Fixml Allocate And Claim API Spec Users Guide V 1

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1 INTRODUCTION

Page 1 of 113 FIXML Allocation API User’s Guide March 2005

©Chicago Mercantile Exchange, 2005

FIXML Allocate and Claim Services

API Specification and

Technical User’s Guide

Version 1.0

March 2005

 
Page 2 of 113  FIXML Allocation API User’s Guide  March 2005 
©Chicago Mercantile Exchange, 2005 
TABLE OF CONTENTS 
INTRODUCTION ...............................................................................................................................................4 
1 BACKGROUND ................................................................................................................................................4 
2 PURPOSE AND SCOPE......................................................................................................................................4 
3 PREREQUISITES...............................................................................................................................................4 
4 REFERENCES...................................................................................................................................................4 
ALLOCATE AND CLAIM BASICS.................................................................................................................5 
1 OVERVIEW......................................................................................................................................................5 
2 BASIC ALLOCATIONS......................................................................................................................................5 
3 DESIGNATING TRADES FOR BASIC ALLOCATION............................................................................................5 
4 AVERAGE PRICE ALLOCATIONS......................................................................................................................5 
5 DESIGNATING TRADES FOR AVERAGE PRICE ALLOCATION............................................................................6 
6 BASIC, GENERIC AND SPECIFIC GROUPING.....................................................................................................6 
BASIC AND AVERAGE PRICE MESSAGE MODEL...................................................................................7 
1 SIMPLE ALLOCATION MESSAGE FLOW...........................................................................................................7 
2 AVERAGE PRICE ALLOCATION MESSAGE FLOW.............................................................................................7 
3 COMPLETING GROUPS ..................................................................................................................................13 
4 CLAIMING ALLOCATIONS .............................................................................................................................14 
5 UPDATING ALLOCATIONS INSTRUCTIONS.....................................................................................................14 
ACS MESSAGE MODEL.................................................................................................................................15 
1 SIMPLE ALLOCATION MESSAGE FLOW.........................................................................................................15 
2 CLAIMING ALLOCATIONS .............................................................................................................................18 
3 UPDATING ACS ALLOCATIONS INSTRUCTIONS ............................................................................................19 
MESSAGE FUNCTION OVERVIEW............................................................................................................20 
1 BASIC FIXML ALLOCATION MESSAGES ......................................................................................................20 
2 MESSAGE FUNCTION TO MESSAGE TYPE MAPPING.......................................................................................21 
3 GROUP SUMMARY ALERTS...........................................................................................................................23 
4 CREATING ALLOCATIONS.............................................................................................................................24 
5 COMPLETING AVERAGE PRICE GROUPS (NOT APPLICABLE TO ACS GROUPS)..............................................30 
6 CLAIMING ALLOCATION INSTRUCTIONS.......................................................................................................31 
7 UPDATING PENDING OR REJECTED ALLOCATIONS .......................................................................................33 
8 UPDATING ACCEPTED ALLOCATIONS...........................................................................................................35 
9 REVERSING OR RELEASING ACCEPTED ALLOCATIONS .................................................................................36 
10 SUB ALLOCATIONS/THIRD PARTY ALLOCATIONS OF ACCEPTED ALLOCATIONS ..........................................39 
COMPONENTS OF APS AND ACS FIXML MESSAGES ..........................................................................42 
1 KEY ELEMENTS AND ATTRIBUTES................................................................................................................42 
DETAILED MESSAGE SAMPLES................................................................................................................47 
1 DESIGNATING TRADES FOR APS OR ACS ALLOCATION...............................................................................47 
2 CLEARING SYSTEM ACKNOWLEDGES THE TRADE.........................................................................................52 
3 GROUP LEVEL MESSAGES ............................................................................................................................53 
4 GROUP HANDLING MESSAGES (COMPLETE, INCOMPLETE & CANCEL)..........................................................57 
5 ALLOCATION INSTRUCTIONS ........................................................................................................................60 
6 ALLOCATION CONFIRMS AND ALERTS .........................................................................................................64 
7 ACCEPTING AND REJECTING ALLOCATIONS .................................................................................................68 
8 UPDATE ALLOCATIONS ................................................................................................................................78 
9 REVERSING ALLOCATIONS ...........................................................................................................................82 
10 SUB ALLOCATIONS/ THIRD PARTY ALLOCATIONS BY CARRY FIRM .............................................................86 
11 TRANSFERS DONE THRU CLEARING UI .........................................................................................................88 

 
Page 3 of 113  FIXML Allocation API User’s Guide  March 2005 
©Chicago Mercantile Exchange, 2005 
REQUIRED FIELDS ........................................................................................................................................92 
1 REQUIRED FIELDS ON INBOUND ALLOCATION INSTRUCTION MESSAGES .....................................................92 
2 REQUIRED FIELDS ON INBOUND ALLOCATION REPORT ACKNOWLEDGEMENT MESSAGES...........................96 
3 APS ROUTING FILE TO FIXML MAPPING.....................................................................................................99 
APPENDIX.......................................................................................................................................................109 
1 TABLE 8.1 – FIX VALUE CONVERSION USED IN APS API ..........................................................................109 
 

Page 4 of 113 FIXML Allocation API User’s Guide March 2005

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1 INTRODUCTION

1.1 Background

The FIXML 4.4 Schema Specification has been developed to allow participants in the financial services

industry to transmit trade and post-trade information in a common extensible and flexible format. It was

originally developed for post-trade execution reporting and positions management. It is now being extended

to support the allocation and claiming of trades.

Today the basic allocations messages used to interface with the CME Clearing House web-based Front End

Clearing application (FEC) are defined using the fixed length Trade Exchange Record Layout (TREX)

protocol. In 2005 a new average price allocation module will be added to FEC and this new module will

exclusively use the FIXML 4.4 Schema Specification for allocate and claim messages. Basic allocations will

be supported by both FIXML and TREX for a short period after the implementation of average price

allocations.

1.2 Purpose and Scope

This user’s guide describes in detail all aspects of the FIXML Allocation Model as implemented to support

post-trade allocation in the CME web-based trade management system, Front End Clearing (FEC).

This user guide describes the format and usage of the following FIXML Allocation messages:

 Allocation Group Summary Notices

 Basic and average price allocation instructions

 Updates to allocations

 Reverse and release requests to previously submitted and accepted allocations

 Sub-Allocation or third party allocation requests

 Allocation instruction alerts

 Allocation instruction claim alerts

 Acknowledgment to all allocation instructions and responses

1.3 Prerequisites

This document assumes a basic working understanding of XML and familiarity with basic CME trade

processing terms.

1.4 References

CME Clearing House FIXML web page:

www.cme.com/clearing/cm/stan/fixml6615.html

You will find the following material at this site:

 Allocation FIXML 4.4 (FIA Extensions 1.1) Schema files

 FIXML Allocation message examples

Other References:

http://www.fixprotocol.org/specifications/fix4.4fixml

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©Chicago Mercantile Exchange, 2005

2 Allocate and Claim Basics

2.1 Overview

The terms allocate and claim describe the method by which trades are routed to their ultimate firm and

account in the CME Clearing House Front End Clearing (FEC) web-based trade management system. Trades

can be designated for allocation by simply submitting them with an allocation indicator although additional

specific allocation information such as carry firm, account and origin can also be appended to trades marked

for allocation. Specific allocation instructions can also be submitted as stand alone instructions referencing a

group of trades already marked for allocation. Once these specific instructions have been submitted, whether

with the initial trade information or later with stand alone allocation instructions, the clearing system sends an

allocation alert message to the designated carry firm. The carry firm can respond to this alert by either

claiming or rejecting the allocation. The claiming firm’s response would then be communicated back to the

allocating firm by the CME clearing system.

2.2 Basic Allocations

Basic Allocations are those that are done at a fixed trade price determined by the execution price of the trade.

No price averaging is involved. Trades designated for basic allocation are aggregated according to pre-

defined criteria into “allocation groups”. The convention currently used for assigning trades to an allocation

group uses the following criteria:

 Firm and Trader

 Trade Date

 Instrument definition (Symbol)

 Side of Market

 Trade Price

 Customer Account

 Trade Type

 Client Order ID

2.3 Designating Trades for Basic Allocation

Trades designated for basic allocation are first added to an allocation group and then, if the appropriate pre-

allocation instruction details have been provided, becomes part of an allocation proper that is routed to the

claim firm. The executing firm has the option of providing both the Group ID and Allocation ID, although under

current listed derivatives convention the ID’s are automatically assigned by the clearing house. At the time of

execution, a firm has 2 options with respect to designating the allocation.

1. An executing firm may direct the trade into an allocation group pending the receipt of allocation

instruction details. At this point the allocation is considered to be in “pending” status awaiting the

executing firm to provide the details necessary to complete the allocation. The allocation Group ID is

automatically assigned by the Clearing House and the information is sent to the claim firm in the form

of an Allocation Alert.

2. An executing firm may also provide all requisite allocation details at the time of the trade. In this case,

the trade will be assigned to an allocation group as well as create an actual allocation that will be

sent to the claim firm. At this point, the allocation is considered to be in “preliminary” status.

2.4 Average Price Allocations

Average price allocations are different from basic allocations in three significant ways.

1. Trade Prices within a Group are averaged.

2. For average price allocations, grouping is a two stage process:

a. For purposes of averaging, trades can be grouped according to a very broad set of

criteria in what we will call “Generic” groups.

b. For purposes of allocating, each Generic group will yield one or more underlying

“Specific” groups whose criteria are defined in the same way as Basic allocation groups

excepting price.

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3. Allocation instructions submitted for average price allocation groups are not released until the

allocating firm has “completed” the Generic average price group. Completion indicates that no

more trades will be averaged in the designated group. Once the firm has completed the average

price allocation group all existing allocation instructions are released to the designated carry

firms.

2.5 Designating Trades for Average Price Allocation

Unlike basic allocations, trades to be allocated at an average price will not be automatically assigned

allocation groups. Instead, trades marked for average price allocation must be assigned an average price

group id by the allocating firm. Trades designated for average price allocation but not assigned an average

price group id are stored in FEC as unassigned trades. Firms can provide an average price group id for

unassigned trades by updating individual trades via trade update messages or selecting multiple unassigned

trades within the FEC user interface and assigning them to an existing or new average price group.

2.6 Basic, Generic and Specific Grouping

The concept of grouping, whether in the context of Basic, Generic or Specific allocation groups, is essential to

the process of post-trade allocation. The assignment of trades into Basic allocation groups is automatically

determined by the clearing system based on the criteria of the trades marked for allocation. Generic

allocation groups are delimited by four very basic trade criteria and the firm assigned group id. Trades in a

Generic group are assigned to underlying Specific allocation groups using Basic allocation grouping criteria

minus price. The table below compares the different grouping criteria used for basic and average price

allocations:

Grouping Criteria Basic Allocation

Groups Grouping

for

Average

(Generic)

Grouping

for

Allocation

(Specific)

Product X X X

Contract Details (contract date, put/call,

strike, etc.)

X X X

Market Side (e.g. buy/sell) X X X

Price X

Account Number X X

Order Number X X

Trade Type (e.g. spread/outright) X X

Venue (e.g. Electronic/Open Outcry) X X

Broker X X

Origin X X

Trade Date X X X

Table 2.1

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3 Basic and Average Price Message Model

3.1 Simple Allocation Message Flow

As described above, the Clearing House acts as an intermediary between the allocation firm and the claiming

firm. Designation of trades for allocation by the executing initiates the allocation grouping process in the

clearing system. When allocation groups are created the clearing system generates group summary alerts to

the allocating firm. If specific allocation instructions were appended to trades reported to the clearing system

or once stand alone allocation instructions are submitted referencing existing allocation groups, the clearing

system sends an allocation alert to the designated carry firm. The carry firm may then respond by either

claiming or rejecting the allocations.

Below is an illustration of the basic allocation message flow used today in FEC:

Figure 3.1.1

3.2 Average Price Allocation Message Flow

Average price allocation message flow is in many ways similar to basic allocation flow. The only significant

differences are the two types of allocation groups associated with average price allocations, the application of

allocation instructions between generic and specific groups and the requirement that the allocating firm

complete the average price group before allocation instructions are sent to the carry or claiming firm.

3.2.1 Generic Groups

Once the allocating firm has designated a trade for average price allocation and assigned it an average price

group id, the clearing system will respond with two group summary alert messages. The first group

summary alert message, or “generic” summary message, contains certain key information about the trades

being averaged:

 the firm assigned average price group id

 the clearing system assigned average price group id

 the trade ids of the trades that make up the generic group

 the product and contract details of the trades being averaged

 whether it is a buy or sell generic group

 the overall quantity of contracts being averaged

 relevant averaged allocation prices:

o the rounded or working average price

o the true average price

o the cash residual

 the generic group status, e.g. whether it has been completed or not

 the business and trade date

 the message event source id

 the input device

Allocating Firm 123

Trade marked for

Give-up

Clearing System

Group Summary

Alerts w/ Group

information

Allocation Claim

Alert

Claiming Firm 456

Allocation Alert

Specific Allocation

Instructions

Allocation

Claim

Page 8 of 113 FIXML Allocation API User’s Guide March 2005

©Chicago Mercantile Exchange, 2005

3.2.2 Specific Groups

The second group summary record is the “specific” group summary record. Each trade assigned to a

generic average price group will also be assigned to a specific allocation group according to the same

criteria, excluding price, currently used to group basic allocations. The specific group summary record

contains the following information:

 the firm assigned average price group id of it’s parent generic average price group

 a new specific allocation group id assigned by the clearing system

 the trade ids of the trades contained within the specific group

 the product and contract details for the specific group

 specific group quantity

 relevant averaged allocation prices

 specific group status, e.g. whether it is fully allocated and accepted or not

 buy/sell indicator

 the generic group status, e.g. whether it is complete or not

 message event source id

 input device

 and most significantly, the specific trade information that defines the specific group such as:

o account number

o order number

o trade type

o origin

o trade venue

o broker

Below is the message flow for Generic and Specific average price group summary alerts:

Figure 3.2.2

3.2.3 Generic Average Price Allocation Instructions

Average price allocation instructions can be submitted for generic or specific allocation groups. If submitted

at a generic group level the clearing system will automatically apply them to as many underlying specific

groups as necessary in order to complete the allocation after the Generic group has been completed.

Allocation instructions can also be submitted for specific allocation groups. The allocating firm uses the

CME Assigned Group ID, defined as attribute ID2 in FIXML, to differentiate between specific and generic

allocation groups. Allocation instructions that are submitted with trade messages are automatically applied

to the specific group to which the trade was assigned. Figure 3.3 illustrates how allocation instructions can

be submitted for average price allocation groups and how they are applied.

Generic Group Alert

Firm Group ID: 1000

CME Assigned Group

ID: 2001

Allocating Firm 123

Trade marked for

Average Price

Allocation with Firm

Assigned Group Id:

1000

Clearing System

Specific Group Alert

Firm Group ID: 1000

CME Assigned Group

ID: 3001

Page 9 of 113 FIXML Allocation API User’s Guide March 2005

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Figure 3.2.3

Allocating Firm 123

Clearing System

Specific

Allocation

Acknowledgm

ents created,

but sent only

after Generic

Group is

com

leted.

Generic Group Alert: Firm Group ID: 1000 CME Assigned Group ID: 2001; qty

250

Generic Allocation Instruction Report: Firm Group ID: 1000;

CME Assigned Group ID 2001; Firm IndAlloc ID: 10000; IndAllocID2: 500001

(clearing system assigned); Qty 200; Claim Firm 456

Specific Group Alert: Firm Group ID: 1000

Specific Clearing Assigned Group ID: 3001; qty 150; Broker ABC

Generic Group Alert: Firm Group ID: 1000 CME Assigned Group ID: 2001; qty

150

Specific Group Alert: Firm Group ID: 1000

CME Assigned Group ID: 3002; qty 100; Broker DEF

TRADE 2: Broker DEF; trade qty 100; marked for average price allocation; firm

assigned Group Id: 1000; Carry firm information not provided

Generic Allocation Instruction: Firm Group ID: 1000; Clearing Assigned Group

ID: 2001 Firm IndAllocID: 10000 (optional); Assigned Group ID 2001; Qty 200;

Claim Firm 456

Specific Allocation Instruction Report: Acknowledges Specific Allocation

Instruction generated for generic allocation; Qty 150; Broker ABC; Firm Group ID:

1000 CME Assigned Group ID 3001; Firm IndAlloc ID: 10000; IndAllocId2: 500002

(clearing system assigned Carry Firm 456

Specific Allocation Instruction Report: Acknowledges Specific Allocation

Instruction generated for generic allocation; Qty 50; Broker DEF; Firm Group ID:

1000; CME Assigned Group ID 3002; Firm IndAlloc ID: 10000; IndAllocId2: 500003

(clearing system assigned); Carry Firm 456

TRADE 1: Broker ABC; trade qty 150; marked for average price allocation; firm

assigned Group Id: 1000; Carry firm information not provided

Page 10 of 113 FIXML Allocation API User’s Guide March 2005

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In Figure 3.2.3 allocation instructions are being submitted at the generic level and applied at the specific

level. A 200-lot allocation instruction was submitted for a generic group with a quantity of 250, made up of

one150-lot trade and one 100-lot trade executed by two different brokers but assigned the same average

price group id by the allocation firm. Each of those trades were assigned separate specific allocation groups

just as they would have been assigned to different Basic allocation groups if they were marked as Basic

allocations. This is important to remember, Specific allocation groups are formed from the trades in their

parent generic group according to the same criteria, excluding price, as Basic allocation groups.

When applying allocation instructions at the generic level, in this case an allocation instruction for 200, the

generic allocation quantity is assigned with the aim of minimizing breaking up the quantity of the generic

allocation. In this case, since neither specific allocation group was large enough to satisfy the quantity of the

generic allocation instruction, one specific group was completely allocated and the second group was

partially allocated. 150 were applied to the specific group with the CME assigned group id of 3001 and the

remaining quantity of 50 was applied to the specific allocation group with the CME assigned group id of

3002.

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3.2.4 Specific Average Price Allocation Instructions

Average price allocation instructions can also be submitted at the specific group level. This can be

accomplished in two ways, either by appending specific allocation instructions to trades designated

for average price allocation or by submitting allocation instructions referencing a specific allocation

group.

3.2.4.1 Submitting Specific Allocation Instruction with Trade Capture Reports

As discussed in Section 2 specific allocation instructions such as carry firm, carry account, origin

and customer type indicator can be nested within the instructions for trades marked for allocation.

When these instructions are nested within trades designated for average price allocations,

allocation instructions are generated for the Specific group to which the trade is assigned. Let’s

assume that trade number 2 from figure 3.3 was submitted with specific allocation instructions.

Figure 3.4 below demonstrates the message flow:

Figure 3.2.4.1

Note that if you allocate specifically you will receive the specific acknowledgement. If you

allocate generically you will receive the generic acknowledgment. If you allocate generically

after completion you receive a generic acknowledgment, a generic delete and then a specific

acknowledgement.

Specific Allocation Report: Firm Group ID:

1000 CME Assigned Group ID: 3002; qty 100;

Carry Firm: 456; Carry Account: 123456;

IndAllocID2: 500003 (clearing system assigned)

Allocatin

Firm 123

Trade 2: Broker DEF; trade qty 100; marked

for average price allocation; firm assigned Group

Id: 1000;

Clearing System

Generic Group Alert: Firm Group ID: 1000

CME Assigned Group ID: 2001; qty 250

Specific Group Alert: Firm Group ID: 1000

CME Assigned Group ID: 3002; qty 100

Nested Specific Allocation Instructions:

Carry Firm: 456; Carry Account: 123456;

Page 12 of 113 FIXML Allocation API User’s Guide March 2005

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3.2.4.2 Submitting Stand Alone Specific Allocation Instructions

An allocation firm can also submit specific allocations by referencing a specific allocation

group. This is done using the clearing system assigned specific group id (ID2). Figure 3.5

demonstrates the message flow:

Figure 3.2.4.2

Allocatin

Firm 123

Clearing System

Trade 2: Broker DEF; trade qty 100; marked

for average price allocation; firm assigned Group

Id: 1000

;

Generic Group Alert: Firm Group ID: 1000 CME

Assigned Group ID: 2001; qty 250

Specific Allocation Instruction: Firm Group ID:

1000 CME Assigned Group ID: 3002; qty 100;

Carry Firm: 456; Carry Account: 123456;

Specific Group Alert: Firm Group ID: 1000 CME

Assigned Group ID: 3002; qty 100

Specific Allocation Report: Firm Group ID:

1000 CME Assigned Group ID: 3002; qty 100;

Carry Firm: 456; Carry Account: 123456;

IndAllocID2: 500003 (clearing system assigned)

Specific

Allocation

created, but sent

only after

Generic Group is

completed.

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©Chicago Mercantile Exchange, 2005

3.3 Completing Groups

Allocation instructions submitted for average price allocation groups are not transmitted to the claiming firm

until the average price group is completed. Completing an average price group indicates that no more trades

will be added to the group. Only Generic average price groups can be completed, Specific groups are

completed when their parent Generic group is completed. Group completion can be accomplished via

message or using the FEC user interface. Below is an illustration of the message flow for average price group

completion.

Figure 3.3

Allocating Firm 123

Clearing System

Carry Firm 456

Group Completion Request

Firm Group Id: 1000

Clearing Assigned Grp Id: 2001

Group Completion Alert

Firm Group Id: 1000

Clearing Assigned Grp Id: 2001

Generic Allocation Instruction

Report: Cancels Generic Allocation

Instruction;

Qty 200; Firm Group ID: 1000

Clearing Assigned Group ID 2001;

Firm IndAlloc ID: 10000

IndAllocID2: 500001

(

CME Assi

ned

)

Specific Allocation Report:

Acknowledges Specific Allocation

Instruction generated for generic

allocation; Qty 50; Broker DEF

Carry Firm: 456; Firm Group ID: 1000

Clearing Assigned Specific Grp ID 3002;

Firm IndAlloc ID: 10000

IndAllocID2:500003

(

CME Assi

ned

)

Specific Allocation Report:

Acknowledges Specific Allocation

Instruction generated for generic

allocation; Qty 150; Broker ABC;

Carry Firm: 456; Firm Group ID: 1000

Clearing Assigned Specific Grp ID 3001;

Firm IndAlloc ID: 10000

IndAllocID2: 500002

(

CME Assi

ned

)

Specific Allocation Report: Alert for

Specific Allocation Instruction;

Allocating firm: 123

Qty 50; Broker DEF

IndAllocID2: 500102 (CME Assigned)

Specific Allocation Report: Alert for

Specific Allocation Instruction;

Allocating firm: 123

Qty 150; Broker ABC

IndAllocID2: 500101 (CME Assigned)

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3.4 Claiming Allocations

Once alerted of a pending allocation the claiming firm can either reject or accept the allocation. Note that the

claiming firm does not have to send specific trade information like executing broker or trade type on its claim

message, but the Accept Allocation Report from the clearing system will contain all trade information.

