Allocation Report | FIX Latest

AS Allocation Report

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the Allocation Report (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase. In versions of FIX prior to version 4.4, this functionality was provided through the Allocation message. Depending on the needs of the market and the timing of "confirmed" status, the role of Allocation Report can be taken over in whole or in part by the Confirmation <35=AK> message.

Note the response to the Allocation Report message is the Allocation Report Ack <35=AT> message. In versions of FIX prior to version 4.4, the Allocation ACK served this purpose.

An Allocation Report message can be submitted with AllocReportType (794) of

Sellside Calculated Using Preliminary (includes Misc Fees, Accrued Interest and Net Money)
Sellside Calculated Without Preliminary (includes Misc Fees, Accrued Interest and Net Money). (AllocType (626) = "Sellside Initiated"), i.e. where the allocations have been provided via some other mechanism or agreed earlier in the order process.
Warehouse recap - sent unsolicited by sellside, used to communicate confirmation and current status of any warehoused position in a particular stock (see Volume 7 - PRODUCT: EQUITIES for specific usage guidance on this topic)

Settlement instructions are supported on the Allocation Report message to allow the Respondent (sell-side party or carry firm) to send an override of its own instructions to the Initiator.

General guidelines applicable to this message:

AllocReportID (755) should be unique for all Allocation Report messages.
To reject an Allocation Report message, an AllocationReportAck(AT) with AllocStatus (87) 'Block level reject' or 'Account (1) level reject' should be used. Use of 'Block level reject' means the entire message has been rejected (e.g. net money mismatch). 'Account (1) level reject' is used when the block level matches successfully but one or more (or all) of the constituent account level details fails validation (e.g. account not found, incorrect MiscFees). In the latter case, the rejecting party can (optionally) notify the instructing party of those allocation details that are being rejected by listing the offending account numbers in the Allocation Instruction Ack <35=P> message.
A rejected Allocation Report must be resolved out-of-band.
Where settling in markets where multiple alternative settlement locations exist, it is recommended that the settlement location (equivalent to ISO15022 'PSET' field) be identified on each allocation detail within the NoAllocs (78) repeating group. A nested parties component block is provided which can be used for this purpose.

The allocation message contains repeating fields for each order, sub-account and individual execution. The repeating fields are shown in the message definition below in typeface Bold-Italic and indented with the → symbol. The field's relative position within the repeating group in the message is important. For example, each instance of allocation must be in the order as shown in the message definition below.

The number of sub-account instances is indicated in NoAllocs (78).
Multiple orders can be combined for allocation or for AllocType (626)=" Ready-To-Book" or AllocType (626) = "Warehouse instruction". Note that combined orders must refer to the same instrument and have the same trade date, settlement date and side. The identification of the orders to be combined can be achieved in one of two ways:
- By identifying the number of orders in the NoOrders (73) field and each individual order in the OrderID (37) fields. The AllocNoOrdersType (857) field is used to denote that this is happening and takes value "1=Explicit list provided". If any orders were handled outside FIX, the ClOrdID (11) must be set to 'MANUAL'. Regardless of whether the orders were handled within or outside FIX, the order quantity and average price must also be specified for each order. This is to assist in validating the message and, for manual orders, to help identify the correct orders to book.
- By stating that an unspecified group of orders is to be combined. The NoOrders (73) field in this case is left blank. The AllocNoOrdersType (857) field is set to "0=Not specified" to specify that this is happening. Note use of this approach is only recommended where either the number of orders being booked is extremely large or some kind of aggregation rule is being used.
Multiple executions can be combined for allocation by identifying the number of executions in the NoExecs (124) field and each individual execution in the ExecID (17) fields. Combined executions must refer to the same instrument, trade date, settlement date and side.

