Imported from previous forum
Hi everyone,
I have a simple question. Can someone please let me know which Tags in a Replace Allocation message are modifiable?
Also which Tags in a Replace and Cancel allocation must match the original allocation message?
The reason I’m asking is because I’m in the process of writing detailed system requirements on how a New, Replace and Cancel allocation message will be handled in the system.
I’m in the process of writing some of the validation rules, so any response to my query will certainly help me along in nailing the requirements.
Kind Regards,
Mary Nezis (JBWere Business Analyst)
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Mary,
The Allocation message in FIX 4.3 serves a number of purposes – instructing allocations buyside to sellside or buyside to 3rd party, reporting allocations sellside or ATS to buyside, or signaling ready-to-book. The fields that can change in a replace will depend on the purpose of the message and the capabilities of the subscribing systems. And most important - the counterparties implementing the model must agree to a set of rules of engagement.
Let’s assume you are working with allocations buyside to sellside. In replacing an Allocation, AllocID (70) will be new and unique, RefAllocID (72) will quote the AllocID of the instruction to be replaced, and the NoAllocs (78) group elements will change to reflect the new intent. The NoOrders (73) and NoExecs (124) repeating group elements are used to identify the trades being grouped and allocated and for some asset classes, e.g. fixed-income, where orders and allocations relate one-to-one you wouldn’t want them to change. But for equities where allocation is typically performed after “ready-to-book,” updating the object trade lists may be the reason for replacing an Allocation instruction. It is fair to expect the Side (54) and the <Instrument> component block not to change. If the object trade lists change, Quantity (53), AvgPx (6), GrossTradeAmt (381), the NoMiscFees (136) group etc. will all change to reflect the new package.
In canceling an Allocation, AllocID (70) will be new and unique, RefAllocID (72) will quote the AllocID of the instruction to be canceled the NoAllocs (78) repeating group can be omitted and only the others fields marked unconditionally required in the 4.3 specification are needed. You would expect Side (54), the <Instrument> component block and Quantity (53) to match the original.
An aspect of Allocations not laid out in the 4.3 spec is how to handle partial allocations and partial replacements. This issue was addressed by the Allocations Committee in preparing for 4.4, and they recommend that all Allocations reflect the full disposition of the object trade list. If you have a trade of 1000 shares to allocate and wish to start settlement of 800 while searching for a home for the last 200, your Allocation instruction should allocate all 1000 shares with the 200 shares going to a temporary account. When you subsequently find an account for the last 200, your Allocation replacement instruction must re-allocate all 1000 shares with the 200-share piece being the only difference. The receiver of Allocation must be prepared to identify the changes and leave the unchanged pieces in their current state.
> Hi everyone,
>
> I have a simple question. Can someone please let me know which Tags in a Replace Allocation message are modifiable?
>
> Also which Tags in a Replace and Cancel allocation must match the original allocation message?
>
> The reason I’m asking is because I’m in the process of writing detailed system requirements on how a New, Replace and Cancel allocation message will be handled in the system.
> I’m in the process of writing some of the validation rules, so any response to my query will certainly help me along in nailing the requirements.
>
> Kind Regards,
> Mary Nezis (JBWere Business Analyst)
>