Allocation (MsgType = J, FIXML = Allocation)

The Allocation (J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts. It can also be used as a confirmation message through which third parties can communicate execution and settlement details between trading partners. In addition, the Allocation (J) message can be sent by the broker to communicate fees and other details that can only be computed once the sub-account breakdowns are known. Note the response to the Allocation (J) message is the Allocation ACK (P) message.

The Allocation (J) message can also be sent by the buyside firm after execution to indicate to the sellside firm that one or a combined (aggregated) set of orders are "Ready-To-Book" without specifying individual account breakdowns. This can be used to trigger post-trade allocation, matching, and settlement processing via other channels (e.g. post-trade industry utilities).

Allocation is typically communicated Post-Trade (after fills have been received and processed). It can, however, also be communicated Pre-Trade (at the time the order is being placed) to specify the account(s) and their respective order quantities which make up the order. This is a regulatory requirement in certain markets and for certain types of securities.

An Allocation (J) message can be submitted with AllocTransType (71) of new, cancel or replace. The AllocType (626) field indicates the type or purpose of the message:

General guidelines applicable to this message:

The Allocation (J) message contains repeating fields for each order, sub-account and individual execution. The repeating fields are indented with the => symbol. The field's relative position in the message is important. For example, each instance of allocation must be in the order shown below.

Pre-Trade Allocation consists of the following steps:

Post-Trade Allocation can be computed via one of two methods:

  1. Using Average Price: Each AllocAccount (79) has a single AllocAvgPx (153)
  2. Using Executed Price: Combination of each AllocAccount (79) and AllocPrice (366) (unique LastPx (31) ) (e.g. Japan)

Post-Trade Allocation supports three different message flows (all use and end with Allocation ACK (P) messages):

  1. Buyside initiated without Misc Fee and Net Money computation ( AllocType (626) ="Buyside Preliminary" followed by sellside send with AllocType (626) ="Sellside Calculated Using Preliminary")
  2. Buyside-initiated with Misc Fee and Net Money computation ( AllocType (626) ="Buyside Calculated")
  3. Sellside-initiated with Misc Fee and Net Money computatation sent unsolicited ( AllocType (626) =" Sellside Calculated Without Preliminary ")

Post-Trade "Ready-To-Book" communication supports two modes:

  1. Buyside initiated indicating that a single order is now ready to begin the booking process ( AllocType (626) ="Buyside Ready-To-Book - Single Order")
  2. Buyside initiated indicating that a set of orders for the same security, side, settlement date, etc. is now ready to begin the booking process as a single aggregated unit ( AllocType (626) ="Buyside Ready-To-Book - Combined Set of Orders")

Two party Step-outs and Directed Commission activity can be expressed as:

Entity Expressed As
Executing Broker:(executes the trade) NestedPartyRole (538) = "Executing Firm"
Step-in Broker/Settlement Broker:(settles and receives commission/credit) NestedPartyRole (538) = "Broker of Credit" AND NestedPartyRole (538) = "Giveup Clearing Firm (firm to which a trade is given up)"

Three party Step-outs and Directed Commission activity can be expressed as:

Entity Expressed As
Executing Broker:(executes the trade) NestedPartyRole (538) = "Executing Firm"
Broker of Credit (receives commission/credit) NestedPartyRole (538) = "Broker of Credit"
Step-in Broker/Settlement Broker:(settles the trade) NestedPartyRole (538) = "Giveup Clearing Firm (firm to which a trade is given up)"

See Volume 5: "Example Usage of Allocations and Ready-To-Book Mesesaging" of FIX Specification for more examples and details.

