FIA Post-Trade Standards Working Group
Allocations Gap Analysis
2010-09-15
Revision 1.1
Proposal Status: Draft
For Global Technical Committee Governance Internal Use Only
Submission Date:
Control Number:
Submission Status
Ratified Date
Primary Contact Person:
Release Identifier:
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Allocations Gap Analysis
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2010-09-15 - Revision 1.1
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Table of Contents
Document History..........................................................................................................................................................5
1
Introduction ..........................................................................................................................................................6
2
Business Workflow ..............................................................................................................................................6
2.1 Average Price Give-ups...................................................................................................................................6
2.1.1
Re-opening a Group ...............................................................................................................................7
2.2 Global Clearing House Processing ..................................................................................................................7
2.3 Minor Requests and Repairs ............................................................................................................................7
3
Issues and Discussion Points ................................................................................................................................8
3.1 Grouping Trades or Executions .......................................................................................................................8
3.2 Re-opening Groups .........................................................................................................................................8
3.3 New State Enumerations .................................................................................................................................8
3.4 Group and Remaining Quantities ....................................................................................................................9
4
Proposed Message Flow .......................................................................................................................................9
4.1 Average Pricing and Give-up Workflow .........................................................................................................9
5
FIX message tables ............................................................................................................................................ 12
5.1 AllocationInstruction ..................................................................................................................................... 12
5.2 AllocationInstructionAck .............................................................................................................................. 18
5.3 AllocationReport ........................................................................................................................................... 20
5.4 AllocationReportAck..................................................................................................................................... 26
5.5 AllocationInstructionAlert ............................................................................................................................. 29
6
FIX component blocks ....................................................................................................................................... 35
6.1 AllocGrp ........................................................................................................................................................ 35
6.2 AllocAckGrp ................................................................................................................................................. 39
6.3 ExecAllocGrp ................................................................................................................................................ 42
7
Appendix A - Data Dictionary ........................................................................................................................... 43
8
Appendix B - Glossary Entries........................................................................................................................... 48
 Copyright, 2010, FIX Protocol, Limited
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Table of Figures
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Allocations Gap Analysis
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Document History
Revision
Date
Author
Revision Comments
0.1
2010-01-07
Initial Draft
0.2
0.3
2010-01-14
2010-01-19
JimN, Niranjana Sharma,
Matt Simpson
JimN
JimN
0.4
2010-01-21
JimN
New fields added to report
Updated after review and meeting with MEFF
-Added FirmAllocText to AllocGrp, AllocAckGrp
-Added SecondaryTradeID to AllocExcGrp
-Kept Firm*Ids in message
Updated after review with CME
-Renamed FirmAllocID toFirmGroupID
-Issue with naming of FirmIndividualAllocID
0.5
2010-05-26
JimN
Includes proposed AllocStatus enumerations for
more granular reporting of state.
Includes changes proposed by CME.
0.6
2010-06-14
Rich Shriver
Changed AllocStatus attribute to Custom field and
restructured chapters to match standard template.
Incorporated questions from Hano Klein
0.7
2010-07-20
Rich Shriver
Added new diagrams from CME to indicate the
FIXML message flow, business requirements for
new allocation status conditions, an issue to be
discussed on how to re-open a group and
addressed feedback from discussions.
0.8
2010-07-27
Rich Shriver
Minor revisions to formatting of the message
tables and minor corrections provided by CME.
0.9
2010-08-01
Rich Shriver
Made changes to descriptions as suggested by
CME.
0.10
2010-08-05
Rich Shriver
Fixed typo on new AllocTyp enumeration to make
the terminology re-open group.
1.0
2010-08-13
Rich Shriver
Post conditional approval from GTC, added issue
discussion on rationale for different group
identifiers, clarified potential need for extending
RollupIntruction, removed OrderAllocGrp
component, references to EP107, modified the
description to ExecAllocGrp and added
clarification of scope.
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1.1
2010-09-15
Ryan Pierce
Rich Shriver
Includes changes received during the public
comment period and the September 9, 2010
FIAPTWG meeting. Changes include:

Added new state values to AllocType,
AllocReportType, and AllocStatus.

Added new fields AllocGroupQuantity
and AllocRemainingGroupQty to the
Allocation Report and Allocation
Instruction Alert messages.

Updated Figure 2 to reflect current
practices regarding status fields.

