Pre-Trade Allocation

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Imported from previous forum

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For pre-trade allocations, is there a way to handle multiple accounts that do not fit in one New Order - Single message? Is there any support for the fragmentation of pre-trade allocation messages? Thank you.

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[ original email was from Herby Raynaud - herby.raynaud@transacttools.net ]
FIX does not support fragmentation of the New Order Single message.

Fragmentation for large allocations for multiple accounts is supported in version FIX 4.4 but only in the post-trade Allocation message type (J)

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[ original email was from Alvin Mullan - alvin.mullan@ubs.com ]
> For pre-trade allocations, is there a way to handle multiple accounts

that do not fit in one New Order - Single message? Is there any support
for the fragmentation of pre-trade allocation messages? Thank you.

The FIX 4.2 message supports multiple accounts. See repeating group NoAllocs<78>. But what happens if the receiver of the order can accept the order details but wants to reject the allocation account details? This complexity is one reason why the FIX Allocations Working Group recommended that:

  • do not send multiple accounts on the new order single message, only use Account<1>
  • send an allocation message (allocation instruction in FIX 4.4) at the same time as sending the order.

The benefit of sending the allocation message at pre-trade stage is:

  • rejects of the allocation can be handled without effecting the order
  • with FIX 4.4, then can use the other features including SSI and fragmentation.

Happy to discuss further.

Regards,
Alvin

alvin.mullan@ubs.com