Allocation Management FIXML API - FIXML Message Work-Flows

Messaging work flows include:

Allocation and Average Price Group State Transition

This diagram shows the allocation state transition when a trade is marked for give-up.

This diagram shows the state of a group, beginning with the creation of a give-up or average price group.

Prior Executing Firm for Sub-Allocation

When sub-allocating an allocation to another account within one's own firm, the clearing system may send the identity of the prior executing firm. This will appear within AllocRpt/Pty/@ID with AllocRpt/Pty/@R="201" signifying the prior executing firm. Example: 

1. Firm A trades. 

2. Firm A allocates to Firm A: Not present. (There is no prior executing firm.)

3. Firm A sub-allocates to Firm A: Not present. (There is no prior executing firm.)

4. Firm A sub-allocates to Firm B: Not present. (This is not a sub-allocation to self.)

5. Firm B sub-allocates to Firm B: Present. Pty[R="201"]@ID="A"

6. Firm B sub-allocates to Firm B: Present. Pty[R="201"]@ID="A"

7. Firm B sub-allocates to Firm C: Not present. (This is not a sub-allocation to self.)

8. Firm C sub-allocates to Firm C: Present. Pty[R="201"]@ID="B"

9. Firm C sub-allocates to Firm C: Present. Pty[R="201"]@ID="B"

Give-up Allocation Message Flows

Marking a Trade for Give-Up Allocation

Scenario 1: Trade Amendment Marked for Give-Up without Carry Information

1. The executing firm sends a new Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocating Trade (No Claim Info provided), and the AvgPxInd is absent or set to No Average Pricing. 

2. The clearing system responds by: 

   1. Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, RptTyp of Submit and a TrdRptStat of Accepted. 

   2. Creating a give-up group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of New, a Typ of Complete Group, and a Stat of Allocation Pending.

Scenario 2: Trade Amendment Marked for Give-Up with Instructions

1. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocate Trade – Carry info Provided, and with the AvgPxInd absent or set to No Average Pricing. The claiming firm is provided in the Alloc/Pty element.

•  

  • The executing firm could specify grouping instructions in RptSide/AllocGrpInst.

  • The executing firm could specify rollup instructions in RptSide/AllocRollupInst.

2. The clearing system responds by:

• Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, RptTyp of Submit and a TrdRptStat of Accepted.

• Creating a give-up group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of New, a Typ of Complete Group, and a Stat of Allocation Pending.

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Give-up, and a Stat of Allocation Pending.

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending.

Creating an Allocation

Scenario 1: Creating an Allocation - Success

This scenario begins with the executing firm marking a trade for give-up allocation.

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Give-up. The executing firm identifies the group using the GrpID field, and identifies the claiming firm in the Alloc/Pty element. 

2. The clearing system responds by: 

   1. Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Give-up, and a Stat of Allocation Pending. 

   2. Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending. 

Scenario 2: Creating an Allocation - Rejected by CME Clearing

This scenario begins with the executing firm marking a trade for give-up allocation. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Give-up. The executing firm identifies the group using the GrpID field, and identifies the claiming firm in the Alloc/Pty element. This message contains an error, such as specifying an invalid GrpID, or an allocation quantity in excess of the unallocated quantity available in the group. 

2. The clearing system responds by sending the executing firm an Allocation Instruction Ack message with TransTyp of New, Typ of Give-up, and Stat of Rejected by Intermediary.

Claiming an Allocation

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. The next steps are:

1. The claiming firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Take-up. It identifies the allocation to claim using IndAllocID2.

2. The clearing system responds by:

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Take-up, and a Stat of Claimed.

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Give-up, and a Stat of Claimed.

Refusing an Allocation

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. The next steps are:

1. The claiming firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Refuse Take-up. It identifies the allocation to refuse using IndAllocID2.

2. The clearing system responds by:

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Take-up, and a Stat of Refused.

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Give-up, and a Stat of Refused.

Executing Firm Amending an Allocation Pre-Claim

Scenario 1: Amendment with New Claiming Firm

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to claiming firm 1.