Changed “released” to “reversed” in a
new AllocStatus enum to agree with the
decision to use the term “reverse”
consistently.
1 Introduction
This gap analysis is the result of analysis completed by the FIA Post Trade Working Group with recommendations
to improve Automated Average Pricing mechanisms and to harmonize information exchange with the needs of
central Clearing Houses. A key reference document is the FIA PTWG Allocation Reporting Specification May 21,
2008. The FIA PTWG has met several times to review and revise these recommendations. This proposal describes
enhancements to allocation workflows between exchange members, the clearinghouse and clearing firms.
2 Business Workflow
2.1 Average Price Give-ups
Average pricing is accomplished by grouping trades, creating a give-up, and allowing the take-up firm to claim
inclusive of residual amount. Grouping of trades can be accommodated in Trade Capture or Allocations.
Allocations are used as normal course of business such as when there are agreements in place to give-up and are
typically related to trades on or near trade date.
Give-up grouping allows trades that are filled at multiple prices to be collected and averaged for give-up. Average
pricing itself is a “pre give-up” function. A separate workflow is needed to represent the process. When averaging
has been completed, the standard Give-up or Sub-allocation process can be applied in order to distribute the average
price trades.
At some exchanges (e.g. OMX and MEFF) the process involves creating an average price trade which is moved to a
transfer account from which the trade is given out. Eurex requires that the average pricing take place through an
OTC process since official exchange trades cannot be altered.
This gap analysis covers the business needs to enhance the allocations messaging to include new identifiers and
instructions for automated grouping of allocations and average pricing.
Firms may indicate several IDs including FirmGroupID, FirmMnemonic, and AvgPxGrpID to automate grouping of
allocations. AllocGrpID is used by a central counter party to assign an identifier to allocations of trades for the same
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instrument traded at the same price. AllocationRollupInstruction indicates whether or not a specific allocation
should be included in the automated rollup of allocations for the same Carry Firm.
AllocationStatus is ambiguous in a multi-firm take-up scenario. There are a number of parties that will accept or
reject the Allocations. The additional conditions that need to be included are:
 The giveup has been sent by the executing broker, the CCP has checked that the data is correct and the
giveup is pending acceptance by clearing broker.
 The giveup is cancelled by system, e.g. if it is left pending, either by the clearing broker or clearing
member, at the end of business
 The giveup has been accepted by the takeup firm (aka clearing broker) and is pending acceptance by the
clearing member. In the case where the clearing member is also the takeup firm then this status does not
exist.
 The giveup has been rejected by the Takeup Firm (aka clearing broker) and is returned to the Giveup Firm
(aka executing broker)
 The giveup is rejected by the clearing member
 The giveup is cancelled by the Giveup Firm(aka executing broker) before it has been accepted by the
Takeup Firm (aka clearing broker+, once it has been accepted the Takeup Firm, even if it is pending
acceptance by the clearing member, the giveup cannot be cancelled by the Giveup Firm.
2.1.1 Re-opening a Group
A give-up firm will send AllocationInstructions with a AllocType = 12 (Incomplete) and will receive an
AllocationAlert from the CCP with an AllocType = 12 (Incomplete). When the grouping is complete, the
AllocationInstruction or the AllocationAlert will have an AllocType = 13 (Complete). The CCP and the give-up
firm need to be able to re-open the grouping and another AllocType = TBD (Re-open Group) is required.
The clearing house must provide a mechanism to reverse the existing claims (if any exist) before re-opening the
group.
2.2 Global Clearing House Processing
In order to more fully support the processing of Global Clearing Houses, there are additional identifiers required to
be incorporated into the allocation message structures. These include text fields and mnemonics that are supplied by
the firms - A FirmMnemonic is an Identifer assigned by the Firm submitting the allocation for an individual
allocation instruction (as opposed to the overall message level identifier). FirmAllocText (and associated encoded
fields) is part of the initial message but is not carried forward and preserved with the transaction.
2.3 Minor Requests and Repairs
The description for the field AllocNoOrdersType is incorrect. The correct description should be:
“Indicates how the orders being booked and allocated by this message are identified, e.g. by explicit definition in the
OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.”
AllocationInstructionAlert is sent by CCP to indicate the status of a group. Inclusion of AllocStatus as an optional
field in this message is requested for functionality that should have been incorporated into the specification from the
start and is essentially missing functionality in the current specification.
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3 Issues and Discussion Points
3.1 Grouping Trades or Executions
There are two mutually exclusive needs for grouping trades and executions. One grouping mechanism is required to
force an average pricing for an instrument that is traded or executed at different prices with the ultimate goal of
average price processing. Thus is the need for a new field to identify the average price group. The other mechanism
is required to group trades of the same instrument, price (and party) for post trade processing. Thus is the need for
providing a mechanism for grouping allocations either set by the firm or set by the CCP. All of these needs are
separate requirements and cannot be supported with a more generic approach.
3.2 Re-opening Groups
After a group has been completed or closed, there should be a mechanism to re-open the group in specific
circumstances for additional processing. The recommendations on how to support this need include adding a new
AllocTyp enumeration to indicate a request to re-open the group. Other common practice includes simply sending
an AllocationInstruction with an AllocTyp of 12 (Incomplete).
3.3 New State Enumerations
The need for new state enumerations was discussed at the September 9, 2010 FIA PTWG meeting. The following
are added:
AllocType (626)
TBD = Request Update to Accepted Allocation – Used when the claiming firm requests an update to an allocation
that they have claimed.
TBD = Sub Allocation Request – Used to request a sub allocation, e.g. the claiming firm then allocates to a new
claiming firm.
TBD = Cancel Group – Used to cancel an incomplete allocation group, which unmarks the trades from the group.
TBD = Request Reversal – Used to request than an accepted allocation be reversed.
TBD = Request Cancel Reversal – Used so the firm that submits a reversal can cancel the reversal.
AllocReportType (794):
TBD = Request Update to Accepted Allocation – Used when the claiming firm requests an update to an allocation
that they have claimed.
TBD = Accepted Allocation Updated – Used when the CCP accepts an update to an accepted allocation.
TBD = Sub Allocation Request – Used to request a sub allocation, e.g. the claiming firm then allocates to a new
claiming firm.
TBD = Request Reversal – Used to request than an accepted allocation be reversed.
TBD = Request Cancel Reversal – Used so the firm that submits a reversal can cancel the reversal.
TBD = Reversal Cancelled – Used to indicate to the firm that has not yet accepted the reversal that the reversal has
now been cancelled, and the allocation has gone back to Accepted state.
AllocStatus (87):
TBD = Reversal Pending – Used during reversal requests.
TBD = Rejected Reversal – Used when a reversal is rejected.
Note that AllocType and AllocReportType, in many but not all cases, use the same enumeration value when the
same enumeration exists in both fields. As such, this convention should be maintained. When an enumeration is
needed in one field but not the other, the number of the enumeration should be skipped in the other field.
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3.4 Group and Remaining Quantities
At a 2009 meeting of the FIA PTWG, it was determined that on an Allocation Instruction Alert, Quantity would
represent the transaction quantity, not the total quantity. When adding a trade to a group, Quantity would equal the
quantity of the trade being added. When removing a trade from a group, Quantity would be negative, and would
equal the volume subtracted. When performing an operation that does not change the group quantity, such as
indicating that an incomplete group is completed, Quantity would be 0.
Two new optional fields are added to the Allocation Instruction Alert:
AllocGroupQuantity – to indicate the total volume of the group. Note that the act of partially or fully allocating the
group doesn’t change AllocGroupQuantity,
AllocRemainingGroupQuantity – to indicate the quantity of the group that has not been allocated.
These two new fields will also be added to the Allocation Report message to indicate the total and remaining
quantity of the group of which this allocation is a part.
As an example:
A trade was marked for give-up that was 100 lots, which will cause the creation of an Allocation Instruction Alert
message (if it was the first trade to create the group.) The fields in the message from the clearing house would be
Qty=100, GrpQty=100 and RemQty=100. Another trade is allocated that has the same group criteria for 75 lots.
The resulting Allocation Instruction Alert messge will have Qty=75, GrpQty=175 and RemQty=175. If the give-up
firm unmarks the 75 lot trade, then the Allocation Instruction Alert message will populate the quantity fields as
follows: Qty="-75", GrpQty=100 and RemQty=100. The negative quantity indicates that this transaction caused a
reduction in the group. The Trade ID of the trade that caused the event, either being added or removed, is included
in the ExecAllocGrp (AllExc) component.
Consider the group stands at 100 and the give-up firm allocates 25 to Firm B. The give-up firm receives an
AllocationReport with Qty=25 (the quantity being given up with this allocation), GrpQty=100 (indicating 100 total
in the group) and RemQty=75 (the remaining quantity of the group yet to be allocated.) The take-up firm is sent an
AllocationReport with just the Qty=25 amount. There is no need for them to see the group quantity and remaining
quantity.
4 Proposed Message Flow
4.1 Average Pricing and Give-up Workflow
The diagrams below illustrate the business workflow and specific FIXML Message Flows for Average Pricing and
Give-up processing.
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Give up Firm
CCP
Take up Firm1
Take up Firm2
Trade1 marked for Avg Pricing
CCP reports a
running Avg Px as