Figure 3.4

3.5 Updating Allocations Instructions

The allocating firm can modify both pending and rejected allocations. The allocating firm can change the claim

firm number, claiming firm account, customer type and origin and change the allocation quantity. If the carry

firm is changed on a pending or rejected allocation, the original carry firm receives a Cancel allocation

message and the new carry firm receives a new allocation instruction alert. When we left off in figure 3.4,

claiming firm 456 had rejected one of the allocations from firm 123. In figure 3.5, allocating firm 123 is

changing the claiming firm number to claim firm 789.

Figure 3.5

Carry Firm 456

Clearing System

Allocating Firm 123

Accept Allocation:

IndAllocID: 500101; Qty

150

Accept Allocation

Report:

IndAllocID2: 500101

Allocating Firm: 123

Qty 150; Broker ABC;

Claimed Allocation Report:

Firm Group ID: 1000

Firm IndAllocID: 10000

Specific Grp ID: 3001

Qty 150; Broker ABC;

Claim Firm: 456;

IndAllocID2: 500001

Rejected Allocation Report:

Firm Group ID: 1000

Firm IndAllocID: 10000

Specific Grp ID: 3002

Qty 50; Broker DEF;

Claim Firm: 456;

IndAllocID2: 500002

Reject Allocation:

IndAllocID: 500102

Accept Allocation

Report:

IndAllocID2: 500102

Allocating Firm: 123

Qty 50; Broker DEF;

Give-Up Firm 123

Clearing System

Carry Firm

456

Carry Firm

789

Update Allocation Instruction:

Firm Group ID: 1000; Firm

IndAllocID: 10000; Specific

Group ID 3002; IndAllocID2:

500002; Claim firm: 789

Cancel Report:

IndAllocID2: 500102

Allocating Firm: 123

Qty 50; Broker DEF

Update Allocation Report:

Firm Group ID: 1000; Firm

IndAllocID: 10000; Specific Grp

ID: 3002; Qty 50; Broker DEF;

Claim Firm: 789;

IndAllocID2: 500002

New Allocation Report:

Allocating firm: 123

Qty 50; Broker DEF

IndAllocID2: 500102 (CME

Assigned)

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4 ACS Message Model

4.1 Simple Allocation Message Flow

As described above, the Clearing House acts as an intermediary between the allocation firm and the claiming

firm. Designation of trades for allocation by the executing initiates the allocation grouping process in the

clearing system. Unlike trades marked for average pricing, trades marked for ACS will automatically be

assigned to specific allocation groups. When allocation groups are created the clearing system generates

group summary alerts to the allocating firm. If specific allocation instructions were appended to trades

reported to the clearing system or once stand alone allocation instructions are submitted referencing existing

allocation groups, the clearing system sends an allocation report to the designated carry firm. The carry firm

may then respond by either claiming or rejecting the allocations.

Below is an illustration of the basic allocation message flow used today in FEC:

Figure 4.1

Allocating Firm 123

Trade marked for

Give-up

Clearing System

Group Summary

Alerts w/ Group

information

Allocation Claim

Report

Claiming Firm 456

Allocation

Report

Speci

ic Allocation

Instructions

Allocation

Report Claim

Page 16 of 113 FIXML Allocation API User’s Guide March 2005

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4.1.1 ACS Allocation Instructions

ACS allocation instructions can be appended to trades reported to the clearing system or as stand alone

allocation instructions referencing existing basic allocation groups. The allocating firm uses the CME

Assigned Group ID, defined as attribute ID2 in FIXML, to differentiate between different ACS allocation

groups. Allocation instructions that are submitted with trade messages are automatically applied to the

specific ACS group to which the trade was assigned. Figure 4.2 illustrates how allocation instructions can

be submitted for specific ACS allocation groups and how they are applied.

Figure 4.2

Allocating Firm 123

Clearing System

Allocation Instruction Alert : Firm Group ID: 1000 CME Assigned Group ID:

500001; qty 250

Allocation Instruction Report: Firm Group ID: 1000; CME Assigned Group ID

500001; Firm IndAlloc ID: 10000; IndAllocID2: 500002 (clearing system assigned);

Qty 200; Claim Firm 456

Allocation Instruction Alert: Firm Group ID: 1000

Specific Clearing Assigned Group ID2: 500001; qty 150; Broker ABC

TRADE 2: Broker ABC; trade qty 100; marked for ACS; firm assigned Group Id:

1000; Carry firm information not provided

Allocation Instruction: Firm Group ID: 1000; Clearing Assigned Group ID2:

500001; Firm IndAllocID: 10000 (optional); Qty 200; Claim Firm 456

Allocation Instruction: Firm Group ID: 1000; Clearing Assigned Group ID2:

500001; Firm IndAlloc ID: 10001; IndAllocId2: 500003 (clearing system assigned )

Qty:50, Claim Firm 678

Allocation Instruction Report: Firm Group ID: 1000;

CME Assigned Group ID2 500001; Firm IndAlloc ID: 10000; IndAllocId2: 500003

(clearing system assigned); Qty:50;Claim Firm 678

TRADE 1: Broker ABC; trade qty 150; marked for ACS; firm assigned Group Id:

1000; Carry firm information not provided

Page 17 of 113 FIXML Allocation API User’s Guide March 2005

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In Figure 3.2, allocation instructions are being submitted. A 200-lot and a 50-lot basic allocation instruction

was submitted for a group with a quantity of 250, made up of one150-lot trade and one 100-lot trade

executed by the same broker. Each of those trades were assigned to the same basic allocation group (ID2)

since they met the same grouping criteria for basic allocation groups set out in table 2.1. The firm has the

option of submitting their own reference group ID (Attribute=ID) and allocation ID (AllocIndID); however, the

clearing system will generate their values if they are not supplied by the firm. The allocating firm will need to

populate both the ID and ID2 when sending allocation instructions.

4.1.2 Submitting ACS Allocation Instructions for Trades

ACS allocation instructions can also be by appending specific allocation instructions to trades

designated for ACS allocation or by submitting allocation instructions referencing a specific

allocation group.

4.1.2.1 Submitting Allocation Instruction Upon Trade Submission

As discussed in Section 2 specific allocation instructions such as carry firm, carry account, origin

and customer type indicator can be nested within the instructions for trades marked for allocation.

When these instructions are nested within trades designated for ACS allocations, allocation

instructions are generated for the basic group to which the trade is assigned. Let’s assume that

trade number 2 from figure 3.2 was submitted with basic allocation instructions. Figure 4.3 below

demonstrates the message flow:

Figure 4.3

Allocation Report: Firm Group ID: 1000 CME

Assigned Group ID2: 500001 ; Qty 100;

Carry Firm: 456; Carry Account: 123456;

IndAllocID2: 500003 (clearing system assigned)

Allocatin

Firm 123

Trade 2: Broker DEF; trade qty 100; marked

for ACS allocation; firm assigned Group Id:

1000

;

Clearing System

Allocation Instruction Alert: Firm Group ID:

1000 CME Assigned Group ID2: 500001; Qty:

100

Nested Specific Allocation Instructions:

Carry Firm: 456; Carry Account: 123456;

Page 18 of 113 FIXML Allocation API User’s Guide March 2005

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4.1.2.2 Submitting Basic Allocation Instruction Via Trade Capture Reports

An allocation firm can also submit allocations by updating a trade unmarked for ACS with the

requisite allocation information: Let’s assume that trade number 2 from figure 3.2 was

submitted without basic allocation instructions. Figure 4.4 demonstrates the message flow:

Figure 4.4

4.2 Claiming Allocations

Once alerted of a pending allocation the claiming firm can either reject or accept the allocation. Note that the

claiming firm does not have to send specific trade information like executing broker or trade type on its claim

message, but the Accept Allocation Report from the clearing system will contain all trade information.

Figure 4.5

Carry Firm 456

Clearing System

Allocating Firm 123

Accept Allocation

Acknowledgement:

IndAllocID2: 500101; Qty

150

Accept Allocation

Report:

IndAllocID2: 500101

Allocating Firm: 123

Claimed Allocation Report:

Firm Group ID: 1000

Specific Grp ID2: 500003

Firm IndAllocID: 10000

Qty 150; Broker ABC;

Claim Firm: 456;

IndAllocID2: 500001

Rejected Allocation Report:

Firm Group ID: 1000

Specific Grp ID2: 500004

Firm IndAllocID: 10000

Qty 50; Broker DEF;

Claim Firm: 456;

IndAllocID2: 500002

Reject Allocation:

IndAllocID: 500102

Accept Allocation

Report:

IndAllocID2: 500102

Allocating Firm: 123

Qty 50; Broker DEF;

Allocatin

Firm 123

Clearing System

Trade 2: Broker DEF; trade qty 100; not

marked for ACS

Trade Capture Update with Allocation

Instructions: Firm Group ID: 1000; AllocInd=”1”

(Marked for Allocation), , Qty 100;

Carry Firm: 456; Carry Account: 123456

Allocation Instruction Alert: Firm Group ID:

1000 CME Assigned Group ID2: 500001; qty

250;

Allocation Report: Firm Group ID: 1000 CME

Assigned Group ID2: 50001; qty 100;

Carry Firm: 456; Carry Account: 123456;

IndAllocID2: 500003 (clearing system assigned)

Page 19 of 113 FIXML Allocation API User’s Guide March 2005

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4.3 Updating ACS Allocations Instructions

The allocating firm can modify both pending and rejected allocations. The allocating firm can change the claim

firm number, claiming firm account, customer type and origin and change the allocation quantity. If the carry

firm is changed on a pending or rejected allocation, the original carry firm receives a Cancel allocation

message and the new carry firm receives a new allocation instruction alert. The AllocIndID2 is used to specify

which specific allocation is to updated. When we left off in figure 3.4, claiming firm 456 had rejected one of

the allocations from firm 123. In figure 3.5, allocating firm 123 is changing the claiming firm number to claim

firm 789.

Figure 3.5

Give-Up Firm 123

Clearing System

Carry Firm

456

Carry Firm

789

Update Allocation Instruction:

Firm Group ID: 1000; Firm

IndAllocID: 10000; Specific

Group ID 500004; IndAllocID2:

500002; Claim firm: 789

Cancel Allocation

Report:

IndAllocID2: 500102

TransTyp=”2”

Allocating Firm: 123

Qty 50; Broker DEF

Update Allocation Report:

Firm Group ID: 1000; Firm

IndAllocID: 10000; Specific Grp

ID: 500004; Qty 50; Broker DEF;

Claim Firm: 789;

IndAllocID2: 500002

New Allocation Report:

Allocating firm: 123

Qty 50; Broker DEF

IndAllocID2: 500102 (CME

Assigned)

Page 20 of 113 FIXML Allocation API User’s Guide March 2005

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5 Message Function Overview

5.1 Basic FIXML Allocation Messages

There are four main FIXML message types used to complete the allocation and claiming of trades:

 AllocInstrctnAlert (Allocation Instruction Alert)

o The Group Summary message. Alerts are used by the Clearing House to notify the

allocating firm of changes to the composition or status of allocation summary groups.

 AllocInstrctn (Allocation Instruction)

o Used to submit allocation instructions by the allocating firm

o Sent by the allocating firm to update previously submitted allocation instructions

o Sent by the claim firm to request that a claimed allocation be sub-allocated or allocated to a

3rd-party

 AllocRpt (Allocation Report)

o Used exclusively by the Clearing System to notify allocating and claiming firms of the

creation of allocations

o Sent whenever the status or information on an allocation changes

 AllocRptAck (Allocation Report Acknowledgment)

o Used by the claiming firm, in response to an Allocation Report from the Clearing System, to

accept or reject an allocation

Below are the basic rules for the usage of the four types of allocation messages:

1. Reports are outbound from Clearing House only.

2. Instructions are inbound from Giveup firm only

3. Alerts are outbound from Clearing House only and are used only to advise of group updates

4. AllocStatus is only provided by the Clearing House

5. AllocType and AllocReportType are bi-directional and used to indicate the business purpose of a

message.

In this section we will describe in detail how to properly form these FIXML message types in order to

accurately communicate allocation instructions and responses.

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5.2 Message Function to Message Type mapping

Message

Function

(GAPI Msg)

FIX 4.4

Message Type TransTyp

(Allocation

Trans

Type)

Stat

(Allocation Status

required for

Allocation Alerts and

Reports)

Typ (Alloc Type

required for

Instrctn)

RptTyp

(Allocation Report

required for

Report)

Sent by Received

1. COMPLETE GROUP

(Complete group and the attribute Typ value of “12”is applicable only to Average Pricing Messaging. Transfers and ACS will always

have Typ=”13”.)

1a. Create

Group (GS)

AllocInstrctn 0=New,

1=Replace,

2=Cancel

13 -

GroupComplete,

12 -

GroupIncomplete

Give-up

firm

Clearing

House

1b.

Summary

Notice

(GSA)

AllocInstrctnAlert 0=New,

1=Replace,

2=Cancel

6 – AllocationPending 13 -

GroupComplete,

12 -

GroupIncomplete

Clearing

House

Give-up

firm

2. CREATE GROUP (INITIATED VIA TRADE CAPTURE)

2a.

Summary

Notice

(GSA)

AllocInstrctnAlert 0=New,

1=Replace,

2=Cancel

6 – AllocationPending 13 -

GroupComplete,

12 -

GroupIncomplete

Clearing

House

Give-up

firm

3. CREATE ALLOCATION

3a.

Allocation

(GA)

AllocInstrctn 0=New 2 - Preliminary

Give-up

firm

Clearing

House

3b.

Allocation

Alert (GAA)

AllocRpt 0=New 3 – Received (in

Clearing System)

11-AcceptPending Clearing

House

Carry

Firm

3c.

Allocation

Confirmation

(GAC)

AllocRpt 0=New 3 – Received (in

Clearing System)

1 - Block Level Reject

2 - Account Level Rej

2-Preliminary Clearing

House

Give-up

firm

4. CANCEL/UPDATE ALLOCATION

4a. Update

Allocation

(GA Chg)

AllocInstrctn 1=Replace,

2=Cancel

2 - Preliminary

Give-up

firm

Clearing

House

4b. Update

Allocation

Alert (GAA

Chg/Del)

AllocRpt 1=Replace,

2=Cancel

3 – Received (in

Clearing System)

11-AcceptPending Clearing

House

Carry

Firm

4c. Update

Allocation

Confirmation

(GAC)

AllocRpt 1=Replace,

2=Cancel

3 – Received (in

Clearing System)

1 - Block Level Reject

2 - Account Level Rej

2-Preliminary Clearing

House

Give-up

firm

5. ACCEPT ALLOCATION

5a. Claim or

Reject (GC)

AllocRptAck 0=New 9 - Accept, 10 -

Reject

Carry

Firm

Clearing

House

5b.

Claim/Reject

Alert (GCA)

AllocRpt 0=New 0–Accepted (in Clearing

System)

9 - Accept, 10 -

Reject

Clearing

House

Give-up

Firm

5c.

Claim/Reject

Confirmation

(GCC)

AllocRpt 0=New 0–Accepted (in Clearing

System)

12=Complete Clearing

House

Carry

Firm

Page 22 of 113 FIXML Allocation API User’s Guide March 2005

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Message

Function FIX 4.4

Message

Type

TransTyp

(Allocation

Trans Type)

Stat

(Allocation

Status

required for

Ack and

Report)

Typ

(Alloc

Type

required

for

Instrctn)

RptTyp

(Allocation Report

required for Report)

Sent by Received

6. UPDATE ACCEPTED ALLOCATION

6a. Update

Allocation (GC

Chg)

AllocRptAck 1=Replace 8 - Request Carry Firm Clearing

House

6b. Update

Allocation

Confirmation

(GCC)

AllocRPT 1=Replace 0–Accepted

(in Clearing

System)

1 - Rejected

(in Clearing

System)

New Attribute,

12=Complete

Clearing

House

Carry Firm

7. SUB-ALLOCATE ACCEPTED ALLOCATION

7a.

SubAllocation

(GC Chg)

AllocInstrctn 1-Replace 8 - Request Carry Firm Clearing

House

7b. Update

Allocation

Confirmation

(GCC)

AllocRpt 1-Replace 3-Received 2-Preliminary Clearing

House

Carry Firm*

*Carry Firm becomes a Give-up firm--reference Create Group and Create Allocation

8. SIMULTANEOUSLY ACCEPT AND GIVE-UP ALLOCATION

8a. Third-party

Allocation with

Claim (GC Chg)

AllocRptAck 0=New 12 - Accept, 13 - Reject Carry Firm Clearing

House

8b. Claim Alert

(GCA) (sent to

original give-up

firm)

AllocRpt 0=New 0–Accepted

(in Clearing

System)

9 - Accept, 10 - Reject Clearing

House

Give-up

Firm

8c. Claim

Confirmation

(GCC)

AllocRpt 0=New 3-Received 2 - Preliminary Clearing

House

Carry Firm*

*Carry Firm becomes a Give-up firm--reference Create Group and Create Allocation

9. REVERSE ALLOCATION

9a. Reversal AllocInstrctn 6=Reversal 8 -

Request Initiating

Firm

Clearing

House

9b. Reversal

Confirmation

AllocRpt 6=Reversal 3 – Received 8 - Request Clearing

House

Initiating

Firm

9c. Reversal

Alert

AllocRpt 6=Reversal 3 – Received 14 - ReversalPending Clearing

House

Responding

Firm

10. ACCEPT/REJECT REVERSE ALLOCATION REQUEST

10a. Accept or

Reject Reversal

AllocRptAck 6=Reversal 9 - Accept, 10 - Reject Responding

Firm

Clearing

House

10b.

Accept/Reject

Reversal Alert

AllocRpt 6=Reversal 0–Accepted;

1-Rejected

9 - Accept, 10 - Reject Clearing

House

Initiating

Firm

10c. Accept

Reversal

Confirmation

AllocRpt 6=Reversal 0–Accepted,

1-- Rejected

12=Complete Clearing

House

Responding

Firm

Page 23 of 113 FIXML Allocation API User’s Guide March 2005

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5.3 Group Summary Alerts

When a trade is marked for allocation, a new allocation group is created or the trade is added to an existing

group. Each time a new trade is added to an allocation group, new or existing, the allocating firm receives a

FIXML group summary alert message, “AllocInstrctnAlert”. One of the key attributes in a group summary alert

message is the “TransTyp”. When a new group is created this attribute will have the enumeration of ‘0’ which

means ‘New’. When a trade is added to an existing allocation group the group summary alert TransTyp will

be set to ‘1’ or ‘Replace’. Average price allocation group summary alerts will also contain the allocating firm

assigned average price group id, designated by the attribute ‘ID’ and the clearing assigned group id

designated by the attribute ‘ID2’. The attribute value for ‘ID’,will be assigned by the clearing system if not

assigned by the firm. Also, ACS groups will always have the Typ=”13” (GroupComplete), unlike APS groups

which will initially have a Typ=”12” (incomplete group) since only APS groups require completing.

Allocating Firm CME Carry Firm

← Allocation Instruction

Alert

<AllocInstrctnAlert

TransTyp="0" ID=

“500001” ID2=”500001”

Qty=”3” Stat=”6”

Typ=”13” TrdDt=”2007-

02-26”

<Hdr SID=”CME”

TID=”092” TSub=”CME”

<Instrmt

SecTyp=”FUT”ID=”SP”

CFI=”FFICSO”

… />

</AllocInstrctnAlert>

Message

Function FIX Message

Type TransTyp Stat

Typ RptTyp

Sent by Received

Summary

Notice (GSA)

AllocInstrctnAlert 0=New

1=Replace

2=Cancel

6 –AllocationPending 13 -GroupComplete,

12-

GroupIncomplete

Clearing

House

Allocating

firm

Page 24 of 113 FIXML Allocation API User’s Guide March 2005

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5.4 Creating Allocations

5.4.1 Allocation Instruction Messages

The allocating firm uses the FIXML Allocation Instruction (AllocInstrctn) message type to submit allocation

instructions. The clearing system confirms all AllocInstrctn messages with the FIXML Allocation Report

(AllocRpt) message. The allocating firm must supply the clearing system assigned group id (ID2) and firm

assigned group id (ID) on allocation instructions. The allocating firm places the carry or claim firm

information in the Allocation (Alloc) block. The attribute “Typ” should equal “2” on the inbound messages.

Allocating Firm CME Carry Firm

Allocation Instruction

<AllocInstrctn ID=”500001”

ID2=”500001” TransTyp="0"

TrdTyp="0" Typ=”2” Qty=”3”

TrdDt=”2007-02-26”

<Instrmt ID=”SP”

CFI=”FFICSO”

SecTyp=”FUT”

… />

….

<Alloc Qty=”3”

… </AllocInstrctn>

→

← Allocation Report

<AllocRpt

RptID=”500001”

ID2=”500001”

TransTyp="0" Stat=”3”

RptTyp = “2” Qty=”3”

TrdDt=”2007-02-26”

<Hdr SID=”CME”

TID=”092”

TSub=”CME”..../>

<Instrmt ID=”SP”

CFI=”FFICSO”

SecTyp=”FUT”

… />

….

