Imported from previous forum
How are allocations handled on GTC orders on which fills are received over multiple days, assuming that you want to allocate each day’s fills on the day they are traded? I am talking about the initial allocation message sent from the buyside to the broker.
It would seem that using the NoExecs/LastShares, etc., repeating group would be a logical place to indicate that only today’s fills, and not the all the fills so far on the entire order, are being allocated. (But the spec mentions that this group is used primarily for stepouts). Similarly, I assume the Shares field, AvgPx field, and (of course) the AllocShares fields should all refer to just today’s fills? Assuming the latter information makes clear that the allocation is not for the total quantity filled, is the NoExecs/LastShares group required? Is there a generally accepted practice in this situation?
[ original email was from Jim Kaye - jim.kaye@gs.com ]
In all versions of FIX that support allocations it’s perfectly OK to allocate parts of orders. The Shares (4.0/4.2 - Qty in 4.4) field doesn’t have to match up to the total executed order quantity on the orders referenced in the NoOrders group. Use of the NoExecs group does allow you to specify the individual fills being allocated and can be used for this purpose, though I’m not aware of anybody who actually uses this data for matching the execution details.
Note in FIX 4.4 it’s required to specify an ‘Order Booking Quantity’ against each order in the NoOrders group. This is used for precisely this kind of scenario. The sum of OrderBookingQty must equal the allocation’s Qty value which in turn must equal the sum of the individual allocated quantities. If you’re talking about using FIX 4.4 I’d use this in preference to the NoExecs group for this kind of scenario.
Best regards,
Jim Kaye
FIX Allocations Working Group
> How are allocations handled on GTC orders on which fills are received over multiple days, assuming that you want to allocate each day’s fills on the day they are traded? I am talking about the initial allocation message sent from the buyside to the broker.
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> It would seem that using the NoExecs/LastShares, etc., repeating group would be a logical place to indicate that only today’s fills, and not the all the fills so far on the entire order, are being allocated. (But the spec mentions that this group is used primarily for stepouts). Similarly, I assume the Shares field, AvgPx field, and (of course) the AllocShares fields should all refer to just today’s fills? Assuming the latter information makes clear that the allocation is not for the total quantity filled, is the NoExecs/LastShares group required? Is there a generally accepted practice in this situation?
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