OpenMAMA & OpenMAMDA: How to Leverage Open Market Data API and Data Model Standards
1. OpenMAMA and OpenMAMDA as a
Middleware Standard
Leveraging the Open APIs and Open Data Model
Michael Schonberg NYSE Technologies
April 30, 2012
Scott Parsons 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
4. Market Data Architecture
Quote
SuperFeed Feed Custom FX
Handler Rates
M
Conflation Historical o
Cache Tick
Cache
Capture n
i
t
o
Desktop
Algo Algo Algo
r
Traders
i
n
g
Market Market Market
5 Gateway Gateway Trade
Gateway
5. Proprietary APIs are the Problem
Exegy NYSE Technologies Vendor B
Vendor B
Exegy C API OpenMAMA
API
NYSE Data Vendor B
Model Data Model
Middleware
Middleware
Data Fabric
Middleware
Vendor A
Vendor B
Client Side NYSE Data Vendor B
Normalization Model Data Model
Vendor B
Exegy CAPI MAMA
API
Client Application Client Application Client Application
6 Developed by NYSE Technologies
Key
Developed by Third Party
Open Source
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
9. OpenMAMA is the Solution
Exegy NYSE Technologies Vendor B
Open MAMA Vendor B
Exegy CAPI MAMA
API
NYSE Data Vendor B
Open Data Model
Model Data Model
Middleware
Middleware
Middleware
Data Fabric
Vendor A
Vendor B
Client Side Open DataData
NYSE Model Vendor B
Normalization Model Data Model
OpenMAMA Vendor B
Exegy CAPI MAMA
API
Client Application Client Application Client Application
10 Developed by NYSE Technologies
Key
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
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
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.
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
MOM
Feed Publish Distribute Consume
21. Phase 1
API
API Abstraction Layer
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
22. Phase 1
OpenMAMA = API Abstraction Layer 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 Dictionary
Config
CAPI
23. Phase 1
API
Phase 1: OpenMAMA and Exegy
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 MAMA Application MAMA
Application Application Application
24. Phase 2
Publish
Phase 2: Publishing
Distribution using Message-Oriented Middleware
Final normalization at Edge Cache publisher
Feeds
Enterprise
Systems Base Appliances
Edge Caches
Message
Oriented
Middlewares
MAMA MAMA MAMA MAMA
Application Application Application 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)