<Alloc

IndAllocID2=”500002”

…

</AllocRpt>

Message

Function FIX Message

Type TransTyp Stat

Typ RptTyp

Sent by Received

Allocation (GA) AllocInstrctn 0=New 2 - Preliminary

Allocating

firm

Clearing

House

Allocation

Confirmation

(GAC)

AllocRpt 0=New 3 – Received (in

Clearing System)

1 - Block Level Reject

2 - Account Level Reject

Preliminary

Clearing

House

Give-up firm

Page 25 of 113 FIXML Allocation API User’s Guide March 2005

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Page 26 of 113 FIXML Allocation API User’s Guide March 2005

©Chicago Mercantile Exchange, 2005

5.4.2 Specific or Generic for Average Price Allocations

For average price allocations, the allocating firms can submit allocations at a Generic level or at a Specific

Level. The value necessary to differentiate between a Generic and Specific allocation instruction is the

clearing system assigned group id, “ID2”. Generic allocations will be applied to as many specific groups as

necessary to satisfy the allocation instruction. Generic allocations will be confirmed immediately by the

clearing system but Specific allocation instruction confirms will not be sent to the allocating firm until the

Generic group is completed. Furthermore, no Specific allocation instructions will be sent to the carry firm

until the Generic group is completed.

Allocating Firm CME Carry Firm

Allocation Instrctn

<AllocInstrctn ID=”3001”

ID2=”3002” Typ=”2”

TransTyp=”0” Qty=”2”

TrdDt=”2005-05-16”

<Hdr SSub=”CME”

<Instrmt ID=”SP”

CFI=”FFICSO”

SecTyp=”FUT”

… />

….

<Alloc

… </AllocInstrctn>

→

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

Allocation (GA) AllocInstrctn 0=New 2 - Preliminary

Allocating

firm

Clearing

House

Allocation Alert

(GAA)

AllocRpt 0=New 3 – Received 11-AcceptPending Clearing

House

Carry Firm

Allocation

Confirmation

(GAC)

AllocRpt 0=New 3 – Received

1 - Block Level

Reject

2 - Account

Level Rej

2-Preliminary Clearing

House

Allocating

firm

Page 27 of 113 FIXML Allocation API User’s Guide March 2005

©Chicago Mercantile Exchange, 2005

← Allocation Report

<AllocRpt RptID=”10001”

ID2=”3002” TransTyp="0"

Stat=”3”

RptTyp = “2” Qty=”2”

TrdDt=”2005-05-16”

<Hdr SID=”CME”

TID=”092” TSub=”CME” …

<Instrmt ID=”SP”

CFI=”FFICSO”

… />

<Alloc

IndAllocID2=”500002”

…

</AllocRpt>

Allocation Report

<AllocRpt RptID=”111”

ID2=”111” TransTyp="0"

Stat=”3” RptTyp=”11”

Qty=”2” TrdDt=”2005-05-

16”

<Hdr SID=”CME”

TID=”092” TSub=”CME” …

<Instrmt ID=”SP”

CFI=”FFICSO”

SecTyp=”FUT”

… />

<Alloc

IndAllocID2=”500102”

…

</AllocRpt>

→

5.4.3 ACS Allocations

For ACS allocations, the allocating firm must submit both the the clearing system assigned group id, “ID2”

and firm assigned (or clearing assigned) ID. Specific allocation instruction confirms will be sent to the

allocating and claim firm immediately after the clearing system has processed the message. The allocating

firm has the option the assign the AllocIndID to internally identify the allocation. The clearing system shall

assign the AllocIndID2 which must be referenced when making changes to the allocation.

Page 28 of 113 FIXML Allocation API User’s Guide March 2005

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Allocating Firm CME Carry Firm

Allocation Instrctn

<AllocInstrctn ID=”500001”

ID2=”500001” Typ=”2”

TransTyp=”0” Qty=”2”

TrdDt=”2007-02-26”

<Hdr SID=”CME” TID=”092”

TSub=”CME” …/>

<Instrmt ID=”SP”

CFI=”FFICSO”

… />

….

<Alloc

… </AllocInstrctn>

→

← Allocation Report

<AllocRpt

RptID=”500001”

ID2=”500001”

TransTyp="0" Stat=”3”

RptTyp = “2” Qty=”2”

TrdDt=”2007-02-26”

<Hdr SID=”CME”

TID=”092” TSub=”CME”…

<Instrmt ID=”SP”

CFI=”FFICSO”

… />

<Alloc

IndAllocID2=”500002”

…

</AllocRpt>

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

Allocation (GA) AllocInstrctn 0=New 2 - Preliminary

Allocating

firm

Clearing

House

Allocation Alert

(GAA)

AllocRpt 0=New 3 – Received 11-AcceptPending Clearing

House

Carry Firm

Allocation

Confirmation

(GAC)

AllocRpt 0=New 3 – Received

1 - Block Level

Reject

2-Preliminary Clearing

House

Allocating

firm

Page 29 of 113 FIXML Allocation API User’s Guide March 2005

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Allocation Report

<AllocRpt

RptID=”500010”

ID=”500001”

TransTyp="0" Stat=”3”

RptTyp=”11” Qty=”2”

TrdDt=”2007-02-26”

<Hdr SID=”CME”

TID=”092” TSub=”CME”…

<Instrmt ID=”SP”

CFI=”FFICSO”

… />

<Alloc

IndAllocID2=”500102”

…

</AllocRpt>

→

Page 30 of 113 FIXML Allocation API User’s Guide March 2005

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5.5 Completing Average Price Groups (Not applicable to ACS groups)

The Allocating firm can complete a Generic group by sending a group complete message. Once a Generic

group is completed all previously submitted allocation instructions are canceled and Specific allocation

instructions are transmitted to the carry firm and acknowledgements are sent to the allocating firm.

Allocating Firm CME Carry Firm

Allocation Instruction

<AllocInstrctn

TransTyp="1" ID=”2000”

ID2=”2001” Typ=”13”

Qty=”2” TrdDt=”2005-03-16”

<Instrmt SecTyp=”FUT”

… />

…

</AllocInstrctn>

→

← Allocation Instruction

Alert

<AllocInstrctnAlert

TransTyp="1"

D=”2000”

ID2=”2001” Stat=”3”

Typ=”13” Qty=”2”

TrdDt=”2005-03-16”

<Hdr D2ID=”092”

TID=”092” TSub=”CME” …

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

…

</AllocInstrctnAlert>

Message

Function FIX Message

Type TransTyp Stat Typ Sent by Received by

Create

Group

(GS)

AllocInstrctn 0=New

1=Replace

2=Cancel

13 - GroupComplete,

12 - GroupIncomplete

Allocating

firm

Clearing House

Summary

Notice

(GSA)

AllocInstrctnAlert 0=New

1=Replace

2=Cancel

6 – AllocationPending 13 - GroupComplete,

12 - GroupIncomplete

Clearing

House

Allocating firm

Page 31 of 113 FIXML Allocation API User’s Guide March 2005

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5.6 Claiming Allocation Instructions

Once a carry or claiming firm receives an allocation report they may respond by either claiming or rejecting the

allocation using the Allocation Report Acknowledgement (AllocRptAck) message. The claim firm uses a

RptTyp=“9” to accept and a RptTyp= “10” to reject the allocation. When the clearing system receives a valid

accept or reject request an allocation report is generated for both the allocating and claim firm. The new

status of the allocation is communicated using the Allocation Status attribute (Stat) using the enumeration of

“0” (Accepted) or “1” (Rejected). For ACS claiming instructions, the RptID and AllocIndID2 must be present

(the ID is not sent to the claim firm for ACS allocations).

Allocating Firm CME Carry Firm

←Allocation Report Ack

<AllocRptAck

RptID=”500010” ID=”500001

”

TransTyp="0" RptTyp=”9”

….

<<Instrmt SecTyp=”FUT”

… />

<AllAllocAck

IndAllocID2=”500022”

… </AllocRptAck>

←

Allocation Report

<AllocRpt

RptID=”500010”

ID2=”500001”

TransTyp="0" Stat=”0”

RptTyp= “9” Qty=”2”

TrdDt=”2005-03-16”

<Hdr TID=”###”

TSub=”CME” …/>

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500001”

…

</AllocRpt>

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

Claim or Reject

(GC)

AllocRptAck 0=New 9 – Accept

10 - Reject

Carry

Firm

Clearing

House

Claim/Reject Alert

(GCA)

AllocRpt 0=New 0–Accepted 9 – Accept

10 - Reject

Clearing

House

Allocating

Firm

Claim/Reject

Confirmation

(GCC)

AllocRpt 0=New 0–Accepted 12=Complete Clearing

House

Carry Firm

Page 32 of 113 FIXML Allocation API User’s Guide March 2005

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Allocation Report

<AllocRpt

RptID=”500010”

TransTyp="0" Stat=”0”

RptTyp= “12” Qty=”2”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME” … />

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500102”

…

</AllocRpt>

→

Page 33 of 113 FIXML Allocation API User’s Guide March 2005

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5.7 Updating Pending or Rejected Allocations

Before an allocation has been claimed or when it has been rejected, the allocating firm can submit

changes or delete the allocation. The allocating firm uses an Allocation Instruction message

(AllocInstrctn) with the TransTyp attribute and enumeration of “1” for Replace to communicate an

update and “2” for Cancel to communicate a delete request. Once a valid update or cancel request is

received the Clearing System will send an allocation report to both the allocating firm and the claim

firm to communicate the change to the allocation. When updating specific allocations from average

price allocation groups the allocating firm must indicate the Clearing System assigned Allocation ID

(ID2).

Allocating Firm CME Carry Firm

Allocation Instruction

<AllocInstrctn

TransTyp="1" ID=”110”

ID2=”500010” Typ=”2”

Qty=”7” TrdDt=”2007-02-26”

<Instrmt SecTyp=”FUT”

… />

<Alloc

IndAllocID2=”500001”

… </AllocInstrctn>

→

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

Update

Allocation (GA

Chg)

AllocInstrctn 1=Replace,

2=Cancel

2 - Preliminary

Allocating

firm

Clearing

House

Update

Allocation Alert

(GAA Chg/Del)

AllocRpt 1=Replace,

2=Cancel

3 – Received 11-AcceptPending Clearing

House

Carry Firm

Update

Allocation

Confirmation

(GAC)

AllocRpt 1=Replace,

2=Cancel

3 – Received

1 - Block

Level Reject

2 - Account

Level Reject

2-Preliminary Clearing

House

Allocating

firm

Page 34 of 113 FIXML Allocation API User’s Guide March 2005

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← Allocation Report

<AllocRpt RptID=”10001”

ID2=”500010”

TransTyp="1" Stat=”3”

RptTyp= “2” Qty=”7”

TrdDt=2007-02-26”

<Hdr TID=”###”

TSub=”CME”… />

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500001”

…

</AllocRpt>

Allocation Report

<AllocRpt RptID=”10001”

TransTyp="1" Stat=”3”

RptTyp= “11” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME” … />

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500102”

…

</AllocRpt>

→

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5.8 Updating Accepted Allocations

The Carry-Firm can update non-critical fields after the allocation has been claimed. The carry firm submits

another Allocation Report

Allocating Firm CME Carry Firm

←

Allocation Report Ack

<AllocRptAck

ptID=”10001” ID=”2000”

ID2=”500010”

tat=”0”

TransTyp="1" RptTyp= “8”

….

<Instrmt

CFI=”FFICSO”SecTyp=”FUT”

… />

<AllocAck

IndAllocID2=”500102”

… </AllocRptAck>

Allocation Report

<AllocRpt

RptID=”10001”

TransTyp="1" Stat=”0”

RptTyp= “12” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME”… />

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500102”

…

</AllocRpt>

→

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

Update Allocation

(GC Chg)

AllocRptAck 1=Replace 8 - Request Carry

Firm

Clearing

House

Update Allocation

Confirmation

(GCC)

AllocRpt 1=Replace 0–Accepted (in

Clearing System)

1 - Rejected (in

Clearing System)

12=Complete Clearing

House

Carry Firm

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5.9 Reversing or Releasing Accepted Allocations

The term reverse and release are synonymous in FIXML but for the initial implementation of FIXML release

and reversal will be initiated and processed the same way that Basic allocation releases and reversals are

handled today with TREX. The carry firm initiates releases and they are only possible if the allocation has

not been accepted and cleared during an end of day clearing cycle. Once an allocation is no longer eligible

for release it can only be reversed, and reversals are initiated by the allocating firm.

5.9.1 Release/Reverse Instructions

A carry firm can initiate a Release after accepting an allocation, but only on the same Clearing Business

date on which the allocation was accepted. An allocating firm can initiate a Reversal on the next Clearing

Business date after the allocation has been claimed by the carry firm.

Initiating Firm CME Responding Firm

Allocation Instruction

<AllocInstrctn

TransTyp="6" ID=”2000”

ID2=”2001” Typ=”8” Qty=”7”

TrdDt=”2007-02-26”

….

<Instrmt SecTyp=”FUT”

… />

<Alloc

IndAllocID2=”500001”

… </AllocInstrctn>

→

←

Allocation Report

<AllocRpt

ptID=”10001”

TransTyp="6" Stat=”3”

RptTyp=”8” ID2=”2001”

Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME”… />

….

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500001”

… </ AllocRpt >

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received by

Reversal AllocInstrctn 6=Reversal 8 -

Request

Initiating

Firm

Clearing

House

Reversal

Confirmation

AllocRpt 6=Reversal 3 – Received 8 - Request Clearing

House

Initiating

Firm

Reversal Alert AllocRpt 6=Reversal 3 – Received 14 – Reversal Pending Clearing

House

Responding

Firm

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Allocation Report

<AllocRpt

RptID=”10001”

TransTyp="6" Stat=”3”

RptTyp= “14” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME” … />

….

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500102”

… </ AllocRpt>

→

5.9.2 Accept / Reject Reversals (Release)

Before the initiating firm’s reversal or release request can be completed the counter-party to the allocation

must respond to the request. The responding firm uses the Allocation Report Acknowledgement to confirm

or reject a reversal or release request.

Initiating Firm CME Responding Firm

←

Allocation Report Ack

<AllocRptAck

ptID=”10001” ID=”2000”

TransTyp="6" Typ=”9”

TrdDt=”2007-02-26”

….

<AllocAck

IndAllocID2=”500102”

… </ AllocRptAck >

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received by

Accept or Reject

Reversal

AllocRptAck 6=Reversal 9 – Accept

10 - Reject

Responding

Firm

Clearing

House

Accept/Reject

Reversal Alert

AllocRpt 6=Reversal 0–Accepted

1-Rejected

9 – Accept

10 - Reject

Clearing

House

Initiating Firm

Accept Reversal

Confirmation

AllocRpt 6=Reversal 0–Accepted

1-- Rejected

12=Complete Clearing

House

Responding

Firm

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Allocation Report

<AllocRpt

ptID=”10001”

TransTyp="6" Stat=”0

”

RptTyp=”12” Qty=”7”

TrdDt=”2007-02-26”

<Hdr “TID=”###”

TSub=”CME” … />

….

<Instrmt

CFI=”FFICSO”SecTyp=”FUT

”

… />

<Alloc

IndAllocID2=”500102”

… </AllocRpt>

→

←

Allocation Report

<AllocRpt RptID=”10001”

TransTyp="6" Stat=”0”

RptTyp= “9”

ID2=”2001” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###”

TSub=”CME” … />

….

<Instrmt

SecTyp=”FUT”CFI=”FFICSO

”

… />

<Alloc

IndAllocID2=”500001”

<Pty ID=”CME”

R=”22”/>

… </AllocRpt>

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5.10 Sub Allocations/Third Party Allocations of Accepted Allocations

Once an allocation has been accepted the claim firm can sub-allocate the allocation to different accounts or

allocate it to a third-party. The Carry-Firm uses the Allocation Instruction message to communicate this to the

Clearing System. Once a valid sub-allocation or third-party allocation request has been received by the

Clearing System from a claiming firm, the request is acknowledged and then a group summary alert and

allocation reports are generated just as if the claim firm was initiating the allocation of a trade.

Sub Allocating Firm CME Carry Firm

←

Allocation Instruction

<AllocInstrctn

D=”2001”

TransTyp="1" Typ=”8”

Qty=”7” TrdDt=”2007-02-26”

….

<Instrmt

SecTyp=”FUT”CFI=”FFICSO”

… />

<Alloc

IndAllocID2=”500028”

</Pty>

</Alloc>

<Alloc Typ=”1” Qty=”90”

</Pty>

</Alloc>

… </AllocInstrctn >

Message

Function FIX Message

Type TransTyp Stat Typ RptTyp Sent by Received

SubAllocation

(GU)

AllocInstrctn 1-Replace 8 - Request Carry

Firm

Clearing

House

Update

Allocation

Confirmation

(GUC)

AllocRpt 1-Replace 3-Received 2-Preliminary Clearing

House

Carry

Firm*

Summary

Notice (GSA)

AllocInstrctnAlert 0=New,

1=Replace,

2=Cancel

6 –

AllocationPending

13 -GroupComplete,

12 -GroupIncomplete

Clearing

House

Give-up

firm

Allocation

Alert (GAA)

AllocRpt 0=New 3 – Received (in

Clearing System)

11-AcceptPending Clearing

House

Carry

Firm

Allocation

Confirmation

(GAC)

AllocRpt 0=New 3 – Received (in

Clearing System)

1 - Block Level

Reject

2 - Account Level

Reject

2-Preliminary Clearing

House

Give-up

firm

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Allocation Report

<AllocRpt RptID=”10001”

TransTyp="1" Stat=”3”

RptTyp= “2” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###” TSub=”CME” …

<Instrmt

SecTyp=”FUT”CFI=”FFICSO”

… />

<Alloc

IndAllocID=”9999”

IndAllocID2=”8888”

</Pty>

</Alloc>

<Alloc Typ=”15” Qty=”90”

</Pty>

</Alloc>

…

</AllocRpt>

→

Allocation Instruction Alert

<AllocInstrctnAlert

ID=”2000” TransTyp="0"

Stat=“6” Typ=”12” ID2=”222”

Qty=”7” TrdDt=”2007-02-26”

<Hdr TID=”###” TSub=”CME”…

…….

<Instrmt

SecTyp=”FUT”CFI=”FFICSO”

… />

…

</AllocInstrctnAlert>

→

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Allocation Report

<AllocRpt RptID=”10001”

ID2=”222” TransTyp="0"

Stat=”3” RptTyp=”11”

Qty=”90” TrdDt=”2007-02-26”

<Hdr TID=”###” TSub=”CME”…

<Instrmt

SecTyp=”FUT”CFI=”FFICSO”

… />

</Pty>

…….

<Alloc IndAllocID2=”7777”

</Pty>

…

</AllocRpt>

→

←

Allocation Report

<AllocInstrctn RptID=”10001”

ID2=”333” TransTyp="0"

Stat=”3” RptTyp=”2” Qty=”7”

TrdDt=”2007-02-26”

<Hdr TID=”###” TSub=”CME”…

<Instrmt

SecTyp=”FUT”CFI=”FFICSO”

… />

</Pty>

<Alloc IndAllocID2=”6666”

…

</AllocRpt>

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6 Components of APS and ACS FIXML Messages

6.1 Key Elements and Attributes

6.1.1 Allocation Transaction Type (TransTyp)

The Allocation Trans Type signifies the action to be performed on the message. For example a

TransTyp of “New” in an Allocation Instruction from a firm implies the firm is sending a new

Allocation. The firm sending the message sets this attribute, and the Clearing System echoes it

back on its Confirms and Alerts. For list of all the values used in the API refer to Table 8.1.

6.1.2 Allocation Type or Allocation Report Type (Typ and RptTyp)

The Allocation Type and Allocation Report Type convey the business purpose of the

message. Either the Allocation or Allocation Report type is required on inbound

messages from firms.

6.1.3 Allocation Status (Stat)

The Allocation status in the message implies the status of the message. This attribute is set by the

Clearing System on its alerts and confirms to the Firms. For example the clearing system would

send a status of “Rejected” in response to an allocation that did not have the right Product ID. For

list of all the values used in the API refer to Table 8.1.

6.1.4 ID/ID2 Usage

The ID and ID2 denote the group ID of APS or ACS groups. ID value is assigned to trades by the

allocating firm and the ID2 value is assigned by the clearing system to all Basic as well as Generic

and Specific allocation groups. The ID is the firm’s internal group ID. If the firm sends this ID, it is

echoed back to the firms on all its subsequent confirms. The ID2 is generated by the Clearing

System and sent to the firm. The ID2 sent by the Clearing System is associated with the context for

the message. For example if the Clearing System is sending a Group Summary Alert for a Specific

Group, the ID2 is the Specific Group ID.

<AllocInstrctnAlert

………..

ID = "0" (Firm Supplied APS Group ID)

ID2 = "500900" (Clearing Supplied Specific Group ID)

TrdTyp = "0" (Trade Type)

TrdSubTyp = "8" (Trade Sub Type – Spread Leg)

MLegRptTyp = "2" (Single Leg of a Multi Leg Instrument)

SesSub = "P" (Venue - Pit)

………

</AllocInstrctnAlert>

In the above example, the presence of fee-specific information signifies that ID2 is a Specific Group ID.

Note: It is extremely important for the firm to send back the ID2 attribute sent by the Clearing System

to refer to the Group.

6.1.5 Individual Allocation ID(s) Usage

The Individual Allocation Id in the <Alloc> Block is used to store the allocation Id of the allocation. Again, the

API allows the firm to generate its own internal Allocation Id and send it in IndAllocID. The Clearing system

generated Allocation Id will be sent back in the IndAllocID2 attribute. Additionally if the firm had sent in an

Allocation ID, it will be echoed back to the firm.

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<AllocInstrctn

………..

ID = "1000" (Firm Supplied APS Group ID)

ID2 = "2001" (Clearing Supplied Specific Group ID)

TrdTyp = "0" (Trade Type)

TrdSubTyp = "8" (Trade Sub Type – Spread Leg)

MLegRptTyp = "2" (Single Leg of a Multi Leg Instrument)

SesSub = "P" (Venue - Pit)

………

<Alloc

IndAllocID = "10000" (Firm supplied Allocation ID)

IndAllocID2 = "500001" (Clearing system generated

Allocation ID)

……

</Alloc>

</AllocInstrctn>

In the above example, the presence of fee-specific information signifies that ID2 is a Specific Group ID. The

Allocation ID in the <Alloc> Block is the specific Allocation ID.

