[This message was posted by Jim Kaye of Bank of America Merrill Lynch <[email protected]> to the "Allocations" discussion forum at http://fixprotocol.org/discuss/13. You can reply to it on-line at http://fixprotocol.org/discuss/read/1098e8b8 - PLEASE DO NOT REPLY BY MAIL.]
Based on the requirement that the allocations for the individual legs of a multi-leg order may be different for each leg, then I would proceed on the basis that we'll add the same allocation leg functionality available on the new order message to the allocation instruction message. I think there's a separate question as to why you'd need to regular allocation block on the new order multi-leg message (it seems somewhat duplicative to have both), so if you can think of a reason for that, then let me know. I wouldn't actually recommend removing it, instead adding clarififying comments to the specification to indicate that only one or the other should be used. Jim. > Interesting !! Thanks for looking into that for me. > > So the question that now begs is what my best approach is ? I'd like to try > and make sure that whatever I do is as future proof as can be. Its going to > either be that the leg-level allocation will be removed from the > new-order-multileg, or that it will be added to the other messages. Unless I > hear otherwise I'm going to see if I can work using a model based on the > latter. > > J > > > > Right - I've taken a look at the 4.4 and 5.0 specs for multileg. You're > > right, there is a leg-level allocation block on the new order multileg > > message (in addition to the usual allocation block - not sure why we have > > both). I don't think anybody on the Allocations Working Group at the time > > of writing 4.4 was aware of the multileg allocation requirements so nothing > > was added to this effect to the post-trade allocation messages. This sounds > > like something we need to clean up. > > > > Jim. > > > > > Let me have a look into that - I'm not familiar with the NewOrderMultiLeg > > > functionality. > > > Jim. > > > > > > > Hi > > > > Thanks for responding - that does help somewhat but as you say what it > > > > means is you can't allocate individual legs in different ways... > > > > however if you use the NewOrderMultileg message you can allocate the > > > > individual legs in different ways (as each LegOrdGrp does contain a > > > > LegPreAllocGrp). > > > > > > > > So it looks as though you can preallocate the legs in different ways > > > > but not post allocate them. And going on from that you can't use > > > > AllocationReports (or TradeCapture either - as that has the same > > > > limitation). > > > > > > > > So what I guess I'm concluding is that even though the NewOrderMultileg > > > > does have allow individual leg allocations, it doesn't seem to be > > > > supported across the other messages in the same manner. > > > > > > > > Any comments appreciated. > > > > > > > > thanks. > > > > > > > > > > > > > Hello, > > > > > > > > > > It's been a while since I looked at this, but if my memory serves me > > > > > correctly, the InstrmtLegGrp part of the message is part of the > > > > > general 'instrument component block' which the allocation message > > > > > will use to describe the instrument, in exactly the same way as you > > > > > would on, say, a new order single. The allocations themselves are > > > > > stored in the allocation repeating group part of the message, just as > > > > > they would be for a single-leg instrument. What this does mean of > > > > > course is that you can't allocate the individual legs in different > > > > > ways (unless somebody since has identified a way to do this). Note > > > > > that the AllocLinkId structure is there simply to support > > > > > fragmentation of a single logical message into a number of physical > > > > > messages (for systems that can't handle very large messages). Every > > > > > InstrmntLegGrp block would need to be the same across each of those > > > > > fragments. > > > > > > > > > > Hope this helps > > > > > > > > > > Jim. > > > > > > > > > > > > > > > > Hi > > > > > > This question was posted about 6 years ago but there were no > > > > > > replies - hopefully there is some more insight on this now. > > > > > > I'd like to understand the best approach is to specifying post > > > > > > trade allocations on multileg orders - initially FX Swaps but this > > > > > > should also be valid for more complex multileg orders. > > > > > > > > > > > > I'm looking at the 5.0SP2 specification but any help on use with > > > > > > previous version is appreciated. > > > > > > Looking at the AllocationInstruction message there seems to be an > > > > > > InstrmtLegGrp component. There is also the AllocLinkID to link more > > > > > > than one allocation instruction together. Functionally I think it > > > > > > would be easier to use 1 allocation instruction containing all the > > > > > > legs within it but that would make the use of AllocLinkID > > > > > > redundant. > > > > > > > > > > > > Any experience/thoughts/help greatly appreciated. > > > > > > > > > > > > thanks > > > > > > J [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
