Allocation <J> message – FIX 4.2 – FIX Dictionary

FIX 4.2 : Allocation <J> message

Description

The Allocation <J> message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. It can also be used as a confirmation message through which third parties can communicate execution and settlement details between trading partners. In addition, the Allocation <J> message can be sent by the broker to communicate fees and other details that can only be computed once the sub-account breakdowns are known.

Allocation <J> is typically communicated Post-Trade (after fills have been received and processed). It can, however, also be communicated Pre-Trade (at the time the order is being placed) to specify the account(s) and their respective order quantities which make up the order. This is a regulatory requirement in certain markets and for certain types of securities.

An Allocation message can be submitted as preliminary, calculated, calculated without preliminary, new, cancel or replace. The AllocTransType <71> field indicates the purpose of the message. When submitting calculated, replace, or cancel AllocTransType <71> messages the RefAllocID <72> field is required. Note that AllocTransType <71> of Cancel, Reject, or Replace affects the entire Allocation <J> message thus each AllocAccount <79> (cannot cancel, reject, or replace a single AllocAccount <79> instance without affecting the entire Allocation message). Replacement Allocation messages must contain all data for the replacement allocation. Calculated allocations should have a unique AllocID <70> and use RefAllocID <72> to specify the AllocID <70> from the preliminary. Calculated without preliminary are sent unsolicited from the sellside and do not require RefAllocID <72>.

The Allocation <J> message contains repeating fields for each order, sub-account and individual execution. The repeating fields shown below are marked with the =>symbol. The field's relative position in the message is important. For example, each instance of allocation must be in the order shown below.

The total shares allocated must equal the Shares <53> value which must equal the total executed quantity of the original order. If present, the total shares in the execution section must also be equal to this value.
The number of sub-account instances is indicated in NoAllocs <78>.
Multiple orders can be combined for allocation by identifying the number of orders in the NoOrders <73> field and each individual order in the OrderID <37> fields. Combined orders must have the same ticker, trade date, settlement date and side.

Pre-Trade Allocation consists of the following steps:

Buyside sends a New Order request message specifying one or more AllocAccount <79> and AllocShares <80> values within the repeating group designated by NoAllocs <78>.
Sellside sends Execution Report <8> messages for the "New" and resulting fills.
Post-Trade Allocation <J> messaging takes place

Post-Trade Allocation can be computed via one of two methods:

Using Average Price: Each AllocAccount <79> has a single AllocAvgPx <153>
Using Executed Price: Combination of each AllocAccount <79> and AllocPrice <366> (unique LastPx <31>) (e.g. Japan)

Post-Trade Allocation supports three different message flows:

Buyside initiated without Misc Fees
Buyside-initiated with Misc Fee computation
Sellside-initiated

See Appendix K: Example Usage of Allocations for more examples and details.

Note: Req'd = "Y*" indicates that the field is not required for AllocTransType <71> ='2' (Cancel)

