When the first version went out to the OMS community, the working group gained a lot of valuable feedback -- the industry's real needs were uncovered and the group found that the devil was in the details. "We had to remain industry-neutral in our corner and say even though something was working in [one vendor's] environment, it may not be universally acceptable to all other entities, so adding all the features the OMS community desired took some time and was a delicate balance," he recalls.
Adds Atwell, "As things moved along, OMS vendors identified additional needs and gaps, and enhancements were identified. The latest version -- 1.1 -- represents a significant improvement with better strategy valuation, enhanced strategy filtering and foreign language support."
Labs explains that the algorithms can be expressed in any language -- in fact, a Kanji Japanese language version already is in use. "Each trader sees the strategy in his or her native language. ... It's not a lot of effort to have different local versions," he relates.
"From our standpoint, if you're a broker and you want to trade with us, you need to use FIXatdl," emphasizes American Century's Atwell. "Otherwise things sit on my to-do list for a long time. When the task becomes easier, it gets done."
Atwell adds that the brokers are listening and are committing to using FIXatdl. "We have complete files from a handful of brokers and are already testing," he says.
But different buy-side firms have approached their use of FIXatdl differently based on their workflow, according to Atwell. For those that trade and stage their orders in the EMS, he explains, they only need their EMS vendors to support FIXatdl. But some buy-side firms trade directly from their OMSs, which then need to be FIXatdl-compliant. Still others stage their orders in their OMSs and then move the orders to their EMSs, in which case both vendors need to support FIXatdl.
Accelerating Algo Launches
John Goeller, managing director of global execution services at Bank of America Merrill Lynch, got involved with the FIXatdl effort from the broker-dealer side about three years ago. He says he was interested in exploring the challenges the sell side was facing when integrating algorithms within buy-side OMS and EMS platforms. "We were looking into how as an industry we could create a message format strictly for algorithms. However, we realized that the best way to attack the challenges around algorithmic integration was to standardize around a common user interface format, and FIXatdl was born," he relates.
"For us, it means less back and forth and less analysis involved in creating and distributing our algorithms," Goeller continues. "As a broker-dealer, it's pretty straightforward to take what we define for an algorithm in a Word document spec into FIXatdl with some work around managing and maintaining. The real work is the ability to take these files in from different broker-dealers and digest them into the OMS or EMS and display the order ticket."
Goeller stresses that while it typically might have taken Bank of America Merrill Lynch four weeks to six weeks to push a new algo spec into production, FIXatdl has cut that time dramatically. "It doesn't take away from the testing and certification we would still need to do to get the spec implemented and the messages flowing, but with the communication in a standardized format, there is less work. We deal with around 20 or 30 different vendors, and this could shorten the time for algo implementation to one or two weeks, depending on scheduling," he says.
"Most of the major broker-dealers can support the format today, and many OMS and EMS platforms have plans around it or are using something similar. But the work is greater on their side, and the adoption is going to be a bit slower," Goeller adds.
Labs points to Nomura as another broker-dealer that is working hard to advance FIXatdl and names Portware, RealTick and Ullink as vendors that are taking a leadership role in promoting the standard.
As an indication that demand for this type of standard is high, Goeller points out that about twice as many people as usual attended the quarterly FPL meeting at which FIXatdl version 1.1 was officially launched. He insists the future of FIXatdl is bright, especially as it moves into other asset classes and more-complicated algorithmic strategies, such as pairs or complex options trading. The FPL algorithmic trading working group continues work in both of these areas, Goeller notes.
CL&B Capital Management's Labs says FIXatdl already is indicating its value across asset classes. "For example, when you have a cross-asset order -- say, fixed income securities plus an interest rate future -- with FIXatdl it's no problem to render it on the screen and send the message to the broker," he explains. "At the broker, though, they still have to take the instruction, break the order down and execute all of the elements, then collect the results and send back to the customer."
Labs cautions, however, that technology may be getting ahead of the trader. "Some of these advanced algorithms blur the lines between portfolio management and trader, which creates organizational challenges," he notes. "Trading can only move as fast as the people can digest the technology. [FIXatdl] opens the door but doesn't give traders any more human capabilities. It's a great enabler and clears a wide path for innovation."