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Navigating the MDDL Specification

Navigating the MDDL Specification. James E. Hartley Chief Technologist, FISD 29 April 2003. Topics. What’s in a Release? Terminology In the Data Model When Viewing the Schemas In Instance Documents Useful Tools and Features Considered. What’s in a Release?.

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Navigating the MDDL Specification

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  1. Navigating theMDDL Specification James E. Hartley Chief Technologist, FISD 29 April 2003

  2. Topics • What’s in a Release? • Terminology • In the Data Model • When Viewing the Schemas • In Instance Documents • Useful Tools and Features Considered

  3. What’s in a Release? • Data Model – the Source .XML file • Glossary – Terms and Definitions • The Base Schema – no inheritance • The Full Schema – inheritance allowed • Schema Docs (Pictures from the Base) • Technical Specification (Word Doc) • Supporting XML/XSD Files

  4. Supporting XML/XSD Files • mddlref-*.xsd • For Special Element “references” • mddllink-*.xsd • For XLink functionality (advanced) • xml.xsd • Standard XML attributes

  5. Sender Recipient Container Property Base Type Classification Construct Domain (Class, Subclass) Scheme (C.V.) References Period Group Inheritance Shorthand Special Words Used in MDDL

  6. Special Word: Sender, Recipient • A Sender is the individual, system, organization that generates and transmits (delivers) an MDDL instance document • A Receiver (can you guess?) is the system (etc.) that receives an instance document

  7. Special Word: Container • A Container is an MDDL element intended to hold other elements and DOES NOT have a value of its own. • Example (“ask” is a “Container”): <ask> <last>102.34</last> </ask>

  8. Special Word: Property • A Property is an MDDL element that has a value of its own – and MAY hold other properties • Example (“last” is a “Decimal”): <last> <mdDecimal>102.34</mdDecimal> <currency>USD</currency> </last>

  9. Special Word: Base Type • The Base Type of a property or a container implies the atomic type, or content model, for the element. • Example: • “ask” is of Base Type “container” • “last” is of Base Type “decimal” • “address” is of Base Type “string” • “issueDate” is of Base Type “dateTime”

  10. string decimal integer boolean dateTime duration uri math (in Schemas) container Base Types

  11. Special Word: Classification • A Classification identifies what children properties are necessary to fully qualify a property. • Example: • “last” is of Classification “Price” • “issueDate” is of Classification “DateTime” • “peRatio” is of Classification “Rate” • “daysInMonth” is of Classification “Quantity”

  12. DateTime Rate Measure Quantity Price Fee Amount Container Root Enumeration Simple Classifications

  13. Classification: DateTime • Must (May) Have the Following Children: • indicatorsType • marketCenter • sequence • source

  14. previousDateTime sequence source valuationType valuationRef calculationType dateTime fraction indicatorsType marketCenter multiplier Classification: Rate

  15. Classification: Measure, Quantity • Measure: Identical to “Rate” • Quantity: “Rate” plus • unitType

  16. Classification: Price, Fee, Amount • Price, Fee, Amount: “Rate” plus • currency • paymentType

  17. Classification: Container, Root • “Container” is a Placeholder for containers • No real values • Will ONLY contain children elements • All Domains, Classes, Subclasses • There is Only One “Root” Element • You guessed it – “mddl”

  18. Classification: Enumeration • Property Constrained by Discrete Values • Treated as a String • Attribute “scheme” • Identifies the controlled vocabulary (C.V.) • May default to value in Schema • C.V. Lists Legal Values for Property • For example, ISO Country Codes • Consider, however, NYSE Listed Instruments

  19. Classification: Simple • Basic property • May have children properties • Governed by Base Type • Like a Container – but may have a value

  20. Special Word: Construct • A Construct is a top-level element that loosely identifies the REASON for the market data provided in the document • A “snap” is for a Snapshot of data at an instant in time (dateTime provided) • A “timeseries” holds a related collection of “snap”s (as separate “event”s)

  21. Special Word: Domain, Class, Subclass • A Domain, Class, or Subclass is a container used to classify and organize properties for a specific asset class. • Defines Financial Product Hierarchy • equityDomain, commonClass • civDomain, fundClass, mutualSubclass • civDomain, fundClass, moneyMarketSubclass • Instruments Identified at Lowest Level

  22. Special Word: Controlled Vocabulary • A Controlled Vocabulary (or Scheme) is a list of terms used to constrain the legal values of a string property. • MDDL catalogues two types: • Internal C.V.s are those that are created and maintained by MDDL.org and are intended to contain an exhaustive list of terms • External C.V.s are those used in MDDL but not controlled by MDDL. Likely NOT exhaustive.

