FIA Extensions 1.1 Proposal
The Post-trade Model for
TradeCapture and Allocation Reporting
Updated March 1, 2005
1
Electronic Trade Reporting Flow
Match
Engine/
VMU
Clearing
House
TradeCaptureReport
2-sided
Absence of
CopyMsgInd identifies
message as original
TradeCapture
submission
TransTyp=New
TrdTyp=Regular
SesSub=Electronic
CopyMsgIndicator=False
TradeCaptureReport
Ack
2-sided
TransTyp=New
TrdTyp=Regular
SesSub=Electronic
Clearing
Firm
TradeCaptureReport
Side1
TransTyp=New
TrdTyp=Regular
SesSub=Electronic
CopyMsgIndicator=True
TradeCaptureReport
Side2
Identifies
message as a
“forwarded” copy
of the original
TradeCapture
TransTyp=New
TrdTyp=Regular
SesSub=Electronic
CopyMsgIndicator=True
TradeCaptureReport
Executing Firm
Side
TransTyp=Replace
TrdTyp=Regular
SesSub=Electronic
Post-match change to
electronic trade
TradeCaptureReport
Optional
notification to
Engine
Executing Firm
Side1
TransTyp=Replace
TrdTyp=Regular
SesSub=Electronic
CopyMsgIndicator=True
TradeCaptureReport
Ack
TransTyp=Replace
TrdTyp=Regular
SesSub=Electronic
2
Order Routing Trade Reporting
Flow
Order
Routing
Device
TradeCaptureReport
1-sided
Absence of
CopyMsgInd identifies
message as original
TradeCapture
submission
Clearing
Firm
Clearing
House
TransTyp=New
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=False
TradeCaptureReport
Ack
1-sided
TransTyp=New
TrdTyp=Regular
SesSub=Pit
TradeCaptureReport
TransTyp=New
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=True
Pre or post-match
change to order
routing trade
Identifies
message as a
“forwarded” copy
of the original
TradeCapture
TradeCaptureReport
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
Ack may not be
required by Order
Routing Device
TradeCaptureReport
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=True
TradeCaptureReport
Ack
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
3
CBOT Order Routing Trade
Reporting Flow (Denali)
Clearing
House
Denali
VMU
TradeCaptureReport
Multi-sided
Absence of
CopyMsgInd identifies
message as original
TradeCapture
submission
TransTyp=New
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=False
TradeCaptureReport
Ack
Multi-sided
TransTyp=New
TrdTyp=Regular
SesSub=Pit
Executing Firm
Side1
Clearing
Firm
TradeCaptureReport
Side1
TransTyp=New
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=True
TradeCaptureReport
Side n+1
Identifies
message as a
“forwarded” copy
of the original
TradeCapture
TransTyp=New
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=True
TradeCaptureReport
Executing Firm
Side2
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
Post-match change to
electronic trade
TradeCaptureReport
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
CopyMsgIndicator=True
TradeCaptureReport
Ack
TransTyp=Replace
TrdTyp=Regular
SesSub=Pit
4
Pit, Block, EFP (Firm to House)
Trade Reporting Flow
Clearing
Firm
Back Office
Clearing
House
TradeCaptureReport
TransTyp=New, MatchStat=Unmatched
TrdTyp=Regular, SesSub=Pit
TradeCaptureReportAck
TransTyp=New, MatchStat=Unmatched
TrdTyp=Regular, SesSub=Pit
TradeCaptureReport
used to change or DK
a trade
TradeCaptureReport
TransTyp=Replace/DK
TrdTyp=Regular, SesSub=Pit
TradeCaptureReportAck
TransTyp=Replace/DK
TradeCaptureReport
TransTyp=Replace, TrdTyp=Regular, SesSub=Pit
CopyMsgIndicator=True
CopyMsgIndicator identifies trade as a “forwarded” copy
of the matched trade. This convention preserves
consistency across all Trade Reporting models
Match
Event
5
Rules for Listed Derivatives Allocations
I.
Reports are outbound from Clearing House
only.
II.
Instructions are inbound from Giveup firm
only
III.
Alerts are outbound from Clearing House
only and are used only to advise of group
updates
IV.
AllocStatus is only provided by the Clearing
House
V.
