JP5111926B2 - Large order processing system - Google Patents

Description

  The present invention relates to a large order processing system for processing large orders placed in a financial market.

  In financial markets, orders placed from institutional investors and other institutional investors who manage a large amount of funds are large. If you place an order directly on the general market (stock exchange), depending on the size of your order, A so-called market impact occurs in which the price moves in a disadvantageous direction for the orderer. For this reason, how to suppress this market impact is important in the management of funds by institutional investors.

  Large-scale order processing methods that can suppress the market impact in recent financial markets can be broadly classified into algorithm trades in the securities trading market and off-market transactions.

  Algorithmic trades register specific instructions regarding ordering conditions (ordering timing, ordering units, market / limits, etc.) for large orders in the computer as an algorithm, and the computer subdivides the order according to the instructions of the algorithm, This is a method of processing a large order by placing an order on a liquid securities trading market when it meets the ordering conditions on the trading market.

Off-market trading is a method that allows large orders to be dealt with at once by finding a trading partner outside the highly anonymous market without sending them to the market. (Transaction system) etc.
With regard to these large order processing methods, for example, the following Non-Patent Documents 1 and 2 introduce algorithm trading in the securities trading market and Non-Patent Document 3 introduces trading outside the market, respectively.
Monthly Report, December 2004, “New Trading Method Booming in the US-Algorithmic Trading”, online, HYPERLINK "http://www.kessaicenter.com/kaigai/monthly21.pdf" http: / /www.kessaicenter.com/kaigai/monthly21.pdf, Securities Settlement System Reform Promotion Center, 2007.4.6 NRI Future Creation NEWSletter, 2006.7 Vol.47, “Algorithm Trading Popular in the Securities Market”, online, HYPERLINK “http://www.nri.co.jp/publicity/n#letter/2006/pdf/nl20060701. pdf "http://www.nri.co.jp/publicity/n#letter/2006/pdf/nl20060701.pdf, Nomura Research Institute, Inc., Public Relations Department, 2007.4.6 “Night Trading (Monex Knighter)”, online, HYPERLINK "http://www.monex.co.jp/Etc/00000000/guest/G3203/nighter/index.htm" http://www.monex.co.jp /Etc/00000000/guest/G3203/nighter/index.htm, Monex Securities Inc., 2007.4.6 Search

According to algorithm trading in the securities trading market, large orders are not sent to the securities trading market all at once, so that the market impact in the securities trading market can be suppressed.
Further, even if a large order is processed outside the market, the large order does not flow into the securities trading market, so that it is not necessary to give a market impact in the securities trading market.

By the way, the above-mentioned two large order processing methods are completely different and independent methods in different trading locations of “securities trading market” and “off-market”.
FIG. 5 shows the relationship between the two large order processing methods in the current financial market.

  As shown in FIG. 5, algorithm trading in the securities trading market and trading outside the market are systemized separately, and each trading method is individually separated via a separate order processing instruction screen. To place an order.

  For example, if the ordering party wants to process a large order by algorithmic trading in the securities trading market, the ordering conditions (ordering timing, ordering unit, market / limit price) of the large order are displayed on the ordering instruction screen of the algorithmic trading system. Etc.) is specified (input) as an algorithm, and an order is instructed. When an order is instructed via the ordering instruction screen of the algorithm trading system, the large-scale order is subdivided into subordinates according to the algorithm entered in the ordering instruction screen by the algorithm processing program provided by the securities company. When the order matches the ordering conditions for the stock market, the subdivided order is placed on the stock market. When an order placed on the stock exchange market is executed, the content of the execution is notified to the ordering party via the algorithm processing program.

Further, for example, when the ordering party desires to process a large order in a transaction outside the market, a large order is entered by setting predetermined execution conditions on the order screen of the off-market transaction system.
When a large order is placed through the order screen of the off-market processing system, the off-market processing program provided by the securities company etc. searches for an off-market order that matches the execution conditions entered on the order screen, Commit with off-market orders that meet the terms of the deal. When an order placed outside the market is filled, the contents of the deal are notified to the ordering party via the off-market processing program.

  In this way, algorithm trading and off-market trading in the securities trading market have been systemized, but they are completely independent services, and the ordering party can choose either one when placing a large order. Need to choose a trading system.

