Allocation <J> message – FIX 4.3 – FIX Dictionary

FIX 4.3 : 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. Note the response to the Allocation <J> message is the Allocation ACK <P> message.

The Allocation <J> message can also be sent by the buyside firm after execution to indicate to the sellside firm that one or a combined (aggregated) set of orders are "Ready-To-Book" without specifying individual account breakdowns. This can be used to trigger post-trade allocation, matching, and settlement processing via other channels (e.g. post-trade industry utilities).

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 <J> message can be submitted with AllocTransType <71> of new, cancel or replace. The AllocType <626> field indicates the type or purpose of the message:

Buyside Calculated (includes MiscFees and NetMoney <118>)
Buyside Preliminary (without MiscFees and NetMoney <118>)
Sellside Calculated Using Preliminary (includes MiscFees and NetMoney <118>)
Sellside Calculated Without Preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney <118>)
Buyside Ready-To-Book - Single Order
Buyside Ready-To-Book - Combined Set of Orders

General guidelines applicable to this message:

AllocID <70> should be unique for all Allocation messages with AllocTransType <71>=New.
When submitting replace or cancel AllocTransType <71> messages or AllocType <626> = "Sellside Calculated Using Preliminary", the RefAllocID <72> field is required.
Note that AllocTransType <71> of Cancel or Replace and AllocStatus <87> = rejected affects the entire Allocation message thus both the block level and each AllocAccount <79> (cannot cancel, reject, or replace a single AllocAccount <79> instance without affecting the entire Allocation message).
Replacement Allocation messages (AllocTransType <71>=Replace) must contain all data for the replacement Allocation message.
AllocType <626> of "Sellside Calculated Using Preliminary" allocations should use RefAllocID <72> to specify the AllocID <70> from the "Buyside Preliminary".
"Sellside Calculated Without Preliminary" is sent unsolicited from the sellside and does not require RefAllocID <72>.

The Allocation message contains repeating fields for each order, sub-account and individual execution. The repeating fields are 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 quantity allocated must equal the Quantity value which must equal the total executed quantity of the original order. If present, the total quantity 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 or for AllocType <626>=" Buyside Ready-To-Book - Combined Set of Orders" 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 AllocQty 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 (all use and end with AllocationACK messages):

Buyside initiated without Misc Fee and Net Money computation (AllocType <626>="Buyside Preliminary" followed by sellside send with AllocType <626>="Sellside Calculated Using Preliminary")
Buyside-initiated with Misc Fee and Net Money computation (AllocType <626>="Buyside Calculated")
Sellside-initiated with Misc Fee and Net Money computatation sent unsolicited (AllocType <626>=" Sellside Calculated Without Preliminary ")

Post-Trade "Ready-To-Book" communication supports two modes:

Buyside initiated indicating that a single order is now ready to begin the booking process (AllocType <626>="Buyside Ready-To-Book - Single Order")
Buyside initiated indicating that a set of orders for the same security, side, settlement date, etc. is now ready to begin the booking process as a single aggregated unit (AllocType <626>="Buyside Ready-To-Book - Combined Set of Orders")

Two party Step-outs and Directed Commission <12> activity can be expressed as:

Entity

Expressed As

Executing Broker:

(executes the trade)

NestedPartyRole <538> = "Executing Firm"

Step-in Broker/Settlement Broker:

(settles and receives commission/credit)

NestedPartyRole <538> = "Broker of Credit)"

AND

NestedPartyRole <538> = "Giveup Clearing Firm (firm to which a trade is given up)"

Three party Step-outs and Directed Commission <12> activity can be expressed as:

Entity

Expressed As

Executing Broker:

(executes the trade)

NestedPartyRole <538> = "Executing Firm"

Broker of Credit

(receives commission/credit)

NestedPartyRole <538> = "Broker of Credit)"

Step-in Broker/Settlement Broker:

(settles the trade)

NestedPartyRole <538> = "Giveup Clearing Firm (firm to which a trade is given up)"

See VOLUME 5 - "Example Usage of Allocations and Ready-To-Book Messaging" for more examples and details.

