Re: [m-etc-dev] evaluating for assets beyond equities

[gm-mrktc]

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Hey Robert,
Thanks for taking the time to look at the Marketcetera platform.

On 1/24/07, Robert Parrott <[hidden email]> wrote:

In a cursory glance at photon, I notice that the default view is for
equities, with no other views for asset classes. We are interested in
evaluating marketcetera for trading other asset classes than equities,
and potentially using it for managing streaming market data.

So my questions are:

1) What would it take to add a "perspective" to photon to enable a
different asset class, perhaps with some customizations for particular
counterparties?

Sorry if this is the wrong level of detail, but... Photon is an Eclipse Rich Client Plaform application (RCP), and from that standpoint, adding a new perspective is essentially a two step process.  First adding a perspective definition to the plugin.xml file in the main plugin (the equity perspective definition is near the top):
http://trac.marketcetera.org/trac.fcgi/browser/client/photon/trunk/plugins/org.marketcetera.photon/plugin.xml
Second you would need to create an implementation of IPerspectiveFactory, the one for the existing perspective is EquityPerspectiveFactory.
http://trac.marketcetera.org/trac.fcgi/browser/client/photon/trunk/plugins/org.marketcetera.photon/src/main/java/org/marketcetera/photon/ui/EquityPerspectiveFactory.java

That being said, actually adding the perspective is probably the easier part, and much more of the time would probably need to be put into designing and implementing the UI elements (views, forms, editors, dialogs) necessary to display and enter the data you require.  That being said, we are currently working on implementations for an "equity options perspective" useful for exchange traded options.  If you have input on features or other financial instruments to support, we would love to hear them.

2) Can the OMS handle a generic asset class, and what would be needed
to accomodate non-standard FIX fields if needed for the counterparty.

I'm not sure what you mean by "generic asset class", but to answer the second half of your question, the Photon client includes the ability to specify custom fields (where the field and value are static) for outgoing orders.  You set up the custom fields globally in the preferences, and then the can be selectively enabled and disabled on a per-order basis.
http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/PhotonInstallation#ConfigureCustomOrderFields
http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/PhotonGuide#StockOrderTicket

3) Can the OMS system handle (significant) market data streams from a
FIX source.

We are constantly working on improving the performance of our client.  Currently I would say that the performance of our client is close to that of an Excel spreadsheet with Reuters or Bloomberg links.  That being said, if you want to process very large amounts of real-time market data you always have the option of implementing your "black box" logic in C/C++, and drop orders onto our order message queue directly from there through an API.  The orders would still be available for viewing and managing through Photon, but it may get you around some performance bottlenecks.  If you're interested in this route, I can tell you more.

4) What would be needed to incorporate a different trade API from FIX,
such as a proprietary, java-based API that some sell-side
counterparties expose to the client.

Right now we are actually using the QuickFIX/J message API for internal representation of orders and execution reports.  Incorporation of a trade API from a counterparty would consist of building a translation layer between their proprietary API calls, and their equivalent FIX messages.  That shouldn't be too tough, and again it is something we could probably help you with.

Hope this helps.

graham

--
Marketcetera Trading Platform
download.run.trade.
www.marketcetera.org
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[robparrott]

Graham,

Thanks for the detailed response.

In regards to a "generic asset class", I'm basically referring to the
fact that FIX is not equities specific; however the present
implemented perspective is equities only. So the question is: if we
build a different app layer from Photon to interact with the OMS,
would full FIX functionality be available within the OMS API, or
equities-only?

Also, as a clarification to question (3), my interest in higher
bandwidth data streams is for market data, not orders at this point
(i.e. MarketDataRequest, MarketDataIncrementalRefresh, etc.). So the
question is: does your system support these message types (ie. "V",
"X") and if so, at what rate?