Structure

Tag			Field Name	Req'd	Comments
<MessageHeader>				Y	MsgType <35> = J
70			AllocID	Y
71			AllocTransType	Y
72			RefAllocID	N	Required for AllocTransType <71> = 'Calculated', 'Replace', or 'Cancel'
196			AllocLinkID	N	Can be used to link two different Allocation <J> messages (each with unique AllocID <70>) together, i.e. for F/X 'Netting' or 'Swaps'
197			AllocLinkType	N	Can be used to link two different Allocation <J> messages and identifies the type of link. Required if AllocLinkID <196> is specified.
73			NoOrders	Y*	Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).
=>	11		ClOrdID	Y*	Order ID assigned by client if order(s) were electronically delivered and executed. If order(s) were manually delivered this field should contain string 'MANUAL'.
=>	37		OrderID	N
=>	198		SecondaryOrderID	N	Can be used to provide order id used by exchange or executing system.
=>	66		ListID	N	Required for List Orders.
=>	105		WaveNo	N
124			NoExecs	N	Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
=>	32		LastShares	N	Number of shares in individual execution. Required if NoExecs <124> > 0
=>	17		ExecID	N
=>	31		LastPx	N	Price of individual execution. Required if NoExecs <124> > 0
=>	29		LastCapacity	N	Can be specified by broker for AllocTransType <71> ='Calculated'
54			Side	Y
55			Symbol	Y
65			SymbolSfx	N
48			SecurityID	N
22			IDSource	N
167			SecurityType	N	Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.
200			MaturityMonthYear	N	Specifies the month and year of maturity. Required if MaturityDay <205> is specified.
205			MaturityDay	N	Can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.
201			PutOrCall	N	For Options.
202			StrikePrice	N	For Options.
206			OptAttribute	N	For Options.
231			ContractMultiplier	N	For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
223			CouponRate	N	For Fixed Income.
207			SecurityExchange	N	Can be used to identify the security.
106			Issuer	N
348			EncodedIssuerLen	N	Must be set if EncodedIssuer <349> field is specified and must immediately precede it.
349			EncodedIssuer	N	Encoded (non-ASCII characters) representation of the Issuer <106> field in the encoded format specified via the MessageEncoding <347> field.
107			SecurityDesc	N
350			EncodedSecurityDescLen	N	Must be set if EncodedSecurityDesc <351> field is specified and must immediately precede it.
351			EncodedSecurityDesc	N	Encoded (non-ASCII characters) representation of the SecurityDesc <107> field in the encoded format specified via the MessageEncoding <347> field.
53			Shares	Y	Total number of shares allocated to all accounts
30			LastMkt	N	Market of the executions.
336			TradingSessionID	N
6			AvgPx	Y	For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points).
15			Currency	N	Currency of AvgPx <6>. Should be the currency of the local market or exchange where the trade was conducted.
74			AvgPrxPrecision	N	Absence of this field indicates that default precision arranged by the broker/institution is to be used
75			TradeDate	Y
60			TransactTime	N	Date/time when allocation is generated
63			SettlmntTyp	N	Absence of this field is interpreted as Regular
64			FutSettDate	N	'Settlement Date'. Required with SettlmntTyp <63> other than regular
381			GrossTradeAmt	N	Expressed in same currency as AvgPx <6>. Sum of (AllocShares <80> * AllocAvgPx <153> or AllocPrice <366>).
118			NetMoney	N	Expressed in same currency as AvgPx <6>. Sum of AllocNetMoney <154>.
77			OpenClose	N
58			Text	N
354			EncodedTextLen	N	Must be set if EncodedText <355> field is specified and must immediately precede it.
355			EncodedText	N	Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.
157			NumDaysInterest	N	Applicable for Convertible Bonds and fixed income
158			AccruedInterestRate	N	Applicable for Convertible Bonds and fixed income
78			NoAllocs	Y*	Indicates number of allocation groups to follow.
=>	79		AllocAccount	Y*	May be the same value as BrokerOfCredit <92> if ProcessCode <81> is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker <76>. Required if NoAllocs <78> > 0. Must be first field in repeating group.
=>	366		AllocPrice	N	Used when performing 'executed price' vs. 'average price' allocations (e.g. Japan). AllocAccount <79> plus AllocPrice <366> form a unique Allocs entry. Used in lieu of AllocAvgPx <153>.
=>	80		AllocShares	Y
=>	81		ProcessCode	N
=>	92		BrokerOfCredit	N	Required if ProcessCode <81> is step-out or soft-dollar step-out
=>	208		NotifyBrokerOfCredit	N
=>	209		AllocHandlInst	N
=>	161		AllocText	N	Free format text field related to this AllocAccount <79>
=>	360		EncodedAllocTextLen	N	Must be set if EncodedAllocText <361> field is specified and must immediately precede it.
=>	361		EncodedAllocText	N	Encoded (non-ASCII characters) representation of the AllocText <161> field in the encoded format specified via the MessageEncoding <347> field.
=>	76		ExecBroker	N	Required for step-in and step-out trades
=>	109		ClientID	N	Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID <115>/DeliverToCompID <128>).
=>	12		Commission	N
=>	13		CommType	N
=>	153		AllocAvgPx	N	AvgPx <6> for this AllocAccount <79>. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points) for this allocation.
=>	154		AllocNetMoney	N	NetMoney <118> for this AllocAccount <79> ((AllocShares <80> * AllocAvgPx <153>) - Commission <12> - sum of MiscFeeAmt <137> + AccruedInterestAmt <159>) if a Sell ((AllocShares <80> * AllocAvgPx <153>) + Commission <12> + sum of MiscFeeAmt <137> + AccruedInterestAmt <159>) if a Buy
=>	119		SettlCurrAmt	N	AllocNetMoney <154> in SettlCurrency <120> for this AllocAccount <79> if SettlCurrency <120> is different from 'overall' Currency <15>
=>	120		SettlCurrency	N	SettlCurrency <120> for this AllocAccount <79> if different from 'overall' Currency <15>. Required if SettlCurrAmt <119> is specified.
=>	155		SettlCurrFxRate	N	Foreign exchange rate used to compute SettlCurrAmt <119> from Currency <15> to SettlCurrency <120>
=>	156		SettlCurrFxRateCalc	N	Specifies whether the SettlCurrFxRate <155> should be multiplied or divided
=>	159		AccruedInterestAmt	N	Applicable for Convertible Bonds and fixed income
=>	160		SettlInstMode	N	Type of Settlement Instructions which will be provided via Settlement Instructions <T> message ('0'=Default, '1'=Standing Instructions, '2'=Specific Allocation Account Overriding, '3'=Specific Allocation Account Standing)
=>	136		NoMiscFees	N	Required if any miscellaneous fees are reported. Indicates number of repeating entries. Repeating group within Alloc repeating group. Nested Repeating Group follows
=>	=>	137	MiscFeeAmt	N	Required if NoMiscFees <136> > 0
=>	=>	138	MiscFeeCurr	N	Required if NoMiscFees <136> > 0
=>	=>	139	MiscFeeType	N	Required if NoMiscFees <136> > 0
<MessageTrailer>				Y