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

Note: Req'd = "Y**" indicates that the field is not required for AllocTransType <71>=Cancel, nor is it required for AllocType <626>="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".

Structure

Tag			Field Name	Req'd	Comments
<MessageHeader>				Y	MsgType <35> = J
70			AllocID	Y
71			AllocTransType	Y	i.e. New, Cancel, Replace
626			AllocType	Y	Specifies the purpose or type of Allocation <J> message
72			RefAllocID	N	Required for AllocTransType <71> = Replace or Cancel Required for AllocType <626> = "Sellside Calculated Using Preliminary"
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.
466			BookingRefID	N	Can be used with AllocType <626>="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders"
73			NoOrders	Y*	Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one). Not required for AllocTransType <71>=Cancel
=>	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'. Not required for AllocTransType <71>=Cancel
=>	37		OrderID	N
=>	198		SecondaryOrderID	N	Can be used to provide order id used by exchange or executing system.
=>	526		SecondaryClOrdID	N
=>	66		ListID	N	Required for List Orders.
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		LastQty(formerly named: LastShares prior to FIX 4.3)	N	Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs <124> > 0
=>	17		ExecID	N
=>	527		SecondaryExecID	N
=>	31		LastPx	N	Price of individual execution. Required if NoExecs <124> > 0
=>	29		LastCapacity	N	Can be specified by broker for AllocType <626>="Sellside Calculated Without Preliminary" and "Sellside Calculated Using Preliminary"
54			Side	Y
Component Block - <Instrument>				Y	Insert here the set of "<Instrument>" (symbology) fields
53			Quantity(formerly named: Shares prior to FIX 4.3)	Y	Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
30			LastMkt	N	Market of the executions.
229			TradeOriginationDate	N
336			TradingSessionID	N
625			TradingSessionSubID	N
423			PriceType	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
Component Block - <Parties>				N	Insert here the set of "<Parties>" (firm identification) fields
75			TradeDate	Y
60			TransactTime	N	Date/time when allocation is generated
63			SettlmntTyp	N
64			FutSettDate	N	Takes precedence over SettlmntTyp <63> value and conditionally required/omitted for specific SettlmntTyp <63> values.
381			GrossTradeAmt	N	Expressed in same currency as AvgPx <6>. Sum of (AllocQty <80> * AllocAvgPx <153> or AllocPrice <366>).
238			Concession	N
237			TotalTakedown	N
118			NetMoney	N	Expressed in same currency as AvgPx <6>. Sum of AllocNetMoney <154>.
77			PositionEffect(formerly named: OpenClose prior to FIX 4.3)	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
540			TotalAccruedInterestAmt	N	Sum of AccruedInterestAmt <159> within repeating group.
650			LegalConfirm	N
78			NoAllocs	Y**	Indicates number of allocation groups to follow. Not required for AllocTransType <71>=Cancel Not required for AllocType <626>="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=>	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. Not required for AllocTransType <71>=Cancel Not required for AllocType <626>="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=>	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		AllocQty(formerly named: AllocShares prior to FIX 4.3)	Y**	Not required for AllocTransType <71>=Cancel Not required for AllocType <626>="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=>	467		IndividualAllocID	N
=>	81		ProcessCode	N
=>	Component Block - <NestedParties>			N	Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields Used for NestedPartyRole <538>=BrokerOfCredit, ExecBroker, ClientID, etc.
=>	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.
=>	Component Block - <CommissionData>			N	Insert here the set of "<CommissionData>" fields
=>	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> ((AllocQty <80> * AllocAvgPx <153>) - Commission <12> - sum of MiscFeeAmt <137> + AccruedInterestAmt <159>) if a Sell ((AllocQty <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, 4= Specific Order)
=>	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