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FIX-5.0_SP1_VOL-5

FIX-5.0_SP1_VOL-5

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Published by: TraderCat Solaris on Jun 26, 2010
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FINANCIAL INFORMATIONEXCHANGE PROTOCOL(FIX)
Version 5.0 Service Pack 1
VOLUME 5 – FIX APPLICATION MESSAGES: POST-TRADE 
March 2008
©
Copyright, 2007-2008, FIX Protocol, Limited
 
DISCLAIMER 
THE INFORMATION CONTAINED HEREIN AND THE FINANCIAL INFORMATION EXCHANGEPROTOCOL (COLLECTIVELY, THE "FIX PROTOCOL") ARE PROVIDED "AS IS" AND NO PERSON OR ENTITY ASSOCIATED WITH THE FIX PROTOCOL MAKES ANY REPRESENTATION OR WARRANTY,EXPRESS OR IMPLIED, AS TO THE FIX PROTOCOL (OR THE RESULTS TO BE OBTAINED BY THEUSE THEREOF) OR ANY OTHER MATTER AND EACH SUCH PERSON AND ENTITY SPECIFICALLYDISCLAIMS ANY WARRANTY OF ORIGINALITY, ACCURACY, COMPLETENESS,MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE. SUCH PERSONS AND ENTITIESDO NOT WARRANT THAT THE FIX PROTOCOL WILL CONFORM TO ANY DESCRIPTION THEREOFOR BE FREE OF ERRORS. THE ENTIRE RISK OF ANY USE OF THE FIX PROTOCOL IS ASSUMED BYTHE USER. NO PERSON OR ENTITY ASSOCIATED WITH THE FIX PROTOCOL SHALL HAVE ANY LIABILITY FOR DAMAGES OF ANY KIND ARISING IN ANY MANNER OUT OF OR IN CONNECTION WITH ANYUSER'S USE OF (OR ANY INABILITY TO USE) THE FIX PROTOCOL, WHETHER DIRECT, INDIRECT,INCIDENTAL, SPECIAL OR CONSEQUENTIAL (INCLUDING, WITHOUT LIMITATION, LOSS OF DATA,LOSS OF USE, CLAIMS OF THIRD PARTIES OR LOST PROFITS OR REVENUES OR OTHER ECONOMICLOSS), WHETHER IN TORT (INCLUDING NEGLIGENCE AND STRICT LIABILITY), CONTRACT OR OTHERWISE, WHETHER OR NOT ANY SUCH PERSON OR ENTITY HAS BEEN ADVISED OF, OR OTHERWISE MIGHT HAVE ANTICIPATED THE POSSIBILITY OF, SUCH DAMAGES. No proprietary or ownership interest of any kind is granted with respect to the FIX Protocol (or any rights therein),except as expressly set out in FIX Protocol Limited's Copyright and Acceptable Use Policy.© Copyright 2003-2008 FIX Protocol Limited, all rights reserved
REPRODUCTION
FIX Protocol Limited grants permission to print in hard copy form or reproduce the FIX Protocol specification inits entirety provided that the duplicated pages retain the “Copyright FIX Protocol Limited” statement at the bottom of the page.Portions of the FIX Protocol specification may be extracted or cited in other documents (such as a documentwhich describes one’s implementation of the FIX Protocol) provided that one reference the origin of the FIXProtocol specification (
) and that the specification itself is “Copyright FIXProtocol Limited”.FIX Protocol Limited claims no intellectual property over one’s implementation (programming code) of anapplication which implements the behavior and details from the FIX Protocol specification.
©
Copyright, 2007-20086, FIX Protocol, LimitedPage 2 of 196
 
Contents – Volume 5
DISCLAIMER...............................................................................................................................................................2REPRODUCTION........................................................................................................................................................2FIX APPLICATION MESSAGES: POST-TRADE.................................................................................................6CATEGORY: ALLOCATION...................................................................................................................................7
O
VERVIEW
............................................................................................................................................................7
 Pre-allocated order................................................................................................................................................8 Pre-trade allocation.............................................................................................................................................10 Post-trade allocation............................................................................................................................................11 Ready-To-Book Processing:.................................................................................................................................11
C
ENTRAL
C
OUNTERPARTY
-
CENTRIC
A
LLOCATION
M
ODEL
.............................................................................................12
 An Overview of Three-party Allocations.............................................................................................................12Three-party Allocation Work Flow......................................................................................................................12 Regular Three-party Allocations.........................................................................................................................12
Designating Trades for Basic Three-party Allocation.....................................................................................................13Average Price Allocations................................................................................................................................................13
Three-party Allocation Message Usage..............................................................................................................13
F
RAGMENTATION
 
OF
A
LLOCATION
M
ESSAGES
............................................................................................................14A
LLOCATION
I
 NSTRUCTION
.....................................................................................................................................16A
LLOCATION
I
 NSTRUCTION
A
CK 
..............................................................................................................................26A
LLOCATION
I
 NSTRUCTION
A
LERT
...........................................................................................................................29A
LLOCATION
EPORT
(
AKA
A
LLOCATION
C
LAIM
).......................................................................................................36A
LLOCATION
EPORT
A
CK 
(
AKA
A
LLOCATION
C
LAIM
A
CK 
)........................................................................................45E
XAMPLE
U
SAGE
 
OF
A
LLOCATIONS
 
AND
EADY
-T
O
-B
OOK 
M
ESSAGING
.........................................................................48
 Ready-To-Book Processing:.................................................................................................................................48 Pre-Trade Allocation...........................................................................................................................................49 Post-Trade Allocation..........................................................................................................................................51 Rejection Scenarios..............................................................................................................................................52
CATEGORY: CONFIRMATION...........................................................................................................................60
O
VERVIEW
..........................................................................................................................................................60C
ONFIRMATION
 
VIA
FIX........................................................................................................................................60C
ONFIRMATION
....................................................................................................................................................63C
ONFIRMATION
A
CK 
(
AKA
A
FFIRMATION
).................................................................................................................68C
ONFIRMATION
EQUEST
.......................................................................................................................................69E
XAMPLE
 
USAGE
 
OF
C
ONFIRMATIONS
.......................................................................................................................70
 Affirmed Confirmation.........................................................................................................................................70Usage of the Confirmation Request Message......................................................................................................71 Rejected Confirmations........................................................................................................................................71
CATEGORY: SETTLEMENT INSTRUCTIONS.................................................................................................73
O
VERVIEW
- S
ETTLEMENT
I
 NSTRUCTIONS
.................................................................................................................73S
ETTLEMENT
I
 NSTRUCTIONS
....................................................................................................................................73S
ETTLEMENT
I
 NSTRUCTION
EQUEST
........................................................................................................................76S
ETTLEMENT
O
BLIGATION
EPORT
...........................................................................................................................78
CATEGORY: TRADE CAPTURE ("STREETSIDE") REPORTING...............................................................80
O
VERVIEW
:.........................................................................................................................................................80T
RADE
C
APTURE
EPORT
U
SAGES
...........................................................................................................................80
Trade Capture Reporting Business Workflows....................................................................................................81
Trades Reported to the Marketplace................................................................................................................................82Privately Negotiated Trade, Two-Party Report................................................................................................................82
©
Copyright, 2007-20086, FIX Protocol, LimitedPage 3 of 196

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