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

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

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

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

Today’s 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

Common API Design

Message Queuing

MultiThreading

TransportConnectivity

Flat RecordData Encoding

Application ProgrammingInterface

ClientSoftware

Flat RecordsOrder Routing

andProcessing

Flat Record Data Encoding

• FIX Record:

8=FIX.4.2^9=199^35=D^34=10^49=VENDOR^115=CUSTOMER^144=CHICAGO EQ^56=BROKER^57=DOT^143=NY^52=20000907-09:25:58^11=ORD_1^21=2^110=1000^55=KO^22=1^48=277461109^54=1^60=20000907-09:25:56^38=5000^40=2^44=62.5^15=USD^47=A^1010=165^

• CUSTOM Record:

ORDER FIRMXX2837485 683321 FIRMXX 6 200210291BUY 2 MAY03BO24 PUT 180 EW

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!

LindFinancial API Design

MessageQueuing

TransportConnectivity

MultiThreading

ClientSoftware

XML RecordsOrder Routing

andProcessing

ApplicationProgramming

Interface

XMLData

Encoding

TransportProgramming

Interface

API Library Transport Library

<order>

  <acct f="532" a="322480" />

  <fid t="new" i="342380-N20916164" />

<leg s="BUY" qo="6">

  <cc c="ES" m=“H" y="2003" />

  <price p="1180" />

  </leg>

<leg s="SELL" qo=“6">

  <cc c="ES" m="Z" y="2003" />

  </leg>

  <msg t="clerk" m="Clerk message from EAPARCED" />

  <msg t="order" m="Ticket message from EAPARCED" />

</order>

XML Data Encoding

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

LindAccess Common Programmatic Interface (CPI)

Framework

• LindFinancial API LibraryGeneric Application Programming Interface (API)

• CasinoData Transport and Multitasking Classes

LindAccess CPI Architecture

OrdersOrderstoLindAccess

FillsFillsfromLindAccess

FillReceiver

OrderProvider

Send Order

OutgoingPersistance

IncomingPersistance

FillAcknowledge

ReceiveFill LindAccess

XML Server

CustomerDesktop

OES

INTERFACE and ONLINE CLIENTS LINDACCESS Protocol LINDACCESS XML SERVER & ORDER ROUTING

ORDER

FILL

Casino

Interface Driver

(Graphical | C

onsole)

TERMINAL CLIENT

Lind Classic

TradeOnline

Lind Connect

WirelesssHandheld

CustomerDesktop

OES

Interface Driver

(Graphical | C

onsole)

ORDER

FILL

.NETCompon

ents

COMCompon

ents

LindAccessXML ServerLind

FinancialAPI

Ernesto L. Aparcedo - Jan 2003

BackOffice

LindFinancial

API

LindFinancialAPI

Casino

Casino

.NETCompon

ents

COMCompon

ents

OrderAcknowledge

ORDER

ROUTING

AND

PROCESSING

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.),

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)

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 XMLOrder_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

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

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

A LindFinancial API Client: LindXpress

A LindFinancial API Client: LindXpress

COM Interface

Order order;Leg leg;order.PutRecordType(order.RT_ORDER);order.PutFirm("532");order.PutAccount("L2248");leg.PutBuyOrSell(leg.TT_BUY);leg.PutQuantity(8);leg.PutMonth(leg.MT_MAR);leg.PutYear(3);leg.PutCommodityCode("ES");order.Send(order.GetOrder());

Transport Interface

API Interface

IOrder.recordType = RT_ORDERIOrder.firm = "532"IOrder.account = "L2248"ILeg.buyOrSell = TT_BUYILeg.quantity = 8ILeg.month = MT_MARILeg.year = "03"ILeg.commodityCode = "ES"IOrder.Send

<order>  <acct f="532" a=“L2248" />  <fid t="new" i="371034258796296" e=“EAPARCED” /> <leg s="BUY" qo=“8">

<cc c="ES" m=“H" y="2003" />  <price p="108000“ />  </leg></order>

const char* LindBase::Send (const char* TransmitRecord) { if (latp->Write(GetRecordCategory(TransmitRecord), strlen(TransmitRecord), (char*) TransmitRecord) == -1) { return EMPTY; } return TransmitRecord;}

XML RecordsLindAccessXML Server

Visual BasicFront End

XML COM Component

LindFinancial API

Casino

Client Entry Point

DESKTOP

CLIENT

DESKTOP

CLIENT

LindFinancial APICOM Client

• Entering an order in a Visual Basic client (e.g. LindXpress):

Dim IOrder As LIND_ACCESS_COMPONENTLib.iOrderDim ILeg As LIND_ACCESS_COMPONENTLib.iLegIOrder.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 ILeg.price = "118000"

IOrder.AddLeg LEG_1, ILeg.legIOrder.Send

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");leg.PutOrderType(leg.OT_LIMIT);leg.PutPrice(108000);order.AddLeg(order.LEG_1,leg.GetLeg());order.Send(order.GetOrder());

LindFinancial APIInternal XML Document

• Resultant Order XML:

<order>

  <acct f="532" a=“L2248" />

  <fid t="new" i="371034258796296" e=“EAPARCED” />

<leg s="BUY" qo=“8">

<cc c="ES" m=“H" y="2003" />

  <price p="108000“ />

 </leg>

  <msg t="clerk" m="LindFinancial Futures - Clerk msg" />

 <msg t="order" m="LindFinancial Futures - Order msg" />

</order>

Casino ClassesPayload Transport

• Pass Through Interface:

const char* LindBase::Send (const char* Transmit_XML_Record) {

if (latp->Write(GetRecordCategory(Transmit_XML_Record),

strlen(Transmit_XML_Record), (char*)Transmit_XML_Record) == -1){

return EMPTY;

}

return Transmit_XML_Record;

}

Future Enhancements

• Portable Order Routing Engine: – Able to install in multiple independent distributed

nodes• Develop a Web Service implementation

(SOAP+XML+HTTP)• 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

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