Brian,
Regarding your point about AllocationCancelled I think this was already
implemented in a second revision of the proposal. I am attaching it. It’s
already in CVS also fpml-posttrade file ;)
Your proposal on AllocationAmended makes sense to me.
I’ll put in the agenda for the next MWG. People can post their comments
to the mailing list too.
Regards,
-Marc
_____
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Thursday, March 31, 2005 3:03 PM
To: mwg@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-MWG40 AllocationAmended, AllocationCancelled - feedback
The MWG recently created messages to create, modify, and cancel trade
allocations. I have two suggestions for enhancing these.
AllocationCancelled
===============
For the message to cancel allocations (AllocationCancelled), it would be
useful if there were a choice between supplying the whole trade and just
supplying the trade ID. (I guess we would use the
“partyTradeIdentifier” form of the trade ID). This would allow
supporting the case where the recipient of the message needs only the ID
of the trade to know what to cancel.
AllocationAmended
==============
The message to modify trade allocations (AllocationAmended) simply gives
the new trade information, and implies that the receiver should be able to
identify the modified trade based on the trade ID of the newly modified
trade. In other words, it assumes that the trade ID of the original and
the modified trade are the same.
In discussions with various prime brokers, it has become clear that
practices for handling this situation vary between PBs and across asset
classes, and even in some cases depending on timing (e.g. where the trade
is in the settlement process). In some cases, the previous trade will be
cancelled and a new one will be created, while in other cases the previous
trade will be updated and retain the same trade ID after modification.
(And in some cases the request will be rejected as it is too late in the
process). So sometimes knowing only the trade ID of the modified trade
won’t let you identify the original trade.
To accommodate the various practices in use, it is essential that it be
possible to record the original trade ID (before the modification) and it
would be very beneficial to be able to record the entire original trade
details, for technologically challenged firms that man need to have a
person find the original trade. (I have heard that this happens, but
always in someone else’s firm from the person telling me about it). In
effect, for each newly modified trade, it would be useful to have a linked
previous version of the trade with similar content to the
“AllocationCancelled” message, to effectively support “cancel and
rebook” semantics.
For this reason, I propose to change the content of the AllocationAmended
message to be a series of “amendment” elements, with content model as
follows:
amendment
originalTrade | originalTradeIdentifier
amendedTrade
Can we please discuss at the next MWG?
Brian Lynn, CTO
Global Electronic Markets, <http://global-emarkets.com>
http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
<http://fpml-mediator.com> http://fpml-mediator.com
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