FIXML For Listed Futures and Options Post Trade Processing

Allocation

October 24, 2002

Futures and Options Allocation

• New Giveup• Cancel a Giveup• Replace• Release• Reversal

FIX Allocation Messages as of FIX 4.3

Buy Side Sell SideAllocation

Allocation ACK

Initiator of Transaction

Response to Allocation Message

Allocations and AllocationACKs

flow in both directions

FIX Allocation Messages for Clearing

Clearing Firm

Clearing House

Allocation

Allocation ACK

Initiator of Transaction

Response to Allocation Message

Allocations and AllocationACKs

flow in both directions

AllocTransType (tag 71)

• Pre Acceptance– New– Cancel– Replace

• Post Acceptance– Release– Change to Account Data

• Post Close of Settlement Session– Reversal

FIX AllocID (tag 70)

• Unique Identifier for Allocation• Reported on Allocations and Allocation ACKs• Unique Settlement Sessions

AllocStatus

• New• Pending Accept• Rejected• Released• Cancelled• Accepted

New Giveup

NewGiveup

FirmClearing House

Carry Firm

AllocationAllocTransType=NEW

Allocation ACKAllocStatus=Reject

rejected by clearing house

Allocation ACKAllocTransType=NEW

AllocStatus=Pending Accept AllocationAllocTransType=NEW

AllocStatus=Pending Accept

AllocationAllocTransType=NEW

AllocStatus=Accept | Reject

Allocation ACKAllocTransType=NEW

AllocStatus=Accept | Reject

Allocation ACKAllocTransType=NEW

AllocStatus=Accept | Reject

Allocation ACKAllocStatus=Reject

rejected by clearing house

FIA Working Group Comments:10/24/2002

In the review session the preference is to use the term CLAIM for status or even for the message that is

sent back

Cancel

• Cancel a Giveup prior to acceptance by carry firm• Rejected by Clearing House if received after carry

firm accept• Same day

CancelGiveup

FirmClearing House

Carry Firm

AllocationAllocTransType=CANCEL

Allocation ACKAllocStatus=Reject

rejected by clearing house

Allocation ACKAllocTransType=CANCEL Allocation

AllocTransType=CANCEL

Replace

• Prior to Accept by Carry Firm• Same Day

ReplaceGiveup

FirmClearing House

Carry Firm

AllocationAllocTransType=REPLACE

Allocation ACKAllocStatus=Reject

rejected by clearing house

Allocation ACKAllocTransType=REPLACE

AllocStatus=Pending Replace AllocationAllocTransType=REPLACE

AllocStatus=Pending Replace

Change to Account

• After Acceptance by Carry Firm• Carry firm elects to change account-related

information

Change to AccountGiveup

FirmClearing House

Carry Firm

Allocation ACKAllocTransType=REPLACE

AllocStatus=Accept

AllocationAllocTransType=REPLACEAllocStatus=Pending Accept

Allocation ACKAllocStatus=Reject

rejected by clearing house

Release

• After Acceptance by Carry Firm• Prior to close of settlement session

Release by Giveup FirmGiveup

FirmClearing House

Carry Firm

AllocationAllocTransType=RELEASE

Allocation ACKAllocTransType=RELEASE

AllocStatus=Rejectrejected by clearing house

Allocation ACKAllocTransType=RELEASE

AllocStatus=Pending Release

AllocationAllocTransType=RELEASE

AllocStatus=Pending Release

AllocationAllocTransType=RELEASE

AllocStatus=Accept

Allocation ACKAllocTransType=RELEASE

AllocStatus=Accept

Allocation ACKAllocTransType=RELEASE

AllocStatus=Accept

Release

• Next Settlement Cycle• After Posting• Requires Reversing Transactions

ReversalGiveup

FirmClearing House

Carry Firm

AllocationAllocTransType=REVERSAL

Allocation ACKAllocStatus=Reject

rejected by clearing house

Allocation ACKAllocTransType=REVERSAL

AllocStatus=Pending Reversal AllocationAllocTransType=REVERSE

AllocStatus=Pending Reversal

AllocationAllocTransType=REVERSALAllocStatus=Accept | Reject

Allocation ACKAllocTransType=REVERSALAllocStatus=Accept | Reject

Allocation ACKAllocTransType=REVERSALAllocStatus=Accept | Reject

Allocation ACKAllocStatus=Reject

rejected by clearing house

FIWG Proposed Booking Report

• Used to report each portion of an Allocation• Could this be our Allocation Report? Or is this really a

position report?

Proposed Instrument Model

Parties Block

• Added in FIX 4.3 to increase flexibility and extensibility of specification

• Prior to FIX 4.3 each time a new role was defined a new element was added

• The Parties Block is becoming standardized across messaging standards (ISO 15022)

Parties Block<PartiesList>

<NoPartiesList>3</NoPartiesList><PartiesGroup>

<PartyID>CME</PartyID><PartyIDSource>3</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>

</PartiesGroup><PartiesGroup>

<PartyID>560</PartyID><PartyIDSource>4</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>

</PartiesGroup><PartiesGroup>

<PartyID>CUSTACCT12345</PartyID><PartyIDSource>5</PartyIDSource><PartyRole>D</PartyRole><PartySubID></PartySubID>

</PartiesGroup></PartiesList><Account>560</Account><AccountType>CUST</AccountType>

10/24 FIA comments

• Will delivery instructions be part of the positions report? (NYMEX Question)

• Corporation Action Data - very high level of interest• Reduced message size in XML description

– NYMEX has adopted universal trade message - tried to convert to tag# (human readability issue) - ultimately they went to attributes instead of elements - brought down size of XML message

– Trades would be okay - orders would be an issue

• Date and Time block - associate different times