[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/600f3129 - PLEASE DO NOT REPLY BY MAIL.]
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.
