When an institutional parent block order is executed throughout the day, it generates dozens or hundreds of individual execution fills across various prices, venues, and timestamps. Once the market closes or the order is completed, the front office faces the crucial operational task of allocating these executed shares back to the participating sub-accounts. Under global fiduciary regulations, every participating client account must receive the same fair, blended execution price.
This process is known as Average Price Pooling. The Order Management System (OMS) pools all executed child fills into a virtual aggregation bucket, calculates the exact Volume Weighted Average Price (VWAP), and divides the total executed quantity pro-rata among participating portfolios. By applying a single average price across all accounts, the firm prevents any individual portfolio—such as a flagship hedge fund or high-fee mandate—from receiving favorable execution prices at the expense of retail funds or institutional pension clients.
At Atlantic Horizon Asset Management, average pricing and post-trade allocation are fully automated within Charles River IMS (CRIMS). When the desk completes a 450,000 share execution in TotalEnergies SE (TTE.PA) across eight institutional funds, the OMS aggregates 142 distinct child fills spanning prices from €62.10 to €62.75 into a single volume-weighted average price of €62.4185. The system immediately generates electronic allocation instructions for each participating fund.
Once computed, allocation instructions are transmitted to middle-office confirmation networks—such as DTCC CTM (formerly Omgeo) and SWIFT—via FIX Tag 35=J (AllocationInstruction) messages. Executing brokers acknowledge these instructions with FIX Tag 35=P (AllocationInstructionAck), triggering automated custodian notifications and settlement instructions for T+1 settlement cycles.
This automated allocation framework provides total transparency to auditors and custodians. By eliminating manual spreadsheet calculations and ad-hoc trade booking, Atlantic Horizon protects its clients against allocation errors while maintaining complete compliance with MiFID II and SEC fair-allocation mandates.