FIX algo language enters beta testing

Source: FIX Protocol Limited

FIX Protocol Ltd (FPL) has announced that the FIX Algorithmic Trading Definition Language (FIXatdl) has entered its beta phase in preparation for its ultimate release targeted for late 2007.

The new language will deliver advanced support for algorithmic trading, enabling adopters to benefit from a dramatic reduction in the deployment effort required to roll out new algorithmic order types.

The FPL organisation has been overwhelmed by the level of interest that the FIXatdl has generated within the industry. It has gained support from leading industry participants including Barclays Capital (NYSE: BCS), Bloomberg Tradebook, Credit Agricole Cheuvreux, Citi (NYSE: C), Credit Suisse (VX: CSGN and NYSE: CS), Fidelity Capital Markets Services, Goldman Sachs (NYSE: GS), Investment Technology Group (NYSE: ITG), J.P. Morgan Chase & Co (NYSE: JPM), Lehman Brothers (NYSE: LEH), Merrill Lynch (NYSE: MER), Morgan Stanley (NYSE: MS), NeoNet (XSTO: NEO), Pragma Financial Systems and UBS (XVTX: UBSN & NYSE: UBS). These firms have studied and reviewed the language and each has published samples of their algorithmic trading strategies in the new XML format, ensuring that all their current and near-term algorithmic trading strategies can be easily and rapidly expressed in this new format.

The new language will allow broker-dealers to specify algorithmic order types in an industry standard XML format, enabling Buy-side clients to access new order types within a significantly reduced timeframe. Similar to the way an Internet browser can render a standard HTML page, Buy-side systems will be able to read the new standard XML files and render new order entry screens, using common "look and feel" elements and layouts that may be completely specified and individualised locally. The final order entry screens include helpful pop-ups, and each order entry field may have behind the scenes comprehensive validation requirements formally expressed. Furthermore, the language specifies how the highly unique parameters that are associated with constantly evolving, new algorithmic order types will be formally expressed using standard FIX communication protocols.

Following initial implementation effort, the deployment timeframes for additional complex order types will be significantly reduced. The language will generate a compelling reduction in the financial and technical resource investment required by firms to innovate and adopt new algorithmic order types and will open up a wealth of opportunity for all algorithmic trading industry participants.

Having completed development and initial testing phases, and gained broad industry feedback, on July 23rd FIXatdl successfully entered into its final stage of testing, the beta testing phase. This will provide an opportunity to determine any final, minor changes required for the first release of this new language.

Commenting on the new language, Kevin Houstoun, Co-Chair FPL Global Technical Committee and Consultant to HSBC stated, "In FIX.4.4 and FIX.5.0 we addressed the issue of how to communicate the parameters of an algorithmic trading strategy in a standard yet flexible way. This complimentary language greatly extends that approach to include the display of those custom parameters and complete validation. This allows sell-sides, ECNs and exchanges to develop and deploy new algorithms much more quickly than before, and represents an important step towards the industry's ultimate objective of minimising cost drag on end investors. The speed with which a new algorithm can be deployed using this technology is truly impressive and I'd like to congratulate John Goeller, Richard J. Labs and the rest of the FPL Algorithmic Trading Working Group on the production of an important extension to FIX."

John Goeller, Chair FPL Algorithmic Trading Working Group and Director of Portfolio and Automated Trading, Merrill Lynch added, "I would like to congratulate the FPL Algorithmic Trading Working Group for delivery of this new language which describes algorithmic orders in a standardised way. The team contributed significant time and effort on both business and technical fronts in the development of a solution which should benefit the whole algorithmic trading community."

Richard J. Labs, CFA, CPA, member of the FPL Algorithmic Trading Working Group and Managing Member, CL&B Capital Management, LLC added "This exciting new language would not have been possible without the extensive input we received from several technology vendors and key members from the broker-dealer community, who have run up their algorithmic orders in this new standard format so we may now proceed with everything we need for exhaustive stress testing and finalisation. The FPL Algorithmic Trading Working Group welcomes all additional input prior to our finalising this language in the near future."

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