trades added to the
Group
CCP creates an
Average Price Group
Trade1 Confirm
Avg Price Group Notification
Trade2 marked for Avg Pricing
Trade2 Confirm
Avg Price Group Notification
Further trades can
not be added to
Avg Price Group
Group Complete Request
Group Complete Notification
Give Up firm Sends
Request with Group ID
Give-up Request
May give-up all or
part of group
quantity
CCP Validates the
allocation
Give-up Request Ack
Give-up Notice
Give-up Notice
Take up firms Claims Give-up
Give-up Claim
Give-up Claim
CCP Validates the Claims
and finalizes the allocation
Give-up Confirm
Give-up Confirm
Give-up Confirm
Figure 1 - Give-up Workflow
The activities of Average Pricing and Give-up workflow include:
1.
2.
3.
4.
5.
6.
7.
8.
Give-up Firm submits a set of trades (Trade1 and Trade2) “marked for Average Pricing”
CCP confirms the trades
CCP creates an Average Price Group and assigns an Average Price Group ID
CCP notifies the Give-up Firm that Average Price Group has been created and reports the current average
price
Give-up Firm sends a Group Complete Request which closes the Average Price Group
CCP sends notification that the group is complete and reports final average price
Give-up firm sends in a Give-up Requests for Take-up Firm 1 and Take-up Firm 2
CCP adds a Give-up to the group, assigns an individual Give-up ID and responds to Give-up Firm
The figure below illustrates the FIXML message exchange to support Average Pricing and Give-up workflow for
multiple take-up firms.
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Give up Firm
First trade
submitted, then
acked by CCP
CCP creates group
and reports an
initial Avg Px
Subsequent trade
submitted, then
acked by CCP
CCP reports a
running Avg Px as
trades added to the
Group
Completes group.
Further trades can
not be added to
Avg Price Group
CCP reports a final
Avg Px for the
completed group
Submits allocation
to two firms
CCP reports
allocation is
pending
CCP
Take up Firm2
TrdCaptRpt <RptType = 0,
TransTyp = 0, AvgPxInd = 1,
TrdID = 001, LinkID = ABC1>
TrdCaptRptAck <TrdRptStat = 0,
TrdID = 001>
AllocInstrAlert <ID = 1000,
TransTyp = 0, Typ = 12, Stat = 6,
GrpID = 3001,AvgPxGrpID = ABC1,
Qty = 10, GrpQty = 10, RemQty = 10>
TrdCaptRpt <RptType = 0,
TransTyp = 0, AvgPxInd = 1,
TrdID = 002, LinkID = ABC1>
TrdCaptRptAck <TrdRptStat = 0,
TrdID = 002>
AllocInstrAlert <ID = 1001,
TransTyp = 1, Typ = 12, Stat = 6,
GrpID = 3001, AvgPxGrpID = ABC1,
Qty = 10, GrpQty = 20, RemQty = 20>
AllocInstrctn <ID = 2345,
TransTyp = 0,Typ = 13, GrpID = 3001,
AvgPxGrpID = ABC1, Qty = 20>
AllocInstrAlert <ID = 1002,
TransTyp = 1, AllocTyp = 13, Stat = 6,
GrpID = 3001, AvgPxGrpID = ABC1,
Qty = 0, GrpQty = 20, RemQty = 20,
AvgPx = 93.00>
AllocInstrctn <ID = 2346, TransTyp = 0,
Typ = 2, GrpID = 3001,
AvgPxGrpID = ABC1>
AllocRpt <RptID = 1003,
TransTyp = 0, RptTyp = 2, Stat = 6,
GrpID = 3001, AvgPxGrpID = ABC1>
CCP reports
allocations to takeup firms
AllocRpt <RptID = 4001,
TransTyp = 0, RptTyp = 11, Stat = 6>
AllocInstrctn <ID = 6001, TransTyp = 0,
Typ = 9>
CCP receives both
claims
CCP finalizes
allocations
Take up Firm1
AllocRpt <RptID = 4003, TransTyp = 0,
RptTyp = 12, Stat = 0>
AllocRpt <RptID = 4002,
TransTyp = 0, RptTyp = 11, Stat = 6>
AllocInstrctn <ID = 7001, TransTyp = 0,
Typ = 9>
AllocRpt <RptID = 4004, TransTyp = 0,
RptTyp = 12, Stat = 0>
AllocRpt <RptID = 1004,
TransTyp = 0, RptTyp = 9, Stat = 0,
GrpID = 3001, AvgPxGrpID = ABC1>
Figure 2 - FIX Message Flow
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5 FIX message tables
5.1 AllocationInstruction
Ta
g
Field Name
R
eq
’d
XMLNam
e
Component
<StandardHeader>
70
AllocID
Y
Y
AllocID
71
AllocTransType
Y
TransTyp
626
AllocType
Y
AllocType
793
SecondaryAllocID
AllocID2
72
RefAllocID
RefAllocI
D
796
AllocCancReplaceRe
ason
CxlRplcR
sn
808
AllocIntermedReqTy
pe
IntermedR
eqTyp
196
AllocLinkID
LinkID
197
AllocLinkType
LinkTyp
TB
D2
9
TB
D2
AllocGroupID
GrpID
FirmGroupID
FirmGrpI
D
FIX Spec Comments
Action
Mappings and Usage Comments
enum
Add
Added an enum for Re-open
Group.
New
Used by the CCP to group
allocations.
New
Used by the firm to group
allocations
MsgType = J
 Copyright, 2010, FIX Protocol, Limited
Unique identifier for this
allocation instruction
message
i.e. New, Cancel,
Replace
Specifies the purpose or
type of Allocation
message
Optional second
identifier for this
allocation instruction
(need not be unique)
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)
Can be used to link two
different Allocation
messages (each with
unique AllocID)
together, i.e. for F/X
"Netting" or "Swaps"
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 clearing house
Firm assigned entity
identifier for the
allocation.
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466
BookingRefID
BkngRefI
D
857
AllocNoOrdersType
NoOrdsTy
p
Component
<OrdAllocGrp>
OrdAlloc
Component
<ExecAllocGrp>
AllExc
570
PreviouslyReported
700
ReversalIndicator
574
MatchType
PrevlyRpt
ed
ReversalIn
d
MtchTyp
54
Side
Component
<Instrument>
Y
Side
Y
Instrmt
Component
<InstrumentExtension>
InstrmtEx
t
Component
<FinancingDetails>
FinDetls
 Copyright, 2010, FIX Protocol, Limited
Can be used with
AllocType=" Ready-ToBook "
Indicates how the orders
being booked and
allocated by an
Allocation Instruction or
Allocation Report
message are identified,
e.g. by explicit definition
in the OrdAllocGrp or
ExecAllocGrp
components , or not
identified explicitly.
Indicates number of
orders to be combined
for allocation. If
order(s) were manually
delivered set to 1
(one).Required when
AllocNoOrdersType = 1
Includes individual
execution or trade
entries. Absence of this
field indicates that no
execution or trade
entries are included.
Primarily used to
support step-outs.
Change
Former Description
"Indicates how the orders being
booked and allocated by an
Allocation Instruction or
Allocation Report message are
identified, i.e. by explicit definition
in the NoOrders group or not."
Change
Former Description "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."
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.
Insert here the set of
"InstrumentExtension"
fields defined in
"Common Components
of Application
Messages"
Insert here the set of
"FinancingDetails"
fields defined in
"Common Components
of Application
Messages"
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Component
<UndInstrmtGrp>
Component
<InstrmtLegGrp>
53
Quantity
Undly
Leg
Y
Qty
854
QtyType
QtyTyp
30
LastMkt
LastMkt
229
TradeOriginationDat
e
TradingSessionID
OrignDt
SesSub
423
TradingSessionSubI
D
PriceType
6
AvgPx
AvgPx
860
AvgParPx
AvgParPx
336
625
PxTyp
SprdBnch
mkCurve
15
Currency
Ccy
74
AvgPxPrecision
AvgPxPrc
sn
Component
<Parties>
TradeDate
Market of the executions.
SesID
Component
<SpreadOrBenchmarkCurv
eData>
75
Total quantity (e.g.
number of shares)
allocated to all accounts,
or that is Ready-To-Book
Pty
Y
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.
Insert here the set of
"SpreadOrBenchmarkC
urveData" fields defined
in "Common
Components of
Application Messages"
Currency of AvgPx.
Should be the currency
of the local market or
exchange where the trade
was conducted.
Absence of this field
indicates that default
precision arranged by the
broker/institution is to be
used
Insert here the set of
"Parties" (firm
identification) fields
defined in "Common
Components of
Application Messages"
TrdDt
 Copyright, 2010, FIX Protocol, Limited
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60
TransactTime
TxnTm
63
SettlType
SettlTyp
64
SettlDate
SettlDt
775
BookingType
BkngTyp
381
GrossTradeAmt
GrossTrd
Amt
238
Concession
237
TotalTakedown
118
NetMoney
Concessio
n
TotTaked
own
NetMny
77
PositionEffect
PosEfct
754
AutoAcceptIndicator
AutoAcce
ptInd
58
Text
Txt
354
EncodedTextLen
EncTxtLe
n
355
EncodedText
EncTxt
 Copyright, 2010, FIX Protocol, Limited
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".
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.
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).
Indicates if Allocation
has been automatically
accepted on behalf of the
Carry Firm by the
Clearing House
Must be set if
EncodedText field is
specified and must
immediately precede it.
Encoded (non-ASCII
characters) representation
of the Text field in the
encoded format specified
via the MessageEncoding
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157
NumDaysInterest
NumDays
Int
158
AccruedInterestRate
AcrdIntRt
159
AccruedInterestAmt
AcrdIntA
mt
540
TotalAccruedInterest
Amt
InterestAtMaturity
TotAcrdIn
tAmt
IntAtMat
920
EndAccruedInterest
Amt
EndAcrdI
ntAmt
921
StartCash
StartCsh
922
EndCash
EndCsh
650
LegalConfirm
LegalCnf
m
Stip
738
Component
<Stipulations>
Component
<YieldData>
Component
<PositionAmountData>
For repurchase
agreements the accrued
interest on termination.
For repurchase
agreements the start
(dirty) cash consideration
For repurchase
agreements the end
(dirty) cash consideration
Yield
Amt
892
TotNoAllocs
TotNoAll
ocs
893
LastFragment
LastFragm
ent
Component
<AllocGrp>
field.
Applicable for
Convertible Bonds and
fixed income
Applicable for
Convertible Bonds and
fixed income
Applicable for
Convertible Bonds and
fixed income
Alloc
 Copyright, 2010, FIX Protocol, Limited
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.
Indicates whether this is
the last fragment in a
sequence of message
fragments. Only required
where message has been
fragmented.
Conditionally required
except when
AllocTransType =
Cancel, or when
AllocType = "Ready-tobook" or "Warehouse
instruction"
Page 16 of 48
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819
AvgPxIndicator
AvgPxInd
TB
D3
0
715
AvgPxGroupID
AvgPxGrp
ID
ClearingBusinessDat
e
BizDt
828
TrdType
TrdTyp
829
TrdSubType
TrdSubTy
p
582
CustOrderCapacity
CustCpcty
578
TradeInputSource
InptSrc
442
MultiLegReportingT
ype
MLegRpt
Typ
101
1
MessageEventSource
MsgEvtSr
c
991
RndPx
RndPx
Component
<RateSource>
Component
<StandardTrailer>
RtSrc
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
New
Used by firms to group allocations
for average pricing.
Indicates Clearing
Business Date for which
transaction will be
settled.
Indicates Trade Type of
Allocation.
Indicates TradeSubType
of Allocation. Necessary
for defining groups.
Indicates CTI of original
trade marked for
allocation.
Indicates input source of
original trade marked for
allocation.
Indicates
MultiLegReportType of
original trade marked for
allocation.
Used to identify the
event or source which
gave rise to a message.
Specifies the rounded
price to quoted precision.
Y
 Copyright, 2010, FIX Protocol, Limited
Page 17 of 48
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5.2 AllocationInstructionAck
Ta
g
Field Name
Component
<StandardHeader>
70
AllocID
R
eq
’d
XMLNam
e
Y
Y
Action
Mappings and Usage Comments
New
Used by the CCP to group
allocations.
New
Used by the firm to group
allocations
New
Used by firms to group allocations
for average pricing.
enum
Add
Added several new conditions to
accommodate average price and
grouping give-up processing.
enum
Add
Added an enum for Re-open
Group.
MsgType = P
AllocID
Component
<Parties>
Pty
793
SecondaryAllocID
AllocID2
TB
D2
9
TB
D2
AllocGroupID
GrpID
FirmGroupID
FirmGrpI
D
TB
D3
0
75
AvgPxGroupID