The Business Intent of a message is used bidirectionally as represented in AllocType and
AllocReportType
6
Allocation Status and Report Type Use
Allocation Messaging Life-cycle
AllocStatus
AllocRptType or
AllocType
Description
AllocPending
Complete
Group
Allocation is pending on a completed group
AllocPending
Incomplete
Group
Allocation is pending on an incomplete group
Received
Preliminary
Allocation has been received and is in preliminary stages
Received
Accept
Pending
Allocation has been received and is waiting acceptance
Accepted
Accept
Allocation has been accepted by claim firm and is reported to giveup firm
Accepted
Complete
Allocation accept request has been successfully processed and is reported to claim firm
Rejected
Reject
Allocation has been rejected by claiming firm
Rejected
Complete
Allocation reject has been successfully processed
Request to
Intermediary
Allocation update has been requested after completion
7
Create Group Via Trade Capture (1)
Execution
Firm
Claim
Firm
Clearing
House
TradeCaptureReport
TransType=NEW
AllocInd = 1
TradeCaptureReportAck
TransType=NEW
AllocInd = 1
Trade marked for
allocation but Claim
firm not specified
New message to
indicate the creation of
an allocation group via
trade capture
AllocationInstructionAlert
AllocTransType=NEW
AllocStatus=AllocPending
AllocType=ComplGroupete
Group Alert. Caries
trade details. Used in
ALL cases to notify firm
of Group
8
Create Group Via Trade Capture (2)
Execution
Firm
Claim
Firm
Clearing
House
Trade Capture Report
TransType=New
AllocInd=AllocationProvided
AllocBlock
AllocationInstructionAlert
AllocTransType=NEW
AllocStatus=AllocPending
AllocType=ComplGroupete
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocType=Preliminary
Allocation carried
on Trade
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
New message used to
indicate the creation of
an allocation group via
trade capture
Report indicates the
creation of an allocation;
in this case due to
TradeCapture
9
Create Group Via AllocationInstruction
GiveUp
Firm
AllocID only
signifies
creation of
group
Claim
Firm
Clearing
House
AllocationInstruction
AllocTransType=NEW
AllocType=ComplGroup
Request to
Complete the
Allocation Group
AllocationInstructionAlert
IndividualAllocID
signifies creation
of allocation
AllocTransType=NEW
AllocStatus=AllocPending
AllocType=ComplGroup
Group Alert.
Carries trade
details
AllocationInstruction
Intermediary
Reports Allocation
Status to both
parties
AllocTransType=NEW
AllocType=Preliminary
AllocationReport
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=Preliminary
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
10
Complete Average Price Group via Allocation
Instruction
GiveUp
Firm
AllocationInstruction
Group-level
update to
using AllocID
Claim
Firm
Clearing
House
AllocTransType=REPLACE
AllocType=ComplGroupete
Allocation Instructions
have been specified
prior to Group
Complete
AllocationInstructionAlert
AllocTransType=REPLACE
AllocStatus=AllocPending
AllocType=ComplGroup
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptTyp=Preliminary
Specific Allocation
Reports are sent on
completion of group
Specific Allocation
Reports are sent on
completion of group
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
AllocationReport
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptTyp=Preliminary
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
One or more
AllocationReports
may be generated
upon Group
Completion
11
Basic Allocation Flow
Giveup
Firm
AllocationInstruction
Allocation
Instruction
submitted
Allocation
Reported to
Giveup Firm
Claim
Firm
Clearing
House
AllocTransType=NEW
AllocType=Preliminary
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptTyp=Preliminary
Claiming Firm
accepts or
rejects allocation
AllocationReportAck
AllocTransType=NEW
AllocRptType=Accept
AllocationReport
AllocationReport
AllocTransType=NEW
AllocStatus=Accepted
AllocReportType=Accept
AllocTransType=NEW