Note: It is extremely important for the firm to send back the Group ID (ID2) attribute and the

Allocation ID (IndAllocID2) while referring to the allocations for ACS and APS.

6.1.6 Average Price (AvgPx)

The Average Price is the running average price of all the trades in the Group. For ACS groups, this value will

remain the same since price is one of the grouping criteria. This value is calculated by the clearing system

and sent to the firms on all its alerts and confirms. The Average Price sent by the firms will be ignored by the

Clearing system.

6.1.7 Rounded Price (RndPx- For APS Only)

The Rounded Price is the average price rounded to the contract tick value

6.1.8 Message Event Source (MsgEvtSrc)

The Message Event Source identifies the Source of the message. For example if the firm is sending the

message the attribute is set to “MQM”. If the exchange is sending the message, this is set to “CMESys”.

6.1.9 Sender ID (SID)

The Sender ID (SID) attribute in the Header (Hdr) element is a key attribute in identifying the sender of the

message. This is required in all the APS messages. The firm sending the message will identify itself in the

message. The exchange will send back its ID in the SID attribute on all its messages.

<Hdr

Snt = "2007-02-26T08:20:00-05:00" (Message Time)

SID = "560"/> (560 is the Firm ID)

6.1.10 Amount Block (For APS Only)

The purpose of the Amount Block in the APS Allocation messages is primarily for storing the Residual

amount.

The Amount Block consists of the following Attributes.

Amount Type (Typ) identifies the Amount type stored in the Block. In APS messages, the Typ has a value of

“CRES”, the Cash Residual Amount.

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Amount (Amt) identifies the actual Residual Amount. This is equal to the AvgPx - RndPx

Currency (Ccy) identifies the Currency the residual price is represented in.

<Amt

Typ="CRES" (Cash Residual Amount Type)

Amt="237.53" (Residual Amount )

Ccy="USD" /> (Currency)

6.1.11 Parties Block

The purpose of the Parties Block is to provide at, standard way of expressing Firm and Account information

in API Messages. The Parties block The Parties Block consists of the following attributes and elements:

Party Role, Party ID, Party Sub ID, and Party ID Source.

Party Role is a static number used to express the type of party, for example Clearing Organization, Clearing

Firm, etc.

Party ID is the value representing the party, for example, “CME”, “560”, etc.

Party Sub Element

Party Sub ID is used to express information, which further qualifies the party such as origin for the

Customer Account.

Party Sub ID Typ identifies the type of qualification of the Party.

Valid values for Party Role and Party Sub Type used in the API can be found in Table 8.1 below.

In APS messages, the Parties Block in the main body of the message signifies the Give-up or the Executing

Firm.

<Pty ID="CME" R="22" /> (Give-up Exchange)

<Pty ID="CME" R="21" /> (Give-up Clearing Org)

<Pty ID="560" R="1" > (Give-up Trading Member Firm)

(Give-up Firm Origin)

</Pty>

In this example, The Exchange is CME, the Clearing Organization is CME, the Give-up Firm is

560, and the origin for the Give-up firm is of Customer segregation.

If the Parties Block is present in the Alloc Block it signifies the Carry Firm.

<Alloc>

<Pty ID="CME" R="22" /> (Carry Firm Exchange)

<Pty ID="560" R="1" /> (Carry Firm)

<Pty ID="GA123" R="24"> (Carry Account)

(Carry Account

Origin)

</Pty>

</Alloc>

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6.1.12 CFI Code – Classification of Financial Instruments

6.1.12.1.1 FIX Definition of CFI Code

The CFI Code field was added to the FIX Protocol in an attempt to provide a standards-based source of

security type values by using values defined in ISO 10962 standards: Classification of Financial Instruments

(CFI code).

The ISO 10962 standard defines a 6-character code in which each character’s position value carries a

special significance (attribute) and set of values. Note that "X" represents an unspecified or unknown

attribute, thus it is not always necessary to specify every attribute (character position value).

6.1.12.2 Definition for Options (code defined by character position):

Char 1

Product

Type

Char 2

Put/Call Char 3

Option

Style

Char 4

Underlying

Char 5

Delivery

Method

Char 6

Standard/Non-

Std

(flexible)

O=Option C=Call

P=Put

M=Other

X=Unkno

wn(n/a)

A=America

E=Europea

X=Unknow

n(n/a)

B=Basket

S=Stock-Equities

D=Interest

rate/notional debt

sec

T=Commodiites

C=Currencies

I=Indices

O=Options

F=Futures

W=Swaps

M=Other

X=Unknown(n/a)

P=Physical

C=Cash

X=Unknow

n(n/a)

S=Standardized

terms (maturity

date, strike price,

contract size)

N=Non-

standardized

terms

X=Unknown(n/a)

Examples:

OCXXXS Standardized Call Option

OPXXXS Standardized Put Option

OCXFXS Standardized Call Option on a

Future

OPXFXS Standardized Put Option on a

Future

OCEFCN Nonstandard (flex) call option on

future with european style

expiration and cash delivery

OPAFPN Nonstandard (flex) put option on

future with american style expiration

and physical delivery

OPXSPN Nonstandard (flex) put option on a

stock with physical delivery (the

expiration style is not specified – so

is assumed to default to the market

standard for flex options).

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OCEICN Nonstandard (flex) call option on an

index with european style expiration

and cash delivery

6.1.12.3 Definition for Futures (code defined by character position):

Char 1

Product

Type

Char 2

Product

Group

Char 3

Underlying Char 4

Delivery

Method

Char 5

Standard/Non-Std

(flexible)

Char 6

N/A

Undefined

F=Futur

F=Financial

Futures

C=Commo

dity

Futures

M=Others

X=Unknow

n(n/a)

A=Agriculture,

forestry, and fishing

B=Basket

S=Stock-Equities

(for financial future)

or Services (for

commodities

futures)

D=Interest

rate/notional debt

sec

C=Currencies

I=Indices (for

financial futures ) or

Industrial Products

(for commodities

futures)

O=Options

F=Futures

W=Swaps

M=Other

X=Unknown(n/a)

P=Physical

C=Cash

X=Unknow

n(n/a)

S=Standardized

terms (maturity

date, strike price,

contract size)

N=Non-

standardized

terms

X=Unknown(n/a)

X=Not

applicable /

undefined

Examples:

FXXXS Standardized Future

FFICN Nonstandard (flex) Financial Future

on an index with cash delivery

FCEPN Nonstandard (flex) Commodity

Future on an extraction resource

with physical delivery

FXXXN Nonstandard (flex) future – contract

type specified in symbology – not

provided in CFICode

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7 Detailed Message Samples

In this section you can find detailed message samples for each type of FIXML allocate and claim message.

Each message has a functional label as well as the analogous TREX 2- or 3-byte message descriptor that most

closely resembles the FIXML message type.

7.1 Designating Trades for APS or ACS Allocation

7.1.1 Designating Futures trades for Allocation

As discussed throughout the user guide, an executing firm can designate a trade for allocation by appending

an allocation indicator to it as well as submitting more specific allocation information such as carry firm, carry

account, customer type indicator and fee code.

Trade Capture Report for a Future’s Trade Marked for APS Allocation (TRX)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID="10001" Å Trade ID (To be replaced by TrdID)

TrdTyp="0" Å Trade Type

TransTyp="0" Å TransTyp=0 (New)

TrdSubTyp=”8” Å Trade SubType (spread leg)

MLegRptTyp=”2” Å Single leg of a multi-leg instrument

LastPx="1098.00" Å Trade Price

TxnTm="2007-02-26T08:15:00" Å Execution Time (GMT/CST with an Offset)

OrdTypCD="D" Å Order Type Code

LastQty="150" Å Trade Quantity

TrdDt="2007-02-26" Å Trade Date

MsgEvtSrc=“MQM” Å Message Event Source

AvgPxInd=”1” Å Average Price Indicator (For APS only)

LinkID=”1000”> Å Firm Group ID (For APS only)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SID=”123” Å Sender ID

SSub=”CME /> Å Sending Firm Exchange

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

SecTyp=”FUT” Å Security Type

SubTyp=”CAL” Å Spread Type

CFI="FXXXXX"

MMY="200703"/> Å Product Period

<RptSide

CustCpcty="4" Å CTI Code

Side="1" Å Buy/Sell Indicator (1=Buy)

ClOrdID=" A456721" Å Customer Order

SesID=”RTH” Å Business Cycle

SesSub="P" Å Venue is Pit

InptSrc=”ETC” Å Input Source is ETC

AllocInd="1” Å Marked for Allocation (Required for ACS and APS)

TmBkt="T"> Å Time Bracket

<Pty ID="CME" R="21"/> Å Clearing Org

<Pty ID="CME" R="22"/> Å Exchange

<Pty ID="123" R="1"/> Å Executing Firm

<Pty ID="ABC" R="12"/> Å Executing Trader

<Pty ID="123456" R="24"> Å Customer Account

Å Origin

</Pty>

<Pty ID="350" R="17"/> Å Opposite Firm

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<Pty ID="BAT" R="37"/> Å Opposite Trader

</RptSide>

</TrdCaptRpt>

</FIXML>

Trade Capture Report for a Future’s Trade Marked for ACS Allocation (TRX) With Alloction Info

<FIXML>

<TrdCaptRpt

TxnTm="2007-01-11T07:21:22-06:00" Å Execution Time (GMT/CST with an Offset)

TransTyp="2" Å TransTyp=2 (Change/Replace)

MtchStat="1" Å Match Status (Unmatched)

TrdDt="2007-01-11" Å Trade Date

TrdTyp="0" Å Trade Type

RptTyp="0" Å Trade Type

MLegRptTyp="1" Å Single leg

LastQty="1000" Å Trade Quantity

LastPx="1431.0" Å Trade Price

RptID="012502" Å Trade ID (To be replaced by TrdID)

TrdID="12502"> Å Trade ID

<Hdr

Snt="2007-01-11T07:21:22-06:00" Å Message Time

SID="770" Å Sender ID

TID="CME" /> Å Target ID

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product

CFI="FXXXXX" Å CFI Code

SecTyp=”FUT” Å Security Type

MMY="20070300"/> Å Product Period

<RptSide

SesSub="P" Å Venue is Pit

Side="2" Å Buy/Sell Indicator (2=Sell)

TmBkt="P" Å Time Bracket

ClOrdID="AL874492" Å Customer Order ID

OrdID="AL874492" Å Match Engine Assigned Order ID

SesID="RTH" Å Business Cycle

CustCpcty="4" Å Business Cycle

AllocInd="1"> Å Marked for Allocation

<Pty ID="CME" R="21"/> Å Clearing Organization

<Pty ID="CME" R="22"/> Å Executing Firm Exchange

<Pty ID="770" R="1"/> Å Executing Firm

<Pty ID="770" R="4"/> Å Clearing Member Firm

<Pty ID="770" R="38"/> Å Position Account

<Pty ID="HRI" R="12"/> Å Trader ID

<Pty ID="50037853" R="24"> Å Customer Report

Å Customer Origin

</Pty>

<Alloc

IndAllocID="651" Å Optional Allocation ID (from firm)

Qty="100"> Å Allocation Quantity

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="770" R="1"/> Å Carry Firm

<Pty ID="CARRY1" R="24"> Å Carry Account

</Pty>

</Alloc>

<Alloc

IndAllocID="652" Å Optional Allocation ID (from firm)

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Qty="900"> Å Allocation Quantity

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="770" R="1"/> Å Carry Firm

<Pty ID="CARRY2" R="24"> Å Carry Account

</Pty>

</Alloc>

</RptSide>

</TrdCaptRpt>

</FIXML>

7.1.2 Designating Options trades for Allocation

Trade Capture Report for an Option Trade Marked for Average Price Allocation (TRX)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID="10001" Å Trade ID

TrdTyp="0" Å TradeType

TransTyp="0" Å TransTyp=0 (New)

LastPx="1098.00" Å Trade Price

TxnTm="2007-02-26T08:15:00" Å Execution Time (GMT/CST with an Offset)

OrdTypCD="D" Å Order Type Code

LastQty="150" Å Trade Quantity

TrdDt="2007-02-26" Å Trade Date

MsgEvtSrc=“MQM” Å MessageEventSource=Firm

AvgPxInd=”1” Å Average Price Indicator (For APS only)

LinkID=”1000”> Å Firm Group ID (For APS only)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SID=”123” Å Sender ID

SSub=”CME”/> Å Sending Firm Exchange

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="OPXXXX" Å CFI Cdoe (Option/Put)

StrkPx=”22.55” Å Strike Price

MMY="200703"/> Å ProductPeriod

<RptSide

CustCpcty="4" Å CTI Code

Side="1"

ClOrdID=" A456721"

SesID=”RTH” Å Business Cycle

SesSub="P" Å Venue is Pit

InptSrc=”ETC” Å Input Source is ETC

AllocInd="1” Å Marked for Allocation (Required for ACS and APS)

TmBkt="T"> Å Time Bracket

<Pty ID="CME" R="21"/> Å Clearing Org

<Pty ID="CME" R="22"/> Å Exchange

<Pty ID="123" R="1"/> Å Executing Firm

<Pty ID="ABC" R="12"/> Å Executing Trader

<Pty ID="123456" R="24"> Å Customer Account

Å Origin

</Pty>

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<Pty ID="350" R="17"/> Å Opposite Firm

<Pty ID="BAT" R="37"/> Å Opposite Trader

</RptSide>

</TrdCaptRpt>

</FIXML>

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7.1.3 Designating Flex Options trades for Allocation

This is an example of an options trade with Underlying specified.

Trade Capture Report for a Future’s Trade Marked for Average Price Allocation (TRX)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID="10001" Å Trade ID

TrdTyp="0" Å TradeType

TransTyp="0" Å TransTyp=0 (New)

LastPx="1098.00" Å Trade Price

TxnTm="2007-02-26T08:15:00" Å Execution Time (GMT/CST with an Offset)

OrdTypCD="D" Å Order Type Code

LastQty="150" Å Trade Quantity

TrdDt="2007-02-26" Å Trade Date

MsgEvtSrc=“MQM” Å MessageEventSource=Firm

AvgPxInd=”1” Å Average Price Indicator (For APS only)

LinkID=”1000”> Å Firm Group ID (For APS only)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SID=”123” Å Sender ID

SSub=”CME” /> Å Sending Firm Exchange

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="OPXXXX" Å Product Type , Put/Call, Option Style

StrkPx=”22.55” Å Strike Price

MMY="200703"/> Å ProductPeriod

<Undly

CFI="FXXXX" Å Underlying Product Type

ID="ED" Å Underlying Product ID

MMY="200410"/> Å Underlying Period Code

<RptSide

CustCpcty="4" Å CTI Code

Side="1"

ClOrdID=" A456721"

SesID=”RTH” Å Business Cycle

SesSub="P" Å Venue is Pit

InptSrc=”ETC” Å Input Source is ETC

AllocInd="1” Å Marked for Allocation (

Required for ACS and APS)

TmBkt="T"> Å Time Bracket

<Pty ID="CME" R="21"/> Å Clearing Org

<Pty ID="CME" R="22"/> Å Exchange

<Pty ID="123" R="1"/> Å Executing Firm

<Pty ID="ABC" R="12"/> Å Executing Trader

<Pty ID="123456" R="24"> Å Customer Account

Å Origin

</Pty>

<Pty ID="350" R="17"/> Å Opposite Firm

<Pty ID="BAT" R="37"/> Å Opposite Trader

</RptSide>

</TrdCaptRpt>

</FIXML>

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7.2 Clearing System acknowledges the Trade

The clearing system acknowledges each trade submission with a Trade Capture Acknowledgment.

Trade Capture Report Acknowledgment for Trade Marked for Allocation (TRX)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRptAck

RptID=”10001” Å Trade ID

TransTyp="0" Å TraansTyp=) (New)

TrdRptStat=”0” Å Trade Report Status 0=Accepted

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType (spread leg)

MLegRptTyp=”2” Å Single leg of a multileg instrument

LastPx=”1098.00” Å Trade Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

OrdTypCD=”D” Å Order Type Code

LastQty=”150” Å Trade Quantity

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2007-02-26” Å Trade Date

MsgEvtSrc=“CMESys” Å MessageEventSource=CME System

AvgPxInd=”1” Å Average Price Indicator (For APS only)

LinkID=”1000” > Å Firm Group ID (For APS only)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TSub=”CME” Å Target Firm Exchange

TID = “123” Å Target Firm ID

SID=”CME” /> Å Sender ID

<Instrmt

Exch=”CME” Å ProductExchange

ID=”SP” Å ProductCode

SecTyp=”MLEG” Å Security Type

SubTyp=”CAL” Å Spread Type

CFI=”FXXXXX”

MMY=”200703”/> Å ProductPeriod

<RptSide

CustCpcty=”4” Å CTI Code

Side=”1”

ClOrdID=” A456721”

AllocInd=”1” Å Marked for Allocation (

Required for ACS and APS)

TmBkt=”T” Å Time Bracket

SesID=”RTH” Å Business Cycle

SesSub=”P” Å Venue is Pit

InptSrc=”ETC”> Å Input Source is ETC

<Pty ID=”CME” R=”21”/> Å Clearing Org

<Pty ID=”CME” R=”22”/> Å Exchange

<Pty ID=”123” R=”1”/> Å Executing Firm

<Pty ID=”ABC” R=”12”/> Å Executing Trader

<Pty ID=”123456” R=”24”> Å Customer Account

Å Origin

</Pty>

<Pty ID=”350” R=”17”/> Å Opposite Firm

<Pty ID=”BAT” R=”37”/> Å Opposite Trader

</RptSide>

</TrdCaptRptAck>

 The LinkID is the average price group id to which this trade will be assigned.

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7.3 Group Level Messages

There are three types of Group Summary messages. There are alerts when groups are first created for trades

marked for either basic or average price allocation. These messages are all generated by the clearing system

and transmitted to the allocating firm. Allocating firms may send updates to generic average price groups in

order to complete or un-complete average price groups. There are also group summary updates sent when

subsequent trades are added to an allocation group. Finally, the allocating firm may submit a group summary

instruction to complete or incomplete an average price allocation group. ACS groups will always be in

complete status. ACS groups do not have the same distinction between group and trade level grouping like

APS because the system uses the more stringent basic grouping. ACS alerts bear a closer resemblance to

specific alerts in the amount of information provided.

Generic Group Summary Alerts

This is an Alert to the Firms that a trade has been added to an allocation group and it

can submit allocation instructions for this group of trades.

APS Generic Group Summary Alert (GSA)

<FIXML>

< AllocInstrctnAlert

TransTyp =”0” Å AllocTransType=New

ID="1000" Å Firm Assigned Average Price ID

ID2 =”2001” Å APS Generic Group ID (Clearing Generated ID)

Stat=”6” Å AllocStatus=Allocation Pending

Typ=”12” Å Alloc Type=Group Incomplete

BizDt=”2005-01-14” Å Clearing Business Date

Qty=”150” Å Group Summary Quantity

TrdDt=”2005-01-14” Å Trade Date

Side=”1” Å Buy/Sell (Buy)

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=“CMESys” Å MessageEventSource=CME System

AvgPxInd=”1” Å AveragePriceInd (For APS only)

RndPx=”1097.00” Å Rounded Average Price (For APS only)

AvgPx=”1097.55625”> Å True Average Price

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”123” Å Target Firm ID

TSub=”CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<AllExc ExecID=”10001” /> Å Trade ID (Trade ID)

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

MMY="200703" Å Contract Period

CFI="FXXXXX"

<Pty ID="CME" R="21"/> Å Clearing Org

<Pty ID="CME" R="22"/> Å Exchange

<Pty ID="123" R="1"> Å Executing Firm

</Pty>

<Amt Typ="CRES" Amt="0.55625" Ccy="USD" /> Å Residual Amount (APS only)

</AllocInstrctnAlert>

</FIXML>

 All allocation groups have two ids, the group id assigned by the firm (ID) and the clearing assigned

group id (ID2)

 The Stat enumeration of 6 is relevant all allocations, and simply means the group has not been fully

allocated and claimed.

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 For APS, the AvgPxInd enumeration of 1 indicates the group is still incomplete in the sense that the firm

has not completed it and that trades may still be added to it. An AvgPxInd enumeration of 2 indicates

an average price group is complete and the final averaging calculations have been performed.

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7.3.1 APS/ACS Specific Group Summary Alerts

Unlike ACS, when a trade is marked for Average Price Allocation two group summary messages (rather

than one) are generated, one for the generic group it has been assigned to and the second for the specific

group it has been assigned to. The presence of trade specific information in the group alert message

indicates that it is a specific. The specific group can be linked to its parent generic group by the firm

assigned group id. ACS alerts will resemble these specific alert messages. Unlike APS alerts, the group

status will always be complete (Stat=”13”) since ACS groups do not the additional completion step like APS

groups.

