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FIA Extensions
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Leg-level Allocation in Trade Capture Report
Paul Sacristan / New York Mercantile Exchange
22 Jun 2004 9:15AM ETIs there any way to report leg-level allocation in the Trade Capture Report on a multi-legged product in FIX/FIXml 4.4?
Example: A spread with legs A, B, and C have allocations for leg A of 50% into account #1 and 50% into account #2, while 100% of legs B and C are allocated into account #3.
Our current plan is to just split the product into three separate reports, one for each leg, and then provide the allocation that way, but ideally it would be useful if there was some way to tie the allocations to a specific leg, either through some reference number or by having a "nested allocation" block that you could specify for an instrument or leg.
Thanks,
Paul
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