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FIXML For Listed Futures and Options Post Trade Processing. Allocation October 24, 2002. Futures and Options Allocation. New Giveup Cancel a Giveup Replace Release Reversal. FIX Allocation Messages as of FIX 4.3. Initiator of Transaction. Buy Side. Sell Side. Allocation. - PowerPoint PPT Presentation
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FIX Allocation Messages as of FIX 4.3
Buy Side Sell SideAllocation
Allocation ACK
Initiator of Transaction
Response to Allocation Message
Allocations and AllocationACKs
flow in both directions
FIX Allocation Messages for Clearing
Clearing Firm
Clearing House
Allocation
Allocation ACK
Initiator of Transaction
Response to Allocation Message
Allocations and AllocationACKs
flow in both directions
AllocTransType (tag 71)
• Pre Acceptance– New– Cancel– Replace
• Post Acceptance– Release– Change to Account Data
• Post Close of Settlement Session– Reversal
FIX AllocID (tag 70)
• Unique Identifier for Allocation• Reported on Allocations and Allocation ACKs• Unique Settlement Sessions
NewGiveup
FirmClearing House
Carry Firm
AllocationAllocTransType=NEW
Allocation ACKAllocStatus=Reject
rejected by clearing house
Allocation ACKAllocTransType=NEW
AllocStatus=Pending Accept AllocationAllocTransType=NEW
AllocStatus=Pending Accept
AllocationAllocTransType=NEW
AllocStatus=Accept | Reject
Allocation ACKAllocTransType=NEW
AllocStatus=Accept | Reject
Allocation ACKAllocTransType=NEW
AllocStatus=Accept | Reject
Allocation ACKAllocStatus=Reject
rejected by clearing house
FIA Working Group Comments:10/24/2002
In the review session the preference is to use the term CLAIM for status or even for the message that is
sent back
Cancel
• Cancel a Giveup prior to acceptance by carry firm• Rejected by Clearing House if received after carry
firm accept• Same day
CancelGiveup
FirmClearing House
Carry Firm
AllocationAllocTransType=CANCEL
Allocation ACKAllocStatus=Reject
rejected by clearing house
Allocation ACKAllocTransType=CANCEL Allocation
AllocTransType=CANCEL
ReplaceGiveup
FirmClearing House
Carry Firm
AllocationAllocTransType=REPLACE
Allocation ACKAllocStatus=Reject
rejected by clearing house
Allocation ACKAllocTransType=REPLACE
AllocStatus=Pending Replace AllocationAllocTransType=REPLACE
AllocStatus=Pending Replace
Change to Account
• After Acceptance by Carry Firm• Carry firm elects to change account-related
information
Change to AccountGiveup
FirmClearing House
Carry Firm
Allocation ACKAllocTransType=REPLACE
AllocStatus=Accept
AllocationAllocTransType=REPLACEAllocStatus=Pending Accept
Allocation ACKAllocStatus=Reject
rejected by clearing house
Release by Giveup FirmGiveup
FirmClearing House
Carry Firm
AllocationAllocTransType=RELEASE
Allocation ACKAllocTransType=RELEASE
AllocStatus=Rejectrejected by clearing house
Allocation ACKAllocTransType=RELEASE
AllocStatus=Pending Release
AllocationAllocTransType=RELEASE
AllocStatus=Pending Release
AllocationAllocTransType=RELEASE
AllocStatus=Accept
Allocation ACKAllocTransType=RELEASE
AllocStatus=Accept
Allocation ACKAllocTransType=RELEASE
AllocStatus=Accept
ReversalGiveup
FirmClearing House
Carry Firm
AllocationAllocTransType=REVERSAL
Allocation ACKAllocStatus=Reject
rejected by clearing house
Allocation ACKAllocTransType=REVERSAL
AllocStatus=Pending Reversal AllocationAllocTransType=REVERSE
AllocStatus=Pending Reversal
AllocationAllocTransType=REVERSALAllocStatus=Accept | Reject
Allocation ACKAllocTransType=REVERSALAllocStatus=Accept | Reject
Allocation ACKAllocTransType=REVERSALAllocStatus=Accept | Reject
Allocation ACKAllocStatus=Reject
rejected by clearing house
FIWG Proposed Booking Report
• Used to report each portion of an Allocation• Could this be our Allocation Report? Or is this really a
position report?
Parties Block
• Added in FIX 4.3 to increase flexibility and extensibility of specification
• Prior to FIX 4.3 each time a new role was defined a new element was added
• The Parties Block is becoming standardized across messaging standards (ISO 15022)
Parties Block<PartiesList>
<NoPartiesList>3</NoPartiesList><PartiesGroup>
<PartyID>CME</PartyID><PartyIDSource>3</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>
</PartiesGroup><PartiesGroup>
<PartyID>560</PartyID><PartyIDSource>4</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>
</PartiesGroup><PartiesGroup>
<PartyID>CUSTACCT12345</PartyID><PartyIDSource>5</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>
</PartiesGroup></PartiesList><Account>560</Account><AccountType>CUST</AccountType>
10/24 FIA comments
• Will delivery instructions be part of the positions report? (NYMEX Question)
• Corporation Action Data - very high level of interest• Reduced message size in XML description
– NYMEX has adopted universal trade message - tried to convert to tag# (human readability issue) - ultimately they went to attributes instead of elements - brought down size of XML message
– Trades would be okay - orders would be an issue
• Date and Time block - associate different times
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