The Allocation Instruction message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. In versions of FIX prior to version 4.4, this same message was known as the Allocation message. Note in versions of FIX prior to version 4.4, the allocation message was also used to communicate fee and expense details from the Sellside to the Buyside. This role has now been removed from the Allocation Instruction and is now performed by the new (to version 4.4) Allocation Report and Confirmation <AK> messages.,The Allocation Report message should be used for the Sell-side Initiated Allocation role as defined in previous versions of the protocol.
Note the response to the Allocation Instruction message is the Allocation Instruction Ack message. In versions of FIX prior to version 4.4, the Allocation Instruction Ack message was known as the Allocation ACK message.
Allocation 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.
In the context of bilateral (buyside to sellside) communication, the buyside firm should be the "Initiator" of an Allocation Instruction message and a Sellside firm would be the "Respondent". An Allocation Instruction message can be submitted with AllocTransType <71> of new, cancel or replace. The AllocType <626> field indicates the type or purpose of the message:
Calculated (includes MiscFees and NetMoney <118>)
Preliminary (without MiscFees and NetMoney <118>)
It is possible either to specify, in the AllocSettlInstType <780> field, full settlement instruction details on the Allocation Instruction message, to provide a reference to a settlement instruction held on a database of such instructions or to instruct the receiving party to perform one of the following actions:
Use default instructions
Derive the instructions from the parameters of the trade
Phone for instructions
General guidelines applicable to this message:
To reject an Allocation Instruction message, an Allocation Instruction Ack with AllocStatus <87> 'Block level reject' or 'Account <1> level reject' should be used. Use of 'Block level reject' means the entire message has been rejected (e.g. due to one or more of the orders not matching, average price mismatch). 'Account <1> level reject' is used when the block level matches successfully but one or more (or all) of the constituent account level details failed validation (e.g. account not found, incorrect MiscFees). In the latter case, the rejecting party can (optionally) notify the instructing party of those allocation details that are being rejected by listing the offending account IDs in the Allocation Instruction Ack message (a new NoAllocs <78> repeating group has been introduced for this purpose).
The correct response to an Allocation Instruction Ack of status 'Block level reject' is a new Allocation Instruction with AllocTransType <71> 'New' (as the previous message has been rejected in entirety). In the case of an 'Account <1> level reject', either the original Allocation Instruction should be cancelled (a new Allocation Instruction message referencing the original in RefAllocID <72>, with AllocTransType <71> 'Cancel') and reinstated (a second new Allocation Instruction message with AllocTransType <71> 'New'), or fully replaced (a new Allocation Instruction, referencing the original in RefAllocID <72>, with AllocTransType <71> 'Replace'). Note a replacement allocation message (AllocTransType <71>=Replace) must contain all data for the replacement allocation message. It is the responsibility of the recipient of the Replace message to identify which items have been changed.
It is permissible (though not mandatory) for the Respondent to reject an Allocation Instruction with AllocTransType <71> = Cancel or Replace if the Allocation Instruction ACK of status 'Accepted' has already been sent. Manual communication would then be required to effect the required changes. This approach would generally be required where the Respondent is using the generation of the 'Accepted' Allocation Instruction ACK to move the allocation details into downstream processing (e.g. confirmation generation), in which case a subsequent cancellation of or amendment to the allocation details may require the details to be retrieved from the downstream process.
Where amendment or cancellation of an allocation instruction has taken place out of band (i.e. manually or via some other means outside FIX), an Allocation Report message can be sent from the recipient of the allocation/cancellation to confirm back to the initiator that the relevant action has taken place.
Where settling in markets where multiple alternative settlement locations exist, it is recommended that the settlement location (equivalent to ISO15022 'PSET' field) be identified on each allocation detail within the NoAllocs <78> repeating group. A nested parties component block is provided which can be used for this purpose.
The allocation message contains repeating fields for each order, sub-account and individual execution. The repeating fields are shown in the message definition below in typeface Bold-Italic and indented with the symbol. The fields relative position within the repeating group in the message is important. For example, each instance of allocation must be in the order as shown in the message definition below.
The total quantity allocated must equal the Quantity <53> value*. If present, the total quantity in the execution section must also be equal to this value. *Note that the total quantity of the allocation does not necessarily have to equal the total quantity of the orders being allocated. Good examples of where this does not necessarily take place are GT orders, especially where multi-day average pricing is taking place (refer to the 'Equities' section of Volume 7 for more details on these flows). The quantity of each order being booked must also be specified on the message. This will be equal to the order quantity if the entire order is being booked, though can be less if only part of the order is being booked. The sum of the order booking quantities must equal the Quantity <53> value.
The number of sub-account instances is indicated in NoAllocs <78>.
Multiple orders can be combined for allocation or for AllocType <626>=" Ready-To-Book" or for AllocType <626> = "Warehouse instruction". Note that combined orders must refer to the same instrument and have the same trade date, settlement date and side. The identification of the orders to be combined can be achieved in one of two ways:
By identifying the number of orders in the NoOrders <73> field and each individual order in the OrderID <37> fields. The AllocNoOrdersType <857> field is used to denote that this is happening and takes value "1=Explicit list provided". If any orders were handled outside FIX, the ClOrdID <11> must be set to 'MANUAL'. Regardless of whether the orders were handled within or outside FIX, the order quantity and average price must also be specified for each order. This is to assist in validating the message and, for manual orders, to help identify the correct orders to book.
By stating that an unspecified group of orders is to be combined. The NoOrders <73> field in this case is left blank. The AllocNoOrdersType <857> field is set to "0=Not specified" to specify that this is happening. Note use of this approach is only recommended where either the number of orders being booked is extremely large or some kind of aggregation rule is being used.
Multiple executions can be combined for allocation by identifying the number of executions in the NoExecs <124> field and each individual execution in the ExecID <17> fields. Combined executions must refer to the same instrument, trade date, settlement date and side.
Except where AllocTransType <71> = 'Cancel' or where AllocNoOrdersType <857> = "Not specified", the list of orders being booked or allocated must be specified by using their ClOrdID <11>. If any orders were handled outside FIX, the ClOrdID <11> must be set to 'MANUAL'. Regardless of whether the orders were handled within or outside FIX, and where the orders are specified, the order quantity and average price must also be specified for each order. This is to assist in validating the message and, for manual orders, to help identify the correct orders to book.
See Example Usage of Allocations and Ready-to-Book for more examples and details.