Allocation Instruction Embedded in the NewOrderSingle Message (35=D)

Allocations involving up to 2,500 accounts can be embedded in the New Order Single message (35=D) by simply setting an AllocID and NoAllocs > 0.

The repeating group AllocGrp should contain each AllocAccount (tag 79) and AllocQty (tag 80) or CashAllocQty (tag 12110).

• The sum of all AllocQty should equal the OrderQty (tag 38); or
• if using CashOrderQty, the sum of CashAllocQty should equal CashOrderQty.

Saxo FIX API will acknowledge the allocation instruction by returning an Allocation Instruction Ack message (35=P) with AllocStatus ‘Received’ (87=3).

If the allocation instruction in the New Order Single message passes initial validation, another Allocation Instruction Ack message will be sent with AllocStatus ‘Accepted’ (87=0).

If the block order is accepted, an Execution Report ‘NEW’ will be sent.

In case the block order cannot be placed, an Execution Report ‘REJECTED’ is returned.

if the allocation instruction fails initial validation (for example if the sum of the AllocQtys does not match the OrderQty of the block order) an Allocation Instruction Ack message with AllocStatus ‘Block Level Reject’ (87=1) is sent, followed by an Execution Report with OrdStatus ‘REJECTED.

Custom tag 12108 ‘CancellationIfReduction” can be set to ‘N’ (or omitted) in the New Order Single message, to indicate that Accounts failing for example a credit check should automatically be removed from the allocation, and a reduced order should be allocated to the remaining accounts.

An Allocation Instruction Ack, with status ‘Received’ will be sent as per normal. If for example credit check validation reduces the allocation, an Allocation Instruction Ack message with status ‘Account Level Reject’ (87=2) is sent, listing the accounts that failed validation, followed by an Execution Report ‘New’ with a reduced order quantity.

If ‘CancellationIfReduction’ is set to ‘Y’ and one or more accounts fail validation, an Allocation Instruction Ack is sent with status ‘Account Level Reject’ (listing failed accounts) followed by an Execution Report with order status ‘Rejected’.

Use of Allocation Instruction Message(s)

If the number of accounts in an allocation is not more than 2,500, a single Allocation Instruction message can be used.

If the number of accounts in an allocation exceeds 2,500, allocations must be split up into multiple Allocation Instruction messages, with a maximum of 2,500 accounts in each message, with a maximum of 50,000 accounts in total.

• When using Allocation Instruction message(s), the NoAllocs group (tag 78) should not be set in the New Order Single message, but in the Allocation Instructions message(s) that the component block (tag 78) is used to specify the allocations.
• The Allocation Instruction message(s) should be sent straight after the New Order Single message, where the AllocID (tag 70) in the Allocation Instruction(s) match the AllocID (tag70) in the New Order Single message. If all allocation fragments are not received within 10 seconds, the associated order will be rejected with appropriate reason. Any associated Allocation fragments already received (if any) should be considered cancelled. 
• In the Allocation Instruction message(s), TotNoAllocs (892) must have the same value across all fragments. The number of allocations in each fragment should be specified in NoAllocs (78). In case of a single Allocation Instruction message, values in TotNoAllocs (892) and NoAllocs (78) must be the same.
• The repeating group AllocGrp should contain each AllocAccount (tag 79) and AllocQty (tag 80) or CashAllocQty (tag 12110).
  • The sum of all AllocQty across message fragments should equal the OrderQty (tag 38) from the New Order Single message; or
  • if using CashOrderQty, the sum of CashAllocQty should equal CashOrderQty.

• For the last Allocation Instruction message, or in case of a single Allocation Instruction message, LastFragment must be set to ‘Y’ (tag 893). SecondaryAllocID (tag 793) should be set to 1 for the first message, 2 for the second etc.

Allocation Instruction Message (35=J)

Allocation Instruction ACK (35=P)

An Allocation Instruction message (as well as a New Order Single with embedded Allocations) will be acknowledged using an Allocation Instruction Ack message with AllocStatus= 'Received' (87=3).

If allocations are sent as fragments across multiple Allocation Instructions, each Allocation Instruction will be acknowledged with an Allocation Instruction Ack message with AllocStatus= 'Received'. All allocation fragments (with same AllocID as that on NewOrderSingle) must be received before they are processed. 

Examples of Using Instruction Message(s)

Use of a single Allocation Instruction message

Use of multiple Allocation Instruction Messages

Allocation instructions are accepted, but order cannot be placed

Allocation instruction fails validation, blockLevelReject is returned and order is rejected. Each Allocation Instruction message is validated. If a validation fails, the whole order is rejected. In the example below, SecondaryAllocID 3 fails validation since the sum of NoAllocs exceeds TotNoAllocs. A BlockLevelReject Ack is returned for the SecondaryAllocID = 3, and the order placement is rejected.

If CancellationIfReduction is set to ‘N’ (or omitted) in New Order Single, and one or more accounts fail validation, the Allocaction Instruction Ack message will be sent with ‘AccountLevelReject’. For example, some accounts in SecondaryAllocID 1 and 2 might be excluded, while all accounts from SecondaryAllocID 3 are accepted. In that case, the Allocation Instruction Ack for SecondaryAllocID 1 and 2 will state ‘AccountLevelReject’, and for SecondaryAllocID 3 ‘Accepted’. The Acks with ‘AccountLevelReject’ will list the accounts that are removed from the allocation. An Execution Report ‘NEW’ with reduced OrdQty is sent.

For New Order Single messages with CancellationIfReduction set to ‘Y’, the Execution Report will state ‘Rejected’.

Allocation Report (35=AS)

The Allocation Report message provides account level breakdown of an allocated order fill. Allocation Reports are sent from Saxo FIX API to FIX Client when:

• The block order has received a full fill; or
• The remaining part of a partially filled block order is cancelled