1. The executing firm sends an Allocation Instruction message with a TransTyp of Replace and a Typ of Give-up. It identifies the allocation to amend using GrpID and IndAllocID2, and identifies claiming firm 2 in the Alloc/Pty element. 

2. The clearing system responds by:

• Sending an Allocation Report to the executing firm with a TransTyp of Replace, a RptTyp of Give-up, and a Stat of Allocation Pending. 

• Sending an Allocation Report to claiming firm 1 with a TransTyp of Cancel, a RptTyp of Take-up, and a Stat of Cancelled. 

• Sending an Allocation Report to claiming firm 2 with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending.

Scenario 2: Amendment with Same Claiming Firm

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of Replace and a Typ of Give-up. It identifies the allocation to amend using GrpID and IndAllocID2. 

2. The clearing system responds by:

• Sending an Allocation Report to the executing firm with a TransTyp of Replace, a RptTyp of Give-up, and a Stat of Allocation Pending. 

• Sending an Allocation Report to the claiming firm with a TransTyp of Replace, a RptTyp of Take-up, and a Stat of Allocation Pending.

Claiming Firm Amending an Allocation Pre-Claim 

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. 

1. The claiming firm sends an Allocation Instruction message with a TransTyp of Replace and a Typ of Take-up. It identifies the allocation to amend using IndAllocID2. 

2. The clearing system responds by sending an Allocation Report to the claiming firm with a TransTyp of Replace, a RptTyp of Take-up, and a Stat of Allocation Pending.

Cancelling an Allocation Pre-Claim

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm.

1. The executing firm sends an Allocation Instruction message with a TransTyp of Cancel and a Typ of Give-up. It identifies the allocation to cancel using GrpID and IndAllocID2. 

2. The clearing system responds by: 

• Sending an Allocation Report to the executing firm with a TransTyp of Cancel, a RptTyp of Give-up, and a Stat of Cancelled. 

• Sending an Allocation Report to the claiming firm with a TransTyp of Cancel, a RptTyp of Take-up, and a Stat of Cancelled.

Amending an Allocation Post-Claim

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm, and the claiming firm claiming the allocation.

1. The executing firm sends an Allocation Instruction message with a TransTyp of Replace and a Typ of Take-up. It identifies the allocation to amend using IndAllocID2. Example amendments include changing the carry account, origin, and CTI. 

2. The clearing system responds by sending an Allocation Report to the claiming firm with a TransTyp of Replace, a RptTyp of Take-up, and a Stat of Claimed.

Cancelling a Give-up Group

The executing firm can cancel a give-up group, provided that no allocations from that group have been claimed. This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of Cancel and a Typ of Cancel Group. It identifies the group to cancel using GrpID. 

2. The clearing system responds by:

• Sending an Allocation Instruction Alert to the executing firm with a TransTyp of Cancel, a Typ of Cancel Group, and a Stat of Allocation Pending. 

• Sending an Allocation Report to the executing firm for each allocation pending with a TransTyp of Cancel, a Typ of Give-up, and a Stat of Cancelled. 

• Sending an Allocation Report to the claiming firm for each allocation pending with a TransTyp of Cancel, a Typ of Take-up, and a Stat of Cancelled.

Un-Marking a Trade for Give-Up

This scenario begins with the executing firm marking a trade for allocation and allocating the trade to the claiming firm. The claiming firm has not claimed the allocation. This trade is the only trade in the give-up group. 

1. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, and an AllocInd of Allocation not required. 

2. The clearing system responds by: 

• Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted. 

• Sending the executing firm an Allocation Instruction Alert with a TransTyp of Cancel, a Typ of Incomplete Group, a Stat of Allocation Pending, and a GrpQty of 0. 

• Sending an Allocation Report to the executing firm with a TransTyp of Cancel, a Typ of Give-up, and a Stat of Cancelled. 

• Sending an Allocation Report to the claiming firm with a TransTyp of Cancel, a Typ of Take-up, and a Stat of Cancelled. 