AvgPxGrp
ID
TradeDate
TrdDt
60
TransactTime
TxnTm
87
AllocStatus
88
AllocRejCode
RejCode
626
AllocType
AllocType
808
AllocIntermedReqTy
pe
IntermedR
eqTyp
573
MatchStatus
MtchStat
Y
FIX Spec Comments
Stat
 Copyright, 2010, FIX Protocol, Limited
Insert here the set of
"Parties" (firm
identification) fields
defined in "Common
Components of
Application Messages"
Optional second
identifier for the
allocation instruction
being acknowledged
(need not be unique)
Group identifier assigned
by the clearing house
Firm assigned entity
identifier for the
allocation.
Firm designated group
identifier
Date/Time Allocation
Instruction Ack
generated
Denotes the status of the
allocation instruction;
received (but not yet
processed), rejected (at
block or account level) or
accepted (and processed).
Required for AllocStatus
= 1 ( block level reject)
and for AllocStatus 2
(account level reject) if
the individual accounts
and reject reasons are not
provided in this message
Required if AllocType =
8 (Request to
Intermediary) Indicates
status that is requested to
be transmitted to
counterparty by the
intermediary (i.e.
clearing house)
Denotes whether the
Page 18 of 48
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financial details provided
on the Allocation
Instruction were
successfully matched.
460
Product
Prod
167
SecurityType
SecTyp
58
Text
Txt
354
EncodedTextLen
EncTxtLe
n
355
EncodedText
EncTxt
Component
<AllocAckGrp>
Component
<StandardTrailer>
AllocAck
Can include explanation
for AllocRejCode = 7
(other)
Must be set if
EncodedText field is
specified and must
immediately precede it.
Encoded (non-ASCII
characters) representation
of the Text field in the
encoded format specified
via the MessageEncoding
field.
This repeating group is
optionally used for
messages with
AllocStatus = 2 (account
level reject) to provide
details of the individual
accounts that caused the
rejection, together with
reject reasons. This
group should not be
populated when
AllocStatus has any
other value. Indicates
number of allocation
groups to follow.
Y
 Copyright, 2010, FIX Protocol, Limited
Page 19 of 48
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5.3 AllocationReport
Ta
g
Field Name
Component
<StandardHeader>
755 AllocReportID
R
eq
’d
XMLNam
e
Y
Y
FIX Spec Comments
Action
Mappings and Usage Comments
New
Used by the firm to group
allocations
New
Used by the CCP to group
allocations.
enum
Add
Added several new conditions to
accommodate average price and
grouping give-up processing.
MsgType = AS
RptID
70
AllocID
71
AllocTransType
795
AllocReportRefID
RptRefID
796
AllocCancReplaceRe
ason
CxlRplcR
sn
793
SecondaryAllocID
AllocID2
TB
D2
FirmGroupID
FirmGrpI
D
TB
D2
9
794
AllocGroupID
GrpID
AllocReportType
Y
RptTyp
87
AllocStatus
Y
Stat
88
AllocRejCode
RejCode
72
RefAllocID
RefAllocI
D
808
AllocIntermedReqTy
pe
IntermedR
eqTyp
196
AllocLinkID
LinkID
Unique identifier for this
message
AllocID
Y
TransTyp
 Copyright, 2010, FIX Protocol, Limited
i.e. New, Cancel,
Replace
Required for
AllocTransType =
Replace or Cancel
Required for
AllocTransType =
Replace or Cancel Gives
the reason for replacing
or cancelling the
allocation report
Optional second
identifier for this
allocation instruction
(need not be unique)
Firm assigned entity
identifier for the
allocation.
Group identifier assigned
by the clearing house
Specifies the purpose or
type of Allocation Report
message
Required for AllocStatus
= 1 (rejected)
Required for
AllocTransType =
Replace or Cancel
Required if
AllocReportType = 8
(Request to
Intermediary) Indicates
status that is requested to
be transmitted to
counterparty by the
intermediary (i.e.
clearing house)
Can be used to link two
different Allocation
messages (each with
unique AllocID)
together, i.e. for F/X
"Netting" or "Swaps"
Page 20 of 48
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197
AllocLinkType
LinkTyp
466
BookingRefID
715
ClearingBusinessDat
e
BkngRefI
D
BizDt
828
TrdType
TrdTyp
829
TrdSubType
TrdSubTy
p
442
MultiLegReportingT
ype
MLegRpt
Typ
582
CustOrderCapacity
CustCpcty
578
TradeInputSource
InptSrc
991
RndPx
RndPx
101
1
MessageEventSource
MsgEvtSr
c
579
TradeInputDevice
InptDev
819
AvgPxIndicator
AvgPxInd
TB
D3
0
857
AvgPxGroupID
AvgPxGrp
ID
AllocNoOrdersType
NoOrdsTy
p
Component
<OrdAllocGrp>
OrdAlloc
 Copyright, 2010, FIX Protocol, Limited
Can be used to link two
different Allocation
messages and identifies
the type of link. Required
if AllocLinkID is
specified.
Indicates Clearing
Business Date for which
transaction will be
settled.
Indicates Trade Type of
Allocation.
Indicates TradeSubType
of Allocation. Necessary
for defining groups.
Indicates
MultiLegReportType of
original trade marked for
allocation.
Indicates CTI of original
trade marked for
allocation.
Indicates input source of
original trade marked for
allocation.
Specifies the rounded
price to quoted precision.
Used to identify the
event or source which
gave rise to a message.
Specific device number,
terminal number or
station where trade was
entered
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
Indicates how the orders
being booked and
allocated by an
Allocation Instruction or
Allocation Report
message are identified,
e.g. by explicit definition
in the OrdAllocGrp or
ExecAllocGrp
components , or not
identified explicitly.
Indicates number of
orders to be combined
for allocation. If
order(s) were manually
New
Used by firms to group allocations
for average pricing.
Change
Former Description
"Indicates how the orders being
booked and allocated by an
Allocation Instruction or
Allocation Report message are
identified, i.e. by explicit definition
in the NoOrders group or not."
Page 21 of 48
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Component
<ExecAllocGrp>
AllExc
570
PreviouslyReported
700
ReversalIndicator
574
MatchType
PrevlyRpt
ed
ReversalIn
d
MtchTyp
54
Side
Component
<Instrument>
Y
Side
Y
Instrmt
Component
<InstrumentExtension>
InstrmtEx
t
Component
<FinancingDetails>
FinDetls
Component
<UndInstrmtGrp>
Component
<InstrmtLegGrp>
53
Quantity
Undly
delivered set to 1
(one).Required when
AllocNoOrdersType = 1
Indicates number of
individual execution or
trade repeating group
entries to follow.
Absence of this field
indicates that no
individual execution or
trade entries are
included. Primarily used
to support step-outs.
Change
Former Description "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."
Components of
Application Messages".
For NDFs, fixing date
(specified in
MaturityDate(541)) is
required. Fixing time
(specified in
MaturityTime(1079)) is
optional.
Insert here the set of
"InstrumentExtension"
fields defined in
"Common Components
of Application
Messages"
Insert here the set of
"FinancingDetails"
fields defined in
"Common Components
of Application
Messages"
Leg
Y
Qty
Total quantity (e.g.
number of shares)
allocated to all accounts,
or that is Ready-To-Book
854
QtyType
QtyTyp
TB
D
TB
D
30
AllocGroupQuantity
GrpQty
Add
AllocRemainingGrou
pQuantity
LastMkt
RemQty
Add
229
TradeOriginationDat
e
OrignDt
LastMkt
 Copyright, 2010, FIX Protocol, Limited
Market of the executions.
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336
TradingSessionID
SesID
625
SesSub
423
TradingSessionSubI
D
PriceType
6
AvgPx
860
AvgParPx
PxTyp
Y
AvgPx
For FX orders, should be
the "all-in" rate (spot rate
adjusted for forward
points), expressed in
terms of Currency(15).
AvgParPx
Component
<SpreadOrBenchmarkCurv
eData>
SprdBnch
mkCurve
15
Currency
Ccy
74
AvgPxPrecision
AvgPxPrc
sn
Component
<Parties>
Pty
75
TradeDate
Y
60
TransactTime
TxnTm
63
SettlType
SettlTyp
64
SettlDate
SettlDt
775
BookingType
BkngTyp
381
GrossTradeAmt
GrossTrd
Amt
Insert here the set of
"SpreadOrBenchmarkC
urveData" fields defined
in "Common
Components of
Application Messages"
Currency of AvgPx.
Should be the currency
of the local market or
exchange where the trade
was conducted.
Absence of this field
indicates that default
precision arranged by the
broker/institution is to be
used
Insert here the set of
"Parties" (firm
identification) fields
defined in "Common
Components of
Application Messages"
TrdDt
 Copyright, 2010, FIX Protocol, Limited
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".
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.
Expressed in same
currency as AvgPx(6).
(Quantity(53) *
AvgPx(6) or
Page 23 of 48
Allocations Gap Analysis
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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.
238
Concession
237
TotalTakedown
118
NetMoney
Concessio
n
TotTaked
own
NetMny
77
PositionEffect
PosEfct
754
AutoAcceptIndicator
AutoAcce
ptInd
58
Text
Txt
354
EncodedTextLen
EncTxtLe
n
355
EncodedText
EncTxt
157
NumDaysInterest
NumDays
Int
158
AccruedInterestRate
AcrdIntRt
159
AccruedInterestAmt
AcrdIntA
mt
540
TotalAccruedInterest
Amt
InterestAtMaturity
TotAcrdIn
tAmt
IntAtMat
920
EndAccruedInterest
Amt
EndAcrdI
ntAmt
921
StartCash
StartCsh
922
EndCash
EndCsh
650
LegalConfirm
LegalCnf
m
738
 Copyright, 2010, FIX Protocol, Limited
Expressed in same
currency as AvgPx. Sum
of AllocNetMoney. For
FX expressed in terms of
Currency(15).
Indicates if Allocation
has been automatically
accepted on behalf of the
Carry Firm by the
Clearing House
Must be set if
EncodedText field is
specified and must
immediately precede it.
Encoded (non-ASCII
characters) representation
of the Text field in the
encoded format specified
via the MessageEncoding
field.
Applicable for
Convertible Bonds and
fixed income
Applicable for
Convertible Bonds and
fixed income
Sum of
AllocAccruedInterestAm
t within repeating group.
For repurchase
agreements the accrued
interest on termination.
For repurchase
agreements the start
(dirty) cash consideration
For repurchase
agreements the end
(dirty) cash consideration
Page 24 of 48
Allocations Gap Analysis
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Component
<Stipulations>
Component
<YieldData>
Component
<PositionAmountData>
Stip
892
TotNoAllocs
TotNoAll
ocs
893
LastFragment
LastFragm
ent
Yield
Amt
Component
<AllocGrp>
Alloc
Component
<RateSource>
Component
<StandardTrailer>
RtSrc
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.
Indicates whether this is
the last fragment in a
sequence of message
fragments. Only required
where message has been
fragmented.
Conditionally required
except when
AllocTransType =
Cancel, or when
AllocType = "Ready-tobook" or "Warehouse
instruction"
Y
 Copyright, 2010, FIX Protocol, Limited
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5.4 AllocationReportAck
Ta
g
Field Name
Component
<StandardHeader>
755 AllocReportID
R
eq
’d
XMLNam
e
Y
Y
FIX Spec Comments
Action
Mappings and Usage Comments
New
Used by the firm to group
allocations
New
Used by the CCP to group
allocations.
New
Used by firms to group allocations
for average pricing.
enum
Add
Added several new conditions to
accommodate average price and
grouping give-up processing.
MsgType = AT
RptID
70
AllocID
AllocID
715
ClearingBusinessDat
e
BizDt
819
AvgPxIndicator
AvgPxInd
53
Quantity
Qty
71
AllocTransType
TransTyp
Component
<Parties>
Pty
793
SecondaryAllocID
AllocID2
TB
D2
FirmGroupID
FirmGrpI
D
TB
D2
9
TB
D3
0
75
AllocGroupID
GrpID
AvgPxGroupID
AvgPxGrp
ID
TradeDate
TrdDt
60
TransactTime
TxnTm
87
