Imported from previous forum
[ original email was from rpierce@taltrade.com - ]
What should happen in the following situation:
A buy-side firm sends orders via FIX to a broker’s OMS which then routes them someplace else to be executed. The fills received from the execution point are reported to the firm, the firm sends allocations for them, and the broker accepts the allocations. Then the execution point sends a bust or correction on one or more of the fills to the broker.
I would imagine the proper course of action would be for the broker to reject the previously accepted allocation involving that order, relay the bust or correction to the firm, and alert humans to try to remedy the problem and undo the allocation. The firm then could calculate the allocation in light of the new information and send it again. But is it allowable for a broker to send an Allocation ACK with an AllocStatus of rejected after sending one with a status of accepted?
Ryan Pierce
Townsend Analytics, Ltd.