Average Price Allocation Message Flows

The following message flows illustrate message flows specific to average price allocation groups. Average price allocation differs from give-up allocation in that the executing firm controls the assignment of trades to average price groups. However, once an average price group is complete, it functions almost identically to a give-up group.

Marking Trades for Average Price Allocation

Scenario 1: Group ID Specified at Time of Marking

1. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocating Trade (No Claim Info provided), and an AvgPxInd of Trade is part of an average price group. The executing firm supplies the name of a new average price group in the AvgPxGrpID field.

2. The clearing system responds by:

•  

  • Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted. 

  • Creating an average price group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of New (as this is a new average price group), a Typ of Incomplete Group, and a Stat of Allocation Pending.

1. The executing firm amends a second trade for average price allocation, as in step 1, but specifies the same AvgPxGrpID used above.

2. The clearing system responds by:

•  

  • Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted.

  • Modifying the average price group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of Replace (as this is now an existing average price group), a Typ of Incomplete Group, and a Stat of Allocation Pending.

Scenario 2: Group ID Specified Later

1. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocating Trade (No Claim Info provided), and an AvgPxInd of Trade is part of an average price group. The executing firm will not send AvgPxGrpID at this time.

2. The clearing system responds by sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted. The trade is now marked for average price allocation, but is not part of any average price group. 

3. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocating Trade (No Claim Info provided), and an AvgPxInd of Trade is part of an average price group. The executing firm supplies the name of a new average price group in he AvgPxGrpID field.

4. The clearing system responds by:

• Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted.

• Creating an average price group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of New, a Typ of Incomplete Group, and a Stat of Allocation Pending.

Completing an Average Price Group

In this scenario the executing firm marks a trade for average price allocation by specifying an average price group. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of Replace and a Typ of Complete Group. It identifies the group to complete using GrpID. 

2. The clearing system responds by sending an Allocation Instruction Alert message with a TransTyp of Replace, a Typ of Complete Group, and a Stat of Allocation Pending. This contains the average price used for allocation.

Allocating an Average Price Group, Clearing System Splits Allocation

This scenario begins with the executing firm marking trades for average price allocation and completing the average price group.

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Give-up. The executing firm identifies the group using the GrpID field, and identifies the claiming firm in the Alloc/Pty element. 

2. The clearing system responds by:

• Sending two or more Allocation Report messages to the executing firm with a TransTyp of New, a RptTyp of Give-up, and a Stat of Allocation Pending. The Alloc/Qty of the individual allocation is less than Alloc/Qty on the Allocation Instruction, but Alloc/ReqQty (sent to executing firm only) equals the Alloc/Qty of the Allocation Instruction, and the sum of all Alloc/Qty of the individual allocations equals Alloc/Qty on the Allocation Instruction. 

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending. The Alloc/Qty of the individual allocation is less than Alloc/Qty on the Allocation Instruction, but Alloc/ReqQty (sent to executing firm only) equals the Alloc/Qty of the Allocation Instruction, and the sum of all Alloc/Qty of the individual allocations equal Alloc/Qty on the Allocation Instruction. 

Un-Marking a Trade from an Average Price Group

In this scenario the executing firm marks a trade for average price allocation by specifying an average price group.

• An AllocInd of Allocating Trade (No Claim Info provided), an AvgPxInd of Average price trade removed from group, and AvgPxGrpID is absent, or

• An AllocInd of Allocation not required, AvgPxInd is absent or No Average Pricing, and AvgPxGrpID is absent.

• Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted.

• Sending the executing firm an Allocation Instruction Alert with a TransTyp of Replace (if this is not the only trade in the group) or Cancel (if this is the only trade in the group), a Typ of Incomplete Group, and a Stat of Allocation Pending. The group quantity decreases by the quantity of the unmarked trade.

Changing a Trade to Another Average Price Group

In this scenario the executing firm marks a trade for average price allocation by specifying an average price group.