AllocStatus
Stat
 Copyright, 2010, FIX Protocol, Limited
Indicates Clearing
Business Date for which
transaction will be
settled.
Indicates if an allocation
is to be average priced. Is
also used to indicate if
average price allocation
group is complete or
incomplete.
Insert here the set of
"Parties" (firm
identification) fields
defined in "Common
Components of
Application Messages"
Optional second
identifier for the
allocation report being
acknowledged (need not
be unique)
Firm assigned entity
identifier for the
allocation.
Group identifier assigned
by the clearing house
Firm designated group
identifier
Date/Time Allocation
Report Ack generated
Denotes the status of the
allocation report;
received (but not yet
processed), rejected (at
block or account level) or
accepted (and processed).
AllocStatus will be
conditionally required in
a 2-party model when
used by a counterparty to
convey a change in
Page 26 of 48
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88
AllocRejCode
RejCode
794
AllocReportType
RptTyp
808
AllocIntermedReqTy
pe
IntermedR
eqTyp
573
MatchStatus
MtchStat
460
Product
Prod
167
SecurityType
SecTyp
58
Text
Txt
354
EncodedTextLen
EncTxtLe
n
355
EncodedText
EncTxt
Component
<AllocAckGrp>
AllocAck
 Copyright, 2010, FIX Protocol, Limited
status. It will be optional
in a 3-party model in
which only the central
counterparty may issue
the status of an allocation
Required for AllocStatus
= 1 ( block level reject)
and for AllocStatus 2
(account level reject) if
the individual accounts
and reject reasons are not
provided in this message
Required if
AllocReportType = 8
(Request to
Intermediary) Indicates
status that is requested to
be transmitted to
counterparty by the
intermediary (i.e.
clearing house)
Denotes whether the
financial details provided
on the Allocation Report
were successfully
matched.
Can include explanation
for AllocRejCode = 7
(other)
Must be set if
EncodedText field is
specified and must
immediately precede it.
Encoded (non-ASCII
characters) representation
of the Text field in the
encoded format specified
via the MessageEncoding
field.
This repeating group is
optionally used for
messages with
AllocStatus = 2 (account
level reject) to provide
details of the individual
accounts that caused the
rejection, together with
reject reasons. This
group should not be
populated where
AllocStatus has any
other value. Indicates
number of allocation
groups to follow.
Page 27 of 48
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Component
<StandardTrailer>
Y
 Copyright, 2010, FIX Protocol, Limited
Page 28 of 48
Allocations Gap Analysis
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5.5 AllocationInstructionAlert
Ta
g
Field Name
R
eq
’d
XMLNam
e
Component
<StandardHeader>
70
AllocID
Y
Y
AllocID
71
AllocTransType
Y
TransTyp
626
AllocType
Y
AllocType
793
SecondaryAllocID
AllocID2
72
RefAllocID
RefAllocI
D
796
AllocCancReplaceRe
ason
CxlRplcR
sn
808
AllocIntermedReqTy
pe
IntermedR
eqTyp
196
AllocLinkID
LinkID
197
AllocLinkType
LinkTyp
TB
D2
9
TB
D2
AllocGroupID
GrpID
FirmGroupID
FirmGrpI
D
466
BookingRefID
BkngRefI
D
857
AllocNoOrdersType
NoOrdsTy
p
FIX Spec Comments
Action
Mappings and Usage Comments
enum
Add
Added an enum for Re-open
Group.
New
Used by the CCP to group
allocations.
New
Used by the firm to group
allocations
Change
Former Description
MsgType = BM
 Copyright, 2010, FIX Protocol, Limited
Unique identifier for this
allocation instruction
alert message
i.e. New, Cancel,
Replace
Specifies the purpose or
type of Allocation
message
Optional second
identifier for this
allocation instruction
(need not be unique)
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)
Can be used to link two
different Allocation
messages (each with
unique AllocID)
together, i.e. for F/X
"Netting" or "Swaps"
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 clearing house
Firm assigned entity
identifier for the
allocation.
Can be used with
AllocType=" Ready-ToBook "
Indicates how the orders
being booked and
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Component
<OrdAllocGrp>
OrdAlloc
Component
<ExecAllocGrp>
AllExc
570
PreviouslyReported
700
ReversalIndicator
574
MatchType
PrevlyRpt
ed
ReversalIn
d
MtchTyp
54
Side
Component
<Instrument>
Y
Side
Y
Instrmt
Component
<InstrumentExtension>
InstrmtEx
t
Component
<FinancingDetails>
FinDetls
Component
<UndInstrmtGrp>
Component
<InstrmtLegGrp>
53
Quantity
Undly
allocated by an
Allocation Instruction or
Allocation Report
message are identified,
e.g. by explicit definition
in the OrdAllocGrp or
ExecAllocGrp
components , or not
identified explicitly.
Indicates number of
orders to be combined
for allocation. If
order(s) were manually
delivered set to 1
(one).Required when
AllocNoOrdersType = 1
Indicates number of
individual execution or
trade repeating group
entries to follow.
Absence of this field
indicates that no
individual execution or
trade entries are
included. Primarily used
to support step-outs.
"Indicates how the orders being
booked and allocated by an
Allocation Instruction or
Allocation Report message are
identified, i.e. by explicit definition
in the NoOrders group or not."
Change
Former Description "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."
Change
Old:
Insert here the set of
"Instrument"
(symbology) fields
defined in "common
components of
application messages"
Insert here the set of
"InstrumentExtension"
fields defined in
"common components
of application
messages"
Insert here the set of
"FinancingDetails"
fields defined in
"common components
of application
messages"
Leg
Y
Qty
 Copyright, 2010, FIX Protocol, Limited
Quantity of the group
changed in this
transaction. When adding
trades to a group, this is
the quantity added. When
Total quantity (e.g. number of
shares) allocated to all accounts, or
Page 30 of 48
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removing trades from a
group, this is the quantity
to be removed, and is
negative. When the
group quantity is
unchanged, such as when
the group changes status
to Completed, this is 0.
that is Ready-To-Book
When not using groups,
this is the total quantity
(e.g. number of shares)
allocated to all accounts,
or that is Ready-ToBook.
854
QtyType
QtyTyp
TB
D
AllocGroupQuantity
GrpQty
TB
D
AllocRemainingGrou
pQuantity
RemQty
30
LastMkt
LastMkt
229
TradeOriginationDat
e
TradingSessionID
OrignDt
SesSub
423
TradingSessionSubI
D
PriceType
6
AvgPx
AvgPx
860
AvgParPx
AvgParPx
336
625
Add
Add
SesID
PxTyp
Component
<SpreadOrBenchmarkCurv
eData>
SprdBnch
mkCurve
15
Ccy
Currency
Indicates the total
quantity of an allocation
group. Includes any
allocated quantity.
Indicates the remaining
quantity of an allocation
group that has not yet
been allocated.
Market of the executions.
 Copyright, 2010, FIX Protocol, Limited
For F/X orders, should
be the "all-in" rate (spot
rate adjusted for forward
points). 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.
Insert here the set of
"SpreadOrBenchmarkC
urveData" fields defined
in "common
components of
application messages"
Currency of AvgPx.
Should be the currency
of the local market or
exchange where the trade
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74
AvgPxPrecision
AvgPxPrc
sn
Component
<Parties>
Pty
75
TradeDate
Y
60
TransactTime
TxnTm
87
AllocStatus
Stat
63
SettlType
SettlTyp
64
SettlDate
SettlDt
775
BookingType
BkngTyp
381
GrossTradeAmt
GrossTrd
Amt
238
Concession
237
TotalTakedown
118
NetMoney
Concessio
n
TotTaked
own
NetMny
77
PositionEffect
PosEfct
754
AutoAcceptIndicator
AutoAcce
ptInd
58
Text
Txt
354
EncodedTextLen
EncTxtLe
n
was conducted.
Absence of this field
indicates that default
precision arranged by the
broker/institution is to be
used
Insert here the set of
"Parties" (firm
identification) fields
defined in "common
components of
application messages"
TrdDt
 Copyright, 2010, FIX Protocol, Limited
Date/time when
allocation is generated
Identifies status of
allocation.
Add
Adding this field at the request of
CCP firms to provide more
complete communication.
Takes precedence over
SettlType value and
conditionally
required/omitted for
specific SettlType
values.
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.
Expressed in same
currency as AvgPx. Sum
of (AllocQty *
AllocAvgPx or
AllocPrice).
Expressed in same
currency as AvgPx. Sum
of AllocNetMoney.
Indicates if Allocation
has been automatically
accepted on behalf of the
Carry Firm by the
Clearing House
Must be set if
EncodedText field is
specified and must
immediately precede it.
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355
EncodedText
EncTxt
157
NumDaysInterest
NumDays
Int
158
AccruedInterestRate
AcrdIntRt
159
AccruedInterestAmt
AcrdIntA
mt
540
TotalAccruedInterest
Amt
TotAcrdIn
tAmt
738
InterestAtMaturity
IntAtMat
920
EndAccruedInterest
Amt
EndAcrdI
ntAmt
921
StartCash
StartCsh
922
EndCash
EndCsh
650
LegalConfirm
LegalCnf
m
Stip
Component
<Stipulations>
Component
<YieldData>
Component
<PositionAmountData>
Encoded (non-ASCII
characters) representation
of the Text field in the
encoded format specified
via the MessageEncoding
field.
Applicable for
Convertible Bonds and
fixed income
Applicable for
Convertible Bonds and
fixed income
Applicable for
Convertible Bonds and
fixed income
(REMOVED FROM
THIS LOCATION AS
OF FIX 4.4,
REPLACED BY
AllocAccruedInterest)
(Deprecated) use
AccruedInterestAmt Sum
of AccruedInterestAmt
within repeating group.
For repurchase
agreements the accrued
interest on termination.
For repurchase
agreements the start
(dirty) cash consideration
For repurchase
agreements the end
(dirty) cash consideration
Yield
Amt
892
TotNoAllocs
TotNoAll
ocs
893
LastFragment
LastFragm
ent
 Copyright, 2010, FIX Protocol, Limited
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.
Indicates whether this is
the last fragment in a
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Component
<AllocGrp>
Alloc
819
AvgPxIndicator
AvgPxInd
TB
D3
0
715
AvgPxGroupID
AvgPxGrp
ID
ClearingBusinessDat
e
BizDt
828
TrdType
TrdTyp
829
TrdSubType
TrdSubTy
p
582
CustOrderCapacity
CustCpcty
578
TradeInputSource
InptSrc
442
MultiLegReportingT
ype
MLegRpt
Typ
101
1
MessageEventSource
MsgEvtSr
c
991
RndPx
RndPx
Component
<StandardTrailer>
sequence of message
fragments. Only required
where message has been
fragmented.
Indicates number of
allocation groups to
follow. Not required for
AllocTransType=Cancel
Not required for
AllocType=" Ready-ToBook " or "Warehouse
instruction".
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
New
Used by firms to group allocations
for average pricing.
Indicates Clearing
Business Date for which
transaction will be
settled.
Indicates Trade Type of
Allocation.
Indicates TradeSubType
of Allocation. Necessary
for defining groups.
Indicates CTI of original
trade marked for
allocation.
Indicates input source of
original trade marked for
allocation.
Indicates
MultiLegReportType of
original trade marked for
allocation.
Used to identify the
event or source which
gave rise to a message.
Specifies the rounded
price to quoted precision.
Y
 Copyright, 2010, FIX Protocol, Limited
Page 34 of 48
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6 FIX component blocks
6.1 AllocGrp
Tag
78
Field Name
Req
'd
XML
Name
NoAllocs

