Allocations
Allocations Component of InfoReach TMS

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Introduction

InfoReach TMS Allocation Component performs real-time allocations of fills in accordance with the specified allocation strategy and also allows for manual post-trade allocation and manual overrides. Multiple strategies are available out-of-the-box and additional pluggable strategies can be implemented with the Allocation Strategy API.

The TMS Allocation Component is capable of maintaining multiple Allocation Groupings so that the results can be organized by different grouping criteria and viewed (or exported) independently. One of the groupings can be used for relaying real-time fill information back to the order originator (client or OMS) over FIX.

Merging of Pre-Allocated orders

When orders for the same Instrument and Side (and with the same trading instructions) that are loaded into the TMS already contain account information they are first merged into single order within a portfolio and then same instrument/side orders can be merged across the portfolios for trading as a single large order. The incoming fills are first allocated across the portfolios and then within each portfolio across pre-allocated orders. On both these levels some allocation strategy can be chosen from the pre-packaged ones or from custom ones developed specifically for the install.

Allocation Strategies

• Simple Proration - simple weighted proration across the orders. Attempts to achieve the same average price.
• Proration - similar to Simple Proration but one can specify minimum quantity, minimum value and round-to-lot rule setting for each account.
• Priority - allocates fills to the accounts in order of priority by ensuring that the higher-priority accounts are filled first. Uses Simple Proration across accounts with equal priority.
• Percentage - allocates a percentage of the total filled quantity to each account according to the percentage settings specified by the users.
• Even - will allocate even qty across all accounts regardless of original quantity specified on the pre-allocated order.

All strategies handle rounding to lot, timelines, rounding errors, enabling/disabling of accounts.

Manual Allocation

Whether the orders are loaded into TMS already pre-allocated to certain accounts or loaded as large targets without any account information it is possible to do manual pos-trade allocation or manually override the results of real-time allocation. InfoReach TMS provides sophisticated GUI tools for manual allocation manipulation.

Fills allocations troubleshooting tool

Integration with Positions Management

InfoReach TMS Position Management Component uses pre-loaded Start-of-day positions together with the intraday trading data to present up to date positions. The positions are updated in real time based on the results of the real-time allocation strategy.

Allocation reporting

InfoReach TMS can be instructed to export the results of the allocation into formatted files (wither at the end of the trading period or periodically throughout the day) or it can be configured to report allocations in the form of the FIX Allocation messages to the clearing partner(s).

Additional Features

• Batch allocation
• Commission setup tied to accounts
• Currency Normalization
• Different modes for sending fill information back to clients over FIX (including collecting them for manual override and release)