Sunday, September 03, 2006

Investment and Trading System Documentation Project

While browsing through the FIX forums, I saw mention of an effort called the Investment and Trading System Documentation Project. Interesting idea, but it looks as if it really never got off the ground. Still, they have a repository of some articles on Electronic Trading.



©2006 Marc Adler - All Rights Reserved

1 comment:

Rick said...

ITSdoc.org is still very much alive. It recently passed its millionth page view and it gets hits from all over the world every day. It strives to be helpful to coders (hopefully open source) of Investment and Trading Systems by assembling into one place a great set of documentation.

Personally, I have been drawn away from driving ITSdoc forward for about a year now volunteering actively at FIX on a standard that will cover the next generation Algorithmic order types. I’ve got to say, volunteering at FIX and mixing it up with the fantastic people in the various technical Work Groups and Global Technical Committee has been wonderful! They have a bunch of brilliant people who all selflessly volunteer tons of time to the betterment of the industry through a FREE standard. Plus, it’s been a real great eye opener on exactly how the largest industry players cross connect. Mind you these same people go back to their firms and compete vigorously.

Last summer our Algorithmic Order Standard Work Group conduced in-depth interviews with five MAJOR order management system (OMS) vendors as well as considerable secondary research into the adoption trends in algorithmic orders types. Much of that learning was incorporated into the proposed standard, which is in the final stages of official adoption at FIX. In just a few weeks its expected to enter the pilot testing phase. See http://www.fixprotocol.org/working_groups/algowg/documents

FIX is a bit more complex than the average open source coder of Investment and Trading Systems might like to struggle with, starting with the printed protocol specification alone. There are many tags and enumerated values, the various messages can be complex and there is a substantial learning curve. There is one outstanding open source FIX engine out there QuickFix, available in C++ and Java, but due to the complexity of the FIX standard it’s quite complex to implement. In the future ITSdoc hopes to help lower the bar to adopting FIX, and help get around using all those nasty, expensive, dedicated IP circuits.

Dealing with emerging ISO standards this past year has also been challenging. If you are designing an open source Investment and Trading System your internal data models need to comply with various standards (including various versions of standards, service packs, extensions, customizations, variations in usage, etc). Needless to say all these different “flavors” and “dialects” of the various standards often don’t mesh well with each other. However, the situation is slowly improving. XML is now everywhere and XSLT can ease (but not eliminate) the pain of making translations.

The ITSdoc UML project is on hold for the moment. I went to write up a meta Use-Case on processing text news during investment decision-making and got mired down with various sub topics such as bias in news coverage. My background includes some work in cognitive psychology and I was perhaps too far down in a “deep dive” on the subject. When I caught myself with a new book on psycholinguistics I thought to myself, you’re in pretty deep, perhaps its time for some decompression. Still the material is fascinating and to a degree exceedingly relevant to investment decision-making. Getting a handle on it however has proven very time consuming. I have a ton of great material but getting it all into publishable format has been constrained by the “hours in the day” limit.

So, plenty going on behind the scenes at ITSdoc. Coders of open source Investment and Trading Systems are very much encouraged to register at the site. We shoot for quality over quantity. Plus, we can often hook people up with other “birds of a feather” who are interested in similar things.

Rick
Http://ITSdoc.org