The Allocation 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 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 message is the Allocation Ack <35=P> message.

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

• Buyside Calculated (includes MiscFees and NetMoney (118))
• Buyside Preliminary (without MiscFees and NetMoney (118))
• Sellside Calculated Using Preliminary (includes MiscFees and NetMoney (118))
• Sellside Calculated Without Preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney (118))
• Buyside Ready-To-Book - Single Order
• Buyside Ready-To-Book - Combined Set of Orders

General guidelines applicable to this message:

• AllocID (70) should be unique for all Allocation messages with AllocTransType (71)=New.
• When submitting replace or cancel AllocTransType (71) messages or AllocType (626) = "Sellside Calculated Using Preliminary", the RefAllocID (72) field is required.
• Note that AllocTransType (71) of Cancel or Replace and AllocStatus (87) = rejected affects the entire Allocation message thus both the block level and each AllocAccount (79) (cannot cancel, reject, or replace a single AllocAccount (79) instance without affecting the entire Allocation message).
• Replacement Allocation messages (AllocTransType (71)=Replace) must contain all data for the replacement Allocation message.
• AllocType (626) of "Sellside Calculated Using Preliminary" allocations should use RefAllocID (72) to specify the AllocID (70) from the "Buyside Preliminary".
• "Sellside Calculated Without Preliminary" is sent unsolicited from the sellside and does not require RefAllocID (72).

The Allocation message contains repeating fields for each order, sub-account and individual execution. The repeating fields are shown below are marked 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.

• The total quantity allocated must equal the Quantity value which must equal the total executed quantity of the original order. If present, the total quantity in the execution section must also be equal to this value.
• The number of sub-account instances is indicated in NoAllocs (78).
• Multiple orders can be combined for allocation or for AllocType (626)=" Buyside Ready-To-Book - Combined Set of Orders" by identifying the number of orders in the NoOrders (73) field and each individual order in the OrderID (37) fields. Combined orders must have the same ticker, trade date, settlement date and side.

Pre-Trade Allocation consists of the following steps:

• Buyside sends a New Order request message specifying one or more AllocAccount (79) and AllocQty values within the repeating group designated by NoAllocs (78).
• Sellside sends Execution Report <35=8> messages for the "New" and resulting fills.
• Post-Trade Allocation messaging takes place

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 AllocationACK 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 (12) 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)"ANDNestedPartyRole (538) = "Giveup Clearing Firm (firm to which a trade is given up)"

Three party Step-outs and Directed Commission (12) 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 Messaging" for more examples and details.

Note: Req'd = "Y*" indicates that the field is not required for AllocTransType (71)=Cancel

Note: Req'd = "Y**" indicates that the field is not required for AllocTransType (71)=Cancel, nor is it required for AllocType (626)="Buyside Ready-To-Book - Single Order" or "Buyside Ready-To-Book - Combined Set of Orders".