<Musing>
It might be nice to be able to activate this kind of market data via
the API or Photon, and then at the OMS level handle it by caching to a
DB or other data "sink", but not update to the API necessarily, or
maybe less frequently (once a second, for example, but configurable.)
We can easily saturate a DSL line with market data via FIX, but
wouldn't want to pump all that data through the entire system. Instead
we would want to be able to turn it on & off, but collect it somwhere
else for later analysis.
</Musing>

Lastly, does the system support multiple FIX counterparties? Would one
need separate OMS instances for each? I suppose that more perspectives
in the Photon instance would allow for talking to multiple OMS
instances, but is they any support further downstream?

Thanks again for you time. I plan on downloading and building the
system this week.

cheers,
rob



On 1/24/07, Graham Miller <[hidden email]> wrote:

> Hey Robert,
> Thanks for taking the time to look at the Marketcetera platform.
>
> On 1/24/07, Robert Parrott < [hidden email] > wrote:
> > In a cursory glance at photon, I notice that the default view is for
> > equities, with no other views for asset classes. We are interested in
> > evaluating marketcetera for trading other asset classes than equities,
> > and potentially using it for managing streaming market data.
> >
> > So my questions are:
> >
> > 1) What would it take to add a "perspective" to photon to enable a
> > different asset class, perhaps with some customizations for particular
> > counterparties?
>
> Sorry if this is the wrong level of detail, but... Photon is an Eclipse Rich
> Client Plaform application (RCP), and from that standpoint, adding a new
> perspective is essentially a two step process.  First adding a perspective
> definition to the plugin.xml file in the main plugin (the equity perspective
> definition is near the top):
> http://trac.marketcetera.org/trac.fcgi/browser/client/photon/trunk/plugins/org.marketcetera.photon/plugin.xml
> Second you would need to create an implementation of IPerspectiveFactory,
> the one for the existing perspective is EquityPerspectiveFactory.
> http://trac.marketcetera.org/trac.fcgi/browser/client/photon/trunk/plugins/org.marketcetera.photon/src/main/java/org/marketcetera/photon/ui/EquityPerspectiveFactory.java
>
> That being said, actually adding the perspective is probably the easier
> part, and much more of the time would probably need to be put into designing
> and implementing the UI elements (views, forms, editors, dialogs) necessary
> to display and enter the data you require.  That being said, we are
> currently working on implementations for an "equity options perspective"
> useful for exchange traded options.  If you have input on features or other
> financial instruments to support, we would love to hear them.
>
>
> > 2) Can the OMS handle a generic asset class, and what would be needed
> > to accomodate non-standard FIX fields if needed for the counterparty.
> I'm not sure what you mean by "generic asset class", but to answer the
> second half of your question, the Photon client includes the ability to
> specify custom fields (where the field and value are static) for outgoing
> orders.  You set up the custom fields globally in the preferences, and then
> the can be selectively enabled and disabled on a per-order basis.
> http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/PhotonInstallation#ConfigureCustomOrderFields
> http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/PhotonGuide#StockOrderTicket
>
> > 3) Can the OMS system handle (significant) market data streams from a
> > FIX source.
>
> We are constantly working on improving the performance of our client.
> Currently I would say that the performance of our client is close to that of
> an Excel spreadsheet with Reuters or Bloomberg links.  That being said, if
> you want to process very large amounts of real-time market data you always
> have the option of implementing your "black box" logic in C/C++, and drop
> orders onto our order message queue directly from there through an API.  The
> orders would still be available for viewing and managing through Photon, but
> it may get you around some performance bottlenecks.  If you're interested in
> this route, I can tell you more.
>
>
> > 4) What would be needed to incorporate a different trade API from FIX,
> > such as a proprietary, java-based API that some sell-side
> > counterparties expose to the client.
>
> Right now we are actually using the QuickFIX/J message API for internal
> representation of orders and execution reports.  Incorporation of a trade
> API from a counterparty would consist of building a translation layer
> between their proprietary API calls, and their equivalent FIX messages.
> That shouldn't be too tough, and again it is something we could probably
> help you with.
>
> Hope this helps.
>
> graham
>
>
>
> --
> Marketcetera Trading Platform
> download.run.trade.
>  www.marketcetera.org

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