Saturday, July 21, 2007

Inside Market Data

The interview/article below appeared in the last issue of Inside Market Data.


Saxo Bank Plans FAST Data for Q4

Danish investment bank Saxo Bank will develop a proprietary feed handler to capture data via the FAST (FIX Adapted for Streaming data) protocol before the end of this year, and will also decide whether to use FAST for outbound distribution of quote data from its trading platform to clients, officials say.
Saxo is developing the new FAST feed handler to support the upcoming launch of FAST-format feeds from Nordic exchange operator OMX and the Chicago Mercantile Exchange. "We have direct connections to both OMX and the CME, so ... it would be to consume data from these sources," says Karsten Strøbæk, lead developer with Saxo. With the CME set to roll out a FAST-enabled feed later this year, the bank is planning to deploy its handler in Q4, Strøbæk says.
By developing a FAST feed handler, Saxo will be able to draw in both exchanges' data via the same interface - though both exchanges will maintain other versions of their feeds. OMX will roll out its FAST feed later this year alongside a new consolidated feed being built by technology partner Cicada (IMD, April 30), and the CME will maintain its proprietary RLC feed until the end of 2008 (IMD, Feb. 19).
Saxo does not yet have any FAST software in production, but has begun an initial test to evaluate how the protocol would fit into its architecture. However, the bank plans to allocate more development resources to the project once CME and OMX are closer to launching their feeds, and expects to complete all development work on the handler in-house. "We built our own FIX library for the message parsing and handling messages," says Strøbæk, who also serves on the Market Data Optimization Group of the FIX protocol's governing body.
Saxo intends to redistribute the data from the exchanges' FAST feeds to internal applications using its own proprietary data distribution platform. "We've built our own push-based system. [The data] is pushed into a central publishing system, so [any] subsystem can then subscribe to it. Everything is [stored] in-memory," Strøbæk says.
Once the FAST feed handler goes live, Saxo will then examine the possibility of distributing its own market data from the bank's trading platforms for equities, foreign exchange, contracts for difference and futures, using the FAST protocol. "We've built our own B2B server that supports trading in several different asset classes ... [so] one possibility would be to use FAST to distribute quotes from the platform," says Strøbæk.

Jean-Paul Carbonnier

Sunday, July 01, 2007

Working from home

The following has nothing to do with FIX or trading for anything like that, at least not directly.

In one of the blogs I read, I came across some guidelines of what to do if you are so lucky that you can work from home. It is a good thing to work from home. You save the transportation, you can spend the morning with your kids and open the door for the plumber, should she decide to swing by.

So here is a list of ten things you want to avoid if you are in fact working from home:

1. Do not leave your cell phone at home if you leave the house to go shopping or eat lunch.
2. Pick up your phone – also if you are in the bathroom.
3. Arrange some short phone meetings with people at work. They hate your guts because you are working from home and this will show them your commitment to your work – also when you are working from home.
4. Avoid long and complex mail threads with your boss to early in the day as this may result in a call where you have to answer the question of where you are (even if you have been granted permission to work from home, then do not remind your boss of this).
5. Do not drink alcohol early in the day, just because you are home. This also includes beer for lunch.
6. Remember to send the long e-mail with lots of attached spreadsheets that your colleagues have been waiting several weeks for. This serves two purposes: 1) It demonstrates that you are in fact doing something and 2) You can be sure no one will react to what you have sent. It is far to complex and takes to much time to read so you get some peace and quiet.
7. Do not leave your Elvis Costello album playing on the stereo with the volume turned to full throttle when you talk on the phone to your colleagues.
8. Do not take the phone when you sleep. Let it wake you up. Splash then some cold water in your face. Then call back and say you were in the middle of something important. It may well be your colleagues are looking straight through you, but it was worth the try.
9. Try to reach your boss very late in the day, but be absolutely sure he has left the office. This is the kind of attitude a boss likes. You are so engaged in your work, that you did not consider your boss might have left for the day when you called.
10. Dress properly – do not work in your underwear. People will know. No one knows why, but people know if you are talking to them only wearing your undies or g-string.

Advice here-by forwarded …