APS Specific Group Summary Alert (GSA)

<FIXML>

< AllocInstrctnAlert

TransTyp =”0” Å AllocTransType=New

ID="1001” Å Firm Assigned Average Price Group ID

ID2 =”3001” Å Clearing Assigned Specific Group ID

Stat=”6” Å AllocStatus=Allocation Pending

Typ=”12” (“13” always for ACS) Å Alloc Type

BizDt=”2004-05-14” Å Clearing Business Date

Qty=”150” Å Group Summary Quantity

TrdDt=”2004-05-14” Å Trade Date

TrdTyp="0" Å TradeType

TrdSubTyp=”8” Å TradeSubType (spread leg)

MLegRptTyp=”2” Å Single leg of a multileg instrument

SesID=”RTH” Å Business Cycle

SesSub="P" Å Venue is Pit

Side=”1” Å Buy/Sell (Buy)

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=“CMESys” Å MessageEventSource=CME System

AvgPxInd=”1” Å AveragePriceInd (APS Only)

RndPx=”1097.00” Å Rounded Average Price (APS Only)

AvgPx=”1097.55625”> Å True Average Price

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TSub=”CME” Å Target Firm Exchange

TID=”123” Å Target Firm ID

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<AllExc ExecID=”100001” /> Å Trade ID (Trade ID)

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

CFI="FXXXXX" Å CFI Code

MMY="200703"/> Å Contract Period

<Pty ID="CME" R="21"/> Å Clearing Org

<Pty ID="CME" R="22"/> Å Exchange

<Pty ID="ABC" R="12"/> Å Executing Trader

<Pty ID="123" R="1"/> Å Executing Firm

<Pty ID="123456" R="24"> Å Customer Account

Å Carry Origin

</Pty>

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount (APS Only)

</AllocInstrctnAlert>

</FIXML>

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ACS Specific Group Summary Alert (GSA)

<FIXML>

<AllocInstrctnAlert

ID="500391" Å Firm Assigned Average Price Group ID

ID2="500391" Å Clearing Assigned Specific Group ID

SesID="RTH" Å Business Cycle

SesSub="E" Å Venue is Electronic

AvgPx="1847.75" Å Average Price

TrdDt="2007-04-18" Å Trade Date

BizDt="2007-04-18" Å Clearing Business Date

TrdTyp="0" Å TradeType

Stat="6" Å AllocStatus=Allocation Pending

MsgEvtSrc="CMESys" Å MessageEventSource=CME System

TxnTm="2007-04-20T08:40:53-05:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TransTyp="0" Å AllocTransType=New

Typ="13" (“13” always for ACS) Å Alloc Type

Qty="2" Å Group Summary Quantity

Side="2"> Å Buy/Sell (sell)

<Hdr

Snt="2007-04-20T08:40:53-05:00” Å Message Time

SID="CME" Å Sender ID

TID="287" Å Target Firm ID

SSub="CME" Å Sending Firm Exchange

TSub="CME"/> Å Target Firm Exchange

<OrdAlloc

ClOrdID="ORDER"/> Å Order Number

<Instrmt

ID="NQ" Å Product Code

CFI="FFICSO" Å CFI Code

MMY="200706" Å Contract Period

Exch="CME"/> Å ProductExchange

<PtyID="CME" R="21"> Å Clearing Org

</Pty>

<Pty ID="CME"R="22"> Å Exchange

</Pty>

<Pty ID="770"R="1"> Å Executing Firm

</Pty>

<Pty ID="ACCOUNT" R="24"> Å Customer Account

Å Carry Origin

</Pty>

<Pty ID="XD4L" R="12"> Å Executing Trader

</Pty>

<Pty ID="OperatorID" R="44"> Å Operator ID

</Pty>

</AllocInstrctnAlert>

</FIXML>

 The firm assigned group id is the same as parent generic group id (ID). Each specific group will also

have a unique clearing assigned group id (ID2)

 The Stat attribute indicates whether the group has been fully allocated and claimed. The Stat

enumeration of 6 is relevant for both all allocations, and simply means the group has not been fully

allocated and claimed.

 The presence of order number, broker, account number, origin, and trade type information indicates that

this is a specific group summary record.

 For APS, the AvgPxInd enumeration of 1 indicates the parent generic group has not been completed by

the allocating firm. The Specific group AvgPxInd enumeration will always be the same as its generic

parent.

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 The cash residual is for the specific APS group and so will in most cases be different from the generic

group residual.

7.4 Group handling messages (Complete, Incomplete & Cancel)

7.4.1 Complete Generic Group (APS Only)

Completing and Un-completing a group are average price allocation functions. Specific average price

allocation alerts and confirms are not released until the generic average price group is completed. Once

an average price Generic group is completed no new trades can be added to it. Only Generic groups can

be completed.

Complete Average Price Group (GS)

<FIXML>

<AllocInstrctn

TransTyp =”1” Å AllocTransType=Replace

ID="1000" Å Firm Assigned Average Price ID

ID2 =”2001” Å Clearing assigned Generic Group ID

Typ=”13” Å AllocType=Block Complete

Qty=”150” Å Group Summary Quantity

TrdDt=”2004-05-14” Å Trade Date

Side=”1” Å Buy/Sell (Buy)

MsgEvtSrc=”MQM” Å MessageEventSource=Firm

AvgPxInd=”2”> Å AveragePriceInd (Complete)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SID=”123” Å Sender ID

SSub=”CME” /> Å Sending Firm Exchange

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

CFI="FXXXXX"

MMY="200703"/> Å Contract Period

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

</AllocInstrctn>

</FIXML>

• An instruction to compete a group is a change, so the TransTyp must be equal to 1(Replace).

• The inclusion of the attribute “Typ” with an enumeration of 14 indicates that the allocating firm wants to

complete this group.

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7.4.2 Un-Complete a Generic Group (GS) (APS Only)

If a firm completes a group prematurely and needs to add more trades to it the group must first be un-

completed. Only groups with no accepted allocations may be un-completed. Only generic groups can be

un-completed.

Un-Complete Average Price Group (GS)

<FIXML>

<AllocInstrctn

TransTyp =”1” Å AllocTransType=Replace

ID="1000" Å Firm Assigned Average Price ID

ID2 =”2001” Å Clearing Assigned Generic Group ID

Typ=”12” Å AllocType= Un-Complete

Qty=”150” Å Group Summary Quantity

TrdDt=”2004-05-14” Å Trade Date

Side=”1” Å Buy/Sell (Buy)

MsgEvtSrc=”MQM” Å MessageEventSource=Firm

AvgPxInd=”1”> Å AveragePriceInd (inComplete)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sending Firm Exchange

SID=”123” /> Å Sender ID

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

CFI="FXXXXX"

MMY="200703"/> Å Contract Period

<Pty ID=”CME” R=”22” /> Å GiveupExchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

</AllocInstrctn>

</FIXML>

 The enumeration for the attribute “Typ” is set to 12, un-complete.

7.4.3 Cancel an ACS Group (GS)

The following is an example of a firm canceling an ACS group to unmark the trades for ACS.

Cancel an ACS Group (GS)

<FIXML>

<AllocInstrctn

TransTyp =”2” Å AllocTransType=Replace

ID2 =”500001” Å Clearing Assigned Generic Group ID

Typ=”12” Å AllocType= Un-Complete

Qty=”150” Å Group Summary Quantity

TrdDt=”2007-04-07” Å Trade Date

Side=”1” Å Buy/Sell (Buy)

MsgEvtSrc=”MQM” Å MessageEventSource=Firm

<Hdr

Snt = “2007-04-07T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sending Firm Exchange

SID=”123” /> Å Sender ID

<Instrmt

Exch="CME" Å Product Exchange

ID="ED" Å Product Code

CFI="FXXXXX"

MMY="200706"/> Å Contract Period

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<Pty ID=”CME” R=”22” /> Å GiveupExchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

</AllocInstrctn>

</FIXML>

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7.5 Allocation Instructions

Allocation Requests

Allocation requests can be nested or appended within trade messages or they can be submitted as stand

alone instructions referencing a group of trades already designated for allocation and assigned to an

allocation group. For average price allocations there are two types of allocation requests, those referencing

Generic groups and those referencing Specific groups. ACS allocation requests are essentially the same as

Specific group requests minus the average price group and average price indicator attributes.

7.5.1 Generic APS Allocation Requests

For APS, generic allocation instructions will generate at least two allocation instruction acknowledgements,

one for the Generic allocation instruction, and one or more for the allocation instructions applied to the

underlying Specific groups. Unlike group summary alerts the specific allocation instruction

acknowledgements will not be sent to the allocating firm until the Generic group is completed. Note that with

the FIXML allocate and claim API the allocating firm may submit their own allocation id (IndAllocId). This is

an optional field, and whether or not the firm assigns its own allocation id, the firm allocation instruction will

be assigned an allocation id by the clearing system (IndAllocId2). If a firm does assign their own allocation

id for a Generic allocation instruction that id will be assigned to all the Specific allocations created to satisfy

the Generic allocation.

Generic Allocation Instruction (GA)

<FIXML>

< AllocInstrctn

TransTyp =”0” Å AllocTransType=New

ID="1000" Å Firm Group ID (Firm supplied)

ID2 =”2001” Å Clearing Assigned Generic Group ID

Typ=”2” Å Alloc Type=Preliminary

Qty=”150” Å Allocation Qty

AvgPxInd=”1” Å AveragePriceInd

TrdDt=”2004-05-14” Å Trade Date

MsgEvtSrc=”MQM” Å MessageEventSource=MQM/Firm

Side=”1”> Å Buy/Sell (Buy)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” /> Å Sending Firm Exchange

SID=”123” /> Å Sender ID

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

MMY="200703" Å Contract Period

CFI="FXXXXX" />

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Alloc

IndAllocID=”10000” Å Firm assigned allocation id

Qty=”150” Å AllocationQty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å CarryExchange

<Pty ID=”456” R=”1”/> Å CarryFirm

<Pty ID=”G104A” R=”24”> Å CarryAccount

Å CarryOrigin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

 Note that both the firm and clearing system Generic group ids must be provided on inbound allocation

instructions

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 The absence of the ‘Stat’ attribute and a ‘TransTyp’ of New, and ‘Typ” of Preliminary (2) indicates that

this is an allocation instruction from an allocating firm.

 The CME assigned ID2 references a Generic group.

 This message introduces the “Alloc” block where the claiming firm information should be placed. This is

also where the firm assigned allocation id would be placed. Each Alloc block (<Alloc />) can be

assigned a unique id by the firm and can indicate different carry firm information and quantities. All

Alloc block quantities must equal the overall quantity indicated in the top level of the allocation

instruction.

7.5.2 Specific APS/ACS Allocation Instructions

There are three ways to submit Specific allocations:

 Nested within a trade submission message designated for average price allocation or appended to a

trade already reported.

 Generic allocation instructions for APS are implicitly specific since each Generic allocation instruction

will create one or more Specific allocations.

 As stand alone specific allocation instructions referencing a Specific APS/ACS allocation group. Below

are two examples of stand alone specific allocation instructions, one with the trade data of the Specific

allocation group and one without the trade data.

Specific APS Allocation Instruction with Trade Information (GA)

<FIXML>

< AllocInstrctn

TransTyp =”0” Å AllocTransType=New

ID="1000" Å Firm Group ID

ID2=”3001” Å Specific Group ID (Generated by Clearing)

Typ=”2” Å Alloc Type=Preliminary

Qty=”150” Å Allocation Qty

AvgPxInd=”1” Å AveragePriceInd (Incomplete)

TrdDt=”2004-05-14” Å Trade Date

MsgEvtSrc=”MQM” Å MessageEventSource=MQM/Firm

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/Sell (Buy)

SesSub=”P” Å TradeVenue

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625”> Å Average Price

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” /> Å Sending Firm Exchange

SID=”123” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

MMY="200703" Å Contract Period

CFI="FXXXXX" /> Å CFI code

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Pty ID="123456" R="24"> Å Customer Account

Å Allocating Firm Origin

</Pty>

<Pty ID=”ABC” R=”2” /> Å Specific Group Broker

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”10001” Å Allocation ID (Firm Provided)

Qty=”150” Å Allocation Quantity

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Claiming Firm Exchange

<Pty ID=”456” R=”1”/> Å Claiming Firm

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<Pty ID=”G104A” R=”24”> Å Claiming Firm Customer Account

Å Claiming Firm Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Specific APS Allocation Instruction without Trade Information (GA)

<FIXML>

< AllocInstrctn

TransTyp =”0” Å AllocTransType=New

ID="1000" Å Firm Group ID

ID2=”3001” Å Specific Group ID (Generated by Clearing)

Typ=”2” Å Alloc Type=Preliminary

Qty=”150” Å Allocation Qty

AvgPxInd=”1” Å AveragePriceInd (Incomplete)

TrdDt=”2004-05-14” Å Trade Date

MsgEvtSrc=”MQM” Å MessageEventSource=MQM/Firm

Side=”1” > Å Buy/Sell (Buy)

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sending Firm Exchange

SID=”123” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

MMY="200703" Å Contract Period

CFI="FXXXXX" /> Å CFI Code

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Alloc

IndAllocID=”10001” Å Firm Assigned Allocation ID

Qty=”150” Å Allocation Quantity

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Carry Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Specific ACS Allocation Instruction with Trade Information (GA)

<FIXML>

<AllocInstrctn

ID="500231" Å Firm Group ID

ID2="500231" Å Specific Group ID (Generated by Clearing)

SesSub="P" Å TradeVenue

AvgPx="1.2935" Å Group Price

TrdDt="2007-03-19" Å Trade Date

MLegRptTyp="1" Å Single leg

TransTyp="0" Å AllocTransType=New

Qty="100" Å Quantity

Typ="2" Å Alloc Type=Preliminary

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Side="2"> Å Buy/Sell (Buy)

<Hdr

Snt="2007-03-19T07:01:40-05:00" Å Message Time

SID="770" Å Sender ID

SSub="CME" Å Sending Firm Exchange

<OrdAlloc

ClOrdID="12345678"/> Å Order Number

<Instrmt

ID="EC" Å ProductCode

CFI="FFCPSO" Å CFI Code

MMY="200706" Å Contract Period

Exch="CME"/> Å Product Exchange

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="770" R="1"/> Å Allocating Firm

<Pty ID="ABCDEFGHIJ" R="24"> Å Customer Account

Å Allocating Firm Origin

</Pty>

<Pty ID="TAHO" R="12"/> Å Executing Broker

<Alloc

IndAllocID="16634" Å Firm Assigned Allocation ID

Qty="100"> Å Allocation Quantity

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID="CARRY" R="24"> Å Carry Account

Å Carry Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML></

 Note that the firm group id and clearing system Specific group id must be provided on Specific

allocation instructions

 As outlined in table 3.2.2, only the presence of a TransType of “0” (New) and an AllocType of “2”

(Preliminary) is necessary to indicate that this is a new allocation instruction, AllocStatus is not

necessary.

 Notice that there are two ‘qty’ attributes, one in the main body of the message and one in the Alloc

block. The quantity in the main block indicates the sum of all the allocation quantities contained within

this allocation instruction. The Alloc block is a repeating block, in other words multiple Alloc blocks may

be contained within a single AllocInstrctn message.

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7.6 Allocation Confirms and Alerts

7.6.1 Allocation Instruction Confirms to Allocating Firm

For Basic allocations, once an allocation request has been submitted to the clearing system an Allocation

Report (AllocRpt) is sent back to the allocating firm. The allocation report will always contain all trade data

and confirm whether or not the allocation instruction was valid. For APS only, generic allocation instructions

will be acknowledged but the underlying Specific allocations that are derived from Generic allocation

instructions will not be transmitted to the allocating firm until the group is completed. Specific allocation

instructions will be handled just like Basic allocation instructions. While the firm is not required to submit all

trade data for allocation instructions the allocation report will reflect all trade data for Specific and Basic

allocations and at least product and price information for Generic allocations.

APS Specific Allocation Report Confirmation (GAC)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType=New

Stat=”3” Å Status=Received

RptTyp=”2” Å Report Type=Preliminary

BizDt=”2004-05-14”

ID="1000" Å Firm Average Price Group ID

ID2=”3001” Å Specific Group ID Assigned by Clearing

Qty=”150” Å Allocation Qty

TrdDt=”2004-05-14” Å Trade Date

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/Sell (Buy)

SesSub=”P” Å TradeVenue

InptDev=”API” Å API/UI Indicator

SesID=”RTH” Å BusinessCycleCode

MsgEvtSrc=”CMESys” Å MessageEventSource = CME System

AvgPxInd=”1” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

RptID="1000" > Å Report ID

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TSub=”CME” Å Target Firm Exchange

TID = “123” Å Target Firm ID

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

MMY="200703" Å Contract Period

CFI="FXXXXX" /> Å CFI Code

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Pty ID="123456" R="24"> Å Customer Account

Å Origin

</Pty>

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”10001” Å Allocation ID (Firm Provided)

IndAllocID2=”500001” Å Allocation ID (Clearing system generated)

Qty=”150”

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

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<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

ACS Specific Allocation Report Confirmation (GAC)

<FIXML>

<AllocRpt

BizDt="2007-04-19"

MsgEvtSrc="CMESys" Å MessageEventSource = CME System

TxnTm="2007-04-19T15:12:48-05:00" Å Execution Time (GMT/CST with an offset)

InptDev="API" Å API/UI Indicator

TrdSubTyp="5" Å TradeType

MLegRptTyp=”2” Å Single Leg of multi-leg trade

RptTyp="2" Å Report Type=Preliminary

AvgPx="0.8333" Å Group Price

RptID="500035" Å Report ID

Side="1" Å Buy/Sell (Buy)

ID="500035" Å Firm Average Price Group ID

Stat="3" Å Status=Received

TransTyp="0" Å AllocTransType=New

Qty="1" Å Allocation Qty

TrdDt="2007-04-19" Å Trade Date

SesSub="E" Å TradeVenue

SesID="ETH"> Å BusinessCycleCode

<Hdr

Snt="2007-04-19T15:12:48-05:00" Å Message Time

SID="CME" Å Sender ID

TID="770" Å Target Firm ID

SSub="CME" Å Sender Firm Exchange

TSub="CME"> Å Target Firm Exchange

</Hdr>

<OrdAlloc

ClOrdID="ORDER"> Å Order Number

</OrdAlloc>

<Instrmt

ID="E1" Å Firm Average Price Group ID

CFI="FFCPSO" Å CFI Code

MMY="200706" Å Contract Period

Exch="CME"> Å Product Exchange

</Instrmt>

<Pty ID="CME" R="21"> Å Allocating Firm Exchange

</Pty>

<Pty ID="CME" R="22"> Å Allocating Firm Exchange

</Pty>

<Pty ID="770" R="1"> Å Allocating Firm Exchange

</Pty>

<Pty ID="ACCOUNT" R="24"> Å Customer Account

Å Origin

</Pty>

<Pty ID="7G0L" R="12"> Å Executing Trader

</Pty>

<Pty ID="OPERATORID" R="44"> Å Operator ID

</Pty>

<Alloc

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IndAllocID2="500036" Å Allocation ID (Clearing system generated)

CustCpcty="4" Å CTI Code

Qty="1"> Å Allocation Qty

<Pty ID="CME" R="22"> Å Carry Firm Exchange

</Pty>

<Pty ID="555" R="1"> Å Carry Firm

</Pty>

<Pty ID=" CARRY" R="24"> Å Carry Firm Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

 Note that the TransTyp of New (“0”) and the Stat of Received (“3”) and RptTyp of Preliminary (“2”)

indicates that this is the confirmation of a new allocation instruction.

 The firm’s submitted IndAllocID has been recorded by the clearing system and is reflected on the

confirmation message and a clearing assigned IndAllocID2 has been assigned.

7.6.2 Allocation Alert to Carry Firm

When a valid Basic allocation instruction is received from an allocating firm an allocation report is generated

and routed to the claiming firm designated on the instruction. For average price allocation groups only

Specific allocation reports are sent as alerts to the claiming firm and then only when the Generic group has

been completed. The Clearing System will not pass on the allocating firm’s IndAllocID to the carry firm and

will assign a new, unique IndAllocID2 for the Carry Firm. The group ids are also not passed on to the

claiming firm.

APS Allocation Alert to Claiming Firm (GAA)

<FIXML>

< AllocRpt

TransTyp =”0” Å AllocTransType=New

RptTyp=”11” Å ReportType=AcceptPending

Stat=”3” Å AllocStatus=Received

ID="1000" Å Firm Average Price Group ID

BizDt=”2004-05-14” Å Clearing Business Date

Qty=”150” Å Total Allocation Qty

TrdDt=”2004-05-14” Å Trade Date

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType

MLegRptTyp=”2” Å Single Leg of Multi-Leg Trade

SesSub=”P” Å TradeVenue

Side=”1” Å Buy Sell Indicator (Buy)

MsgEvtSrc=“CMESys” Å MessageEventSource=CME System

SesID=”RTH” Å BusinessCycleCode

AvgPxInd=”2” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

RptID =”1000” Å Report ID

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TSub=”CME” Å Target Firm Exchange

TID = “456” Å Target Firm ID

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

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CFI="FXXXXX" Å ProductPeriod

MMY="200703"/> Å Contract Period

<Pty ID=”CME” R=”22” /> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Pty ID="123456" R="24"/> Å Customer Account

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID2=”500214” Å Allocation ID (Clearing generated)

Qty=”150” Å AllocationQty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

ACS Allocation Alert to Claiming Firm (GAA)

<FIXML>

<AllocRpt

BizDt="2007-04-18" Å Clearing Business Date

MsgEvtSrc="CMESys" Å MessageEventSource=CME System

TxnTm="2007-04-20T08:40:53-05:00" Å Execution Time (GMT/CST with an offset)

InptDev="API" Å API/UI Indicator

TrdSubTyp="6" Å TradeSubType

MLegRptTyp=”2” Å Single Leg of Multi-Leg Trade (Spread)

RptTyp="11" Å ReportType=AcceptPending

AvgPx="1847.75" Å Average Price

RptID="500391" Å Report ID

Side="2" Å Buy Sell Indicator (sell)

ID="500391" Å Firm Average Price Group ID

Stat="3" Å AllocStatus=Received

TransTyp="0" Å AllocTransType=New

Qty="2" Å Total Allocation Qty

TrdDt="2007-04-18" Å Trade Date

SesSub="E" Å TradeVenue

SesID="RTH"> Å BusinessCycleCode

<Hdr

Snt="2007-04-20T08:40:53-05:00" Å Message Time

SID="CME" Å Sender ID

TID="102" Å Target Firm ID

SSub="CME" Å Sending Firm Exchange

TSub="CME"/> Å Target Firm Exchange

<OrdAlloc

ClOrdID="0WXU"/> Å Order Number

<Instrmt

ID="NQ" Å ProductCode

CFI="FFICSO" Å CFI Code

MMY="200706" Å Contract Period

Exch="CME"/> Å ProductExchange

<Pty ID="CME" R="21"/> Å Allocating Firm Exchange

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="287" R="1"/> Å Carry Firm

<Pty ID="R88E0111" R="24"> Å Carry Firm Customer Account

Å Carry Firm Origin

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</Pty>

<Alloc

IndAllocID="500392" Å Allocation ID (Firm Provided)

IndAllocID2="500002" Å Allocation ID (Clearing generated

CustCpcty="4" Å CTI Code

Qtvy="2"> Å AllocationQty

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID=" R88E0111" R="24"> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

 The carry firm is designated in the “Alloc” block of the AllocInstrctn message while the allocating firm is

7.7 Accepting and Rejecting Allocations

7.7.1 ACS/APS Allocation Accept/Reject Request

In order to accept an allocation the carry firm submits an Allocation Report Acknowledgement (AllocRptAck)

message to the Clearing System. The carry firm must use the clearing system assigned Allocation ID

(IndAllocID2) provided to them on the allocation report alert. Additionally the Carry firm may also append

their own Allocation ID (generated by them) using the IndAllocID attribute.