However, after selecting and placing an order for one system, if it is possible to execute a contract in the other system, after canceling the order placed in one system, a new order must be placed in the other system. In addition, due to the time required for reordering, it is easy to miss the execution timing.
In addition, in both the securities trading market and the off-market, the order status fluctuates with time, and which is advantageous for processing a large order is likely to fluctuate. However, switching the transaction system and reordering each time complicates the work for reordering and increases the burden on the ordering worker.

  Also, the trading system in the securities trading market and the trading system outside the market are completely independent services, and it is difficult to integrate both systems in the current financial market.

  The present invention has been made in view of the above problems, and can reduce the burden on the ordering worker without missing the execution timing and efficiently process a large order without giving a market impact. It aims to provide a possible large order processing system.

In order to achieve the above object, a large order processing system according to the present invention performs off-market transactions when a large order can be executed with an algorithm processing content setting unit for setting the details of algorithm trading performed in the securities trading market. An order instruction screen having an off-market processing necessity selection unit for selecting whether or not, and an order instructed through the order instruction screen are converted into an algorithm set through the algorithm processing content setting unit Accordingly, the algorithm ordering means for placing an order on the stock exchange market, the off-market processing means for performing a transaction for an order placed outside the market, the latent order storage unit for recording the potential order, and the input of the order instruction screen Of the orders instructed to place orders, conduct off-market transactions when the large order can be executed via the off-market processing necessity selection unit. The potential orders and potentially apply recording means for recording in the storage unit has a market and the market outside the order processing method determination execution means, wherein the market and the market outside the order processing method as the selection is made the order, potential orders and The discriminating execution means includes the execution of the order in the uncommitted portion of the potential order of the orders placed in the stock exchange market through the algorithm ordering means, the corresponding of the uncommitted portion of the potential order or the potential order. Transaction status monitoring means for monitoring in real time the correspondence between uncommitted fractions and orders placed outside the market, and promises in the off-market transactions for unfilled potential orders; and the transaction status monitoring means, at the time of the monitoring, potentially uncommitted min each other order is Taito or potentially uncommitted portion of the order is Taito and order being ordered out of the market, potential orders uncommitted content or the market for Taito each other Among the uncommitted portions of the potential orders corresponding to the orders placed in the order, the orders placed in the securities trading market via the algorithm ordering means are canceled and the unfilled potential orders corresponding to each other are canceled. A non -market transaction method discriminating means that forwards an uncommitted portion of a potential order corresponding to a portion or an order placed outside the market to the outside of the market, and that is executed via the off-market processing means; and Of the potential orders recorded in the potential order storage unit, a potential order management means for reducing from the potential order storage unit an algorithm trade in the securities trading market or a contract in the off-market transaction, and the potential order storage An algorithm ordering means ordering restricting means for restricting orders placed by the algorithm ordering means with respect to potential orders recorded in the section to uncommitted fractions. It is a feature.

Further, in the large order processing system of the present invention, the market / off-market order processing method discrimination execution means, when the uncommitted portion of the potential order is matched when the transaction status monitoring means monitors , the market The off-market transaction method discriminating means cancels the orders placed on the securities trading market via the algorithm ordering means among the uncommitted portions of the potential orders that correspond to each other, and the potential to correspond to each other The uncommitted portion of the order is routed out of the market, filled through the off-market processing means, and then, when monitored by the trading state monitoring means, with respect to the other unfilled potential orders, If there is to be Taito and order being ordered, the market and the market outside the trading method determining means, uncommitted portion of potential orders that Taito and order being ordered out of the market That is, the order placed in the securities exchange market via the algorithm ordering means is canceled and the uncommitted portion of the potential order corresponding to the order placed outside the market is forwarded out of the market. However, it is preferable to execute the contract through the off-market processing means.

  According to the present invention, it is possible to obtain a large order processing system capable of processing a large order efficiently without reducing the burden on the ordering worker without missing the timing of execution and without giving a market impact. .

