"Pure" Post-Allocation on european markets

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Imported from previous forum

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Hi all,

I’ve a question concerning allocation on european derivative markets.

These don’t expect to have the right allocation account within the order, but their Clearing Houses expect a confirmation of the excution (with the allocation account) a few moment after having sent the trades to the Broker.

Can someone confirm that the following example is FIX compliant, as this is a king of mix between Sellside- and Buyside-Initiated flow.

Example Description *******

An order (ref ORD001) is sent to the market. This order is sent on a Global Trading Account (XXXDEFLT) that doesn’t correspond to an Allocation Account.

For each of the executions that comes back from the Clearing House, a “Preliminary” allocation is sent by the Broker. This “Preliminary” allocation is systematically refused by the Institution (as the Allocation account is not the real one).

As soon as the order is completely executed (or even before), the Institution sends one or more “new” allocation messages (wich are accepted or not by the Broker)

Example data Flow *******

Institution (new order)
New Order Single (tag 1 = “XXXDEFLT”, tag 11 = “ORD001”)

Broker ("working" and 1st exec)
Exec Report (tag 150 = “0” , tag 11 = “ORD001”)
Exec Report (tag 150 = “1” , tag 11 = “ORD001”)
Allocation (tag 70 = “123”, tag 71 = “3”, tag 79 = “XXXDEFLT”, tag 11 = “ORD001”)

Institution (rejection of the 1st allocation)
AllocationACK (tag 70 = “123”, tag 87 = “1”, tag 88 = “0”, tag 11 = “ORD001”)

Broker (2nd exec)
Exec Report (tag 150 = “1” , tag 11 = “ORD001”)
Allocation (tag 70 = “124”, tag 71 = “3”, tag 79 = “XXXDEFLT”, tag 11 = “ORD001”)

Institution (rejection of the 2nd allocation)
AllocationACK (tag 70 = “124”, tag 87 = “1”, tag 88 = “0”, tag 11 = “ORD001”)

Broker (3rd and last fill)
Exec Report (tag 150 = “2” , tag 11 = “ORD001”)
Allocation (tag 70 = “125”, tag 71 = “3”, tag 79 = “XXXDEFLT”, tag 11 = “ORD001”)

Institution (rejection of the last allocation)
AllocationACK (tag 70 = “125”, tag 87 = “1”, tag 88 = “0”, tag 11 = “ORD001”)

Institution ("real" allocations)
Allocation (tag 70 = “456”, tag 71 = “0”, tag 79 = “AllocAcc1”, tag 11 = “ORD001”)
Allocation (tag 70 = “457”, tag 71 = “0”, tag 79 = “AllocAcc3”, tag 11 = “ORD001”)
Allocation (tag 70 = “458”, tag 71 = “0”, tag 79 = “AllocAcc2”, tag 11 = “ORD001”)
Allocation (tag 70 = “459”, tag 71 = “0”, tag 79 = “AllocAcc3”)

Broker (confirmation of these allocations)
AllocationACK (tag 70 = “456”, tag 87 = “0”, tag 11 = “ORD001”)
AllocationACK (tag 70 = “457”, tag 87 = “0”, tag 11 = “ORD001”)
AllocationACK (tag 70 = “458”, tag 87 = “0”, tag 11 = “ORD001”)
AllocationACK (tag 70 = “458”, tag 87 = “0”, tag 11 = “ORD001”)