Trade Capture

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1

Imported from previous forum

2

I am new to FIX Protocol, We are trying comeup a generic message format for Allocations and Executions together in a single message. Some one can guide me how to achieve this and selecting right message formats and tags, are there any samples developed already?.

Thanks
Konda

3

I am new to FIX Protocol, We are trying comeup a generic message format
for Allocations and Executions together in a single message. Some one
can guide me how to achieve this and selecting right message formats and
tags, are there any samples developed already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of messages for the financial industry. If you want to invent a new message, you deviate from this common basis. So it would be good if you could explain why you cannot use the already existing messages.

Thanks, Jörg

4

I am new to FIX Protocol, We are trying comeup a generic message
format for Allocations and Executions together in a single message.
Some one can guide me how to achieve this and selecting right message
formats and tags, are there any samples developed already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of
messages for the financial industry. If you want to invent a new
message, you deviate from this common basis. So it would be good if you
could explain why you cannot use the already existing messages.

Thanks, Jörg

Hi Jorg

This is a special requirement from the client, any help will be appreciated. Can it be posible to do this, will this message can accomadate all the information required. Let me if posible and how can I do it, or do I have to customize schema files.

Thanks
Konda

5

I am new to FIX Protocol, We are trying comeup a generic message
format for Allocations and Executions together in a single message.
Some one can guide me how to achieve this and selecting right
message formats and tags, are there any samples developed already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of
messages for the financial industry. If you want to invent a new
message, you deviate from this common basis. So it would be good if
you could explain why you cannot use the already existing messages.

Thanks, Jörg

Hi Jorg

This is a special requirement from the client, any help will be
appreciated. Can it be posible to do this, will this message can
accomadate all the information required. Let me if posible and how can I
do it, or do I have to customize schema files.

Thanks Konda

Konda,

The FIX protocol was intended to be flexible. There may be cases where you want to use the protocol just to talk to one counterparty. It seems like this could be your case. Perhaps your client does not want to process an execution report and an allocation separately. And, you may always have the allocation information at the time of execution because you have some preset algorithm for allocation before the trade is executed.

You can create a custom message to use between you and your client. You just have to use MsgType(35)=Ux, where “U” is the first character and the second character can be anything. From the FIX specification:

Note: A “U” as the first character in the MsgType field (i.e. U1, U2, etc) indicates that the message format is privately defined between the sender and receiver.
Valid values: *** Note the use of lower case letters ***

Then, you have to define those fields needed in the body of the message. You should design the message with your client, but if you need a head start, look at the required fields for execution report and allocation instruction message. Some required fields in an execution report determine the type of the execution report so you may not necessarily need those fields. It sounds like you may just want to report fills. So common fields are LastShares and LastPx. You may want to reference the client order so ClOrdID would be useful. You should have a unique business idenfier for your message (something similar to ExecID/AllocID). Then, you will need some allocation fields such as AllocAccount, AllocQty, etc. You may even want to use them in a repeating group.

Furthermore, remember that what I am describing is a custom adaptation of the FIX protocol between you and your client. There are benefits of abiding by the specification, of course, but you are probably aware of those benefits.

I hope this helps.

Regards,
Will

6

[ original email was from Matt Simpson - msimpson@cme.com ]
Konda –

I’d like to hear a little more about your business process flow in order to answer decisively, but the Trade Capture Report model provides support for both the original execution as well as an associated allocation/s. The idea is that a trade has been executed by FirmA on behalf of FirmB and instructions have been included on the trade report to allocate the trade to FirmB. FirmB would then receive notice of the allocation via the Allocation Instruction message. Let me know if you need more detail. Thanks

Matt Simpson

I am new to FIX Protocol, We are trying comeup a generic message
format for Allocations and Executions together in a single message.
Some one can guide me how to achieve this and selecting right
message formats and tags, are there any samples developed already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of
messages for the financial industry. If you want to invent a new
message, you deviate from this common basis. So it would be good if
you could explain why you cannot use the already existing messages.

Thanks, Jörg

Hi Jorg

This is a special requirement from the client, any help will be
appreciated. Can it be posible to do this, will this message can
accomadate all the information required. Let me if posible and how can I
do it, or do I have to customize schema files.

Thanks Konda

7

Matt

You are right, after looking closely into TradeCaptureReport it does has facility to include allocations, any workable sample TradeCaptureReport fully completed XML file would be very helpful for me, I really appreciate this, and it will eleminate my confusion on how to associate allocations to TradeCaptureReport.

Thanks
Konda

Konda –

I’d like to hear a little more about your business process flow in order
to answer decisively, but the Trade Capture Report model provides
support for both the original execution as well as an associated
allocation/s. The idea is that a trade has been executed by FirmA on
behalf of FirmB and instructions have been included on the trade report
to allocate the trade to FirmB. FirmB would then receive notice of the
allocation via the Allocation Instruction message. Let me know if you
need more detail. Thanks

Matt Simpson

I am new to FIX Protocol, We are trying comeup a generic message
format for Allocations and Executions together in a single
message. Some one can guide me how to achieve this and selecting
right message formats and tags, are there any samples developed
already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of
messages for the financial industry. If you want to invent a new
message, you deviate from this common basis. So it would be good if
you could explain why you cannot use the already existing messages.

Thanks, Jörg

Hi Jorg

This is a special requirement from the client, any help will be
appreciated. Can it be posible to do this, will this message can
accomadate all the information required. Let me if posible and how can
I do it, or do I have to customize schema files.

Thanks Konda

8

Matt

Do have any Idea how I can add a new “Comments” element in Trade Capture Report, any sample whould be appreciated.

Thanks
Konda

Matt

You are right, after looking closely into TradeCaptureReport it does has
facility to include allocations, any workable sample TradeCaptureReport
fully completed XML file would be very helpful for me, I really
appreciate this, and it will eleminate my confusion on how to associate
allocations to TradeCaptureReport.

Thanks Konda

Konda –

I’d like to hear a little more about your business process flow in
order to answer decisively, but the Trade Capture Report model
provides support for both the original execution as well as an
associated allocation/s. The idea is that a trade has been executed by
FirmA on behalf of FirmB and instructions have been included on the
trade report to allocate the trade to FirmB. FirmB would then receive
notice of the allocation via the Allocation Instruction message. Let
me know if you need more detail. Thanks

Matt Simpson

I am new to FIX Protocol, We are trying comeup a generic message
format for Allocations and Executions together in a single
message. Some one can guide me how to achieve this and selecting
right message formats and tags, are there any samples developed
already?.

Hi Konda,

actually the FIX protocol was introduced to form a common basis of
messages for the financial industry. If you want to invent a new
message, you deviate from this common basis. So it would be good
if you could explain why you cannot use the already existing
messages.

Thanks, Jörg

Hi Jorg

This is a special requirement from the client, any help will be
appreciated. Can it be posible to do this, will this message can
accomadate all the information required. Let me if posible and how
can I do it, or do I have to customize schema files.

Thanks Konda