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
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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

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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!

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LindFinancial API Design
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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

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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
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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.),

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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)

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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

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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

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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

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A LindFinancial API Client LindXpress
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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
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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

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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")

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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

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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

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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

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Summary

• Design Overview of a Distributed XML API
• LindFinancial API
• Truly Scalable and Portable implementation for
  client and server solutions
• Demonstrated that XML technology can be readily
  adapted to Order Entry
• I propose consideration of
• XML technology as a Standard for Order Entry