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FIXML for ETF PCF data
John Greenan / http://www.alignment-systems.com
9 Mar 2007 7:04AM ETHi,
Has anyone ever thought of using FIXML for ETF PCF data?
Some background: At the moment there are a fair number of ETF (exchange traded fund) providers that have many hundreds of ETFs - based on, for example, well known indices such as the FTSE100, CAC40, sectors and countries. To be a market maker in an ETF an investment bank must get the ETF composition - the list of names and numbers of shares held in the ETF to allow them to calculate the basket value and thus be able to trade. The composition changes on a daily basis so this data has to be gathered before the start of the trading day.
Each ETF provider has slightly different formats although some houses use the same software systems and perhaps unwittingly have a common file format. At the moment an investment bank will have to build one interface per file format so very quickly a large amount of custom software builds up within the marker maker.
If the PCF files were represented in FIXML this would allow a lot of custom code to be thrown away and allow new and existing market makers to reduce the lead time to trade a new ETF as technology will not have to run to catch up with the business.
Just an idea; but it'd be good to see if anyone from the big players such as iShares, Axa, Lyxor, State Street and Indexchange (to name a few) is interested in adopting this idea.
I've posted this to List Trading as it may be possible to re-use the list message but I'm open to other suggestions.
Regards,
John
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