AllocStatus=Accepted
AllocReportType=Complete
Allocation
Reported to
Claim Firm
12
Allocation Update
Giveup
Firm
Clearing
House
AllocationInstruction
AllocTransType=REPLACE
AllocType=Preliminary
AllocationReport
AllocTransType=REPLACE
AllocStatus=Received
AllocRptTyp=Preliminary
Claim
Firm
Giveup Firm requests
update to allocation
prior to acceptance by
Claim Firm
AllocationReport
AllocTransType=REPLACE
AllocStatus=Received
AllocRptType=AccPending
Allocation
Update is
Reported
reported by
to
Intermediary
Giveup Firm
13
Cancel Allocation
Giveup
Firm
Clearing
House
AllocationInstruction
AllocTransType=CANCEL
AllocType=Preliminary
Claim
Firm
Giveup Firm requests
cancel of allocation prior
to acceptance by Claim
Firm
AllocationReport
AllocationReport
AllocTransType=CANCEL
AllocStatus=Received
AllocRptTyp=Preliminary
AllocTransType=CANCEL
AllocRptType=AccPending
AllocStatus=Received
Update is
reported by
Intermediary
14
Update Allocation after Accept
Giveup
Firm
Claim
Firm
Clearing
House
Claiming Firm
Changes Allocation
Details after initial
Accept
AllocationReportAck
AllocTransType=REPLACE
AllocRptType=Request
AllocationReport
Allocation
Reported to
Claim Firm
AllocTransType=REPLACE
AllocStatus=Accepted
AllocReportType=Complete
15
Allocation w/Multiple Alloc Blocks
Clearing
House
Giveup Firm
AllocationInstruction
AllocTransType=NEW
AllocType=Preliminary
Alloc Bloc 1
Alloc Bloc 2
Claim Firm
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
Alloc Bloc 1
Alloc Bloc 2
AllocationReport
AllocTrans=NEW
AllocRptType=Preliminary
AllocStatus=Received
AllocationReport
AllocTrans=NEW
AllocRptType=Accept
AllocStatus=Acct Level Accept
Alloc Bloc 1
AllocationReportAck
AllocTransType=NEW
AllocRptType=Acct Level Accept
Alloc Bloc 1
AllocationReport
AllocTransType=NEW
AllocStatus=Accepted
AllocRptType=Complete
AllocationReport
AllocTransType=NEW
AllocRptType=Reject
AllocStatus=Acct Level Reject
Alloc Bloc 2
AllocationReportAck
AllocTransType=NEW
AllocRptType=Acct Level Reject
Alloc Bloc 2
16
Third Party Allocation
Giveup
Firm
AllocationInstruction
Initial
Allocation
Request
Claim
Firm
Clearing
House
AllocTransType=NEW
AllocType=Preliminary
AllocationReport
AllocTransType=NEW
AllocStat=Received
AllocRptType=AcceptPending
AllocationReport
AllocTransType=NEW
AllocStat=Received
AllocRptTyp=Preliminary
Notice of
Accept by
Claim Firm
3rd Party
Claim
Firm
AllocationReportAck
AllocTransType=NEW
AllocRptType=Accept
Accept by
Claim Firm
AllocationReport
AllocTransType=NEW
AllocRptType=Accept
AllocStatus=Accepted
Specifies one or more
Alloc blocks with
IndAllocTyp of “Third
Party”
Creates Allocation
Group. Provides
trade details
Allocation
Reported to
3rd party
Claim Firm
becomes a
Give-up Firm
Creates Allocation.
Provides trade details
AllocationReport
AllocTransType=NEW
AllocStatus=Accepted
AllocRptTyp=Complete
AllocationInstruction
AllocTransType=REPLACE
AllocType=Request
AllocationReport
AllocTransType=NEW
AllocStatus=Received
AllocRptType=AccPending
Allocation
given to 3rdparty
AllocTransType=NEW
AllocRptType=ComplGroupete
AllocStatus=AllocPending
AllocationReport
AllocationReport
Giveup
Firm
AllocTransType=NEW
AllocStatus=Received
AllocRptType=Preliminary
Begin Group
Create and
Allocation
Flow Process
17
Allocation Reversal
Giveup
Firm
AllocationInstruction
Request Reversal
AllocTransType=REVERSAL
AllocType=Request
AllocationReport
Report status of
Reversal Request
AllocTransType=REVERSAL
AllocStatus=Accepted
AllocRptType=Request
AllocationReport
AllocTransType=REVERSAL
AllocStatus=Accepted
AllocRptType=Reversal Pending
Report Reversal
Request to Claim
Firm
Accept Reversal
Request
AllocationReport
Report status of
Reversed Allocation
Claim
Firm
Clearing
House
AllocTransType=REVERSAL
AllocStatus=Reversed
AllocRptType=Accept
AllocationReportAck
AllocTransType=REVERSAL
AllocType=Accept
AllocationReport
Report status of
Reversed Allocation
AllocTransType=REVERSAL
AllocStatus=Reversed
AllocRptType=Complete
18