OpenMAMA and OpenMAMDA as a Middleware Standard

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Jemima Wright
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1 OpenMAMA and OpenMAMDA as a Middleware Standard Leveraging the Open APIs and Open Data Model April 30, 2012 Michael Schonberg Scott Parsons NYSE Technologies Exegy

2 Agenda Introduction Messaging in market data distribution Challenge of supporting multiple platforms Need for open APIs and standards OpenMAMA, OpenMAMDA and the NYSE Technologies Open Data Model Exegy proves the power of OpenMAMA Summary Q&A

3 Message Oriented Middleware in Financial Markets Communications bus for trading venues and participants Participants consume market data from multiple sources Feed handlers normalize the data and distribute over message oriented middleware

Algo Algo Historical Tick Capture Algo M o n i t o r i

4 Market Data Architecture Quote SuperFeed Feed Handler Custom FX Rates Conflation Cache Desktop Traders Cache Algo Algo Historical Tick Capture Algo M o n i t o r i n g 5 Market Gateway Market Gateway Trade Market Gateway

Client Side Normalization Exegy CAPI NYSE Data Model MAMA Vendor B Data Model Vendor B API Client

5 Key Vendor A Middleware Data Fabric Middleware Vendor B Middleware Proprietary APIs are the Problem Exegy Exegy C API NYSE Technologies OpenMAMA NYSE Data Model Vendor B Vendor B API Vendor B Data Model Client Side Normalization Exegy CAPI NYSE Data Model MAMA Vendor B Data Model Vendor B API Client Application Client Application Client Application 6 Developed by NYSE Technologies Developed by Third Party Open Source

Limitations of Proprietary API s API and Vendor lock-in Difficult to switch middlewares Substantial effort increases cost/time to market Unfamiliar API and behavior adds risk

6 Limitations of Proprietary API s API and Vendor lock-in Difficult to switch middlewares Substantial effort increases cost/time to market Unfamiliar API and behavior adds risk Proprietary abstraction provides partial solution Reliant on vendor s willingness to support a given middleware No solution for custom middlewares Multiple API s and Data Models No common language

7 The Scale of the Problem There are 240+ exchanges globally most with proprietary data models Each with an average of 3 data feeds Available direct or through 7+ major data vendors and consolidators Consumed and normalized through feed handlers developed in house or by 12+ major feed handler vendors Distributed over one or more of 10 Common middleware solutions to multiple applications

8 Coping with Proprietary APIS Write to multiple API s Organic approach Lowest barrier to entry Highest lock-in Create an abstraction layer Most common approach Even for proprietary wrappers (commercial MAMA) Reduces vendor lock-in Significant development and maintenance effort Must implement new wrappers for new middlewares

Key Vendor A Middleware Data Fabric Middleware Vendor B Middleware OpenMAMA is the Solution Exegy NYSE Technologies Vendor B Exegy CAPI Open MAMA MAMA NYSE Data Open Data Model Model Vendor B API

9 Key Vendor A Middleware Data Fabric Middleware Vendor B Middleware OpenMAMA is the Solution Exegy NYSE Technologies Vendor B Exegy CAPI Open MAMA MAMA NYSE Data Open Data Model Model Vendor B API Vendor B Data Model Client Side Normalization Exegy CAPI Open NYSE Data Data Model Model OpenMAMA Vendor B Data Model Vendor B API Client Application Client Application Client Application 10 Developed by NYSE Technologies Developed by Third Party Open Source

10 Benefits of OpenMAMA No API or vendor lock-in Middleware providers and consumers create bridges to any middleware Open source allows the community to drive the project More features Higher quality Vendors reach more customers Customers benefit from reduced cost, risk and time to market

11 OpenMAMA is More than an API Multiple simultaneous middleware Bridge between incompatible messaging environments Widely deployed in financial services Brings advanced features to all middleware Data dictionary Data quality Fault tolerance High performance

