The CME has begun making its SPAN risk parameter file(s) available in a new, XML-based format, at ftp.cme.com/pub/span/data/cme/xml.
XML stands for Extensible Markup Language. XML is a new standard for creating datafiles which will provide many benefits for users of SPAN files. The XML-based format for SPAN files is a key part of the new SPAN version 4.
First and foremost, XML will dramatically reduce reprogramming costs associated with the addition of new data elements, or format changes to existing data elements, when compared with the costs associated with the fixed-length-record positional-format files which have been used for many years.
The XML format will be provided in addition to the standard unpacked and packed formats which have been available since the CME first developed SPAN in 1988.
The French exchanges SBF, MATIF and Monep also will use this new XML-based format when they implement Clearing 21 SPAN during 2000.
The new PC-SPAN version 4 -- the completely re-engineered Windows version, which is now available -- reads and writes XML-based SPAN files, and makes extensive use of the XML format both for storing data and for creating reports.
XML is an outgrowth of HTML (Hypertext Markup Language), the language of the World Wide Web. It was created in response to the growing need to create Web pages containing formatted data. The idea is that XML is the tool for describing the data, while HTML then becomes the tool for formatting the data. XML is a very "hot" technology right now. Its use is growing rapidly daily, and tools for working with XML are coming to market all the time. The latest Web browsers by Microsoft, Netscape and others support XML.
XML is both extremely simple and extremely flexible. An XML-format datafile is easy to read and to edit, using either a standard text editor or a specialized XML editor. It's extremely flexible in that data elements can be added, and formats of existing attributes can be modified, at will. The hassles associated with positional-format datafiles -- finding room on an existing record to add data, and endlessly defining new record types, support for which must be programmed -- are permanently eliminated.
Another virtue of XML is that the structure of a particular type of XML file can be described in machine-readable form in a Document Type Definition file, also called a DTD file. This DTD file serves both as an easy to read summary of the structure of an XML file, and as a template for the contents of such a file, for use by programs which are reading the file. There are standard, off-the-shelf tools available which will validate the contents of an XML file against its DTD file. Using these tools can drastically simplify the task of validating the datafile contents.
Another major virtue of XML is that, when compressed, a much greater amount of data can be placed into the same ZIP file than is possible with positional-format datafiles. The CME's XML-based SPAN file compresses to a file about the same size (or perhaps even smaller) than its standard unpacked-format file, even though the uncompressed file is larger (because more data is contained within.)
This document is intended to make it simple to review the DTD file for the XML-based SPAN file (shown in the pane on the left) and the detailed documentation for each element, shown in the pane on the right.
In this discussion, we have divided the structure of the XML file into two sections, the risk side and the portfolio side. In a SPAN risk parameter file published by an exchange or clearing organization, only data for the risk side would be included. In PC-SPAN, once portfolio and position data has been loaded and performance bond requirements calculated, when the XML file is created, it will include both the risk side and the portfolio side. In effect, the portfolio side is an easy to read datafile containing portfolios, positions, and the results of the margin calculation.
The structure of the XML-based SPAN file contains various new concepts. It incorporates support for much new flexibility, in two overall aspects:
In the XML Documentation section, you will find several shareware or freeware tools for working with XML files described, together with links to sites from which they can be downloaded.
As described above, the CME's daily XML-based SPAN files are available for download at ftp.cme.com/pub/span/data/cme/xml.
If you have comments or questions, we would appreciate hearing from you. Send email about this to Ed Gogol and/or Alex Bagmet and Dmitriy Glinberg.