79
AllocAccount
Acct

661

573
AllocAcctIDS
ource
MatchStatus
ActIDSr
c
MtchStat

366
AllocPrice
Px

80
AllocQty
Qty

467
IndividualAll
ocID
IndAlloc
ID
 Copyright, 2010, FIX Protocol, Limited
Comments
Action
Mappings and Usage Comments
Conditionally required
except when
AllocTransType =
Cancel, or when
AllocType = Readyto-book or Warehouse
instruction
May be the same value
as BrokerOfCredit if
ProcessCode is stepout or soft-dollar stepout and Institution
does not wish to
disclose individual
account breakdowns to
the ExecBroker.
Required if NoAllocs
> 0. Must be first field
in repeating group.
Conditionally required
except when for
AllocTransType="Can
cel", or when
AllocType= "ReadyTo-Book" or
"Warehouse
instruction".
Used when performing
"executed price" vs.
"average price"
allocations (e.g.
Japan). AllocAccount
plus AllocPrice form a
unique Allocs entry.
Used in lieu of
AllocAvgPx.
Conditionally required
except when for
AllocTransType="Can
cel", or when
AllocType= "ReadyTo-Book" or
"Warehouse
instruction".
Page 35 of 48
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
TBD
28
FirmMnemo
nic
FirmMne
m

