blocktrade blockorder

, ,
1

Imported from previous forum

2

Hi Rene,
There are two ways in FIX to ‘Allocate’ a single (‘block’) order to more than a single account (funds / segments).

  • Pre-trade: that is where the allocations are sent as part of the order (NewOrderSingle message). In this workflow, the allocations are conveyed in ‘PreAllocGrp’ component [main fields are: NoAllocs(78) followed by a sequence of: AllocAccount(79), AllocQty(80)]. This method is most useful when the allocations are known prior to placing the order AND the allocations are allocated pro-rata (and average price).

  • Post-trade: where the allocations information is conveyed once the trade has completed. This enables a more flexible (/complex) distribution of the trades to their accounts. There are set of messages to support this flow, where the main message is: AllocationInstruction(35=J).

I hope this helps
Yuval

3

Is it possible to do a block trade (buy/sell a single security in various funds/segments) with the fix protocol?
Is there a special message type available or is this usually done with newordersingle?
Any experience?

Regards René