Definition
Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.
Additional detail from the official source
In versions of the FIX Protocol prior to version 4.4, this functionality was provided through the Allocation(35=J) message. Depending on the needs of the market and the timing of confirmed status, the role of AllocationReport(35=AS) can be taken over in whole or in part by the Confirmation(35=AK) message.
Message structure 4257 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
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StandardHeaderComponentRequired
MsgType = AS
StandardHeader definition & usage →
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Unique identifier for this message
May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU).
Required for AllocTransType = Replace or Cancel
Required for AllocTransType = Replace or Cancel
Gives the reason for replacing or cancelling the allocation report
Optional second identifier for this allocation instruction (need not be unique)
Group identifier assigned by the clearinghouse
May be used to identify the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
Firm assigned entity identifier for the allocation
Specifies the purpose or type of Allocation Report message
Required for AllocStatus = 1 (rejected)
Required for AllocTransType = Replace or Cancel
Can be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal).
Required if AllocReportType = 8 (Request to Intermediary)
Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
Indicates Clearing Business Date for which transaction will be settled.
Indicates trade type of allocation.
Indicates trade subtype of allocation.
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
Indicates MultiLegReportType of original trade marked for allocation.
Indicates CTI of original trade marked for allocation.
Indicates input source of original trade marked for allocation.
Specifies the rounded price to quoted precision.
Used to identify the event or source which gave rise to a message.
Specific device number, terminal number or station where trade was entered
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
Firm designated group identifier for average pricing
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
OrdAllocGrpRepeating groupCount tag 73—
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
OrdAllocGrp definition & usage →
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ExecAllocGrpRepeating groupCount tag 124—
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
ExecAllocGrp definition & usage →
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InstrumentComponentRequired
For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
Instrument definition & usage →
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InstrumentExtensionComponent—
InstrumentExtension definition & usage →
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FinancingDetailsComponent—
FinancingDetails definition & usage →
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UndInstrmtGrpRepeating groupCount tag 711—
UndInstrmtGrp definition & usage →
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InstrmtLegGrpRepeating groupCount tag 555—
InstrmtLegGrp definition & usage →
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Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
Market of the executions.
PriceQualifierGrpRepeating groupCount tag 2709—
PriceQualifierGrp definition & usage →
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For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
SpreadOrBenchmarkCurveDataComponent—
SpreadOrBenchmarkCurveData definition & usage →
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Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
Absence of this field indicates that default precision arranged by the broker/institution is to be used
PartiesRepeating groupCount tag 453—
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Date/time when allocation is generated
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Required for NDFs to specify the "value date".
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price.
Expressed in same currency as AvgPx. Sum of AllocNetMoney.
For FX expressed in terms of Currency(15).
Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
Must be set if EncodedText field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Applicable for Convertible Bonds and fixed income
Applicable for Convertible Bonds and fixed income
Sum of AllocAccruedInterestAmt within repeating group.
For repurchase agreements the accrued interest on termination.
For repurchase agreements the start (dirty) cash consideration
For repurchase agreements the end (dirty) cash consideration
StipulationsRepeating groupCount tag 232—
Stipulations definition & usage →
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YieldDataComponent—
YieldData definition & usage →
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RegulatoryTradeIDGrpRepeating groupCount tag 1907—
RegulatoryTradeIDGrp definition & usage →
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TrdRegTimestampsRepeating groupCount tag 768—
TrdRegTimestamps definition & usage →
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PositionAmountDataRepeating groupCount tag 753—
PositionAmountData definition & usage →
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Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction.
Only required where message has been fragmented.
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
AllocGrpRepeating groupCount tag 78—
Conditionally required except when AllocTransType(71) = 2 (Cancel).
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RateSourceRepeating groupCount tag 1445—
RateSource definition & usage →
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Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
Conditionally required when RefRiskLimitCheckID(2334) is specified.
StandardTrailerComponentRequired
StandardTrailer definition & usage →
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