Structure

Tag	Name	Type	Description
	StandardHeader	Component
755	AllocReportID	String	Unique identifier for this message
70	AllocID	String
2758	AllocRequestID	String	May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU)
71	AllocTransType	Char Enum
795	AllocReportRefID	String	Required for AllocTransType = Replace or Cancel
796	AllocCancReplaceReason	Int Enum	Required for AllocTransType = Replace or Cancel
793	SecondaryAllocID	String	Optional second identifier for this allocation instruction (need not be unique)
1730	AllocGroupID	String	Group identifier assigned by the clearinghouse
2771	PreviousAllocGroupID	String	May be used to identify the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed)
2759	GroupAmount	Amount
2767	AllocGroupStatus	Int Enum
1728	FirmGroupID	String	Firm assigned entity identifier for the allocation
794	AllocReportType	Int Enum	Specifies the purpose or type of Allocation Report message
87	AllocStatus	Int Enum
88	AllocRejCode	Int Enum	Required for AllocStatus = 1 (rejected)
72	RefAllocID	String	Required for AllocTransType = Replace or Cancel
1738	AllocReversalStatus	Int Enum	Can be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal)
808	AllocIntermedReqType	Int Enum	Required if AllocReportType = 8 (Request to Intermediary)
196	AllocLinkID	String	Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
197	AllocLinkType	Int Enum	Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified
466	BookingRefID	String
715	ClearingBusinessDate	LocalMktDate	Indicates Clearing Business Date for which transaction will be settled
828	TrdType	Int Enum	Indicates trade type of allocation
829	TrdSubType	Int Enum	Indicates trade subtype of allocation
855	SecondaryTrdType	Int Enum
2896	TertiaryTrdType	Int Enum
1937	TradeContinuation	Int Enum
2374	TradeContinuationText	String
2372	EncodedTradeContinuationTextLen	Length	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it
2371	EncodedTradeContinuationText	Data	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field
442	MultiLegReportingType	Char Enum	Indicates MultiLegReportType of original trade marked for allocation
582	CustOrderCapacity	Int Enum	Indicates CTI of original trade marked for allocation
578	TradeInputSource	String	Indicates input source of original trade marked for allocation
991	RndPx	Price	Specifies the rounded price to quoted precision
1011	MessageEventSource	String	Used to identify the event or source which gave rise to a message
579	TradeInputDevice	String	Specific device number, terminal number or station where trade was entered
819	AvgPxIndicator	Int Enum	Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete
1731	AvgPxGroupID	String	Firm designated group identifier for average pricing
857	AllocNoOrdersType	Int Enum	Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly
	OrdAllocGrp	Component	Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
	ExecAllocGrp	Component	Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs
570	PreviouslyReported	Boolean Enum
700	ReversalIndicator	Boolean
574	MatchType	String Enum
54	Side	Char Enum
	Instrument	Component	For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional
	InstrumentExtension	Component
	FinancingDetails	Component
	UndInstrmtGrp	Component
	InstrmtLegGrp	Component
53	Quantity	Quantity	Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
854	QtyType	Int Enum
1736	AllocGroupQuantity	Quantity
1737	AllocGroupRemainingQuantity	Quantity
30	LastMkt	Exchange	Market of the executions
229	TradeOriginationDate	LocalMktDate
336	TradingSessionID	String Enum
625	TradingSessionSubID	String Enum
423	PriceType	Int Enum
	PriceQualifierGrp	Component
6	AvgPx	Price	For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15)
860	AvgParPx	Price
	SpreadOrBenchmarkCurveData	Component
15	Currency	Currency	Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted
2897	CurrencyCodeSource	String Enum
74	AvgPxPrecision	Int	Absence of this field indicates that default precision arranged by the broker/institution is to be used
	Parties	Component
75	TradeDate	LocalMktDate
60	TransactTime	UTCTimestamp	Date/time when allocation is generated
63	SettlType	String Enum
64	SettlDate	LocalMktDate	Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values
775	BookingType	Int Enum	Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking
381	GrossTradeAmt	Amount	Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price
238	Concession	Amount
237	TotalTakedown	Amount
118	NetMoney	Amount	Expressed in same currency as AvgPx. Sum of AllocNetMoney
77	PositionEffect	Char Enum
754	AutoAcceptIndicator	Boolean	Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
58	Text	String
354	EncodedTextLen	Length	Must be set if EncodedText field is specified and must immediately precede it
355	EncodedText	Data	Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field
157	NumDaysInterest	Int	Applicable for Convertible Bonds and fixed income
158	AccruedInterestRate	Percentage	Applicable for Convertible Bonds and fixed income
159	AccruedInterestAmt	Amount	Sum of AllocAccruedInterestAmt within repeating group
540	TotalAccruedInterestAmt	Amount
738	InterestAtMaturity	Amount
920	EndAccruedInterestAmt	Amount	For repurchase agreements the accrued interest on termination
921	StartCash	Amount	For repurchase agreements the start (dirty) cash consideration
922	EndCash	Amount	For repurchase agreements the end (dirty) cash consideration
650	LegalConfirm	Boolean Enum
	Stipulations	Component
	YieldData	Component
	RegulatoryTradeIDGrp	Component
	PositionAmountData	Component
1031	CustOrderHandlingInst	MultipleStringValue Enum
1032	OrderHandlingInstSource	Int Enum
892	TotNoAllocs	Int	Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction
893	LastFragment	Boolean Enum	Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented
	AllocGrp	Component	Conditionally required except when AllocTransType = Cancel, or when AllocType = "Ready-to-book" or "Warehouse instruction"
	RateSource	Component
1430	VenueType	Char Enum	Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization
2334	RefRiskLimitCheckID	String	Conditionally required when RefRiskLimitCheckIDType(2335) is specified
2335	RefRiskLimitCheckIDType	Int Enum	Conditionally required when RefRiskLimitCheckID(2334) is specified
2343	RiskLimitCheckStatus	Int Enum
	StandardTrailer	Component