ISO 10962) and the ISO 15022 Data Dictionary Standard.

FISD will distribute copies of the CFI standard and Data Dictionary standard to Vocabulary Committee members.

The next meeting of the Vocabulary Committee is being scheduled for the week of March 19. Details to follow shortly.

 

 

 

 

 



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