Aegis Software has developed a new specification for the processing of multi-party trade allocations between buy sides and sell sides, specifically targeting futures and foreign exchange instruments.
The specification defines the workflow between the buy side, executing brokers and clearing brokers, to be able to allocate electronic and manual trades to their matching accounts. The implementation is in final testing and will be in production by the year’s end.
The multi-party specification defines a workflow for both futures and FX, with the buy side OMS acting as the central coordinator for any number of executing and clearing brokers.
No intermediate system is needed and the implementation can be deployed directly between the buy side and sell side. Trades can be given-up and given-in through the buy side OMS, which centrally manages the entire electronic allocation workflow, over either standard FIX protocol or through file transfers.
Allocations can be defined pre- or post-trade and advanced features include support for outright futures and spreads, order blocking and averaging by account. Foreign Exchange support includes spot FX trades, crossed quantity with net/block orders, averaging by execution venue and rolling spot into forward positions.
We started with the FIX 4.4 specification which already had all the necessary information, said Joseph Horowitz, director of technology at Aegis Software, but the workflow was not well defined. We worked on futures and FX simultaneously, enabling us to design a workflow that addressed the needs of both asset classes. To provide users a migration path, we designed file-based and FIX-based versions. And we are actively testing the specification with several brokers, so that the specification reflects a proven and supported real-world implementation.
Aegis is currently testing the specification with various brokers, including JP Morgan, Morgan Stanley, Citigroup, Royal Bank of Scotland, and Deutsche Bank.