The FIX allocation and confirmation documentation (e.g., FIX 4.4 vol 5) covers ‘bilateral’ matching flows where asset mgrs send block details and allocations together to brokers who then match against their ‘block’. In any environment where the matching takes place elsewhere (e.g., a central matching system) then the broker needs to provide their block to that system so it can match against the buyside block. Question is - which message should be used? I would argue that you would use an AllocationInstruction(35=J), the same message as the buyside, but obviously without the allocation details. I think this because 35=J contains all the ‘block constituent’ options you’d want (lists of orders, lists of executions, or just a total quantity) and will work without the allocation details. Is this appropriate or is there another way?
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