This extension pack provides new functionality to FIX Protocol with the addition of a new message type, AllocationInstructionAlertRequest(35=DU), to support the ability for clearinghouse customers to request to receive AllocationInstructionAlert(35=BM) messages from the clearinghouse.  Additional enhancements related to clearinghouse 3-party allocation model and allocation groups to support a new average pricing concept for allocated trades called “notional value average price” (NVAP).

Ability to transmit instructions for specific-lot allocations. Specific-lot trade allocations are a key benefit provided by Wealth Managers who provide advisory services to retail customers.

One of the key issues with specific-lot trading is determining how to identify the lot. This issue requires common methods for custodians and Wealth Managers to synchronize on lots, making it both a trading and custodial reconciliation problem. Additionally, this issue became even more critical due to the Cost Basis Regulations requirement by the Emergency Economic Stabilization Act in the US. This act requires that custodians maintain and report to investors and the IRS accurate cost basis on trades. One of the allocation methods explicitly required by the act is the support lot-specific allocation instructions.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-05-30] Update of repository and FIXML Schema due to correction of EP125.

[Updated 2012-01-12] Added repository and FIXML Schema. ASBUILT document updated.

This significant extension mainly addresses the allocation (give-up/take-up) workflows between clearinghouses and clearing firms. It also covers average price grouping of trades.

In addition to extensions of messages and fields, recommended workflows and state change models for allocations are provided. This includes new, explicit PartyRole values for Give-up Trading Firm, Give-up Clearing Firm, Take-up Trading Firm and Take-up Clearing Firm. Allocation flows comprise 2-, 3-, and 4-party models.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2011-12-27] Added repository and FIXML Schema. ASBUILT document updated.

Addresses the FIX Protocol for FX Placement, Allocation, and Confirmation/Affirmation workflows.

Updated: 20190207 (v0.08)

Defines industry guidelines for a common usage of the FIX Protocol for post-trade processing between buy-sides and sell-sides that can be used bi-laterally as well as through intermediary facilities.
UPDATE: 20171003 – Includes MiFID II recommended practices for post-trade commission unbundling and representation of commission types.