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Allocations
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re: How widely used are allocations?
Jim Kaye / Goldman Sachs
12 Sep 2002 3:28AM ETAn interesting scenario. What we in effect have here (and please correct me if I have got this wrong) is a situation where we have two orders in the buy side OMSs and only one on the sell side end (the two buy side orders being combined in the US OMS for routing to the sell side).
If you were going to allocate the combined order in one go from, say the US OMS, then a FIX allocation will work fine, i.e. you simply allocate the full 500 shares at the average price referencing the OrderId you sent the sell side.
If, on the other hand, you were expecting to be able to allocate the 200 share and 300 share pieces separately, then things get a little tricky as strictly speaking you can't use two allocation messages for a single order (as the total of allocated quantities on the FIX alloc message has to equal the order quantity).
Hope this helps.
Jim. +44 20 7552 0076
> I'm very interested in FIX allocations domestically and why for the following scenario Domestic OASYS doesn't work:
>
> Scenario:
> -> Two OMS's, one in the US and one in the UK.
> -> UK OMS books an order for 300 shares of IBM.
> -> Trade is routed to US OMS for best execution.
> -> US OMS combines UK's 300 IBM trade with its' own 200 IBM trade in order to execute as a 500 IBM block.
> -> 500 shares goes out via FIX for execution and the average price of the execution comes back, same way.
> -> The US OMS sends back the 300 avg price back to the UK OMS.
>
>
> -> Now comes the hard part of allocation:
> -> The US OMS wants to send to Domestic OASYS its 200 IBM share allocation.
> -> The UK OMS wants to send its 300 IBM share allocation.
> -> BUT the trade was executed as a 500 IBM share block.
>
> Therein lies my problem. I'm assuming if I operated under a FIX allocation methodology and not OASYS; I would be able to allocate via FIX for each of my allocations, right?
>
> Please advise.
>
> > All,
> >
> > Most US firms have long ago automated around Global Oasys (Omgeo). Oasys provides a single point of connectivity to all counterparties, but this is only an issue if the 2 counterparties are not already using FIX for the order & execution flow. These are 2 reasons why you will find that FIX allocations has more momentum outside the US than within the US. Most firms including US firms are choosing FIX allocations as the solution to do business in Europe & Asia where Oasys is not as deeply entrenched.
> >
> > > Jem,
> > >
> > > Currently UBSW can accept a Fix Allocation message for the stage to identify the account splits. We have found this stage to be very important to our buy-side clients and have gone live with a number of large institutions.
> > >
> > > We are currently working on the use of the Fix Allocation message as a Confirm within the European Allocation model.
> > >
> > > As per Paul Scott's subsequent email, there is also the Working Group. As part of the working group, I have the action to co-ordinate and propose the Allocation Models for the next meeting.
> > >
> > > Happy to discuss.
> > > Alvin
> > > 020 7568 9617
> > >
> > >
> > >
> > > > I'm trying to get a feel for how many (sell side) institutions implement the 'allocations' portion of fix.
> > > >
> > > > If anybody can provide this i would be very gratefull.
> > > >
> > > > Would it be a fair assumption to make that if an institution has gone to the lengths of implementing FIX for Order/Execution flow then they would have implemented allocations 'as a metter of course'?
> > > >
> > > > Jem...
> > > >
> > > >
> > > >
> > >
> >
>
re: How widely used are allocations?
Jim Kaye / Goldman Sachs 12 Sep 2002 3:28AM ET
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