Re: Sample data
Richard Labs / CL&B Capital Management, LLC <>
16 Sep 2007 10:18PM ET
> Hello all. I want to write and test algorithms for level-II quotes for
> options trading. Before anything else, I want some sample data, because
> I want to find out whether this is for me.
>
> This should be easy for those who write their own code. Can you provide
> me some real data, and the schema to interpret it? At the moment I can
> get only simulated data (from marketcetera).
>
> Thank you, Anuj
Anuj,
Level II data would need to be licensed from the exchange or ECN that generates it.
What we have at FIX is schema to publish algorithmic trading order types. It’s used when you want to allow others to use your algorithmic trading strategies. It defines the specific parameters that must be specified, and how they must be sent to cause the strategy to execute. It has nothing to do with how the algorithmic trading strategy (sometimes called a “black box”) operates internally.
The FIX standard is designed to be an interface between the Sell-Side (creators of algos) and the Buy-Side (users who are not creators). It’s also very handy for quant shops to use internally - the internal gurus make up all sorts of new algorithmic trading strategies for the in-house proprietary traders to use. Each of these is expressed in this new standard XML format. The proprietary traders drop these xml files into their order management systems, and up pops the trade tickets, all tuned to that specific new algo strategy, complete with order entry workflow, help during the order build process, field by field level validation, and a final comprehensive set of rules for validation (across all fields) that may be run after all parameters have been populated (such as when the “send order” button has been pushed.) Quant shops can then offer their traders the full set of their in-house algo strategies right alongside the externally available strategies without any recoding of the OMS. It provides very good isolation between the order management system (with its human computer interface/GUI) and the actual execution systems.
You can see all the documentation plus numerous xml instance files describing various algos, from 15 different firms, by logging in on the FIX site (guests may register quickly and for free at: http://fixprotocol.org/register/ ). You then log in and go to: http://fixprotocol.org/working_groups/algowg/documents. From there you can access all the .xsd and .xml files used to define algos.
Just a quick note – the FIX standard expresses an algo strategy in XML. However, contained in that XML is the map between parameters on the trader’s screen and standard FIX Protocol (ascii tag=value) format to be placed “on the wire”. So there is no XML used in actually sending the order out of the OMS. All of that is standard FIX protocol (for example FIX 4.2 format).
Also, most market data (last sale, bids, offers, etc.) is not expressed in XML. XML is thought to be too heavy a solution for huge volumes of market data.
For some examples of data formats for market data take a look at some of the options here:
http://www.batstrading.com/subscriber_resources.php
Rick at
ITSdoc.org
@FIXProtocol