1. The executing firm sends a Trade Capture Report with a TransTyp of Replace, a RptTyp of Submit, an AllocInd of Allocating Trade (No Claim Info provided), and an AvgPxInd of Trade is part of an average price group. The executing firm provides a new average price group in the AvgPxGrpID field.

2. The clearing system responds by:

• Sending the executing firm a Trade Capture Report Ack with a TransTyp of Replace, a RptTyp of Submit and a TrdRptStat of Accepted.

• Sending the executing firm an Allocation Instruction Alert with a TransTyp of Replace, a Typ of Incomplete Group, and a Stat of Allocation Pending. Note:This message is an update to the old group where the old group quantity is reduced.

• Creating an average price group, and sending the executing firm an Allocation Instruction Alert with a TransTyp of New (as this is a new average price group), a Typ of Incomplete Group, and a Stat of Allocation Pending. 

Un-Completing an Average Price Group

In this scenario the executing firm marks trades for average pricing, completes the group, and allocates to a claiming firm. The next steps are:

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Reopen Group. It identifies the group to un-complete using GrpID. 

2. The clearing system responds by: 

• Sending an Allocation Instruction Alert message with a TransTyp of Replace, a Typ of Incomplete Group, and a Stat of Allocation Pending.

• Sending an Allocation Report to the executing firm with a TransTyp of Cancel, a RptTyp of Give-up, and a Stat of Cancelled. 

• Sending an Allocation Report to the claiming firm with a TransTyp of Cancel, a RptTyp of Take-up, and a Stat of Cancelled. 

Cancelling an Average Price Group

In this scenario the executing firm first marks trades for average pricing.

1. The executing firm sends an Allocation Instruction message with a Trans Typ of Cancel and a Typ of Cancel Group. It identifies the group to un-complete using GrpID. 

2. The clearing system responds by sending an Allocation Instruction Alert message with a TransTyp of Cancel, a Typ of Cancel Group, and a Stat of Allocation Pending.

Transitions Between Give-up Allocation and Average Price Allocation Message Flows 

Transitioning between give-up allocation, average price allocation, and cross-exchange allocation cannot be performed as one action. The executing firm must first un-mark the trade from allocation entirely, and then mark the trade for the new type of allocation. Un-marking and marking trades are both documented above. 

Sub-Allocation Message Flows

A claiming firm can accept an allocation, and then sub-allocate the allocation. Sub-allocation only marks the allocation for further allocation; the original claiming firm must then provide instructions to allocate to new claiming firms. 

Sub-Allocation for Give-Up

In this scenario, claiming firm 1 first claims an allocation.

1. Claiming firm 1 sends an Allocation Instruction message with a TransTyp of New and a Typ of Sub-Allocate. It identifies the allocation to sub-allocate using IndAllocID2 within the Alloc element, and specifies only one Alloc element, corresponding to the claimed allocation.

2. The clearing system creates a new Give-up Group for the sub-allocation and sends claiming firm 1 an Allocation Instruction Alert with a TransTyp of New, a Typ of Complete Group, and a Stat of Allocation Pending. Within the AllExc element, IndAllocID2 contains the IndAllocID2 of the sub-allocated allocation.

3. Claiming firm 1 sends an Allocation Instruction message with a TransTyp of New and a Typ of Give-up. It identifies the group for the sub-allocation using the GrpID field, and identifies claiming firm 2 in the Alloc/Pty element.  

4. The clearing system responds by:

• Sending an Allocation Report to claiming firm 1 with a TransTyp of New, a RptTyp of Give-up, and a Stat of Allocation Pending. 

• Sending an Allocation Report to claiming firm 2 with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending. 

Sub-Allocation for Give-Up with Specific Allocation Instructions

In this scenario, claiming firm 1 first claims an allocation.

1. Claiming firm 1 sends an Allocation Instruction message with a TransTyp of New and a Typ of Sub-Allocate. It identifies the allocation to sub-allocate using IndAllocID2 within an Alloc element. It specifies a second Alloc element, identifying claiming firm 2 in the Alloc/Pty element. 

