Allocation Management FIXML API - AllocationInstructionAlert - Allocate Claim

Message ID

ID

String

Unique identifier for this Allocation Instruction Alert message

Transaction Type

TransTyp

char

i.e. New, Cancel, Replace

• 0 - New

• 1 - Replace

• 2 - Cancel

Allocation Type

Typ

int

Specifies the purpose or type of Allocation message

• 12 - Incomplete Group

• 13 - Complete Group

• 16 - Cancel Group

Allocation Instruction Ref ID

RefAllocID

String

When responding to an Allocation Instruction, references the ID.

Group ID

GrpID

String

Used by the CCP to group allocations.

Buy Sell Code

Side

char

Side of allocation group.

• 1 - Buy

• 2 - Sell

• 7 - Undisclosed

Quantity

Qty

Qty

Quantity of the group changed in this transaction. When adding trades to a group, this is the quantity added. When removing trades from a group, this is the quantity to be removed, and is negative. When the group quantity is unchanged, such as when the group changes status to Completed, this is 0.

Group Quantity

GrpQty

Qty

Indicates the total quantity of an allocation group. Includes any allocated quantity.

Trading Session

SesID

String

Identifier for the Trading Session.

• EOD - End of Day

• ETH - Electronic Trading Hours

• ITD - Intra Day

• MOS1 -

• MOS2 -

• RTH - Regular Trading Hours

• [N/A] - N/A

Trading Session Sub ID

SesSub

String

Optional market assigned sub identifier for a trading phase within a trading session.

• E - Electronic

• P - Pit

• X - X-Pit

Venue Type

VenuTyp

char

Identifies the type of venue where a trade was executed.

• E - Electronic

• O - Off facility swap

• P - Pit

• R - Registered Market (SEF)

• X - Ex-Pit

Price Type

PxTyp

int

In most cases, represents the type of price in the Last Price field.

• 1 - Percentage (i.e. percent of par)

• 2 - Per unit (i.e. per share or contract)

• 6 - Spread (basis points spread)

• 10 - Fixed cabinet trade price (primarily for listed futures and options)

• 11 - Variable cabinet trade price (primarily for listed futures and options)

• 24 - Interest rate

• 100 - Tentative placeholder price

• 101 - Updated actual price

Average Price

AvgPx

Price

The average price of all trades in the allocation group.

Trade Date

TrdDt

LocalMktDate

The trade date assigned to an execution on the trading platform. For privately negotiated trades, the date on which the trade has been received by the CCP.

Transaction Time

TxnTm

UTCTimestamp

Date/time of the action performed on the allocation group.

Status

Stat

int

Identifies status of allocation.

• 1 - block level reject

• 2 - account level reject

• 6 - allocation pending

Average Price Group ID

AvgPxGrpID

String

Firm designated group identifier for the average price group.

Clear Date

ClrDt

LocalMktDate

The Clearing Date for the allocation or trade.

Trade Type

TrdTyp

int

Indicates Trade Type of Allocation.

• 0 - Regular Trade

• 1 - Block Trade

• 2 - EFP (Exchange for physical)

• 3 - Transfer

• 11 - Exchange for Risk (EFR)

• 12 - Exchange for Swap (EFS)

• 22 - Over the Counter Privately Negotiated Trades (OPNT)

• 23 - Substitution of Futures for Forwards

• 50 - Portfolio Trade

• 58 - Block swap trade

Trade Sub Type

TrdSubTyp

int

Indicates TradeSubType of Allocation. Necessary for defining groups.

• 0 - CMTA

• 1 - Internal transfer or adjustment

• 7 - Differential spread

• 8 - Implied spread leg executed against an outright

• 9 - Transaction from exercise

• 10 - Transaction from assignment

• 36 - Converted SWAP (Aged Deal)

• 40 - TAS - Traded at settlement

• 42 - Auction Trade

• 43 - TAM - Traded at marker

• 48 - Multilateral Compression

• 200 - Delivery Transfer

Input Source

InptSrc

String

Indicates input source of original trade marked for allocation.

Input Device

InptDev

String

Specific device number, terminal number or station where the trade was entered.

• API - API submitted

• SYSGEN - System Generated

• UI - GUI used for Submission

Post Trade Type

PostTrdTyp

int

Defines the post trade type, e.g. give up, average price, cross exchange give up, etc.

• 0 - Give up

• 1 - Average price

• 2 - Cross Exchange Give up

Multi Leg Reporting Type

MLegRptTyp

char

Indicates MultiLegReportType of original trade marked for allocation.