12 OpenMAMA Architecture

13 OpenMAMDA and the Open Data Model OpenMAMDA is a market data framework Built on top of OpenMAMA Reference implementation NYSE Technologies Market Data Model Exploring support for multiple data models OpenMAMA standardizes communication OpenMAMDA standardizes content and normalization Provide a common language for capital markets

14 OpenMAMA Community OpenMAMA is: Hosted by the Linux Foundation LGPL 2.1 Supported by a diverse group of industry stakeholders Steering committee has 11 members

15 Integrating OpenMAMA Scott Parsons, CTO, Exegy Linux Foundation Enterprise End User Summit Apr 30 May 1

16 Exegy: Why We Do What We Do We believe in continually challenging the status quo of market data and trading platforms. in deep collaboration with our customers to ensure their success. in simplicity over complexity, striving for elegance in all we do.

17 Why Do We Support OpenMAMA? It has the potential to be disruptive by being open We believe in continually challenging the status quo of market data delivery and trading platforms. It is currently in use by many market participants We believe in deep collaboration with our customers to ensure their success. It is adaptable at the point of consumption We believe in simplicity over complexity, striving for elegance in all we do.

development and maintenance The yin yang: differentiation / normalization Normalization of feeds for consumers

18 The Yin Yang of Market Data The never-ending duality: Exchanges want to differentiate to compete This differentiation finds expression in their feeds Consumers want to normalize for simplicity Reduces cost of development and maintenance The yin yang: differentiation / normalization Normalization of feeds for consumers permits greater differentiation at producers which requires greater normalization at consumers which yields greater differentiation at producers

19 Normalization of Vendor Experience To what does normalization apply? Market data models, messaging middleware, etc. This is the classic domain of MAMA Various vendor APIs needed to access market data Does MAMA contribute to the melee? Where can normalization occur? At an intermediate publishing point into a common API This is the classic domain of MAMA At the consumer API level Market data API abstraction layer Suggests two implementation phases for Exegy

20 Two Phases of Exegy / OpenMAMA 1. Normalize in a client-side API abstraction layer Normalize Feed Publish Distribute Consume 2. Normalize at an intermediate publishing point over messaging middleware into a common API Normalize Feed MOM Publish Distribute Consume

21 API Abstraction Layer Phase 1 API What s needed in an API abstraction layer? Market data lends itself to a field-value paradigm Collections of field-value pairs define the data model Common general concepts across variety of venues Comprehensive API surface area Straight-forward conceptual model Functions/methods for interacting with the data model Data model transformations Automatic transforms to match application s model Easily adaptable, decoupled from API surface area

data transformations in bridge layer Different consumers

22 OpenMAMA = API Abstraction Layer Phase 1 API Exegy Client API (XCAPI) becomes the middleware bridge Use dictionary to drive data transformations in bridge layer Different consumers abstract differently MAMA Application exegy bridge CAPI Dictionary Config

23 Phase 1: OpenMAMA and Exegy Phase 1 API Distribution using standard Exegy transport Final normalization in API abstraction layer Feeds Enterprise Systems Base Appliances Edge Caches TCP/IP Multicast CAPI CAPI Application MAMA Application MAMA Application Application MAMA Application

24 Phase 2: Publishing Phase 2 Publish Distribution using Message-Oriented Middleware Final normalization at Edge Cache publisher Feeds Enterprise Systems Base Appliances Edge Caches Message Oriented Middlewares MAMA Application MAMA Application MAMA Application MAMA Application

25 OpenMAMA Beta Program OpenMAMA Beta Program Phase 1 underway now Working with select Exegy customers Deployed in limited number of data centers Available transports: Exegy TCP/IP Informatica UBM (nee 29West LBM)

26 SUMMARY OpenMAMA integrates multiple messaging environments Lowering cost Reducing complexity Allowing developers to focus on differentiating functionality

27 Questions?

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