2. The clearing system responds by:

• Sending claiming firm 1 an Allocation Instruction Alert with a TransTyp of New, a Typ of Complete Group, and a Stat of Allocation Pending. Within the AllExc element, IndAllocID2 contains the IndAllocID2 of the sub-allocated allocation. This is a new give-up group containing the sub-allocation.

• Sending an Allocation Report to claiming firm 1 with a TransTyp of New, a RptTyp of Give-up, and a Stat of Allocation Pending.  

• Sending an Allocation Report to claiming firm 2 with a TransTyp of New, a RptTyp of Take-up, and a Stat of Allocation Pending. 

Sub-Allocation for Average Pricing

In this scenario, claiming firm 1 first claims an allocation. 

1. Claiming firm 1 sends an Allocation Instruction message with a TransTyp of New and a Typ of Sub-Allocate. It identifies the allocation to sub-allocate using IndAllocID2 within the Alloc element, and specifies only one Alloc element, corresponding to the allocation claimed. It also specifies that this is an average price sub-allocation by specifying an AvgPxInd of Trade is part of an average price group and indicates a new average price group using the AvgPxGrpID field.

2. The clearing system responds by sending claiming firm 1 an Allocation Instruction Alert with a TransTyp of New, a Typ of Incomplete Group, and a Stat of Allocation Pending. Within the AllExc element, IndAllocID2 contains the IndAllocID2 of the sub-allocated allocation added to the average price group. This is a new average price group containing the sub-allocation. 

3. Claiming firm 1 can then treat the resulting average price group just as any other average price group, e.g. completing the group and submitting allocations. However, claiming firm 1 cannot modify a sub-allocation to transition it to unassigned in the average pricing system.

Reversal of Accepted Allocations Message Flows 

Either the executing firm or the claiming firm can initiate a reversal, and the resulting FIXML messages will be similar. The scenarios below illustrate a claiming firm initiating a reversal.

Allocation Reversal Requested

This scenario begins with the executing firm making an allocation, which the claiming firm claims.

1. The claiming firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Initiate Reversal. It identifies the allocation to reverse using IndAllocID2.

2. The clearing system responds by:

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Reversal, and a Stat of Reversal Pending. 

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Alleged Reversal, and a Stat of Reversal Pending. 

Allocation Reversal Accepted

This scenario begins with the executing firm making an allocation, which the claiming firm claims. Then, the claiming firm requests a reversal. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Claim Reversal. It identifies the allocation to reverse using IndAllocID2. 

2. The clearing system responds by:

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Alleged Reversal, a Stat of Reversed, and a RvrslStat of Completed.

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Reversal, a Stat of Reversed, and a RvrslStat of Completed.

Allocation Reversal Refused

This scenario begins with the executing firm making an allocation, which the claiming firm claims. Then, the claiming firm requests a reversal. 

1. The executing firm sends an Allocation Instruction message with a TransTyp of New and a Typ of Refuse Reversal. It identifies the allocation to refuse the reversal using IndAllocID2. 

2. The clearing system responds by:

• Sending an Allocation Report to the executing firm with a TransTyp of New, a RptTyp of Alleged Reversal, a Stat of Claimed, and a RvrslStat of Refused. 

• Sending an Allocation Report to the claiming firm with a TransTyp of New, a RptTyp of Reversal, a Stat of Claimed, and a RvrslStat of Refused.

Allocation Reversal Cancelled

This scenario begins with the executing firm making an allocation, which the claiming firm claims.Then, the claiming firm requests a reversal.

1. The claiming firm sends an Allocation Instruction message with a TransTyp of Cancel and a Typ of Initiate Reversal. It identifies the allocation with the reversal to cancel using IndAllocID2. 

2. The clearing system responds by: 

• Sending an Allocation Report to the claiming firm with a TransTyp of Cancel, a RptTyp of Reversal, a Stat of Claimed, and a RvrslStat of Cancelled. 

• Sending an Allocation Report to the executing firm with a TransTyp of Cancel, a RptTyp of Alleged Reversal, a Stat of Claimed and a RvrslStat of Cancelled.