• 1 - Single security (default if not specified)

• 2 - Individual leg of a multi-leg security

• 3 - Multi-leg security

Rounded Price

RndPx

Price

Specifies the rounded price to quoted precision.

Customer Order Handling Instruction

CustOrdHdlInst

MultipleStringValue

Contains the FIA Execution Source.

• A - Phone simple

• B - Phone complex

• C - FCM-provided screen

• D - Other-provided screen

• E - Client provided platform controlled by FCM

• F - Client provided platform direct to exchange

• G - FCM API or FIX

• H - Algo Engine

• J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)

• W - Desk - Electronic

• X - Desk - Pit

• Y - Client - Electronic

• Z - Client - Pit

Price Sub Type

PxSubTyp

int

This is a further qualification of the Price Type. For example if the Last Price is a TAS Price, the Price Sub Type conveys whether it is an initial price when the trade is first being reported or the final settlement price.

• 0 - Initial Price

• 1 - Final Price

True Average Price

TrueAvgPx

Price

For give-up allocations, indicates the true average price. This field is temporary. RndPx contains the rounded price, and AvgPx will change to indicate the true average price.

→ Client Order ID

ClOrdID

String

Client Order ID of the trade being added to or removed from the group.

→ Party ID

ID

String

Used to identify the Party.

→ Party ID Source

Src

char

Used to identify the source of PartyID value.

• C - Generally accepted market participant identifier

• D - Proprietary / Custom code

• G - MIC (ISO 10383 - Market Identificer Code)

• H - Clearing house participant/member code

→ Party Role

R

int

Indicates the type of Party or the role of the party in the Party Block. Note that Clearing Organization (21) is always "CME" while Exchange (22) represents the firm exchange.

• 1 - Executing Firm

• 2 - Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

• 12 - Executing Trader (associated with Executing Firm - actually executes)

• 21 - Clearing Organization

• 22 - Exchange

• 24 - Customer Account

• 28 - Custodian

• 44 - Order Entry Operator ID

• 52 - Large Trader Reportable Account

• 101 - Collateral asset account

• 103 - Calculation agent

• 110 - Borrower

• 111 - Primary Obligor

• 112 - Guarantor

• 114 - Determining party

• 115 - Hedging party

• 116 - Reporting entity

• 200 - FEC GUI User ID

• 4100 - Depository

→→ Party Qualifier ID

ID

String

A Sub ID provides additional information about the Party.

→→ Party Qualifier Type

Typ

int

The Type of Party Sub ID in the Party Sub Tag.

• 3 - System

• 4 - Application

• 5 - Full legal name of firm

• 6 - Postal address

• 7 - Phone number

• 8 - Email address

• 10 - Securities account number (for settlement instructions)

• 11 - Registration number (for settlement instructions and confirmations)

• 15 - Cash account number (for settlement instructions)

• 24 - Department

• 26 - Account type or Origin

• 31 - Location

• 51 - Business center

• 57 - System trade identifier

• 58 - System trade sub-identifier

• 59 - Futures Commission Merchant (FCM) code

• 60 - Delivery terminal customer account/code (aka HUB code)

• 61 - Voluntary reporting entity

• 62 - Reporting obligation jurisdiction

• 63 - Voluntary reporting jurisdiction

• 64 - Company Activities [ID:

• A = Assurance undertaking authorized in accordance with Directive 2002/83/EC

• C=Credit institution authorized in accordance with Directive 2006/48/EC

• F=Investment firm in accordance with Directive 2004/39/EC

• I=Insurance undertaking authorized in accordance with Directive 73/239/EC

• L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC

• O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC

• R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC

• U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC

• or blank in case of coverage by LEI or in case of non-financial counterparties.]

• 65 - European Economic Area domiciled [ID: Y or N]

• 66 - Contract linked to commercial or treasury financing for this counterparty [ID: Y or N]

• 67 - Contract above clearing threshold for this counterparty [ID: Y or N]

• 74 - Payer

• 75 - Receiver

• 4000 - Customer Order Capacity (CTI) for Claiming Firm

→ Amount Type

Typ

String

The type of amount being expressed in the Trade Report.

• 5YREN - 5 Year Equivalent Notional

• ACTPNL - Actual Profit and Loss

• CRES - Cash Residual Amount

• CTDNV - Cheapest To Deliver Notional Value

• MTD - Mark-to-model

• PV01 - Change in value if yield curve shifts 0.01%

• TNV - Total Notional Value

• UMTM - Undiscounted mark-to-market

• VMTD - Mark-to-model variance

• VMTM - Mark-to-market variance

→ Amount

Amt

Amt

The amount associated with the trade.

→ Amount Currency

Ccy

String

The currency in which the Amount associated with the trade is being denominated in.