Shearson Develops 'Price Box' For Market Data; Applications Too Proprietary For Adp Quote System

Shearson Lehman Brothers, Inc. is developing a "price box" database of quotes to support real-time applications in its capital markets operations worldwide. The price box isn't connected to the recently-announced contract for Automatic Data Processing, Inc. to provide Shearson with a market data system (MTR, August 1987), in part because the applications are seen as too sensitive for outside involvement.

Shearson's strategy underscores a predicament facing many large firms. On the one hand, they demand that their principal quote vendors provide customized applications rather than cookie cutter quotes. On the other hand, they worry about how much vendors should be allowed to know -- and how far they should be allowed to go -- in developing proprietary applications.

"Based on my experience, it's not very far at all," says David Isherwood, the Shearson assistant vice president who's creating the price box. "We want to build applications. We don't necessarily want ADP, Quotron, and Reuters finding out about those."

Isherwood, who also heads the fledgling Financial Information Standards Organization, says the centralized price server is an increasingly common strategy because firms can't wait around for vendors to agree on standard protocols for digital data feeds. "I think this is a general trend," he says. "It's not something unusual within Shearson."

In fact, says Isherwood, "the design for this gateway has been reviewed by three other firms." He insists this poses no conflict, because sharing such straightforward technology with competitors "enables us all to build applications, which is where the differentiability arises."

The price box will handle only digital, logical record data sources, says Isherwood, like the Reuter Marketfeed 2000, for which Shearson is a beta test site. It has three principal functions -- protocol conversion, buffering, and character set translation.

The system "goes from whatever protocol an information provider would care to use, and normalizes that within the DP environment of the recipient, and in our case that is TCP/IP and LU 6.2," says Isherwood. The price box also provides elastic buffering, so that if another machine running an application goes down, 15 minutes' worth of prices will be stored in RAM and ready to go when it comes back up. And it also performs character set translation back and forth between ASCII and EBCDIC and between fractional and decimal numerals.

The LU 6.2 interface connects to an IBM 3090 for general applications -- "a well-defined, boring API," Isherwood calls it -- while the TCP/IP makes prices available on Ethernet LANs for real-qtime trading room functions.

Besides its pass-through functions, the system also maintains an up-to-date RAM database of prices, as well as a 24-hour archive of data on disk -- but not stored as a time-series database. It's strictly for replay, says Isherwood.