Imported from previous forum
What is the general practice on allocations of multileg orders - should there be one allocation instruction msg for the whole order, or one per leg? The spec is not prescriptive, so far as I can tell. The message has an ‘instrument legs’ repeating group, but also has an AllocLinkID to point to another leg of a trade. The fact that the message contains only one set of detail fields (quantity, amt, price, etc.) would imply that one message should be sent per leg. One prominent fixed income electronic trading implementation uses one message per leg. We have heard of some FX brokers that want to receive just one message to cover the entire swap. Is there a standard or ‘best practices’ recommendation?