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>)
- Warehouse instruction
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:
- AllocID <70> should be unique for all Allocation messages with AllocTransType <71>=New.
- When submitting replace or cancel AllocTransType <71> messages, the RefAllocID <72> and AllocCancReplaceReason <796> fields are required.
- 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 field's 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.
|Component Block - <StandardHeader>||Y||MsgType = J|
|70||AllocID||Y||Unique identifier for this allocation instruction message|
May be used to link to a previously submitted AllocationInstructionAlertRequest <DU> message.
|71||AllocTransType||Y||i.e. New, Cancel, Replace|
|626||AllocType||Y||Specifies the purpose or type of Allocation message|
|793||SecondaryAllocID||N||Optional second identifier for this allocation instruction (need not be unique)|
|72||RefAllocID||N||Required for AllocTransType = Replace or Cancel|
Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation instruction
Required if AllocType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
|196||AllocLinkID||N||Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"|
|197||AllocLinkType||N||Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.|
Group identifier assigned by the clearinghouse
Firm assigned entity identifier for the allocation
|466||BookingRefID||N||Can be used with AllocType=" Ready-To-Book "|
|857||AllocNoOrdersType||N||Indicates how the orders being booked and allocated by this message are identified, i.e. by explicit definition in the NoOrders group or not.|
|Component Block - <OrdAllocGrp>||N||Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1|
|Component Block - <ExecAllocGrp>||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.|
|Component Block - <Instrument>||Y||
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages".
For NDFs fixing date and time can be optionally specified using MaturityDate and MaturityTime.
|Component Block - <InstrumentExtension>||N||Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"|
|Component Block - <FinancingDetails>||N||Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"|
|Component Block - <UndInstrmtGrp>||N|
|Component Block - <InstrmtLegGrp>||N|
|53||Quantity||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.|
|Component Block - <PriceQualifierGrp>||N|
For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency <15>.
For 3rd party allocations used to convey either basic price or averaged price
Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.
|Component Block - <SpreadOrBenchmarkCurveData>||N||Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"|
|15||Currency||N||Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.|
|74||AvgPxPrecision||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 defined in "Common Components of Application Messages"|
|60||TransactTime||N||Date/time when allocation is generated|
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the "value date".
|775||BookingType||N||Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.|
|381||GrossTradeAmt||N||Expressed in same currency as AvgPx <6>. (Quantity <53> * AvgPx <6> or AvgParPx <860>) or sum of (AllocQty <80> * AllocAvgPx <153> or AllocPrice <366> ). For Fixed Income, AvgParPx <860> is used when AvgPx <6> is not expressed as "percent of par" price.|
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX, if specified, expressed in terms of Currency <15>.
|754||AutoAcceptIndicator||N||Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House|
|354||EncodedTextLen||N||Must be set if EncodedText field is specified and must immediately precede it.|
|355||EncodedText||N||Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.|
|157||NumDaysInterest||N||Applicable for Convertible Bonds and fixed income|
|158||AccruedInterestRate||N||Applicable for Convertible Bonds and fixed income|
|159||AccruedInterestAmt||N||Applicable for Convertible Bonds and fixed income|
|920||EndAccruedInterestAmt||N||For repurchase agreements the accrued interest on termination.|
|921||StartCash||N||For repurchase agreements the start (dirty) cash consideration|
|922||EndCash||N||For repurchase agreements the end (dirty) cash consideration|
|Component Block - <Stipulations>||N|
|Component Block - <YieldData>||N|
|Component Block - <RegulatoryTradeIDGrp>||N|
|Component Block - <PositionAmountData>||N||Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"|
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
|893||LastFragment||N||Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.|
|Component Block - <AllocGrp>||N||Conditionally required except when AllocTransType = Cancel, or when AllocType = "Ready-to-book" or "Warehouse instruction"|
|819||AvgPxIndicator||N||Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.|
Firm designated group identifier for average pricing
|715||ClearingBusinessDate||N||Indicates Clearing Business Date for which transaction will be settled.|
|828||TrdType||N||Indicates Trade Type of Allocation.|
|829||TrdSubType||N||Indicates TradeSubType of Allocation. Necessary for defining groups.|
Must be set if EncodedTradeContinuationText <2371> field is specified and must immediately precede it.
|582||CustOrderCapacity||N||Indicates CTI of original trade marked for allocation.|
|578||TradeInputSource||N||Indicates input source of original trade marked for allocation.|
|442||MultiLegReportingType||N||Indicates MultiLegReportType of original trade marked for allocation.|
|1011||MessageEventSource||N||Used to identify the event or source which gave rise to a message.|
|991||RndPx||N||Specifies the rounded price to quoted precision.|
|Component Block - <RateSource>||N|
Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
Conditionally required when RefRiskLimitCheckIDType <2335> is specified.
Conditionally required when RefRiskLimitCheckID <2334> is specified.
|Component Block - <StandardTrailer>||Y|