Post Trade XML: Integrating XML Into a Middleware Architecture

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Post Trade XMLIntegrating XML Into a Middleware
Architecture
XML on Wall Street November 21, 2001 Kathy
Ball-Toncic
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Issues for STP in the middle

• Legacy systems
• Protocols
• Languages/incompatible databases
• Manual procedures
• Varied service providers
• Management/monitoring tools

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Representative Internal Systems
FRONT MIDDLE BACK
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Representative Internal Connectivity
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Representative External Connectivity
FRONT MIDDLE BACK
FIX, SWIFT
ACT
Market Data
SWIFT GSTP Omgeo
FIX, CMS, XETRA, STAMP
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Putting It Together
Data/Transaction Flows Process Flows
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Protocols Trade Globally/Connect Locally
Front Office
Back Office
Negotiation and Orders
Operations
C S

• FIX
• SWIFT
• CMS
• FpML
• Xetra
• STAMP (Toronto)
• AMS/3 (HK)

• Sequence (LSE)
• Triarch
• Tradenet
• LIFFE

• DTC/ID
• SWIFT
• ISITC
• CLS
• EuroClear
• Crest (UK)
• Chess (Aus)
• Trax

• OASYS
• Autex
• ACT/OATS compliance
• FIX/SWIFT
• GSTP
• Omgeo

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How Can XML Help?

• XML enables processing of multiple diverse
  protocols
• XML enables parsers to be programmable
• XML allows representation of virtually anything
• XML promotes flexibility

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How Can Middleware and Messaging Help
Financial Server Management GUI
EJB FIX Adapter
EJB Client API Component (Generated by Message
Broker)
Message Broker
EJB Handler Components (Generated by Message
Broker)
Commercial Application Servers EAServer 3.5
Logging and Crash Recovery Databases
Customer Host Systems
Message Broker Repository
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Message Broker Components
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Run-time Environment Parser
unparsed message Category5
MB instance
parser
Category5
cache
message definitions
JDBC
run-time store
message definition XML
Java message object Category5 MT502
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Run-time Environment Validation
MB instance
Java message object Category5 MT502
validation
Category5
cache
class file
JDBC
run-time store
execute
pass/fail
validation code
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Run-time Environment Transformation
MB instance
Java message object Category5 MT502
transform
Category5 FIX
cache
Class files
JDBC
run-time store
execute
output
transform code
Java message object FIX New Order-Buy
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Run-time Environment Router
Java message object Category5 MT502
MB instance
run-time store
JDBC
router
Category5
class file
cache

• Java class method or
• Jaguar component method
• SQL Stored Procedures
• SQL Statements
• Format Message Buffer

execute
routing code
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Run-time Environment Builder
Java message object Category5 MT502
MB instance
builder
Category5 MT502
cache
message definitions
JDBC
run-time store
message definition XML
raw data buffer
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Run-time Environment Complete
parser
MB instance
builder
validation
cache
transformation
JDBC
run-time store
router
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In SummaryMessaging/Middleware

• Message Broker based architecture provides full
  extensibility of FIX message definitions
• Support for extensible FIX message set
  definitions (FIX 3.0, 4.0, 4.1 and 4.2, 4.3)
• Pure Java, EJB Driven FIX Adapter
• FIX Client EJB API for sending outbound FIX
  messages
• Full Application Server based HALB support
• Reduced integration effort through Message Broker
  transformation

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Example FIX Infrastructure with XML
External FIX Servers Bloomberg Autex, etc.
FIX 4.0, 4.1, 4.2 Sessions
EAServer for Solaris
ECNs Archipelago, Island, etc.
FFS Send FIX 4.1 API
FFS DBs ASE 12.0
FFS 4.1 Engine
Other FIX Enabled Firms
FFS Send FIX Callback API
Proprietary Adapter w/ MB Transforms Client
Message Set FIX FIX - Client Message Set
Custom Message Bus Adapter MB Transform
component
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ExampleFIXML Messaging
OMS
Client
FIXML NewOrderSinglev
FIXML to 4.1 set
FIX 4.1 NewOrderSingle
FIXML Execution
4.1 to FIXML set
FIX 4.1 Execution
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Thank You

• Kathy Ball-Toncic
• Financial Fusion
• Ktoncic_at_financialfusion.com