A few years back when algorithmic trading became a standard tool in the trader’s toolbox the explosion of algorithms from various providers presented a number of challenges for the trading community as well as FPL. These algorithms brought with them a number of new parameters. Orders now had to contain not only what to do but also how to do it. Since the existing implementations of FIX did not have tags to indicate strategies, starting times, and whether to include auctions or not, led to a proliferation of user defined tags that are unfortunately still in existence today.
In addition to standardizing parameter specification, FIX also wished to standardize the way they are delivered to the end-user to further improve the process and to reduce time to market. Previously, providers had to work with multiple vendors in presenting these new order types to their clients. This often required months before a trader got to see a screen to enter orders in.
FPL responded to address the needs of this trend by creating the Algorithmic Trading Working Group. The group solved the above issues sequentially. The issue of the proliferation of custom tags was solved by the Algorithmic Trading Extensions which provided support to express an unlimited number of parameters in a repeating group structure, which is now an integral part of the FIX 5.0 specification. The second problem of delivering algorithms to end-users was solved by FIXatdl. The FIXatdl project chose to use the richness of XML, which is well understood and supported to solve these problems. This would allow providers to release their specifications in computer readable format, as opposed to a long document, allowing end users instant access to the latest versions of their algorithms. This is exactly what the working group did.
There are 4 parts to the standard. The core is used to specify the parameters for the algorithm. This is accompanied by 3 other parts to express the visual layout, validation rules, and the ways in which parameters should interact with each other. The earliest versions of the specification have now been around for a while and following various enhancements, in spring 2010, FPL will launch FIXatdl Version 1.1.
Adoption was slow at the beginning as the space was developing rapidly and the work was substantial. The “chicken or egg” problem between providers and vendors was a difficult one to overcome in the beginning. Why would vendors develop support for this new standard if providers are not delivering their products in this format?
Conversely, why would providers deliver in this format if vendors will not support the standard? With development slowing and the effort gaining substantial traction from both sides of the fence, all the stars have lined up for this new technology to take off.
I recall first hearing about this standard in New York few years ago, when it was just a concept. I signed-up to help the efforts on the spot and helped draft the first specification until I moved to Asia two years ago. I was delighted at a recent demonstration to witness that this standard is gaining significant traction. Shortly thereafter, I saw the video of the panel discussion from the FPL Americas Electronic Trading Conference and it has become clear that this standard will inevitably be the way forward.
Please enjoy the feature article on FIXatdl in this issue of FIX Global. The effort is a great realization of FPL’s slogan where so many industry participants collaborated to solve an industry need for the benefit of all, in one impressive effort. With the official release of FIXatdl to take place in just a matter of months, FIXatdl is now ready for prime time. Look for it in a trading system near you.