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LindFinancialTM API

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Interactions driven by: API binaries and not by published document schemas ... Publishing of XML document structure (schema) is not required ... – PowerPoint PPT presentation

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Title: LindFinancialTM API

1
LindFinancialTM API

XML Technology
for
Electronic Order Entry and Management

Ernesto L. Aparcedo, Ph.D. Director Systems
Development Lind-Waldock Inc., a division of
Refco LLC
2
Agenda

Design Aspects of an XML API
Implementing the LindFinancial API
Developing Order Entry Solutions with the
LindFinancial API
Impact of the New API Architecture
Trends and Future Directions

3
Why a new API Architecture?

Provide a consistent and scalable
Business-Centric API
Maintain High Performance for Interface Clients
and Server Applications
Minimize costs in software development
maintenance and upgrades
Separate data presentation from business
processing
Encoding and Decoding data via XML
Provide abstracted interface to Order Routing
Engine
Establish foundations for Order Routing growth
Preserve current Order Routing investment

4
API Technical Challenges

Scalable and Extensible API
Multiple development platforms client, servers,
desktop, web, wireless, tablet
Multiple Operating Systems Microsoft Windows,
Linux, AIX, Solaris, etc.
Support for different transports
Data must be portable across different computer
architectures

5
Todays Order Entry World

Notable characteristics
Fixed and variable length records. Flat Records.
Records are transmitted remotely through various
communication protocols
Various Message Queuing Systems are being used
(MSMQ, MQ Series)
Must implement a combination of technologies
Multithreading, sockets, etc.
Consequences
Clients require substantial software development
and maintenance costs
Limited portability and scalability

6
Common API Design
7
Flat Record Data Encoding

FIX Record
8FIX.4.2919935D341049VENDOR115CUSTOMER
144CHICAGO EQ56BROKER57DOT143NY522000090
7-09255811ORD_1212110100055KO221482
774611095416020000907-09255638500040244
62.515USD47A1010165
CUSTOM Record
ORDER FIRMXX2837485 683321 FIRMXX 6
200210291BUY 2 MAY03BO24 PUT 180 EW

8
Progressive API design

Separate Interfacing, Data Encoding/Decoding and
Transport
XML for Data Portability and Distribution
Exposure of Transport payloads must be minimized
Abstract technology implementation by using the
Business-centric concepts in its interface
functions
Symmetric construction of functions for clients
and servers
Object Oriented design with portable language
Interactions driven by API binaries and not by
published document schemas
Truly Portable Must run everywhere!

9
LindFinancial API Design
10

XML Data Encoding

ltordergt
ltacct f"532" a"322480" /gt
ltfid t"new" i"342380-N20916164" /gt
ltleg s"BUY" qo"6"gt
ltcc c"ES" mH" y"2003" /gt
ltprice p"1180" /gt
lt/leggt
ltleg s"SELL" qo6"gt
ltcc c"ES" m"Z" y"2003" /gt
lt/leggt
ltmsg t"clerk" m"Clerk message from EAPARCED"
/gt
ltmsg t"order" m"Ticket message from EAPARCED"
/gt
lt/ordergt

11
LindFinancial API Technical Objectives

Preserve Order Routing functionality
Provide a highly scalable and portable system
(Windows, Linux, AIX, Solaris)
Present a consistent API to both the Web, Backend
Server and Order Entry clients
Lay the foundations for an scalable, portable and
distributed Order Routing System
Maintain high performance processing while using
XML
Abstract Transport Layer from Client Experience

12
LindAccess Common Programmatic Interface (CPI)
Framework

LindFinancial API Library
Generic Application Programming Interface (API)
Casino
Data Transport and Multitasking Classes

13
LindAccess CPI Architecture
14
LindFinancial APIBasic Characteristics

Asynchronous Business-centric XML API for Order
Entry Clients and backend processing Servers
Full Abstraction of business functionality from
technical implementation
Extensive support for
Orders, Fills, Status, Alerts, Quotes, Cancels,
Cancel-Replace, Positions, Requests, Funds,
Checks and Heartbeats.
API functionality Over 875 functions, methods,
properties and callbacks.
All Data Encoding in XML
C API Object Oriented Library
Portable to multiple operating systems
Microsoft Windows (98, NT, 2000, XP, .NET, etc.)
Unix (AIX, Linux, Solaris, etc.),

