Recently in finance Category

Here are some recent resources I found for ETFs. Of particular interest are sites that list current ETFs.

• MasterData
• Yahoo ETF list
• ETF Connect
• ETF Zone

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2008-06-25: MoneyCentral also has an ETF list. Unfortunately, you have to page through them 20 at a time. You can't download them all at once.

Scraped from selfinvestors.com:

• Investment Postcards
• Seeking Alpha
• Capital Chronicle
• C++ Trader
• Bull Trader
• Tim Knight (Prophet.net)
• Deal Breaker
• ETF Trends
• Short Squeezes
• Money Turtle
• Market Talk with Piranha
• Bill Rempel
• Swing Trading Stocks
• In the Money
• Kirk Report
• Market Matador
• Club Ino
• Madd Money
• Howard Lindzon
• Financial Armageddon
• Random Roger's Big Picture
• Contra Hour
• Chartology
• Bob's Advice for Stocks
• Ugly Chart
• Zach Stocks
• BioHealth Investor
• Big Ben's Investing Blog
• StockBee
• Trade Radar
• Trader Mike
• Crowder Investments
• Davis Freeberg
• Stock Market Beat

QuickFIX is a full-featured open source FIX engine, currently compatible with the FIX 4.0-4.4 spec. It runs on Windows, Linux, Solaris, FreeBSD and Mac OS X. API's are available for C++, Java, .NET, Python and Ruby.

Links to documents

• [FIX protocol]
• [Algorithmic Trading Working Group - public archive]
• [Short overview of FIX]

The following was scraped from an online PowerPoint presentation:

Session level messages

• logon/logout
• heartbeat
• test request
• resend request
• reject
• sequence reset

Application level messages

• new order
• execution report
• order cancel/replace request
• allocation
• trade capture report
• confirmation

For each field:

• tag (a unique number)
• field name
• data type (string, char, price, quantity)
• description
• FIXML name (XML element name)

User-defined messages

User-defined fields

Message syntaxes

1. 'tag=value' syntax
   1. tag (tag number)
   2. =
   3. value
   4. delimiter (ASCII SOH)
2. FIXML syntax
   • XML schema defined
   • application messages only, no session level

Sample transaction
(1) buy side connect to TCP socket on port of sell side FIX engine
(2) sell side accepts TCP connection
(1) send Logon message
(2) send Logon message back
(1) send New Order message
(2) send Execution Report acknowledging order
(2) send Execution Report containing fill

Buy 5000 IBM at 110.75

8=FIX4.2^		# BeginString
9=251^			# BodyLength
35=D^			# MsgType (New Order)
49=AFUNDMGR^		# SenderCompID (AFUNDMGR)
56=ABROKER^		# TargetCompID (ABROKER)
34=2^			# MsgSeqNum (2)
52=20030615-01:14:49^	# SendTime
11=12345^		# ClOrderID (CLient Order ID)
21=1^			# HandleInst (automated exec)
55=IBM^			# Symbol (IBM)
54=1^			# Side (buy)
60=2003061501:14:49^	#
38=5000^		# OrderQty (5000)
40=2^			# OrdType (Limit)
44=110.75^		# Price (110.75)
10=127^			# Checksum

<FIXML>
<FIXMLMessage>
<Header>
<SendingTime></SendingTime>
<Sender>
<CompID>AFUNDMGR</CompID>
</Sender>
<Target>
<CompID>ABROKERR</CompID>
</Target>
</Header>
<ApplicationMessage>
<Order>
<ClOrdID></ClOrdID>
<HandlInst Value="1" />
<Instrument>
<Symbol>IBM</Symbol>
</Instrument>
<Side Value="1" />
<TransactTime></TransactTime>
<OrderQtyData>
<OrderQty>5000</OrderQty>
</OrderQtyData>
<OrderType Value="2" />
<Price>110.75</Price>
</Order>
</ApplicationMessage>
</FIXMLMessage>
</FIXML>

If you're going to make your own stock market application, sooner of later you are going to want ISO code data.

[ISO country codes]
[ISO currency codes]

The money sentence: "The swaps themselves have become a research tool for analysts who monitor their trading activity as a means of keeping abreast of possible pending deals."

[SeekingAlpha]
[Bloomberg]

Summary: Credit Derivatives Research LLC, a New York-based independent research group, contends in a recent study that derivatives traders may be profiting from inside information on leveraged buyouts. The tip-off was the rise -- prior to the public announcement of any deals -- of credit-default swaps based on the bonds of 30 takeover targets in 2006, including four of the year's five biggest LBOs. "Evidence shows that CDS prices are widening before public rumor or news," said Tim Backshall, a strategist at Credit Derivatives Research. "Whether it's insider trading or more informed selling is unclear." Credit-default swaps are contracts derived from bonds and loans that are used to speculate on a company's ability to repay debt. They were designed ostensibly to protect bondholders from default -- they will pay the holder face value in exchange for the underlying securities if the company fails to pay its debts -- but they have proven very attractive to speculators, since they are less expensive and more liquid than corporate bonds. Since their invention less than a decade ago, the total face value of CDS contracts worldwide has reached $26 trillion -- a faster growth rate than any other derivative. The study notes that in 2005, the cost of credit-default swaps on $10 million of Knight Ridder bonds surged 35% one day before the company's largest shareholder called for a sale in an SEC filing. Credit-default swaps on $10 million of HCA Inc. bonds rose 48% in 2 1/2 months before news broke that the hospital operator was in talks for what has turned out to be a $33 billion LBO. And the week before the New York Times reported on Sept. 11 that Freescale Semiconductor may be sold for $16 billion to an investor group, credit-default swaps based on the company's bonds rose 11%. CDS traders are essentially unregulated: neither the SEC nor the Commodity Futures Trading Commission [CFTC] claims responsibility for their actions. The swaps themselves have become a research tool for analysts who monitor their trading activity as a means of keeping abreast of possible pending deals.