MDDL and the Quest for a Market Data Standard (eBook)

Explanation, Rationale, and Implementation

Martin Christopher Sexton (Autor)

eBook Download: EPUB

2011 | 1. Auflage
320 Seiten
Elsevier Science (Verlag)
978-0-08-055177-7 (ISBN)

Infos

The aim of this book is to provide an objective vendor independent assessment of the Market Data Definition Language (MDDL), the eXtensible Mark-up Language (XML) standard for market data. Assuming little previous knowledge of the standard, or of systems networking, the book identifies the challenges and significance of the standard, examines the business and market drivers and presents decision makers with a clear, concise and jargon free read.
Technical material is set off so that Systems Analysts are provided with an explanation to the standard's business terms, context and deep hierarchical structure thus enabling them to create MDDL compliant interfaces. In this way, the book confers the knowledge to enable business and technology professionals to converse comfortably regarding financial systems integration.

*First book to present the business case for MDDL adoption and implementation
*Identifies the challenges and significance of the standard, examines the business and market drivers and presents decision makers with a clear, concise and jargon free read.
*Technical material is set off from the text for systems analysts and provides comprehensive explanations of terms, context and deep hierarchical structure, thus enabling them to create MDDL compliant interfaces.

Inhalt

Front Cover 1
MDDL and the Quest for a Market Data Standard 4
Copyright page 5
Table of Contents 8
Series Editor’s preface 12
Chapter 1 Introduction 14
Audience of this book 15
Structure of the book 17
Chapter 2 What is market data? 18
Chapter 3 Executive summary 24
The Vision 27
Linking MDDL to corporate goals 28
The business benefits of using MDDL 29
MDDL opportunities 31
Chapter 4 The financial standards landscape 32
Industry standards 33
Market data is everywhere 36
Chapter 5 Self-describing data and XML basics 38
Elements, attributes and hierarchy 39
Chapter 6 Evolution of MDDL 42
MDDL versioning 43
Why use schemas? 46
Chapter 7 How MDDL works 48
Synopsis of the MDDL hierarchy 48
MDDL domains 50
Classes and subclasses 51
Containers 52
Properties 53
MDDL property types 53
Industry standards used in content 57
Creation of new types 70
Classification of properties 70
Controlled vocabulary 71
Top-level wrappers 72
Instance headers 73
Inheritance 75
MDDL extensions 77
Naming convention 78
Creating an extension schema 80
Defining code lists (controlled vocabulary) 81
Chapter 8 The life of a financial instrument 84
Issuance 84
Pricing and reporting 97
General pricing and volumes 97
Historical pricing 102
Book management 103
Trade reporting 108
Time and sales 109
Reconciliation 110
Portfolio valuation 114
Chapter 9 Regulatory adherence 120
Reference data terms 121
Best execution 127
Regulatory reporting 131
Data vendors and end of concentration rules 132
Chapter 10 Reference data management 136
Business entities 137
Indices, rates and indicators 138
Corporate action events 140
Security definitions 146
Alternative solutions to securities definations 164
Change mechanism 165
Chapter 11 Industry standards – mix and match 170
MDDL to FIX, FIX to MDDL 170
MDDL and FIXml 178
FpML 181
RIXML 183
XBRL 184
SDMX 186
ISO standards in the financial sector 187
ISO 19312 and MDDL 188
ISO 20022 and MDDL 192
Chapter 12 MDDL as payload 196
MDDL and SOAP 197
MDDL as a FIX payload 201
MDDL as ebXML or OAGIS payload 203
Chapter 13 ‘Build-your-own’ – MDDL equivalent schema 208
Chapter 14 UML to XML schema generation 216
Chapter 15 Undertaking a mapping exercise? 218
Data mapping process 220
Data mapping pointers 221
Chapter 16 Compression 228
xtcMessage (fisdMessage) 229
FASTSM 230
Chapter 17 A final tribute to Jonathan Castaing 232
Appendices 236
Appendix A: Glossary and acronyms 236
Appendix B: MiFID terms 283
References and further reading 298
Index 300

Produkt-Details

• Erscheint lt. Verlag: 23.2.2011
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber
• Themenwelt: Mathematik / Informatik ► Informatik ► Programmiersprachen / -werkzeuge
• Themenwelt: Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Wirtschaftsinformatik
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Wirtschaftspolitik
• ISBN-10: 0-08-055177-7 / 0080551777
• ISBN-13: 978-0-08-055177-7 / 9780080551777