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = J
70 AllocID AllocID Y
71 AllocTransType AllocTransType Y i.e. New, Cancel, Replace
626 AllocType AllocType Y Specifies the purpose or type of Allocation (J) message
72 RefAllocID RefAllocID C Required for AllocTransType (71) = Replace or Cancel. Required for AllocType (626) = "Sellside Calculated Using Preliminary"
196 AllocLinkID AllocLinkID N Can be used to link two different Allocation (J) messages (each with unique AllocID (70) ) together, i.e. for F/X "Netting" or "Swaps"
197 AllocLinkType AllocLinkType C Can be used to link two different Allocation (J) messages and identifies the type of link. Required if AllocLinkID (196) is specified.
466 BookingRefID BookingRefID N Can be used with AllocType (626) ="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders"
73 NoOrders NoOrders C Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one). Not required for AllocTransType (71) =Cancel
=> 11 ClOrdID ClOrdID C Order ID assigned by client if order(s) were electronically delivered and executed. If order(s) were manually delivered this field should contain string "MANUAL". Not required for AllocTransType (71) =Cancel
=> 37 OrderID OrderID N
=> 198 SecondaryOrderID SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
=> 526 SecondaryClOrdID SecondaryClOrdID N
=> 66 ListID ListID N Required for List Orders.
124 NoExecs NoExecs N Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
=> 32 LastQty LastQty C Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs (124) > 0
=> 17 ExecID ExecID N
=> 527 SecondaryExecID SecondaryExecID N
=> 31 LastPx LastPx C Price of individual execution. Required if NoExecs (124) > 0
=> 29 LastCapacity LastCapacity N Can be specified by broker for AllocType (626) ="Sellside Calculated Without Preliminary" and "Sellside Calculated Using Preliminary"
54 Side Side Y
<Instrument> Y
53 Quantity Quantity Y Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
30 LastMkt LastMkt N Market of the executions.
229 TradeOriginationDate TradeOriginationDate N
336 TradingSessionID TradingSessionID N
625 TradingSessionSubID TradingSessionSubID N
423 PriceType PriceType N
6 AvgPx AvgPx Y For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
15 Currency Currency N Currency of AvgPx (6) . Should be the currency of the local market or exchange where the trade was conducted.
74 AvgPrxPrecision AvgPrxPrecision N Absence of this field indicates that default precision arranged by the broker/institution is to be used
<Parties> N
75 TradeDate TradeDate Y
60 TransactTime TransactTime N Date/time when allocation is generated
63 SettlmntTyp Settlement N
64 FutSettDate FutSettDate C Takes precedence over SettlmntTyp (63) value and conditionally required/omitted for specific SettlmntTyp (63) values.
381 GrossTradeAmt GrossTradeAmt N Expressed in same currency as AvgPx (6) . Sum of ( AllocShares (80) * AllocAvgPx (153) or AllocPrice (366) ).
238 Concession Concession N
237 TotalTakedown TotalTakedown N
118 NetMoney NetMoney N Expressed in same currency as AvgPx (6) . Sum of AllocNetMoney (154) .
77 PositionEffect PositionEffect N
58 Text Text N
354 EncodedTextLen EncodedTextLen C Must be set if EncodedText (355) field is specified and must immediately precede it.
355 EncodedText EncodedText C Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.
157 NumDaysInterest NumDaysInterest N Applicable for Convertible Bonds and fixed income
158 AccruedInterestRate AccruedInterestRate N Applicable for Convertible Bonds and fixed income
540 TotalAccruedInterestAmt TotalAccruedInterestAmt N Sum of AccruedInterestAmt (159) within repeating group.
650 LegalConfirm LegalConfirm N
78 NoAllocs NoAllocs C Indicates number of allocation groups to follow. Not required for AllocTransType (71) =Cancel. Not required for AllocType (626) ="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=> 79 AllocAccount AllocAccount C May be the same value as BrokerOfCredit if ProcessCode (81) is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker. Required if NoAllocs (78) > 0. Must be first field in repeating group. Not required for AllocTransType (71) =Cancel. Not required for AllocType (626) ="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=> 366 AllocPrice AllocPrice N Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount (79) plus AllocPrice (366) form a unique Allocs entry. Used in lieu of AllocAvgPx (153) .
=> 80 AllocQty AllocQty C Not required for AllocTransType (71) =Cancel. Not required for AllocType (626) ="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".
=> 467 IndividualAllocID IndividualAllocID N
=> 81 ProcessCode ProcessCode N
=> <Nested Parties> N Used for NestedPartyRole (538) =BrokerOfCredit, ExecBroker, ClientID, etc.
=> 208 NotifyBrokerOfCredit NotifyBrokerOfCredit N
=> 209 AllocHandlInst AllocHandInst N
=> 161 AllocText AllocText N Free format text field related to this AllocAccount (79)
=> 360 EncodedAllocTextLen EncodedAllocTextLen C Must be set if EncodedAllocText (361) field is specified and must immediately precede it.
=> 361 EncodedAllocText EncodedAllocText C Encoded (non-ASCII characters) representation of the AllocText (161) field in the encoded format specified via the MessageEncoding (347) field.
=> <Commission Data> N
=> 153 AllocAvgPx AllocAvgPx N AvgPx (6) for this AllocAccount (79) . For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points) for this allocation.
=> 154 AllocNetMoney AllocNetMoney N NetMoney (118) for this AllocAccount (79) . (( AllocShares (80) * AllocAvgPx (153) ) - Commission (12) - sum of MiscFeeAmt (137) + AccruedInterestAmt (159) ) if a Sell. (( AllocShares (80) * AllocAvgPx (153) ) + Commission (12) + sum of MiscFeeAmt (137) + AccruedInterestAmt (159) ) if a Buy
=> 119 SettlCurrAmt SettlCurrAmt N AllocNetMoney (154) in SettlCurrency (120) for this AllocAccount (79) if SettlCurrency (120) is different from "overall" Currency (15)
=> 120 SettlCurrency SettlCurrency C SettlCurrency (120) for this AllocAccount (79) if different from "overall" Currency (15) . Required if SettlCurrAmt (119) is specified.
=> 155 SettlCurrFxRate SettlCurrFxRate N Foreign exchange rate used to compute SettlCurrAmt (119) from Currency (15) to SettlCurrency (120)
=> 156 SettlCurrFxRateCalc SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate (155) should be multiplied or divided
=> 159 AccruedInterestAmt AccruedInterestAmt N Applicable for Convertible Bonds and fixed income
=> 160 SettlInstMode SettlInstMode N Type of Settlement Instructions which will be provided via Settlement Instructions (T) message (0=Default, 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing)
=> 136 NoMiscFees NoMiscFees C Required if any miscellaneous fees are reported. Indicates number of repeating entries. Repeating group within Alloc repeating group.** Nested Repeating Group follows **
=> => 137 MiscFeeAmt MiscFeeAmt C Required if NoMiscFees (136) > 0
=> => 138 MiscFeeCurr MiscFeeCurr C Required if NoMiscFees (136) > 0
=> => 139 MiscFeeType MiscFeeType C Required if NoMiscFees (136) > 0
<Standard Message Trailer> Y