Imported from previous forum
Thanks, will follow the approach.
Yes, the sender can apply a "filter" by only tagging a subset of all messages with ApplID and ApplSeqNum. The receiver will then only receive these messages as part of a retransmission. Allocation reports not having ApplID and ApplSeqNum are then not part of any retransmission. ApplSeqNum does not have to be gapless but then you would need to also use ApplLastSeqNum(1350) to convey the previous sequence number with every allocation report having ApplID and ApplSeqNum.
Thanks - so basically using the ApplSeqNum I will essentially be receiving a replay of all messages flagged as a particular ApplID. However, an element of filtering is desireable, since the receiver is only interested in a subset of the AllocationReport messages (eg: only the "final" state of a particular unique allocation). I know this doesn't sound very generic, but if the sending application actually filters out intermediary messages, would that achieve the purpose?
I am trying to design a message to run a query on Allocation Reports published during the day - this is to reconcile against messages published during the course of the day due to the ongoing allocation process.
Currently the FIX messaging is based on ongoing processing due to Allocation Instructions, doesn't seem to have a mechanism to request allocation reports via a query (eg: the Allocation Report equivalent of a TradeCaptureReportRequest). I evaluate using the Confirmation messages as a means of publishing a set of "final" allocations on receipt of a Confirmation Request (note that explicit affirmation is not required in this particular context), however the message seems to be designed to retrieve individual confirmations rather than a group.
Any thoughts or advice on this?
The ConfirmationRequest message is used to ask for a confirmation of a trade or for the status of this confirmation. Your requirement is about reconciliation for a given business day and not about filtering specific allocation reports. The FIX concept of Application Sequencing is intended for such use cases.
The AllocationReport does not (yet) contain the <ApplicationSequenceControl> component like the TradeCaptureReport has it. A simple Gap Analysis could add it. With that you can use fields ApplID(1180) and ApplSeqNum(1181) in every AllocationReport to enable a retransmission based on sequence numbers (not on business fields of the message like in the TCRRequest). The query you are looking for is then ApplicationMessageRequest where you specify the ApplID used by the system sending the allocation reports together with ApplBegSeqNum(1182) and ApplEndSeqNum(1183). If the sequence numbers start with 1 every day then you can set ApplBegSeqNum=1 and omit ApplEndSeqNum to ask for all reports published so far on that day.
Please see Volume 1 of the Specification for further details on Application Sequencing.