15
LindFinancial APIAdvanced Features

Provides a platform for distributed Order Entry
System
Fully Extensible API library
Order management
Data communication and transports are abstracted
Fully object oriented its functionality can be
inherited or overridden by other libraries
Order Batching and Replay applications
Flexible XML design to support hot technologies
like Web Services
Leverage XML design to support data
transformations (XSLT), storage and presentation.
Ready for B2B use.
Readily integrates with software development
technologies and programmatic clients (COM, ATL,
Microsoft .NET, dynamic linking)

16
LindFinancial API XML Features

Automatic Encoding and Decoding (Parsing)
Publishing of XML document structure (schema) is
not required
Flexibility in providing access to internal XML
To get the order/fill XML
Order_XML GetOrder()
Fill_XML GetFill()
Transform XML as required (with XSLT)
LindFinancial XML to FIXML
XML to HTML for Web
XML to WML for wireless devices
Can import XML into Databases

17
Transport ClassesCasino

Data Communications and Transport C classes
Relevant Transport Protocols can be built as
needed
LindAccess protocol
Efficient Threading model for multitasking
Automatic and integrated Logging
Fast Message Queuing System Orders and Fills are
saved to disk for order/fill recovery and post
processing
Fully Integrated with LindFinancial API and
portable to other operating systems

18
LindFinancial APICurrent Applications

Desktop Clients
C Windows
C/MFC - COM Windows
Visual Basic - COM Windows - LindXpress
C Linux (Automated Trading System)
Middleware Order Processing Server
Web Site clients
Direct Access clients
Order Routing Engine Order Processing
Order and Fills Routing

19
A LindFinancial API Client LindXpress
20
A LindFinancial API Client LindXpress
D E S K T O P C L I E N T
D E S K T O P C L I E N T
Visual Basic Front End
XML COM Component
Client Entry Point
LindFinancial API
Casino
21
LindFinancial APICOM Client

Entering an order in a Visual Basic client (e.g.
LindXpress)
Dim IOrder As LIND_ACCESS_COMPONENTLib.iOrder
Dim ILeg As LIND_ACCESS_COMPONENTLib.iLeg
IOrder.recordType RT_ORDER
IOrder.firm "532"
IOrder.account "L2248"
IOrder.firmIdentifier 371034258796296
IOrder.enteredBy EAPARCED
IOrder.clerkMessage "LindFinancial Futures -
Clerk msg"
IOrder.orderMessage "LindFinancial
Futures - Order msg"
IOrder.numberOfLegs LEG_1
ILeg.buyOrSell TT_BUY
ILeg.quantity 8
ILeg.month MT_MAR
ILeg.year "03"
ILeg.commodityCode "ES"
ILeg.orderType OT_LIMIT

22
LindFinancial APIDirect Order Entry

Entering an Order (C direct access)
Order order
Leg leg
order.PutOrder(BLANK)
order.PutNumberOfLegs(order.LEG_1)
order.PutRecordType(order.RT_ORDER)
order.PutFirm("532")
order.PutAccount("L2248")
order.PutFirmIdentifier(371034258796296)
order.PutEnteredBy("EAPARCED")
order.PutClerkMessage("LindFinancial Futures -
Clerk msg")
order.PutOrderMessage("LindFinancial Futures -
Order msg")
leg.PutLeg(BLANK)
leg.PutBuyOrSell(leg.TT_BUY)
leg.PutQuantity(8)
leg.PutMonth(leg.MT_MAR)
leg.PutYear(3)
leg.PutCommodityCode("ES")

23
LindFinancial APIInternal XML Document

Resultant Order XML
ltordergt
ltacct f"532" aL2248" /gt
ltfid t"new" i"371034258796296" eEAPARCED
/gt
ltleg s"BUY" qo8"gt
ltcc c"ES" mH" y"2003" /gt
ltprice p"108000 /gt
lt/leggt
ltmsg t"clerk" m"LindFinancial Futures - Clerk
msg" /gt
ltmsg t"order" m"LindFinancial Futures - Order
msg" /gt
lt/ordergt

24
Casino ClassesPayload Transport

Pass Through Interface
const char LindBaseSend (const char
Transmit_XML_Record)
if (latp-gtWrite(GetRecordCategory(Transmit_XML_
Record),
strlen(Transmit_XML
_Record), (char)Transmit_XML_Record) -1)
return EMPTY
return Transmit_XML_Record

25
Future Enhancements

Portable Order Routing Engine
Able to install in multiple independent
distributed nodes
Develop a Web Service implementation
(SOAPXMLHTTP)
Enhance LindFinancial API to support maintenance
and system management functions
Enhance API to support Plug-and-Play transports
Apply LindFinancial API to Web presentation
experience
Develop a native XML database for seamless storage

26
Summary