1593
SourceAllocI
D
SrcAlloc
ID

81
ProcessCode

989
SecondaryInd
ividualAllocI
D
ProcCod
e
IndAlloc
ID2

1002
AllocMethod
Meth

TBD
35
AllocationRol
lupInstructio
n
AllocRol
lupInst

993
AllocCustome
rCapacity
CustCpct
y

1047

992
AllocPosition
Effect
IndividualAll
ocType
AllocPos
Efct
Typ
 Copyright, 2010, FIX Protocol, Limited
Allocation identifier
assigned by the Firm
submitting the
allocation for an
individual allocation
instruction (as opposed
to the overall message
level identifier)
Contains the
IndividualAllocId (tag
467) value of the
allocation that is being
offset as a result of a
new allocation. This
would be an optional
field that would only
be populated in the
case of an allocation of
an allocation (as well
as any subsequent
allocations). This
would not be
populated for an initial
allocation since an
allocation id is not
supplied on default
(initial) allocations.
Can be used by an
intermediary to specify
an allocation ID
assigned by the
intermediary's system.
Specifies the method
under which a trade
quantity was allocated.
An indicator to
override the normal
procedure to roll up
allocations for the
same Carry Firm.
Can be used for
granular reporting of
separate allocation
detail within a single
trade report or
allocation message.
New
Optional field used by the firm to
provide an identifier, such as a
mnemonic that is used by the
giveup firm and possibly the
takeup firm.
New
Used to automate rollup
processing.
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Component
<NestedParties>
Alloc/Pty
(Repeati
ng)

208
NotifyBroker
OfCredit

209

161
AllocHandlIn
st
AllocText
NotifyBr
krOfCre
dit
HandlIns
t
Txt

360
EncodedAlloc
TextLen
EncAlloc
TextLen

361
EncodedAlloc
Text
EncAlloc
Text

TBD
31
FirmAllocTe
xt
FirmTxt
Insert here the set of
"Nested Parties"
(firm identification
"nested" within
additional repeating
group) fields defined
in "Common
Components of
Application
Messages" Used for
NestedPartyRole=Bro
kerOfCredit,
ClientID, Settlement
location (PSET), etc.
Note: this field can be
used for settlement
location (PSET)
information.
Free format text field
related to this
AllocAccount
Must be set if
EncodedAllocText
field is specified and
must immediately
precede it.
Encoded (non-ASCII
characters)
representation of the
AllocText field in the
encoded format
specified via the
MessageEncoding
field.
Firm internal reference

TBD EncodedFirm
32
AllocTextLen

TBD EncodedFirm
33
AllocText
Component
<CommissionData>
New
Provided for use by firms to submit
internal reference information for
the allocation that will not be
passed onto the takeup firm.
New
New
Alloc/Co
mm
 Copyright, 2010, FIX Protocol, Limited
Insert here the set of
"CommissionData"
fields defined in
"Common
Components of
Application
Messages"
Page 37 of 48
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
153
AllocAvgPx
AvgPx

154
AllocNetMon
ey
NetMny

119
SettlCurrAmt

737
AllocSettlCur
rAmt
SettlCurr
Amt
AllocSett
lCurrAm
t

120
SettlCurrency
SettlCcy

736
AllocSettlCur
rency
AllocSett
lCcy

155
SettlCurrFxR
ate
SettlCurr
FxRt
 Copyright, 2010, FIX Protocol, Limited
AvgPx for this
AllocAccount. For
F/X orders, should be
the "all-in" rate (spot
rate adjusted for
forward points) for
this allocation,
expressed in terms of
Currency(15). For
Fixed Income always
express value as
"percent of par".
NetMoney for this
AllocAccount
((AllocQty *
AllocAvgPx) Commission - sum of
MiscFeeAmt +
AccruedInterestAmt)
if a Sell. ((AllocQty *
AllocAvgPx) +
Commission + sum of
MiscFeeAmt +
AccruedInterestAmt)
if a Buy. For FX, if
specified, expressed in
terms of Currency(15).
Replaced by
AllocSettlCurrAmt
AllocNetMoney in
AllocSettlCurrency for
this AllocAccount if
AllocSettlCurrency is
different from
"overall" Currency
Replaced by
AllocSettlCurrency
SettlCurrency for this
AllocAccount if
different from
"overall" Currency.
Required if
SettlCurrAmt is
specified.
AllocSettlCurrency for
this AllocAccount if
different from
"overall" Currency.
Required if
AllocSettlCurrAmt is
specified. Required for
NDFs.
Foreign exchange rate
used to compute
AllocSettlCurrAmt
from Currency to
AllocSettlCurrency
Page 38 of 48
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
156
SettlCurrFxR
ateCalc
SettlCurr
FxRtCal
c

742
AllocAccrued
InterestAmt
AcrdInt
Amt

741
AllocInterest
AtMaturity
IntAtMat
Component
<MiscFeesGrp>
Alloc/Mi
scFees
(Repeati
ng)
Alloc/Clr
Inst
(Repeati
ng)
ClrFeeIn
d
SettlInst
Typ
Component
<ClrInstGrp>

635

780
ClearingFeeI
ndicator
AllocSettlInst
Type
Component
<SettlInstructionsData>
Alloc/Set
Instr
Specifies whether the
SettlCurrFxRate
should be multiplied
or divided
Applicable for
Convertible Bonds and
fixed income
Applicable for
securities that pay
interest in lump-sum at
maturity
Used to indicate
whether settlement
instructions are
provided on this
message, and if not,
how they are to be
derived. Absence of
this field implies use
of default instructions.
Insert here the set of
"SettlInstructionsDat
a" fields defined in
"Common
Components of
Application
Messages" Used to
communicate
settlement
instructions for this
AllocAccount detail.
Required if
AllocSettlInstType = 2
or 3.
6.2 AllocAckGrp
Tag
Field Name
Req
'd
XML
Name
 Copyright, 2010, FIX Protocol, Limited
Comments
Action
Mappings and Usage Comments
Page 39 of 48
Allocations Gap Analysis
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78
NoAllocs

79
AllocAccount
Acct

661

366
AllocAcctIDS
ource
AllocPrice
ActIDSr
c
Px

1047

467

1593
AllocPosition
Effect
IndividualAll
ocID
SourceAllocI
D
AllocPos
Efct
IndAlloc
ID
SrcAlloc
ID
 Copyright, 2010, FIX Protocol, Limited
This repeating group is
optionally used for
messages with
AllocStatus = 2
(account level reject),
AllocStatus = 0
(accepted), to provide
details of the
individual accounts
that were accepted or
rejected. In the case of
a reject, the reasons
for the rejection
should be specified.
This group should not
be populated where
AllocStatus has any
other value. Indicates
number of allocation
groups to follow.
Required if NoAllocs
> 0. Must be first field
in repeating group.
Used when performing
"executed price" vs.
"average price"
allocations (e.g.
Japan). AllocAccount
plus AllocPrice form a
unique Allocs entry.
Used in lieu of
AllocAvgPx.
Contains the
IndividualAllocId (tag
467) value of the
allocation that is being
offset as a result of a
new allocation. This
would be an optional
field that would only
be populated in the
case of an allocation of
an allocation (as well
as any subsequent
allocations). This
would not be
populated for an initial
allocation since an
allocation id is not
supplied on default
(initial) allocations.
Page 40 of 48
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
TBD
28
FirmMnemo
nic
FirmMne
m

776
IndividualAll
ocRejCode

161
AllocText
IndAlloc
RejCode
AllocAck
/Pty
(Repeati
ng)
Txt

360
EncodedAlloc
TextLen
EncAlloc
TextLen

361
EncodedAlloc
Text
EncAlloc
Text

TBD
31
FirmAllocTe
xt
FirmTxt


TBD
32
TBD
33
989
EncodedFirm
AllocTextLen
EncodedFirm
AllocText
SecondaryInd
ividualAllocI
D

993
AllocCustome
rCapacity
CustCpct
y

992
IndividualAll
ocType
Typ

80
AllocQty
Qty
Component
<NestedParties>

New
Optional field used by the firm to
provide an identifier, such as a
mnemonic that is used by the
giveup firm and possibly the
takeup firm.
New
Provided for use by firms to submit
internal reference information for
the allocation that will not be
passed onto the takeup firm.
Required if NoAllocs
> 0.
Free format text field
related to this
AllocAccount (can be
used here to hold text
relating to the
rejection of this
AllocAccount)
Must be set if
EncodedAllocText
field is specified and
must immediately
precede it.
Encoded (non-ASCII
characters)
representation of the
AllocText field in the
encoded format
specified via the
MessageEncoding
field.
New
New
IndAlloc
ID2
 Copyright, 2010, FIX Protocol, Limited
Will allow the
intermediary to specify
an allocation ID
generated by the
system
Will allow for granular
reporting of separate
allocation detail within
a single trade report or
allocation message.
Identifies whether the
allocation is to be suballocated or allocated
to a third party.
Quantity to be
allocated to specific
sub-account
Page 41 of 48
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6.3 ExecAllocGrp
Tag
Field Name
124
NoExecs
Req
'd
XML
Name