  23. Special Word: C.V. (con’t) • Examples of External Schemes: • Exhaustive Lists Maintained (Copies): • ISO 3166 Country Codes • ISO 4217 Currency Codes • Thirdparty sources of data • Lists Referenced (and not maintained): • Ticker Symbols by Exchange • ISO 10383 Market Identification Code • ISO 10962 Classification of Financial Instruments

  24. Special Elements • <mddl version=“2.0-draft”> • header • other (for extensions) • references • Any “*Group” • Subordinate container facilitates inheritance • All Containers, Domains, Classes, Subclasses

  25. Special Element: references • The references element within the header can be used to hold common information • The container or property is given an “id” attribute (per normal XML guidelines) • Then the common content can be pointed to in place of actual content using the “mddlref” namespaced elements • NOTE: MAY BE DEPRECATED

  26. Special Element: references (con’t) • This (if used multiple times): <agent> <location> <address>123 Institution Ave</address> <municipality>Somewhere</municipality> <stateOrProvince>AB</stateOrProvince> <postalCode>12345-1234</postalCode> </location> </agent>

  27. Special Element: references (con’t) • Place it in the “references” element: <header><references> <location id=“locationID”> <address>123 Institution Ave</address> <municipality>Somewhere</municipality> <stateOrProvince>AB</stateOrProvince> <postalCode>12345-1234</postalCode> </location> </references></header>

  28. Special Element: references (con’t) • And then reference it: <agent> <ref:location xlink:href=“#locationID”/> </agent> • Benefits: • Removes duplicated data • Syntax allows “editing” referenced content • Drawback: Complicates processing

  29. Special Properties • instrumentIdentifier (and similars) • fraction • multiplier • period • sequence

  30. Special Property: instrumentIdentifier • Element to Define Instrument of Interest <instrumentIdentifier> <name>Your Favorite Fund</name> <code scheme=“http://www.ypd.net/symbol”> <mdString>YFF</mdstring> <nameRef>../../name</nameRef> </code> </instrumentIdentifier>

  31. instrumentIdentifier (con’t) • Scheme Identifies Symbology: • ISIN (ISO 6166): http://www.mddl.org/ext/scheme/iso6166 • Numbering Agencies: http://www.mddl.org/ext/scheme/agency?SRC=SEDOL • Tickers: http://www.mddl.org/ext/scheme/ticker?MIC=ABC • Additional Syntax for Identifying Scope: <scopeType>international</scopeType>

  32. Special Property: fraction • The fraction element can be used if it is important to know that a value is to be rounded or that a decimal is a fraction • Number rounded, truncate for display: <mdDecimal>123.43</mdDecimal> <fraction actualDenominator=“1000” displayDenominator=“10”/>

  33. Special Property: fraction (con’t) • Decimal doesn’t reflect quoting unit: <mdDecimal>123.1875</mdDecimal> <faction actualDenominator=“32” displayDenominator=“8”/>

  34. Special Property: multiplier • The multiplier indicates all quoted values should be multiplied by the factor • USE SPARINGLY (complicates processing) • Multiply by 0.01 to get GBP: <currency> <mdString>GBP</mdString> <multiplier>0.01</multiplier> </currency>

  35. Special Property: period • A period can specify date and times: • A “start”, an “end”, a “duration” • Any combination of the above • As well a “recurring” indicator <period><recurring>true</recurring> <start>2003-04-01T11:00:00Z</start> <end>2004-04-01T11:00:00Z</end> <duration>P1M</duration> </period>

  36. Special Property: sequence • The sequence property is a unique identifier given to an instance document, assigned by the sender, to facilitate sequencing and missed updates • Should be lexically increasing (it’s a string) • May indicate a previous document which this one replaces (due to error, etc.)

  37. Special Word: Inheritance • This: <ask> <last><mdDecimal>102.34</mdDecimal> <currency>USD</currency> </last> <high><mdDecimal>103.95</mdDecimal> <currency>USD</currency> </high> </ask>

  38. Special Word: Inheritance (con’t) • Becomes: <ask> <currency>USD</currency> <last><mdDecimal>102.34</mdDecimal></last> <high><mdDecimal>103.95</mdDecimal></high> </ask>

  39. Special Word: Shorthand • This: <last> <mdDecimal>102.34</mdDecimal> </last> • Becomes: <last>102.34</last>

  40. Inheritance and Shorthand • This: <ask> <last><mdDecimal>102.34</mdDecimal> <currency>USD</currency> </last> <high><mdDecimal>103.95</mdDecimal> <currency>USD</currency> </high> </ask>

  41. Inheritance and Shorthand (con’t) • Becomes: <ask> <currency>USD</currency> <last>102.34</last> <high>103.95</high> </ask>

  42. Remember the Processing Rules • Explode Shortcuts: • Inheritance, Shorthands, References • Before Validation or Processing • Tony Coates Will Cover Details

  43. Useful Tools and Features Considered • Glossary and Schema Docs Tied Together • Highlighting “Base Type” and “Classification” • Ability to Generate Extended Schemas • Use MDDL Data Model to add extensions • Ability to Generate Limited Schemas • For specific Domains/Classes/Subclasses

  44. Questions? Discussion?

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