ACS/APS Allocation Accept Request (GC)

<FIXML>

<AllocRptAck

ID="1000" Å Firm Group ID

TransTyp =”0” Å AllocTransType=New

RptTyp=”9” (“10”) Å Allocation Report Type=Accept (Reject)

TrdDt=”2003-01-13” Å Trade Date

AvgPxInd=”2” Å APS Ind (for APS only, exclude for ACS)

MsgEvtSrc=”MQM”

RptID = “500102” Å Trade ID (to be replaced by TrdID)

TrdID=”500102” ÅTrade ID

TxnTm=”2007-02-26T08:15:00”> Å Execution Time

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sending Firm Exchange

SID=”456” /> Å Sender ID

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<AllocAck

IndAllocID=”15000” Å Allocation ID (Carry Firm generated)

IndAllocID2=”500102” Å Allocation ID (Clearing generated)

Qty=”150” Å Allocation Qty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</AllocAck>

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</AllocRptAck>

</FIXML>

 The only specific trade information required on an allocation accept or reject request is the contract

information and the allocating firm information.

 The only difference between an accept and reject is the enumeration supplied with the “RptTyp”

attribute. “9” equals accept and “10” equals reject.

 Also note that on the AllocRptAck the AllocAck Block is used, not the Alloc block.

7.7.2 Allocation Claim Confirm to Carry Firm (GCC Accept)

Each allocation acceptance request will be confirmed by the clearing system. All trade information will be

provided.

APS Allocation Accept Confirm Report to Carry Firm (GCC Accept)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType=New

Stat=”0” Å AllocStat=Accepted (in Clearing)

RptTyp=”12” Å RptType=Complete

BizDt=”2004-05-14”

ID="1000" Å Firm Group ID (Firm supplied)

RptID=”500102” Å Rpt ID (Clearing generated Allocation ID)

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13” Å Trade Date

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/ Sell (Buy)

SesSub=”P” Å Trade Venue

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=“CMESys”

AvgPxInd=”2” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

TxnTm=”2007-02-26T08:15:00” > Å Execution Time

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID = “456” Å Target Firm ID

TSub = “CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

CFI="FXXXXX"

MMY="200703"/> Å Contract Period

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Pty ID="123456" R="24" /> Å Customer Account

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”15000” Å ID sent by Clearing (Optional)

IndAllocID2=”500102” Å Allocation ID (Clearing system generated)

Qty=”100”

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

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<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

ACS Allocation Accept Confirm Report to Carry Firm (GCC Accept)

<FIXML>

<AllocRpt

BizDt="2006-12-26" Å Business Date

MsgEvtSrc="CMESys" Å Message Source (CME Systems)

TxnTm="2006-12-26T10:37:25-06:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TrdSubTyp="6" Å Onset dut to an allocation

RptTyp="12" Å RptType=Complete

AvgPx="1430.25" Å Group Price

RptID="500562" Å Trade ID (to be replaced by TrdID)

Side="1" Å Buy/Sell Indicator

ID="500562" Å Firm Group ID (Firm supplied)

Stat="0" Å AllocStat=Accepted (in Clearing)

TransTyp="0" Å AllocTransType=New

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Qty="9" Å Qty

TrdDt="2006-12-26" Å Trade Date

SesSub="E" Å Trade Venue is Electronic

SesID="RTH"> Å Session is during RTH

<Hdr

Snt="2006-12-26T10:37:25-06:00" Å Message Transmission Time (UTC)

SID="CME" Å Sender ID

TID="102" Å Target ID

SSub="CME" Å Sender Exchange

TSub="CME"/> Å Trader Exchange

<OrdAlloc

ClOrdID="0006M1B0"/> Å Customer Order

<Instrmt

ID="ES" Å Product Code

CFI="FFICSO" Å CFI

MMY="200703" Å Product Period

Exch="CME"/> Å Product Exchange

<Pty ID="CME" R="21"/> Å Clearing Exchange

<Pty ID="CME" R="22"/> Å Executing Firm Exchange

<Pty ID="770" R="1"/> Å Executing Firm

</Pty>

<Pty ID="7G2L" R="12"/> Å Executing Broker

<Pty ID="2464" R="44"/> Å Executing Operator ID

<Alloc

IndAllocID="500563" Å ID sent by Clearing (Optional)

IndAllocID2="500001" Å Allocation ID (Clearing system

generated)

CustCpcty="4" Å CTI

Qty="9"> Å Quantity

<Pty ID="CME" R="22"/> Å Carry Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID=" 50036933" R="24"> Å Carry Firm Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

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</FIXML>

7.7.3 Allocation Claim Confirm to Carry Firm (GCC Reject)

Each allocation acceptance request will be confirmed by the clearing system. All trade information will be

provided.

Allocation Reject Confirm to Carry Firm (GCC)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType=New

Stat=”1” Å AllocStat=Rejected (in Clearing)

RptTyp=”12” Å RptType=Complete

BizDt=”2004-05-14” Å Business Date

ID="1000" Å Firm Group ID (Firm supplied)

RptID=”500102” Å Rpt ID (Clearing generated Allocation ID)

ID2 =”2001” Å Clearing Assigned Specific Group ID

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13” Å Trade Date

TrdTyp=”0” Å TradeType

TrdSubTyp=”8” Å TradeSubType

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/ Sell (Buy)

SesSub=”P” Å Trade Venue

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=“CMESys” Å Message Source (CME Systems)

AvgPxInd=”2” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

TxnTm=”2007-02-26T08:15:00” > Å Execution Time

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID = “456” Å Target Firm ID

TSub = “CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å Product Exchange

ID="SP" Å Product Code

CFI="FXXXXX"

MMY="200703"/> Å Contract Period

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Pty ID="123456" R="24" /> Å Customer Account

<Amt Typ="CRES" Amt=".55625" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”15000” Å ID assigned by Carry Firm (Optional)

IndAllocID2=”500102” Å Allocation ID (Clearing system generated)

Qty=”100”

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

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<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

ACS Allocation Reject Confirm Report to Carry Firm (GCC Rejectt)

<FIXML>

<AllocRpt

BizDt="2006-12-26" Å Business Date

MsgEvtSrc="CMESys" Å Message Source (CME Systems)

TxnTm="2006-12-26T10:37:25-06:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TrdSubTyp="6" Å Onset dut to an allocation

RptTyp="12" Å RptType=Complete

AvgPx="1430.25" Å Group Price

RptID="500562" Å Trade ID (to be replaced by TrdID)

Side="1" Å Buy/Sell Indicator

ID="500562" Å Firm Group ID (Firm supplied)

Stat="1" Å AllocStat=Rejected (in Clearing)

MLegRptTyp=”2” Å Single Leg of multi-leg trade

TransTyp="0" Å AllocTransType=New

Qty="9" Å Qty

TrdDt="2006-12-26" Å Trade Date

SesSub="E" Å Trade Venue is Electronic

SesID="RTH"> Å Session is during RTH

<Hdr

Snt="2006-12-26T10:37:25-06:00" Å Message Transmission Time (UTC)

SID="CME" Å Sender ID

TID="102" Å Target ID

SSub="CME" Å Sender Exchange

TSub="CME"/> Å Trader Exchange

<OrdAlloc

ClOrdID="0006M1B0"/> Å Customer Order

<Instrmt

ID="ES" Å Product Code

CFI="FFICSO" Å CFI

MMY="200703" Å Product Period

Exch="CME"/> Å Product Exchange

<Pty ID="CME" R="21"/> Å Clearing Exchange

<Pty ID="CME" R="22"/> Å Executing Firm Exchange

<Pty ID="770" R="1"/> Å Executing Firm

</Pty>

<Pty ID="7G2L" R="12"/> Å Executing Broker

<Pty ID="2464" R="44"/> Å Executing Operator ID

<Alloc

IndAllocID="500563" Å ID sent by Clearing (Optional)

IndAllocID2="500001" Å Allocation ID (Clearing system generated)

CustCpcty="4" Å CTI

Qty="9"> Å Quantity

<Pty ID="CME" R="22"/> Å Carry Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID=" 50036933" R="24"> Å Carry Firm Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

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 All allocation accept or reject confirmations will have “TranTyp” enumeration of “0” (New) and a “Stat” of

either “0” (Received) or “1” (Rejected)

 Note that the IndAllocID submitted by the Carry firm is sent back on the confirm.

7.7.4 Claim Alert to Allocating Firm

Once the designated carry firm claims an allocation, the allocating firm will receive an alert message

containing all trade and allocation information.

Accepted APS Allocation Alert Report (GCA)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType=New

Stat=”0” Å AllocStat=Accepted

RptTyp=”9” Å RptType=Accept

BizDt=”2004-05-14” Å Clearing Business Date

RptID=”500001” Å Rpt ID (Clearing generated Allocation ID)

TrdDt=”2003-01-13” Å Trade Date

Qty=”100” Å Allocation Qty

TrdTyp=”0” Å Trade Type

TrdSubTyp=”8” Å Trade Sub Type

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/Sell (Buy)

SesSub=”P” Å TradeVenue

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=”MQM” Å MessageEventSource

AvgPxInd=”2” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

TxnTm=”2007-02-26T08:15:00” > Å Execution Time

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID = “123” Å Target Firm ID

TSub = “CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

< Pty ID=”123” R=”1”/> Å Allocating Firm

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Pty ID="123456" R="24" > Å Customer Account

Å Origin

</Pty>

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”10001” Å Allocation ID (Firm generated sent in GC)

IndAllocID2=”500001” Å Allocation ID (Clearing generated)

Qty=”100” Å Allocation Qty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

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©Chicago Mercantile Exchange, 2005

<Pty ID=”G104A” R=”24”> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

Accepted ACS Allocation Alert Report (GCA)

<FIXML>

<AllocRpt

BizDt="2006-12-26" Å Clearing Business Date

MsgEvtSrc="CMESys" Å Message Source (CME Systems)

TxnTm="2006-12-26T10:37:25-06:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TrdSubTyp="5" Å 5= Offset due to an allocation

RptTyp="9" Å RptType=Accept

AvgPx="1430.25" Å Group Price

RptID="500562" Å Trade ID (to be replaced by TrdID)

TrdID="500562" Å Trade ID

Side="2" Å Buy/Sell

ID="500562" Å Firm Group ID (Firm supplied)

Stat="0" Å AllocStat=Accepted

TransTyp="0" Å AllocTransType=New

Qty="9" Å Qty

TrdDt="2006-12-26" Å Trade Date

SesSub="E" Å Trade Venue is Electronic

SesID="RTH"> Å Session is during ETH

<Hdr

Snt="2006-12-26T10:37:25-06:00" Å Message Time

SID="CME" Å Sender ID

TID="770" Å Target Firm ID

SSub="CME" Å Sending Firm Exchange

TSub="CME"/> Å Target Firm Exchange

<OrdAlloc

ClOrdID="0006M1B0"/> Å Order Number

<Instrmt

ID="ES" Å ProductCode

CFI="FFICSO"

MMY="200703" Å ProductPeriod

Exch="CME"/> Å Product Exchange

<Pty ID="CME" R="21"/> Å Allocating Firm Exchange

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="770" R="1"/> Å Carry Firm

<Pty ID="50036933" R="24"> ÅCarry Firm Customer Account

Å Origin

</Pty>

<Alloc

IndAllocID2="500563" Å Allocation ID (Clearing generated)

CustCpcty="4" Å CTI Code

Qty="9"> Å Allocation Qty

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID=" 50036933" R="24"> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

Page 75 of 113 FIXML Allocation API User’s Guide March 2005

©Chicago Mercantile Exchange, 2005

</FIXML>

7.7.5 Claim (Reject) Alert to Allocating Firm

Once the designated carry firm claims an allocation, the allocating firm will receive an alert message

containing all trade and allocation information.

Rejected APS Allocation Alert Report (GCA Reject)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType=New

Stat=”0” Å AllocStat=Accepted

RptTyp=”10” Å Allocation Report Type=Reject

RptID=”500001” Å Rpt ID (Clearing generated Allocation ID)

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2003-01-13” Å Trade Date

Qty=”100” Å Allocation Qty

TrdTyp=”0” Å Trade Type

TrdSubTyp=”8” Å Trade Sub Type

MLegRptTyp=”2” Å Single Leg of multi-leg trade

Side=”1” Å Buy/Sell (Buy)

SesSub=”P” Å TradeVenue

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=”MQM” Å MessageEventSource

AvgPxInd=”2” Å AveragePriceInd

RndPx=”1097.00” Å Rounded Price

AvgPx=”1097.55625” Å Average Price

TxnTm=”2007-02-26T08:15:00” > Å Execution Time

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID = “123” Å Target Firm ID

TSub = “CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<OrdAlloc

ClOrdID=”A456721” /> Å Order Number

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

< Pty ID=”123” R=”1”/> Å Allocating Firm

<Pty ID=”ABC” R=”2” /> Å Executing Broker

<Pty ID="123456" R="24" > Å Customer Account

Å Origin

</Pty>

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount

<Alloc

IndAllocID=”10001” Å Allocation ID (Firm generated sent in GC)

IndAllocID2=”500001” Å Allocation ID (Clearing generated)

Qty=”100” Å Allocation Qty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

Page 76 of 113 FIXML Allocation API User’s Guide March 2005

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Firm Customer Account

Å Carry Firm Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

Rejected ACS Allocation Alert Report (GCA Reject)

<FIXML>

<AllocRpt

BizDt="2006-12-26" Å Clearing Business Date

MsgEvtSrc="CMESys" Å Message Source (CME Systems)

TxnTm="2006-12-26T10:37:25-06:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TrdSubTyp="5" Å 5= Offset due to an allocation

RptTyp="10" Å RptType=Reject

AvgPx="1430.25" Å Group Price

RptID="500562" Å Trade ID (to be replaced by TrdID)

TrdID="500562" Å Trade ID

Side="2" Å Buy/Sell

ID="500562" Å Firm Group ID (Firm supplied)

Stat="0" Å AllocStat=Accepted

TransTyp="0" Å AllocTransType=Replace

Qty="9" Å Allocation Qty

TrdDt="2006-12-26" Å TradeDate

SesSub="E" Å TradeVenue

SesID="RTH"> Å Session is during RTH

<Hdr

Snt="2006-12-26T10:37:25-06:00" Å Message Time

SID="CME" Å Sender ID

TID="770" Å Target Firm ID

SSub="CME" Å Sending Firm Exchange

TSub="CME"/> Å Target Firm Exchange

<OrdAlloc

ClOrdID="0006M1B0"/> Å Order Number

<Instrmt

ID="ES" Å ProductCode

CFI="FFICSO"

MMY="200703" Å ProductPeriod

Exch="CME"/> Å ProductExchange

<Pty ID="CME" R="21"/> Å Carry Firm Exchange

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="770" R="1"/> Å Carry Firm

<Pty ID="50036933" R="24"> Å Carry Firm Account

Å Origin

</Pty>

<Alloc

IndAllocID2="500563" Å Allocation ID (Clearing Assigned

CustCpcty="4" Å CTI Code

Qty="9"> Å Allocation Qty

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="102" R="1"/> Å Carry Firm

<Pty ID=" 50036933" R="24"> ÅCarry Firm Customer Account

</Pty>

</Alloc>

</AllocRpt>

Page 77 of 113 FIXML Allocation API User’s Guide March 2005

</FIXML>

 All allocation accept or reject confirmations will have “TranTyp” enumeration of “0” (New) and an “Stat”

of either “0” (Accepted) or “1” (Rejected) and a ‘Typ’ of either “9” (Accept) or “10” (Reject).

 All trade information is supplied on an Accepted Allocation Alert.

 The allocation accept or reject alert can be differentiated from a confirm of an accept or reject request

by the presence of the “Typ” attribute with an enumeration of either “9” (Accept) or “10” (Reject).

Page 78 of 113 FIXML Allocation API User’s Guide March 2005

7.8 Update Allocations

7.8.1 Update Allocation Request from Allocating Firm (GA Chg)

The Allocating firm can update an un-accepted or rejected allocation. The Allocating uses the clearing

system assigned Allocation ID in the Alloc Block to specify which allocation should be updated and the

clearing system assigned Group ID.

Allocating Firm Update APS Allocation Request (GA Chg)

<FIXML>

<AllocInstrctn

TransTyp =”1” Å AllocTransType=Replace

Typ=”2” Å Alloc Type=Preliminary

ID="1000" Å Firm Group ID (Firm supplied)

ID2 =”3001” Å Specific Group ID ClearingGenerated

TrdDt=”2004-05-14” Å TradeDate

Qty=”100” Å Allocation Qty

TrdTyp=”0” Å TradeType

MLegRptTyp=”1” Å Single Leg of multi-leg trade

Side=”1” Å BuySell(Buy)

SesSub=”P” Å TradeVenue

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=”MQM” Å MessageEventSource

AvgPxInd=”2”> Å AveragePriceInd

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub = “CME” Å Sending Firm Exchange

SID=”092” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22” /> Å GiveupExchange

<Pty ID=”123” R=”1” /> Å GiveupFirm

<Pty ID=”DEF” R=”2” /> Å GiveupBroker

<Alloc

IndAllocID=”10001” Å Allocation ID (Firm supplied)

IndAllocID2=”500001” Å Allocation ID (Clearing Assigned

Qty=”100” Å Allocation Qty

CustCpcty=”4”> Å CTI Code

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”789” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Firm Account

Å Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Allocating Firm Update ACS Allocation Request (GA Chg)

<FIXML>

<AllocInstrctn

BizDt="2007-04-19" Å Clearing Business Date

MsgEvtSrc="MQM" Å MessageEventSource

TxnTm="2007-04-19T15:12:48-05:00" Å Execution Time

Typ="2" Å Alloc Type=Preliminary

Page 79 of 113 FIXML Allocation API User’s Guide March 2005

AvgPx="0.8333" Å Group Price

RptID="500035" Å Trade ID (to be replaced by TrdID)

Side="1" Å BuySell(Buy)

ID="500035" Å Carry Firm

TransTyp="1" Å AllocTransType=Replace

Qty="1" Å Allocation Qty

TrdDt="2007-04-19" Å TradeDate

SesSub="E" Å TradeVenue

SesID="ETH"> Å Session is during ETH

<Hdr

Snt="2007-04-19T15:12:48-05:00" Å Message Time

SID="770" Å Sender ID

SSub="CME" /> Å Sending Firm Exchange

<OrdAlloc

ClOrdID="818C8D2D"/>

<Instrmt

ID="E1" Å Carry Firm

CFI="FFCPSO"

MMY="200706" Å ProductPeriod

Exch="CME"/> Å ProductExchange

<Pty ID="CME" R="21"/> Å Allocating Firm Exchange

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="770" R="1"/> Å Carry Firm

<Pty ID="50052039" R="24 Å GiveupFirm

</Pty>

<Alloc

IndAllocID2="500036" Å Allocation ID (Clearing Assigned

CustCpcty="4" Å CTI Code

Qty="1"> Å Allocation Qty

<Pty ID="CME" R="22"/> Å Allocating Firm Exchange

<Pty ID="805" R="1"/> Å Carry Firm

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Page 80 of 113 FIXML Allocation API User’s Guide March 2005

7.8.2 Update Allocation from Carry Firm (Post Claim) (GC Chg)

The Carry firm can change non-critical fields after they have claimed the allocation. The Carry firm will have

to send the Specific Allocation ID and the Firm information that they are referring to.

Update Allocation Request from Carry Firm for both APS and ACS (GC Chg)

<FIXML>

<AllocRptAck

ID=”1000”

RptID=”500102” Å Rpt ID (Clearing generated Allocation ID)

TransTyp =”1” Å AllocTransType = Replace

RptTyp=”8” Å Allocation Report Type=Request

Side=”1” Å Buy/Sell (Buy)

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13” Å TradeDate

MsgEvtSrc=”MQM”>

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sender Firm Exchange ID

SID=”456” /> Å Sender ID

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<AllocAck

IndAllocID2=”500102” Å

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin (Origin change from 1 to 2)

</Pty>

</AllocAck>

</AllocRptAck>

</FIXML>

Page 81 of 113 FIXML Allocation API User’s Guide March 2005

7.8.3 Update Allocation Confirmation to Carry Firm (GCC Chg)

Update Allocation Confirmation to Carry Firm for APS and ACS (GCC Chg)

<FIXML>

<AllocRpt

RptID=”500102” Å Rpt ID (Clearing generated Allocation ID)

ID=”1000” Å APS Group ID

TransTyp =”1” Å AllocTransType=Replace

Stat=”0” Å AllocStat=Accepted

RptTyp=”12” Å Allocation Report Type=Complete

Side=”1” Å Buy/Sell (Buy)

BizDt=”2004-05-14” Å Clearing Business Date

Qty=”100” Å GroupQuantity

TrdDt=”2003-01-13” Å TradeDate

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=”MQM”>

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TSub=”CME” Å Target Firm Exchange ID

TID=”456” Å Target Firm ID

SID=”CME” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<Alloc

IndAllocID2=”500102” Å Carry Firm Individual Alloc ID (Provided

to them by the Clearing System)

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin (Origin change from 1 to 2)

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

Page 82 of 113 FIXML Allocation API User’s Guide March 2005

7.9 Reversing Allocations

The claiming firm can request that an accepted allocation be released on the same day that the allocation is

accepted. After the allocation is cleared it can only be released / reversed by a request from the allocating

firm. The Clearing System determines if it is a release or a reversal based on the Clearing date and the

Trade date and the Allocation Ids.