32
LastQty
LastQty

17
ExecID
ExecID

527
ExecID2

31
SecondaryEx
ecID
LastPx

669
LastParPx
LastParP
x

29
LastCapacity
LastCpct
y

1003
TradeID
TrdID

1041
FirmTradeID
FirmTrdI
D
LastPx
 Copyright, 2010, FIX Protocol, Limited
Comments
Action
Mappings and Usage Comments
Indicates number of
individual execution or
trade repeating group
entries to follow.
Absence of this field
indicates that no
individual execution or
trade entries are
included. Primarily
used to support stepouts.
Amount of quantity
(e.g. number of shares)
in individual
execution. Required if
NoExecs > 0
Change
Former Description
"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 stepouts."
Price of individual
execution. Required if
NoExecs > 0. For FX,
if specified, expressed
in terms of
Currency(15).
Last price expressed in
percent-of-par.
Conditionally required
for Fixed Income
trades when LastPx is
expressed in Yield,
Spread, Discount or
any other price type
Used to identify
whether the trade was
executed on an agency
or principal basis.
Page 42 of 48
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7 Appendix A - Data Dictionary
Tag
Field Name
87
AllocStatus
FIXML
Abbrevia
tion
Stat
Data type
Description
Enumerations
Action
Add to / Deprecate
from Message type or
Component block
int
Identifies status of allocation.
0 = accepted (successfully
processed)
enum
Add
Added several new
conditions to
accommodate average
price and grouping
give-up processing.
1 = block level reject
2 = account level reject
3 = received (received, not
yet processed)
4 = incomplete
5 = rejected by
intermediary
6 = allocation pending
7 = reversed
TBD1 = cancelled by
system
TBD2 = accepted by
Takeup Firm
TBD3 = rejected by
Takeup Firm
TBD4 = rejected by
Clearing Member
TBD5 = cancelled by
Giveup Firm
TBD6 = reversed by
Takeup Firm
 Copyright, 2010, FIX Protocol, Limited
Page 43 of 48
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Tag
Field Name
FIXML
Abbrevia
tion
Data type
Description
Enumerations
Action
Add to / Deprecate
from Message type or
Component block
Chang
e
Former Description
TBD7 = reversal pending
TBD8 = rejected reversal
124
626
NoExecs
AllocType
NumInGr
oup
AllocType
 Copyright, 2010, FIX Protocol, Limited
int
Indicates number of individual execution
or trade repeating group entries to follow.
Absence of this field indicates that no
individual execution or trade entries are
included. Primarily used to support stepouts.
Describes the specific type or purpose of
an Allocation message (i.e. "Buyside
Calculated")
(see Volume : "Glossary" for value
definitions)
*** SOME VALUES HAVE BEEN
REPLACED - See "Replaced Features and
Supported Approach" ***
"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."
1 = Calculated (includes
MiscFees and NetMoney)
2 = Preliminary (without
MiscFees and NetMoney)
3 = Sellside Calculated
Using Preliminary
(includes MiscFees and
NetMoney) (Replaced)
4 = Sellside Calculated
Without Preliminary (sent
unsolicited by sellside,
includes MiscFees and
NetMoney) (Replaced)
5 = Ready-To-Book Single Order
6 = Buyside Ready-ToBook - Combined Set of
Orders (Replaced)
7 = Warehouse Instruction
8 = Request to
Intermediary
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enum
Add
Added an enum for Reopen Group.
Allocations Gap Analysis
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2010-09-15 - Revision 1.1
Tag
Field Name
FIXML
Abbrevia
tion
Data type
Description
Enumerations
Action
9 = Accept
10 = Reject
11 = Accept Pending
12 = Incomplete Group
13 = Complete Group
14 = Reversal Pending
TBD15 = Re-open Group
TBD16 = Request Update
to Accepted Allocation
TBD18 = Sub Allocation
Request
TBD19 = Cancel Group
TBD20 = Request Reversal
TBD21 = Request Cancel
Reversal
794
AllocReportTyp
e
RptTyp
 Copyright, 2010, FIX Protocol, Limited
int
Describes the specific type or purpose
of an Allocation Report message
2 - Preliminary Request to
Intermediary
3 - Sellside Calculated
Using Preliminary
(includes MiscFees and
NetMoney)
4 - Sellside Calculated
Without Preliminary (sent
unsolicited by sellside,
includes MiscFees and
NetMoney)
5 - Warehouse Recap
8 - Request to Intermediary
9 - Accept
10 - Reject
11 - Accept Pending
12 - Complete
14 - Reverse Pending
TBD16 = Request Update
to Accepted Allocation
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enum
Add
Add to / Deprecate
from Message type or
Component block
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2010-09-15 - Revision 1.1
Tag
857
Field Name
AllocNoOrders
Type
FIXML
Abbrevia
tion
NoOrdsTy
p
Data type
int
Description
Indicates how the orders being booked and
allocated by an Allocation Instruction or
Allocation Report message are identified,
e.g. by explicit definition in the
OrdAllocGrp or ExecAllocGrp
components , or not identified explicitly.
Enumerations
TBD17 = Accepted
Allocation Updated
TBD18 = Sub Allocation
Request
TBD20 = Request Reversal
TBD21 = Request Cancel
Reversal
TBD22 = Reversal
Cancelled
0 = Not Specified
1 = Explicit List Provided
Action
Add to / Deprecate
from Message type or
Component block
Chang
e
Former Description
"Indicates how the
orders being booked
and allocated by an
Allocation Instruction
or Allocation Report
message are identified,
i.e. by explicit definition
in the NoOrders group
or not."
TBD2
FirmGroupID
FirmGrpI
D
String
Firm assigned entity identifier for the
allocation.
Add
Used by the firm to
group allocations
TBD28
FirmMnemonic
FirmMne
m
String
Allocation identifier assigned by the Firm
submitting the allocation for an individual
allocation instruction (as opposed to the
overall message level identifier)
Add
Optional field used by
the firm to provide an
identifier, such as a
mnemonic that is used
by the giveup firm and
possibly the takeup
firm.
TBD29
AllocGroupID
GrpID
String
Add
Used by the CCP to
group allocations.
TBD30
AvgPxGroupID
AvgPxGr
pID
String
Intended to be used by a central
counterparty to assign an identifier to
allocations of trades for the same
instrument traded at the same price.
Used by submitting firm to group trades
being allocated into an average price
group. The trades in average price group
Add
Used by firms to group
allocations for average
 Copyright, 2010, FIX Protocol, Limited
Page 46 of 48
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Tag
Field Name
TBD31
FirmAllocText
TBD32
EncodedFirmAl
locTextLen
EncodedFirmAl
locText
AllocationRollu
pInstruction
TBD33
TBD35
TBD
TBD
AllocGroupQua
ntity
AllocRemainin
gGroupQuantity
FIXML
Abbrevia
tion
FirmTxt
Data type
Description
String
will be used to calculate an average price
for the group.
Firm reference information that is part of
the initial message but is not carried
forward and preserved with the transaction
Length
data
AllocRoll
upInst
int
GrpQty
Qty
RemQty
Qty
 Copyright, 2010, FIX Protocol, Limited
Length of the EncodedFirmAllocText
field.
FirmAllocText - used to support multibyte
character sets
An indicator to override the normal
procedure to roll up allocations for the
same Carry Firm.
Enumerations
Action
Add to / Deprecate
from Message type or
Component block
pricing.
Add
Provided for use by
firms to submit internal
reference information
for the allocation that
will not be passed onto
the takeup firm.
Add
Add
0 = Roll up
Add
1 = Do not roll up
Indicates the total quantity of an allocation
group. Includes any allocated quantity.
Indicates the remaining quantity of an
allocation group that has not yet been
allocated.
Add
Add
Page 47 of 48
Used to automate rollup
processing.
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8 Appendix B - Glossary Entries
Term
Mnemonic
Definition
A mnemonic is a recognizable label that two counter parties use to
relate information. It is separate from IDs and would not normally
be used by the CCP but must be made available through the CCP as
in the case of Give-up Processing.
 Copyright, 2010, FIX Protocol, Limited
Field where
used
Firm Mnemonic
Page 48 of 48