1 / 24

FIXML For Listed Futures and Options Post Trade Processing

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. Initiator of Transaction. Buy Side. Sell Side. Allocation.

susan-contreras
Download Presentation

FIXML For Listed Futures and Options Post Trade Processing

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. FIXML For Listed Futures and Options Post Trade Processing Allocation October 24, 2002

  2. Futures and Options Allocation • New Giveup • Cancel a Giveup • Replace • Release • Reversal

  3. FIX Allocation Messages as of FIX 4.3 Initiator of Transaction Buy Side Sell Side Allocation Allocation ACK Allocations and AllocationACKsflow in both directions Response to Allocation Message

  4. FIX Allocation Messages for Clearing Initiator of Transaction Clearing Firm Clearing House Allocation Allocation ACK Allocations and AllocationACKsflow in both directions Response to Allocation Message

  5. AllocTransType (tag 71) • Pre Acceptance • New • Cancel • Replace • Post Acceptance • Release • Change to Account Data • Post Close of Settlement Session • Reversal

  6. FIX AllocID (tag 70) • Unique Identifier for Allocation • Reported on Allocations and Allocation ACKs • Unique Settlement Sessions

  7. AllocStatus • New • Pending Accept • Rejected • Released • Cancelled • Accepted

  8. New Giveup

  9. New Giveup Firm Clearing House Carry Firm Allocation AllocTransType=NEW 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 Allocation ACK AllocTransType=NEW AllocStatus=Pending Accept Allocation AllocTransType=NEW AllocStatus=Pending Accept Allocation ACK AllocStatus=Reject rejected by clearing house Allocation AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocTransType=NEW AllocStatus=Accept | Reject Allocation ACK AllocStatus=Reject rejected by clearing house

  10. Cancel • Cancel a Giveup prior to acceptance by carry firm • Rejected by Clearing House if received after carry firm accept • Same day

  11. Cancel Giveup Firm Clearing House Carry Firm Allocation AllocTransType=CANCEL Allocation ACK AllocTransType=CANCEL Allocation AllocTransType=CANCEL Allocation ACK AllocStatus=Reject rejected by clearing house

  12. Replace • Prior to Accept by Carry Firm • Same Day

  13. Replace Giveup Firm Clearing House Carry Firm Allocation AllocTransType=REPLACE Allocation ACK AllocTransType=REPLACE AllocStatus=Pending Replace Allocation AllocTransType=REPLACE AllocStatus=Pending Replace Allocation ACK AllocStatus=Reject rejected by clearing house

  14. Change to Account • After Acceptance by Carry Firm • Carry firm elects to change account-related information

  15. Change to Account Giveup Firm Clearing House Carry Firm Allocation AllocTransType=REPLACE AllocStatus=Pending Accept Allocation ACK AllocTransType=REPLACE AllocStatus=Accept Allocation ACK AllocStatus=Reject rejected by clearing house

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

  17. Release by Giveup Firm Giveup Firm Clearing House Carry Firm Allocation AllocTransType=RELEASE Allocation ACK AllocTransType=RELEASE AllocStatus=Pending Release Allocation AllocTransType=RELEASE AllocStatus=Pending Release Allocation ACK AllocTransType=RELEASE AllocStatus=Reject rejected by clearing house Allocation AllocTransType=RELEASE AllocStatus=Accept Allocation ACK AllocTransType=RELEASE AllocStatus=Accept Allocation ACK AllocTransType=RELEASE AllocStatus=Accept

  18. Release • Next Settlement Cycle • After Posting • Requires Reversing Transactions

  19. Reversal Giveup Firm Clearing House Carry Firm Allocation AllocTransType=REVERSAL Allocation ACK AllocTransType=REVERSAL AllocStatus=Pending Reversal Allocation AllocTransType=REVERSE AllocStatus=Pending Reversal Allocation ACK AllocStatus=Reject rejected by clearing house Allocation AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocTransType=REVERSAL AllocStatus=Accept | Reject Allocation ACK AllocStatus=Reject rejected by clearing house

  20. 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?

  21. Proposed Instrument Model

  22. 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)

  23. 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>

  24. 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

More Related