Release Request from Carry Firm (APS/ACS) (GI)

<FIXML>

<AllocInstrctn

TransTyp =”6” Å AllocTransType = Reversal/Release

Typ=”8” Å Alloc Type=Request

ID=”1000”

Side=”1” Å Buy/Sell (Buy)

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13” Å TradeDate

MsgEvtSrc=”MQM”>

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sender Firm Exchange ID

SID=”456” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Alloc

IndAllocID2=”500102” Å Clearing Assigned ID

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Reverse Request from Allocating Firm (APS/ACS)(GI)

<FIXML>

<AllocInstrctn

BizDt="2007-04-18" Å Clearing Business Date

TxnTm="2007-04-18T17:01:48-05:00" Å Execution Time

InptDev="API" Å API/UI Indicator

Typ="8" Å Alloc Type=Request

AvgPx="0.09065" Å Group Price

RptID="500196" Å Rpt ID (Clearing generated Allocation

ID)

Side="2" Å Buy/Sell (sell)

ID="500196" Å APS Group ID

TransTyp="6" Å AllocTransType = Reversal/Release

Qty="22" Å Group Quantity

TrdDt="2007-04-18" Å TradeDate

Page 83 of 113 FIXML Allocation API User’s Guide March 2005

SesSub="E" Å TradeVenue

SesID="RTH"> Å Session is during RTH

<Hdr

Snt="2007-04-18T17:01:48-05:00"

SID="505" Å Sender ID

SSub="CME" /> Å Sender Firm Exchange ID

<OrdAlloc

ClOrdID="V-15"/> Å Order Number

<Instrmt

ID="MP" Å ProductCode

CFI="FFCPSO" Å CFI

MMY="200706" Å ProductPeriod

Exch="CME"/> Å ProductExchange

<Pty ID="CME" R="21"/> Å Carry Firm Exchange

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="505" R="1"/> Å Carry Firm

<Pty ID="MFT" R="24"> Å ProductCode

Å Origin

</Pty>

<Alloc

IndAllocID2="500197" Å Clearing Assigned ID

CustCpcty="4" Å CTI Code (CTI Change)

Qty="22"> Å Allocation Quantity

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="660" R="1"/> Å Carry Firm

<Pty ID="MFT" R="24"> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Page 84 of 113 FIXML Allocation API User’s Guide March 2005

7.9.1 Release Request Confirm to Carry Firm (GIC)

Release Request Confirm to Carry Firm (GIC)

<FIXML>

<AllocRpt

TransTyp =”6” Å AllocTransType = Reversal/Release

Stat=”3” Å AllocStat=Received

RptTyp=”8” Å Alloc Report Type=Request

RptID=”500102” Å Report ID

Side=”1” Å Buy/Sell (Buy)

BizDt=”2004-05-14” Å Clearing Business Date

Qty=”100” Å GroupQuantity

TrdDt=”2003-01-13” Å TradeDate

InptDev=”API” Å API/UI Indicator

MsgEvtSrc=”MQM”>

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”456” Å Target ID

TSub=”CME” Å Target Firm Exchange ID

SID=”CME” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1” /> Å Allocating Firm

<Alloc

IndAllocID2=”500102” Å Carry Firm Individual Alloc ID (Provided

to them by the Clearing System)

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

Page 85 of 113 FIXML Allocation API User’s Guide March 2005

Reverse Request Confirm to Carry Firm (ACS) (GIC)

<FIXML>

<AllocRpt

BizDt="2007-04-18" Å Clearing Business Date

MsgEvtSrc="CMESys"

TxnTm="2007-04-19T17:29:29-05:00" Å Execution Time

InptDev="API" Å API/UI Indicator

TrdSubTyp="5" Å 5= Offset due to an allocation

RptTyp="8" Å Alloc Report Type=Request

AvgPx="0.09065" Å Group Price

RptID="500196" Å Rpt ID (Clearing generated Allocation ID)

Side="2" Å Buy/Sell (sell)

ID="500196" Å ProductCode

Stat="3" Å AllocStat=Received

TransTyp="6" Å AllocTransType = Reversal/Release

Qty="22" Å GroupQuantity

TrdDt="2007-04-18" Å TradeDate

SesSub="E" Å TradeVenue

SesID="RTH"> Å Session is during RTH

<Hdr

Snt="2007-04-19T17:29:29-05:00" Å Message Time

SID="CME" Å Sender ID

TID="505" Å Target ID

SSub="CME" Å Sender Firm Exchange ID

TSub="CME"/> Å Target Firm Exchange ID

<OrdAlloc

ClOrdID="V-15"/> Å Order Number

<Instrmt

ID="MP" Å ID (Firm Group ID)

CFI="FFCPSO"

MMY="200706" Å ProductPeriod

Exch="CME"/> Å ProductExchange

<Pty

ID="CME" Å ProductCode

R="21"/> Å Allocating Firm Exchange

<Pty

ID="CME"

R="22"/> Å Allocating Firm Exchange

<Pty

ID="505"

R="1"/> Å Allocating Firm Exchange

<Pty

ID="MFT" Å ProductCode

R="24"> Å Allocating Firm Exchange

Å Origin

</Pty>

<Alloc

IndAllocID2="500197" Å Carry Firm Individual Alloc ID

CustCpcty="4" Å CTI Code (CTI Change)

Qty="22"> Å Allocation Quantity

<Pty ID="CME" R="22"/> Å Carry Firm Exchange

<Pty ID="660" R="1"/> Å Carry Firm

Pty ID=" MFT" R="24"> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocRpt>

Page 86 of 113 FIXML Allocation API User’s Guide March 2005

</FIXML>

7.10 Sub Allocations/ Third Party Allocations by Carry Firm

7.10.1 Sub Allocation request from Carry Firm

The carry firm communicates sub-allocation or third-party allocation requests using the Allocation Instruction

message. The original claiming firm specifies the sub allocating firm / third party information in an allocation

block. In the first allocation block the original claim firm identifies the original allocation it claimed. All

subsequent allocation blocks are used to indicate the third-party or sub-allocation instructions.

Carry Firm Sub Allocates a Claimed Allocation (ACS/APS) (GC)

<FIXML>

<AllocInstrctn

TransTyp =”1” Å AllocTransType = Replace

Typ=”8” Å Alloc Type=Request

Side=”1” Å Buy/Sell (Buy)

ID=”1000” Å ID (Firm Group ID)

ID2=”1001” Å ID2 (Clearing generated APS ID)

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13”

MsgEvtSrc=”MQM”>

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

SSub=”CME” Å Sender Firm Exchange ID

SID=”456” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<Alloc

IndAllocID2=”500102” Å Clearing Assigned ID

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

<Alloc

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104B” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocInstrctn>

</FIXML>

Page 87 of 113 FIXML Allocation API User’s Guide March 2005

7.10.2 Sub Allocation request confirm from Clearing System

The clearing firm acknowledges the Sub allocation request with a status of received. The clearing system

treats this as a new allocation request. A new group is created and the carry firm is notified. Allocation

request confirm is sent to the carry firm and an allocation alert is sent to the sub allocating firm.

Clearing System Acknowledges the Sub Allocation request (APS/ACS) (GCC)

<FIXML>

<AllocRpt

TransTyp =”0” Å AllocTransType = New

Stat=”3” Å Alloc Stat=Received

RptTyp=”2” Å Alloc Report Type=Preliminary

Side=”1” Å Buy/Sell (Buy)

Qty=”100” Å Group Quantity

TrdDt=”2003-01-13”

MsgEvtSrc=”MQM”

RptID = “500102” > Å Report ID

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID = “123” Å TargetID

TSub = “CME” Å Target Firm Exchange

SID=”456” /> Å Sender ID

<Instrmt

Exch="CME" Å ProductExchange

ID="SP" Å ProductCode

CFI="FXXXXX"

MMY="200703"/> Å ProductPeriod

<Pty ID=”CME” R=”22”/> Å Allocating Firm Exchange

<Pty ID=”123” R=”1”/> Å Allocating Firm

<Alloc

IndAllocID2=”500102” Å Clearing Assigned ID

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104A” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

<Alloc

Qty=”100” Å Allocation Quantity

CustCpcty=”5”> Å CTI Code (CTI Change)

<Pty ID=”CME” R=”22” /> Å Carry Firm Exchange

<Pty ID=”456” R=”1”/> Å Carry Firm

<Pty ID=”G104B” R=”24”> Å Carry Account

Å Origin

</Pty>

</Alloc>

</AllocRpt>

</FIXML>

Page 88 of 113 FIXML Allocation API User’s Guide March 2005

7.11 Transfers done thru Clearing UI

7.11.1 Transfer Add Acknowledgement to the executing Firm

The clearing system acknowledges each trade submission from the UI with a Trade Capture Report. This is

an add Acknowledgement of a Transfer trade submitted thru the UI to the executing firm.

Trade Capture Report Confirm for a Transfer (Add)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID=”10001” Å Trade ID for the Executing Firm

RptTyp=”0” Å Trade Report Type 0=Submit

TransTyp="0" Å TransTyp=New

TrdRptStat=”0” Å Trade Report Status 0=Accepted

TrdTyp=”3” Å TradeType 3=Transfer

MLegRptTyp=”1”

TrnsfrRsn=”E” Å This is the Order Type in TREX

MtchStat=”1” Å MtchStat 1=Unmatched

LastPx=”1098.00” Å Trade Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

LastQty=”150” Å Trade Quantity

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2007-02-26” Å Trade Date

AvgPx=”1098.4352” Å Average Price (for future use)

MsgEvtSrc=“CMESys”> Å MessageEventSource=CME System

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”123” Å Target Firm ID (Executing Firm)

TSub=”CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<Instrmt

Exch=”CME” Å ProductExchange

ID=”SP” Å ProductCode

CFI=”FXXXXX”

MMY=”200703”/> Å ProductPeriod

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount (Optional)

<RptSide

CustCpcty=”4”

Side=”1”

ClOrdID=” A456721”

SesID=”RTH” Å Business Cycle

SesSub=”X”> Å Venue is X-Pit

<Pty ID=”CME” R=”21”/> Å Clearing Org

<Pty ID=”CME” R=”22”/> Å Exchange

<Pty ID=”123” R=”1”> Å Executing Firm (Required)

<Pty ID=”12345” R=”24”> Å Customer Acct Firm (Required)

Å Origin (Required)

</Pty>

<Pty ID=”ABC” R=”12”/> Å Executing Trader (Optional)

<Pty ID=”CME” R=”42”/> Å Contra Exchange

<Pty ID=”350” R=”17”/> Å Opposite Firm (Required)

</RptSide>

</TrdCaptRpt>

</FIXML>

Page 89 of 113 FIXML Allocation API User’s Guide March 2005

7.11.2 Transfer Claim Acceptance from the Claim Firm

When the Claim firm accepts the trade thru the Clearing System UI, they receive a TradeCaptRpt

acknowledging the Match and Claim.

Trade Capture Report Acceptance for a Transfer (Change)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID=”20001” Å Trade ID

RptTyp=”2” Å Trade Report Type 2=Accept

TransTyp="2" Å TransTyp=Change

TrdRptStat=”0” Å Trade Report Status 0=Accepted

TrdTyp=”3” Å TradeType 3=Transfer

MLegRptTyp=”1”

TrnsfrRsn=”E” Å This is the Order Type in TREX

MtchStat=”0” Å MtchStat 0=Match

LastPx=”1098.00” Å Trade Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

LastQty=”150” Å Trade Quantity

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2007-02-26” Å Trade Date

MsgEvtSrc=“CMESys”> Å MessageEventSource=CME System

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”350” Å Target Firm ID (Executing Firm)

TSub=”CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<Instrmt

Exch=”CME” Å ProductExchange

ID=”SP” Å ProductCode

CFI=”FXXXXX”

MMY=”200703”/> Å ProductPeriod

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount (Optional)

<RptSide

CustCpcty=”4”

Side=”1”

ClOrdID=” A456721”

SesID=”RTH” Å Business Cycle

SesSub=”X”> Å Venue is X-Pit

<Pty ID=”CME” R=”21”/> Å Clearing Org

<Pty ID=”CME” R=”22”/> Å Exchange

<Pty ID=”123” R=”1”/> Å Executing Firm (Required)

Customer Acct Firm (Optional)

Origin (Optional)

</Pty>

Executing Trader (Optional)

<Pty ID=”CME” R=”42”/> Å Contra Exchange (Required)

<Pty ID=”350” R=”17”> Å Opposite Firm (Required)

<Pty ID=”67890” R=”24”> Å Customer Acct Firm (Required)

Å Origin (Required)

</Pty>

Opposite Trader (Optional)

</RptSide>

</TrdCaptRpt>

</FIXML>

Page 90 of 113 FIXML Allocation API User’s Guide March 2005

7.11.3 Transfer Claim Acceptance Alert to the Executing Firm

When the Claim firm accepts the trade thru the Clearing System UI, the executing firm receives an alert of

the Claim.

Trade Capture Report Acceptance Alert of the Transfer (Change)

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID=”10001” Å Trade ID

RptTyp=”2” Å Trade Report Type 2=Accept

TransTyp="2" Å TransTyp=Change

TrdRptStat=”0” Å Trade Report Status 0=Accepted

TrdTyp=”3” Å TradeType 3=Transfer

MLegRptTyp=”1”

TrnsfrRsn=”E” Å This is the Order Type in TREX

MtchStat=”0” Å MtchStat 0=Match

LastPx=”1098.00” Å Trade Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

LastQty=”150” Å Trade Quantity

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2007-02-26” Å Trade Date

MsgEvtSrc=“CMESys”> Å MessageEventSource=CME System

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”123” Å Target Firm ID (Executing Firm)

TSub=”CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<Instrmt

Exch=”CME” Å ProductExchange

ID=”SP” Å ProductCode

CFI=”FXXXXX”

MMY=”200703”/> Å ProductPeriod

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount (Optional)

<RptSide

CustCpcty=”4”

Side=”1”

ClOrdID=” A456721”

SesID=”RTH” Å Business Cycle

SesSub=”X”> Å Venue is X-Pit

<Pty ID=”CME” R=”21”/> Å Clearing Org

<Pty ID=”CME” R=”22”/> Å Executing Exchange (Required)

<Pty ID=”123” R=”1”/> Å Executing Firm (Required)

Customer Acct Firm (Optional)

Origin (Optional)

</Pty>

Executing Trader (Optional)

<Pty ID=”CME” R=”42”/> Å Contra Exchange (Required)

<Pty ID=”350” R=”17”> Å Opposite Firm (Required)

Customer Acct Firm (Optional)

Origin (Optional)

</Pty>

Opposite Trader (Optional)

</RptSide>

</TrdCaptRpt>

</FIXML>

Page 91 of 113 FIXML Allocation API User’s Guide March 2005

7.11.4 Transfer Release Acceptance Confirm to the Executing Firm

When and Executing Firm accepts the transfer release from the UI the executing Firm gets a delete and the

claim firm gets a

Trade Capture Report Release Acceptance Confirm of the Transfer

<?xml version=”1.0” encoding=”UTF-8” ?>

<FIXML>

<TrdCaptRpt

RptID=”10001” Å Trade ID

RptTyp=”2” Å Trade Report Type 2=Accept

TransTyp="2" Å TransTyp=Change

TrdRptStat=”0” Å Trade Report Status 0=Accepted

TrdTyp=”3” Å TradeType 3=Transfer

MLegRptTyp=”1”

TrnsfrRsn=”E” Å This is the Order Type in TREX

MtchStat=”1” Å 1=Unmatch

LastPx=”1098.00” Å Trade Price

TxnTm=”2007-02-26T08:15:00” Å Execution Time

LastQty=”150” Å Trade Quantity

BizDt=”2004-05-14” Å Clearing Business Date

TrdDt=”2007-02-26” Å Trade Date

MsgEvtSrc=“CMESys”> Å MessageEventSource=CME System

<Hdr

Snt = “2007-02-26T08:20:00-05:00” Å Message Time

TID=”123” Å Target Firm ID (Executing Firm)

TSub=”CME” Å Target Firm Exchange

SID=”CME” /> Å Sender ID

<Instrmt

Exch=”CME” Å ProductExchange

ID=”SP” Å ProductCode

CFI=”FXXXXX”

MMY=”200703”/> Å ProductPeriod

<Amt Typ="CRES" Amt=".25" Ccy="USD" /> Å Residual Amount (Optional)

<RptSide

CustCpcty=”4”

Side=”1”

ClOrdID=” A456721”

SesID=”RTH” Å Business Cycle

SesSub=”X”> Å Venue is X-Pit

<Pty ID=”CME” R=”21”/> Å Clearing Org

<Pty ID=”CME” R=”22”/> Å Executing Exchange (Required)

<Pty ID=”123” R=”1”/> Å Executing Firm (Required)

Customer Acct Firm (Optional)

Origin (Optional)

</Pty>

Executing Trader (Optional)

<Pty ID=”CME” R=”42”/> Å Contra Exchange (Required)

<Pty ID=”350” R=”17”> Å Opposite Firm (Required)

Customer Acct Firm (Optional)

Origin (Optional)

</Pty>

Opposite Trader (Optional)

</RptSide>

</TrdCaptRpt>

</FIXML>

Page 92 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8 Required Fields

8.1 Required Fields on Inbound Allocation Instruction Messages

Create Allocation (GA) Update Allocation

(GA Chg)

Allocation Reversal

(GI)

Element Attribute

Reqd

(Y/N) FIXML Value Reqd

(Y/N) FIXML Value

Comments

/AllocInstrctn/ @TransTyp Y @TransTyp=”0”

New

Y @TransTyp=”1”

Replace

Y @TransTyp=”6”

Reversal

The Allocation Trans

Type.

@Typ Y @Typ=”2”

Preliminary

Y @Typ=”2”

Preliminary

Y @Typ=”8”

Request

N/A Allocation Type of

the allocation. This is

not set in messages

@Stat N N/A N N/A N N/A N/A (Attribute is not set

on messages sent by

firms)

@ID Y @ID=value Y @ID=value Y @ID=value If the firm generated

APS ID is not provided it

will be set to 0.

@ID2 Y @ID=value Y @ID=value Y @ID=value The Clearing System

generated

@TrdDt Y @TrdDt=YYYY-

MM-DD

Y @TrdDt=YYYY-

MM-DD

Y @TrdDt=YYYY-

MM-DD

The Trade date of the

Trade

@TrdTyp N N Y @TrdTyp=value This attribute is required

if the allocation is a

Specific allocation.

@TrdSubTyp N @TrdSubTyp=

value

N @TrdSubTyp=

value

N @TrdSubTyp=

value

The Trade Subtype

additionally qualifies the

Trade.

@MlegRptTyp N @MlegRptTyp=

value

N @MlegRptTyp=val

Additionally the trade

and instrument.

@CustCpcty N N N

Page 93 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Create Allocation (GA) Update Allocation

(GA Chg)

Allocation Reversal

(GI)

Element Attribute

Reqd

(Y/N) FIXML Value Reqd

(Y/N) FIXML Value

Comments

@SesSub N @SesSub=valu

N @SesSub=value N @SesSub=value This is the venue of the

trade. If the allocation is

a specific Allocation, it is

required. (This is the

trade venue). It is a fee

specific attribute

@SesID N @SesID=value N @SesID=value N @SesID=value This is te trading

session.

@Qty Y @Qty=value N @Qty=value N @Qty=value The allocation Quantity

@Side Y @Side=value N @Side=value N @Side=value

@MsgEvtSrc Y @MsgEvtSrc=”

MQM”

Y @MsgEvtSrc=”MQ

M”

Y @MsgEvtSrc=”MQ

M”

The Source of the

Message. The firm send

a value of MQM always.

@InptDev Y @InptDev=”API” Y @InptDev=”API” Y @InptDev=”API” If the allocation is sent

using an API this is set

to “API”.

@AvgPxInd Y 1=Incomplete Y 1=Incomplete Y 2=Complete The presence of this

attribute implies that this

is an APS Allocation.

@AvgPx N @AvgPx=value N @AvgPx=value N @AvgPx=value The firm may provide

the Average Price but

will be ignored by

Clearing

@RndPx N @AvgPx=value N @AvgPx=value N @AvgPx=value The Rounded Average

Price

/AllocInstrctn/Hdr/ @Snt Y Y Y The firm sends the

Message Time. Its is

required for Audit

purpose. The format is

GMT or CST with an

Offset.

@SID Y @SID=Firm ID Y SID=Firm ID Y SID=Firm ID The Firm will send its ID

here

Page 94 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Create Allocation (GA) Update Allocation

(GA Chg)

Allocation Reversal

(GI)

Element Attribute

Reqd

(Y/N) FIXML Value Reqd

(Y/N) FIXML Value

Comments

@SSub Y @SSub

=Sending Firm

Exchange

Y @SSub =Sending

Firm Exchange

Y @SSub =Sending

Firm Exchange

The Exchange of the

sending Firm

/AllocInstrctn/Instrmt/ Though this element is

not required in Change

and Reversal messages

it is recommended

sending it.

@Exch Y @Exch=CME N N The Product Exchange

Code

@Exch=”CBT”

@ID Y N N The Product ID (as

required by CME)

@CFI Y N N Refer to CFI code

@MMY Y N N

/AllocIInstrctn/Pty[1]/ @ID, @R Y ID =”value”,

R=22

Y ID =”value”, R=22 Y ID =”value”, R=22 Give-up Exchange

/AllocIInstrctn/Pty[2]/ @ID, @R Y ID =”value”, R=1 Y ID =”value”, R=1 Y ID =”value”, R=1 Give-up Firm

/AllocIInstrctn/Pty[3]/ @ID, @R N ID =”value”, R=2 N ID =”value”, R=2 N ID =”value”, R=2 Give-up Broker

/AllocInstrctn/Pty[3]/Sub/ @ID, @Typ N ID=value,

Typ=26

N ID=value, Typ=26 N ID=value, Typ=26 Typ=26 is Account Type

/AllocInstrctn/Amt/ N N N This element is

Optional. This is used

by the Clearing System

to transmit the Residual

Price

@Typ N @Typ=”CRES” N @Typ=”CRES” N @Typ=”CRES” The Amount Type. The

valid value for APS

messages is “CRES”

Page 95 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Create Allocation (GA) Update Allocation

(GA Chg)

Allocation Reversal

(GI)

Element Attribute

Reqd

(Y/N) FIXML Value Reqd

(Y/N) FIXML Value

Comments

@Amt N @Amt=value N @Amt=value N @Amt=value The Cash Residual

Amount

@Ccy N @Ccy=value N @Ccy=value N @Ccy=value

/AllocInstrctn/Alloc/ This block is the

Allocation Block.

