Is there any FIX allocation event for aggregated orders post execution? HK regulator has a requirement to provide post execution allocation event for aggregated orders for assigning filled portions to respective client parent orders. For eg: Client A(orderA) (OrdQty=1000) is merged with Client B(orderB) (OrdQty=4000) to create an orderC(qty=5000) and it gets say 2500 fill. One way is to send over the pro-rata fills back to parent orders Client A and Client B using execution event(150=1). I’m looking to understand if there’s any separate FIX based allocation event for such aggregated orders or anyone has used it?
Appreciate inputs if anyone has come across allocations back to clients for aggregated orders executions.