Imported from previous forum
Hi all,
I am trying to define the FIX messaging for allocation under the following conditions
a. The source transactions are themselves allocations (i.e. - this is a suballocation)
b. There are many source allocations and many destination allocations (i.e. - there is a m:n relationship between the source and destination allocations)
eg: Firm A has taken up multiple allocations from other sources. 3 of these need to be amalgamated, and the result should be allocated as 2 transactions on an average price basis to Firm B and Firm C.
Since there are multiple AllocGrp components, the 3 allocations to be amalgamated in and the 2 to be allocated out can be represented in the Allocation Instruction message with a AvgPxIndicator. However, indicating whether a transaction is in/out is what I have a question about.
One example of this (the CME FIXML API) uses IndAllocID and IndAllocID2 to determine whether the allocation is a source or an outgoing allocation. Is this a standard method (I felt an enumerated field would have been clearer, but couldn’t find an alternative to this in the messaging)
Any opinion on the above, or even any other thoughts to the overall approach for m:n with suballocations would be welcome.