Allocation Management FIXML API - Submission and Usage Rules

Submission and usage rules include:

General Usage Rules

This section lists the API rules that are common to all types of allocations:

• Vanilla give-up
• Average pricing
• Cross-exchange give-up

1. Allocations cannot be cancelled if the claiming firm accepted the allocation.
2. The executing firm may cancel the allocation if the claiming firm refused the allocation. This prevents the claiming firm from later claiming the allocation.
3. The claiming firm may claim an allocation if it was not cancelled. This includes refusing an allocation and later claiming it.
4. An executing firm cannot amend the allocation after the claiming firm claimed the allocation.
5. An executing firm may amend an allocation after the claiming firm refused it. The claiming firm may then claim the amended allocation.
6. Trades may not transition directly between give-up, average pricing, or cross-exchange give up. They must first be un-marked for allocation, then marked for allocation using the other methodology.
7. On a Trade Capture Report, setting the Allocation Indicator to Allocation Not Required (AllocInd=0) requires the Average Pricing Indicator set to No Average Pricing (AvgPxInd=0), or the AvgPxInd attribute be omitted; otherwise, the Trade Capture Report is rejected.

Give-Up Usage Rules

This list describes the API rules applicable to vanilla give-ups in the API.

1. The clearing system does not validate for claimed or unclaimed allocations in the group when an executing firm un-marks trades from group. This could result in the quantity of a give-up group being reduced below the quantity of claimed allocations, which cause the executing firm to be out of balance.
2. An executing firm cannot cancel a give-up group if it has claimed allocations.
3. By default, trades that meet grouping criteria are grouped together when marked for give-up. The executing firm can opt out of this by designating a trade not be added to an existing allocation group.
4. If the executing firm designates multiple allocations to the same firm and account, the clearing system by default rolls up all of these allocations into a single allocation. Both the executing and claiming firms see only one allocation. However, the executing firm can choose to override rollup, which results in multiple individual allocations.
5. The executing firm cannot amend an allocation to change the instruction to override rollup.
6. The clearing system will not group any NYMEX, COMEX, or SX trades. When marked for give-up, the clearing system creates a new group for each of these trades. Additionally, firms can opt out of grouping; the clearing system creates a new group for each trade when the firm marks each trade for allocation.

Average Price Usage Rules

This list describes the applicable average pricing API rules.

1. Trades may not be un-marked for average price allocation or removed from an average price group if the group is complete.
2. To remove trades from a completed average price group, the executing firm must un-complete the group.
3. An executing firm cannot un-complete an average price group if the group contains claimed allocations.
4. Un-completing an average price group cancels all unclaimed allocations.
5. Trades may be moved from one average price group to another if both groups are incomplete.
6. The executing firm cannot allocate before completing an average price group.
7. The executing firm can only cancel an incomplete average price group.
8. Cancelling an average price group leaves the trade (if any) unmarked from the group, but the trades remain marked for average pricing.
9. Marking a trade for give-up allocation that was previously marked for average pricing requires the executing firm first un-mark the trade from average pricing and mark it for give-up.
10. Removing a trade from an average pricing group but keeping it in the average pricing system as unassigned requires specifying an Average Price Indicator of Average price trade removed from group (AvgPxInd=100) in a Trade Capture Report that modifies the trade. Modifying the trade and omitting the Average Price Group ID (AvgPxGrpID) is not sufficient.
11. Rollup is never performed for average pricing groups. If the executing firm designates multiple allocations to the same firm and account, the clearing system will not roll up the allocations, which results in multiple individual allocations. The executing firm cannot override this behavior.
12. The clearing system may split an allocation into two or more allocations if the allocation could not be satisfied by trades having the same fee characteristics.

Sub-Allocation Usage Rules

This list describes all of the applicable sub-allocation API rules.

1. A claiming firm wanting to sub-allocate a trade must first claim the allocation and then sub-allocate it using distinct messages. Claiming and sub-allocating in a single message is not supported.
2. If a sub-allocation is being average priced, an Average Price Group ID (AvgPxGrpID) must be specified.

Reversal Usage Rules

This list describes all the allocation reversal API rules.

1. A claiming firm must first claim an allocation before either party can reverse it.
2. Either the executing firm or the claiming firm can request a reversal.
3. A reversal, once refused, can later be accepted, provided the party that initiated the reversal has not cancelled it.
4. The party that initiates a reversal may cancel a reversal, but only if the other party has not accepted or refused it.

Cross-Exchange Give-Up Usage Rules

This section describes all of the API rules that are applicable for cross-exchange allocations in the API differing from those already specified as General Usage Rules, Give-up Usage Rules, and Reversal Usage Rules.

1. The executing firm must specify claiming firm information when marking a trade for cross-exchange allocation. It is not possible to mark a trade for cross-exchange allocation without indicating one or more claiming firms.
2. A trade may be marked for MOS and only partially allocated. The executing firm then keeps the unallocated quantity if it takes no further action. The executing firm may also submit additional MOS allocations for the unallocated quantity remaining on the same trade. However, any unallocated quantity may not be allocated via give-up or average pricing.
3. If a CME executing firm cancels an allocation pre-trade, the cancel may be ignored if SGX clearing has claimed or refused an allocation.
4. An SGX firm cannot initiate a reversal.
5. Cancelling a reversal is not currently supported.
6. If cancellation of reversal is supported in a future release, in a scenario where a CME firm cancels a reversal that it initiated, the cancel may be ignored if SGX clearing has claimed or refused the reversal.

FIXML Message and Attribute Usage in Allocation Messages

Message Types

Allocation Identifiers

The API allows and provides the following identifiers when submitting and reporting allocations to the clearing system. Identifiers are provided by the submitter and assigned by the CME clearing system. All identifiers provided by a firm are reported back on all the subsequent acknowledgments and notifications to the firm. Submitters must reference allocations using CME clearing system assigned identifiers.

Grouping and Rollup Attributes

The following attributes indicate instructions pertaining to grouping and roll-up, which the executing firm uses to override default behavior.

Buy Sell Convention

This section describes the convention used for buy sell code convention in allocation messages.

In this scenario the executing firm is giving up a trade, which is a buy. For transactions where the executing firm makes a trade to sell, the side in all of the above scenarios is reversed. The clearing system reverses the buy sell code when an allocation is initiated.