Specifying Pretrade Allocations on FX Price Requests

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1

Imported from previous forum

2

Hi
I’m looking to see the best way of incorporating pretrade allocations in a quoterequest for FX price requests.

I think the PreAllocGrp is best suited for this purpose but it is not part of the QuoteRequest message.

How has this been addressed in the past ?

thanks
pritam

3

According to FIX specifications 5.02 volume 5 page 18, you may send allocation instruction (MsgTyp=J) separately before (i.e. pre-trade) or after (i.e. post-trade) fill.

Hope this helps
Yuval

Hi
I’m looking to see the best way of incorporating pretrade allocations in a quoterequest for FX price requests.

I think the PreAllocGrp is best suited for this purpose but it is not part of the QuoteRequest message.

How has this been addressed in the past ?

thanks
pritam

4

Hi Yuval

thanks for pointing that out. I had actually come across that a while ago but it doesn’t really lend itself to my usecase.

What I want to do is request prices for FX, based on the prices the order could be placed. Now for non pre-allocated or single account requests the format of the request is:
Side
CurrencyPair
Currency
Amount
Tenor

For example a request for a quote to buy 1000 EUR for USD spot would be:
Buy
EUR/USD
EUR
1000
Spot

Now a pre-allocated request would be more like:
Buy
EUR/USD
EUR
1000
Account1
Spot

Sell
EUR/USD
EUR
500
Account2
Spot

So in the example above your net request is to buy 500 EUR but you want it split over 2 accounts where you buy for account1 and sell for account2.

I’ve certainly come across this in non FIX based APIs, and I’ve seen FIX APIs in the past where this is addressed through custom fields in the QuoteRequest. I was wondering if this approach had been standardised at all.

thanks
Pritam

According to FIX specifications 5.02 volume 5 page 18, you may send allocation instruction (MsgTyp=J) separately before (i.e. pre-trade) or after (i.e. post-trade) fill.

Hope this helps
Yuval

Hi
I’m looking to see the best way of incorporating pretrade allocations in a quoterequest for FX price requests.

I think the PreAllocGrp is best suited for this purpose but it is not part of the QuoteRequest message.

How has this been addressed in the past ?

thanks
pritam