@IndAllocID N @IndAllocID=val

N @IndAllocID=value N @IndAllocID=value Firm supplied Allocation

@IndAllocID2 N @IndAllocID2=v

alue

Y @IndAllocID2=valu

Clearing System

generated Allocation ID

@Qty Y N

@CustCpcty

/AllocInstrctn/Alloc/Pty[1]/ @ID, @R Y ID =value, R=22 Y ID =”value”, R=22 Y ID =”value”, R=22 Carry Exchange

/AllocInstrctn/Alloc/Pty[2]/ @ID, @R Y ID =value, R=1 Y ID =”value”, R=1 Y ID =”value”, R=1 Carry Firm

/AllocInstrctn/Alloc/Pty[3]/ @ID, @R N ID =value, R=24 N ID =”value”, R=24 Y ID =”value”, R=24 Carry Account

/AllocInstrctn/Alloc/Pty[3]/

Sub/

@ID, @Typ N ID=value,

Typ=26

N ID=value, Typ=26 Y ID=value, Typ=26 Typ=26 is Account Type

Page 96 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8.2 Required Fields on Inbound Allocation Report Acknowledgement Messages

Claim

(GC)

Reversal Acceptance

(GI)

Element Attribute

Reqd

(Y/N) FIXML Value Reqd

(Y/N) FIXML Value

Comments

/AllocRptAck/ @TransTyp Y @TransTyp=”0” Y @TransTyp=”6” The Allocation Trans

Type.

@RptID Y

@RptTyp Y @Typ=”9” Y @Typ=”9” Accept

@Typ=”10” @Typ=”10” Reject

@Stat N N The Status is set only

on confirms and Alerts

@ID Y @ID=value N If the firm generated

APS ID.This is not

required

@ID2 Y @ID=value Y @ID=value The Clearing System

generated Group ID.

@TrdDt Y @TrdDt=YYYY-

MM-DD

Y @TrdDt=YYYY-

MM-DD

The Trade date of the

Trade

@TxnTm Y @TxnTm=”

YYYY-MM-

DDTHH:MM:SS.

00”

Y @TxnTm=” YYYY-

MM-

DDTHH:MM:SS.00

”

Format is ”YYYY-MM-

DDTHH:MM:SS.00”

@BizDt N @BizDt=YYYY-

MM-DD

N @BizDt=YYYY-

MM-DD

The Clearing Business

date of the Trade

@Qty N @Qty=value N @Qty=value The total allocation

Quantity

@MsgEvtSrc Y @MsgEvtSrc=”

MQM”

Y @MsgEvtSrc=”MQ

M”

The Source of the

Message. The firm send

a value of MQM always.

@AvgPxInd Y 2=Complete Y 2=Complete The presence of this

attribute implies that this

Page 97 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

is an APS Allocation.

/AllocRptAck/Hdr/ @Snt Y Y The firm sends the

Message Time. Its is

required for Audit

purpose. The format is

GMT or CST with an

Offset.

@SID Y @SID=value Y @SID=value The Sending Firm ID

@SSub Y @SSub=value Y @SID=value The Sending Exchange

/AllocRptAck/Pty[1]/ @ID, @R Y ID =”value”,

R=”22”

Y ID =”value”, R=”22” Give-up Exchange

/ AllocRptAck/Pty[2]/ @ID, @R Y ID =”value”,

R=”1”

Y ID =”value”, R=”1” Give-up Firm

/AllocRptAck/Pty[3]/ @ID, @R N ID =”value”,

R=”2”

N ID =”value”, R=”2” Give-up Broker

/AllocRptAck/AllocAck/ This block is the

Allocation Ack Block

equivalent to the

Allocation Block in the

Allocation messages.

@IndAllocID N @IndAllocID=val

Firm supplied Allocation

@IndAllocID2 Y @IndAllocID2=v

alue

Y Clearing System

generated Allocation ID

@Qty Y @Qty=value Y @Qty=value Allocation Qty

@CustCpcty N @Qty=value N @CustCpcty=value

/AllocInstrctnAck/AllocAck/

Pty[1]/

@ID, @R Y ID =value, R=22 Y ID =value, R=22 Carry Exchange

/AllocInstrctnAck/Alloc/Ack

Pty[2]/

@ID, @R Y ID =value, R=1 Y ID =value, R=1 Carry Firm

/AllocInstrctnAck/AllocAck/

Pty[3]/

@ID, @R Y ID =value, R=24 Y ID =value, R=24 Carry Account

/AllocInstrctnAck/Alloc/Pty[ @ID, @Typ Y ID=value, Y ID=value, Typ=26 Typ=26 is Account Type

Page 98 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

3]/Sub/ Typ=26

Page 99 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8.3 APS Routing File to FIXML mapping

Currently the firms receive an APS Routing File at the end of the day on all the APS activity. This is going to be replaced by real-time allocation Confirms/Alerts and real-time

Claim Confirms/Alerts, which can be used by the firms to update their books. The Legacy interface and the FIXML confirms do not map one-one.

APS Record Type = 0 (Header record)

The information in APS Header record will be available in all the FIXML confirms and Alerts.

APS Record Type = 1 (Group Status Record)

This will be replaced by the Group Summary Alerts or the Allocation Instruction Alert which notifies the firm of Group Creation and transmits the group ID to be used by

them.

APS Record Type 2 & 3 (Trade related information)

No corresponding FIXML message available in the APS API.

APS Record Type 4 & 6 (Allocation and Claim information to Give-up Firm)

The information available in the record types 4 & 6 have been combined into a single FIXML message and is transmitted to the Give-up firm. These would be the

allocation confirms (GAC) and the Claim Alerts (GCA). The message used is an Allocation Instruction Acknowledgement.

APS Record Type 5 & 6 (Allocation and Claim information to Carry Firm).

The information available in the record types 5 & 6 have been combined into a single FIXML message and is transmitted to the Carry firm. These would be the

allocation Alerts (GAA) and the Claim Confirms (GCC). The message used is an Allocation Instruction Acknowledgement.

Note: A mapping is provided so that the firms can co-relate the Routing file information to real-time FIXML messages

Page 100 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8.3.1 Mapping for Record Type 0 & 1

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Header Record

File Name Indicator 1 2

Header Record Indicator 3 3 N/A

Firm Number 4 6 /AllocInstrctnAlert/Pty/ @ID, @R @ID=value

@R=”1”

Mapping to Executing Firm ???

Record Create Date 48 50 /AllocInstrctnAlert/Hdr/ @Snt

Record Create Time 51 56 /AllocInstrctnAlert/Hdr/ @Snt

# of APS Transaction

Records

63 68 N/A

Session Indicator 69 69 /AllocInstrctnAlert / @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Main Routing Transaction Record

Transaction Identifier 1 1 N/A

Action Code 2 2 /AllocInstrctnAlert/ @TransTyp A=Add @TransTyp=”0” If new group is created it is 0

@TransTyp=”1” If trades are added to an existing

group, the TransTyp is set to 1

(Replace)

Transaction Type 3 3 N/A

Clearing Firm 4 6 /AllocInstrctnAlert/Pty[1] @ID, @R @ID=value,

@R=1

If the Executing and the Clearing

Firm are the same, use this

mapping.

Otherwise Clearing Firm is not

set on the messages .

Trade Date 9 14 /AllocInstrctnAlert/ @TrdDt

Transaction ID 15 19 N/A Allocation ID not applicable to

Group Summary Alert

messages.

Page 101 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Session Indicator 20 20 /AllocInstrctnAlert/ @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Group ID 21 25 /AllocInstrctnAlert/ @ID2 @ID2=value The Group ID generated by the

Clearing System

Exchange ID 26 27 /AllocInstrctnAlert/Instrmt/ @Exch @Exch=”CME” If this is the Product Exchange

use this mapping

@Exch=”CBT”

/AllocInstrctnAlert/Pty[2]/ @ID, @R @ID=value,

@R=22

If this attribute has the Give-up

Exchange, then use this

mapping.

Commodity Code 29 29 /AllocInstrctnAlert/Instrmt/ @ID Product ID

Put/Call Indicator 33 33 /AllocInstrctnAlert/Instrmt/ @CFI See CFI Code mapping

Contract Year 34 35 /AllocInstrctnAlert/Instrmt/ @MMY This attribute replaces

Contract Month 36 37

Contract Day 38 39

Strike Price 40 46 /AllocInstrctnAlert/Instrmt/ @StrkPx Set for Options

Buy Sell Indicator 47 47 /AllocInstrctnAlert/ @Side 1 = Buy

2 = Sell

Group Summary/Status (Record Type 1)

Transaction Quantity 48 52 /AllocInstrctnAlert/ @Qty @Qty=value Group Summary Qty

Allocated Quantity 53 57 N/A .

UnAllocated Quantity 58 62 N/A The Unallocated Quantity is not

applicable to this message

Group Mode 63 63 N/A

Group Status 64 68 /AllocInstrctnAlert/ @Stat Work=Working 4 = Incomplete

Group Cash Residual

Amount

69 77 /AllocInstrctnAlert/Amt/ @Typ, @Amt, @Ccy @Typ=”CRES”

@Amt=value

Page 102 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

@Ccy=value

/AllocInstrctnAlert/ @AvgPx Additional mapping (True

Average Price calculated and

sent to firms as trades are added

to the group)

/AllocInstrctnAlert/ @RndPx Additional mapping (The

rounded Price) will also be

provided

Page 103 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8.3.2 Mapping for Record Type 0, 4 & 6 (Allocation & Claim information to Give-up Firm)

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Header Record

File Name Indicator 1 2

Header Record Indicator 3 3 N/A

Firm Number 4 6 /AllocRpt/Pty/ @ID, @R @ID=value

@R=”1”

Mapping to the Executing Firm

???

Record Create Date 48 50 /AllocRpt/Hdr/ @Snt

Record Create Time 51 56 /AllocRpt/Hdr/ @Snt

# of APS Transaction

Records

63 68 N/A

Session Indicator 69 69 /AllocRpt/ @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Main Routing Transaction Record

Transaction Identifier 1 1 N/A

Action Code 2 2 /AllocRpt/ @TransTyp A=Add @TransTyp=”0” If new group is created it is 0

@TransTyp=”1” If trades are added to an

existing group, the TransTyp is

set to 1 (Replace)

Transaction Type 3 3 N/A

Clearing Firm 4 6 /AllocRpt/Pty[1] @ID, @R @ID=value,

@R=1

If the Executing and the

Clearing Firm are the same, use

this mapping.

Otherwise Clearing Firm is not

set on the messages .

Trade Date 9 14 /AllocRpt/ @TrdDt

Transaction ID 15 19 /AllocRpt/Alloc/ @IndAllocID2 Allocation ID generated by

Clearing System for the Give-up

firm

Page 104 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Session Indicator 20 20 /AllocRpt/ @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Group ID 21 25 /AllocRpt/ @ID2 @ID2=value The Group ID generated by the

Clearing System for the Generic

or Specific Group

Exchange ID 26 27 /AllocRpt/Instrmt/ @Exch @Exch=”CME” If this is the Product Exchange

use this mapping

@Exch=”CBT”

/AllocRpt/Pty[2]/ @ID, @R @ID=value,

@R=22

If this attribute has the Give-up

Exchange, then use this

mapping.

Commodity Code 29 29 /AllocRpt/Instrmt/ @ID Product ID

Put/Call Indicator 33 33 /AllocRpt/Instrmt/ @CFI See CFI Code mapping

Contract Year 34 35 /AllocRpt/Instrmt/ @MMY This attribute replaces

Contract Month 36 37

Contract Day 38 39

Strike Price 40 46 /AllocRpt/Instrmt/ @StrkPx Set for Options

Buy Sell Indicator 47 47 /AllocRpt/ @Side 1 = Buy

2 = Sell

Group Summary/Status (Record Type 4)

Carrying Firm Code 48 50 /AllocRpt/Alloc/Pty[1] @ID, @R @ID=value,

@R=1

This is the Carry Firm that is

being allocated

Executing Broker (Filling

Broker)

53 55 /AllocRpt//Pty[1] @ID, @R @ID=value,

@R=12

Executing Broker

Transaction Quantity 58 62 /AllocRpt/Alloc/ @Qty @Qty=value Allocated Quantity to the Carry

Firm

Account Number 63 72 /AllocRpt/Alloc/Pty[2]/ @ID, @R @ID=value,

@R=24

Carry Firm Customer Account

Page 105 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Origin Type 73 73 /AllocRpt/Alloc/Pty[2]/Sub/ @ID, @Typ 1=Cust @ID=1,

@Typ=26

Carry Firm Customer Account

“Cust” Origin

,2=Hous @ID=2,

@Typ=26

Carry Firm Customer Account

“Cust” Origin

Customer Type Indicator 74 74 /AllocRpt/Alloc/ @CustCpcty

Clearing Fee Indicator 75 75 N/A

Give-up Status 76 80 /AllocRpt/ @Stat

Average Price / Residual Price (Record Type 6)

Average Price 48 63 /AllocRpt/ @AvgPx @AvgPx=value True Average Price

Rounded Price 64 72 /AllocRpt/ @RndPx @RndPx=value Rounded Price

Group Cash Residual

Amount

80 /AllocInstrctnAck/Amt/ @Typ, @Amt, @Ccy @Typ=”CRES”

@Amt=value

Page 106 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

8.3.3 Mapping for Record Type 0, 5 & 6 (Allocation & Claim information to Carry Firm)

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

Header Record

File Name Indicator 1 2

Header Record Indicator 3 3 N/A

Firm Number 4 6 /AllocRpt/Pty/ @ID, @R @ID=value

@R=”1”

Mapping to the Executing Firm

???

Record Create Date 48 50 /AllocRpt/Hdr/ @Snt

Record Create Time 51 56 /AllocRpt/Hdr/ @Snt

# of APS Transaction

Records

63 68 N/A

Session Indicator 69 69 /AllocRpt/ @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Main Routing Transaction Record

Transaction Identifier 1 1 N/A

Action Code 2 2 /AllocRpt/ @TransTyp A=Add @TransTyp=”0” If new group is created it is 0

@TransTyp=”1” If trades are added to an

existing group, the TransTyp is

set to 1 (Replace)

Transaction Type 3 3 N/A

Clearing Firm 4 6 /AllocRpt/Pty[1] @ID, @R @ID=value, If the Executing and the

Clearing Firm are the same, use

Page 107 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

@R=1 this mapping.

Otherwise Clearing Firm is not

set on the messages .

Trade Date 9 14 /AllocRpt/ @TrdDt

Transaction ID 15 19 /AllocRpt/Alloc/ @IndAllocID2 Allocation ID generated by

Clearing System for the Carry

firm

Session Indicator 20 20 /AllocRpt/ @SesSub R @SesSub=”RTH”

E @SesSub=”ETH”

Group ID 21 25 /AllocRpt/ @ID2 @ID2=value The Group ID generated by the

Clearing System for the Generic

or Specific Group

Exchange ID 26 27 /AllocRpt/Instrmt/ @Exch @Exch=”CME” If this is the Product Exchange

use this mapping

@Exch=”CBT”

/AllocRpt/Pty[2]/ @ID, @R @ID=value,

@R=22

If this attribute has the Give-up

Exchange, then use this

mapping.

Commodity Code 29 29 /AllocRpt/Instrmt/ @ID Product ID

Put/Call Indicator 33 33 /AllocRpt/Instrmt/ @CFI See CFI Code mapping

Contract Year 34 35 /AllocRpt/Instrmt/ @MMY This attribute replaces

Contract Month 36 37

Contract Day 38 39

Strike Price 40 46 /AllocRpt/Instrmt/ @StrkPx Set for Options

Buy Sell Indicator 47 47 /AllocRpt/ @Side 1 = Buy

2 = Sell

Group Summary/Status (Record Type 5)

Executing Firm Code 48 50 /AllocRpt//Pty[1] @ID, @R @ID=value, This is the Executing Firm that is

being allocated

Page 108 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

Position Field Name

From To

FIXML Element FIXML Attribute APS Routing

File value FIXML Value Comments

@R=1

Executing Broker (Filling

Broker)

53 55 /AllocRpt//Pty[1] @ID, @R @ID=value,

@R=12

Executing Broker

Transaction Quantity 58 62 /AllocRpt/Alloc/ @Qty @Qty=value Allocated Quantity to the Carry

Firm

Account Number 63 72 /AllocRpt/Alloc/Pty[2]/ @ID, @R @ID=value,

@R=24

Carry Firm Customer Account

Origin Type 73 73 /AllocRpt/Alloc/Pty[2]/Sub/ @ID, @Typ 1=Cust @ID=1,

@Typ=26

Carry Firm Customer Account

“Cust” Origin

,2=Hous @ID=2,

@Typ=26

Carry Firm Customer Account

“Cust” Origin

Customer Type Indicator 74 74 /AllocRpt/Alloc/ @CustCpcty

Clearing Fee Indicator 75 75 N/A

Give-up Status 76 80 /AllocRpt/ @Stat

Average Price / Residual Price (Record Type 6)

Average Price 48 63 /AllocRpt/ @AvgPx @AvgPx=value True Average Price

Rounded Price 64 72 /AllocRpt/ @RndPx @RndPx=value Rounded Price

Group Cash Residual

Amount

80 /AllocRpt/Amt/ @Typ, @Amt, @Ccy @Typ=”CRES”

@Amt=value

Residual Price and Currency

Page 109 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

9 Appendix

9.1 Table 8.1 – FIX Value Conversion used in APS API

FIX Translation Table

Attribute Name FIX Value CME Value

@TransTyp (used on all the

Allocation messages)

0 New (Create)

1 Replace (Change)

2 Cancel (Delete)

6 Reversal

@Typ (Allocation Type) 2 Preliminary

8 Request

9 Accept

10 Reject

11 Accept Pending

12 Incomplete Group

13 Complete Group

14 Reversal Pending

@Stat (Allocation Status) 0 Accepted and Successfully

processed

1 Block Level Reject

2 Account level Reject

3 Received (not yet processed)

4 Incomplete

5 Rejected by Intermediary

6 Allocation Pending

7 Reversed

@RptTyp 2 Request

9 Accept

10 Reject

11 Accept Pending

12 Complete

Page 110 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

14 Reversal Pending

/Pty/Sub/@ID 1 CUST

2 HOUS

/Pty/@R 1 Executing Firm ID/

Trading Firm ID

4 Clearing Firm ID

12 Executing Broker

17 Contra Firm

18 Contra Clearing Firm

21 Clearing Org ID

22 Exchange ID

23 Contra Exchange ID

24 Customer Account

25 Contra Clearing Org

26 Contra Broker

36 Entering Broker / BK Broker

38 Position Account

40 3rd Party Allocating Firm

41 Contra Position Account

42 Contra Exchange

43 Internal Carry Account

/Amt/@Typ CRES Cash Residual Amount

CFI for Option

/Instrmt/@CFI

Product Type Col1

O Product Type - OPT

/Instrmt/@CFI

Put/Call – Col2

Option Right - Call

Option Right - Put

/Instrmt/@CFI

Opt Type - Col3

Option Type - American

Option Type - European

Page 111 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

/Instrmt/@CFI

Underlying - Col4

B=Basket

S=Stock-Equities

D=Interest

rate/notional debt

sec

T=Commodiites

C=Currencies

I=Indices

O=Options

F=Futures

W=Swaps

M=Other

X=Unknown(n/a)

Market Indicator Values

SSF

Int

Curr

Ind

/Instrmt/@CFI

Delivery Method Col 5

P=Physical

C=Cash

X=Unknown(n/a)

Phys

Cash

/Instrmt/@CFI

Standard/Non-Std – Col 6

S=Standardized

terms (maturity

date, strike price,

contract size)

N=Non-

standardized

terms

X=Unknown(n/a)

Flexible Indicator

'N'

'Y'

CFI for Future

/Instrmt/@CFI

Product Type - Col1

F Product Type - FUT

/Instrmt/@CFI

Group – Col2

F=Financial

Futures

C=Commodity

Futures

M=Others

X=Unknown(n/a)

Page 112 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

/Instrmt/@CFI

Underlying - Col3

A=Agriculture,

forestry, and

fishing

B=Basket

S=Stock-Equities

(for financial

future) or Services

(for commodities

futures)

D=Interest

rate/notional debt

sec

C=Currencies

I=Indices (for

financial futures )

or Industrial

Products (for

commodities

futures)

O=Options

F=Futures

W=Swaps

M=Other

X=Unknown(n/a)

/Instrmt/@CFI

Delivery Method - Col4

P=Physical

C=Cash

X=Unknown(n/a)

Phys

Cash

/Instrmt/@CFI

Standard/Non-Std – Col5

S=Standardized

terms (maturity

date, strike price,

contract size)

N=Non-

standardized

terms

X=Unknown(n/a)

Flexible Indicator

'N'

'Y'

@SetSesID EOD Cycle Code - RTH

ITD Cycle Code - ITD

/AllocInstrctn/@AvgPxIndic

ator

0 No Average Pricing

Page 113 of 113 FIXML Allocate and Claim Services User’s Guide December 2004

1 Average Price/Group Incomplete

2 Average Price / Group Complete

/*/Alloc/@Meth 1 Automatic

2 Guarantor

3 Manual

/AllocRpt/@RptTyp 2 Request to Intermediary

3 SellsideCalculatedUsingPreliminary

4 SellsideCalculatedWithoutPrelimina

5 WarehouseRecap

8 RequestToIntermediary

9 Accept

10 Reject

11 Accept Pending

12 Complete

14 Reversal Pending

Fixml Allocate And Claim API Spec Users Guide V 1

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