  FIG. 1 is an explanatory diagram showing a schematic configuration of a large order processing system according to an embodiment of the present invention, FIG. 2 is an explanatory diagram conceptually showing an example of an order instruction screen in the large order processing system of the present embodiment, and FIG. FIG. 4 is an explanatory diagram showing the relationship between algorithmic trading and off-market transactions in the large order processing system of the present embodiment, and FIG. 4 is a flowchart showing the processing procedure of large orders by the large order processing system of the present embodiment. ) Shows a procedure from an ordering instruction from the ordering source to forwarding to the algorithm ordering means, and (b) shows a processing procedure via the market / off-market order processing method discrimination execution means.

  As shown in FIG. 1, the large order processing system 1 of the present embodiment includes an ordering instruction screen 2, an algorithm ordering unit 3, an off-market processing unit 4, a latent order storage unit 5, and a latent order recording unit 6. The market / off-market order processing method discrimination execution means 7 is provided.

As shown in FIG. 2, the order instruction screen 2 includes an algorithm processing content setting unit 2a and a non-market processing necessity selection unit 2b.
The algorithm processing content setting unit 2a is, for example, an order pattern such as an order quantity and an order time, an order waiting condition, selection of a market / limit price, and other algorithms performed in the securities trading market, as in the setting items in the conventionally known algorithm trade. It is configured to be able to set conditions for items necessary for trading. For convenience, a specific screen layout for the algorithm processing content setting unit 2a is omitted in FIG.
The out-of-market processing necessity selection unit 2b is a selection input item for determining whether or not to conduct off-market transactions when a large order can be executed, and includes a selection designation column 2b1 and a price designation column 2b2.
The selection designation field 2b1 is configured such that selection of whether or not to conduct off-market transactions can be performed by check input when a large order can be executed.
The price designation field 2b2 designates an allowable transaction price in off-market transactions when a check input (selection of conducting off-market transactions when a large order is possible) is entered in the selection designation field 2b1 It is configured to be able to.

The algorithm ordering means 3 is composed of a program for placing an order on the securities trading market in accordance with an algorithm set via the algorithm processing content setting unit 2a, as in the known algorithm ordering program.
The off-market processing means 4 is composed of a program for processing a transaction for an order placed outside the market, similarly to a conventionally known off-market processing program.

The latent order storage unit 5 includes a data management system such as a database for storing the latent orders.
The latent order recording means 6 performs an off-market transaction when a large order can be executed, via the off-market processing necessity selection unit 2b among the orders instructed via the input of the order instruction screen 2. ] Is configured by a program for recording the order for which the selection is made to the potential order storage unit 5 as a potential order.

  The market / off-market order processing method discrimination execution means 7 is configured by a program having the following functions (1) to (4).

(1) Transaction status monitoring function Monitors the next transaction status in real time.
-Execution of orders placed in uncommitted portions of potential orders among orders placed on the stock exchange market through the algorithm ordering means 3.
・ Equipment between unfilled potential orders (establishment of trading conditions) or unfilled potential orders and orders placed outside the market.
-Execution of off-market transactions for unfilled potential orders.

(2) Function for discriminating between the market and the off-market method When the unfilled portion of the latent order is matched with each other or the unfilled portion of the latent order is matched with the order placed outside the market, Of the uncommitted portion of the promised order or the potential order corresponding to the order placed outside the market, the orders placed on the stock exchange market through the algorithm ordering means 3 are canceled and matched with each other. An uncommitted portion of a potential order or an uncommitted portion of a potential order corresponding to an order placed outside the market is forwarded to the outside of the market, and is filled through the off-market processing means 4.

(3) Potential Order Management Function Of the potential orders recorded in the potential order storage unit, the contracted portion in the algorithmic trading or off-market transactions in the securities trading market is reduced from the potential order storage unit.

(4) Algorithm Ordering Unit Order Restriction Function Limits orders placed by the algorithm ordering unit 3 for potential orders recorded in the potential order storage unit to uncommitted. This is due to the following reason.

As described above, the algorithm ordering means 3 is composed of a program for placing an order on the securities trading market in accordance with an algorithm set via the algorithm processing content setting unit 2a. A function is provided for managing the quantity of promised / uncommitted quantities in an algorithmic trade in the securities trading market for an order instructed via input.
Then, in the order selection screen 2 on the ordering instruction screen 2, for an order selected as “Do not conduct off-market transactions when large orders can be executed”, the off-market processing means 4, potential The order storage unit 5, the latent order recording means 6, and the market / off-market order processing method discrimination execution means 7 do not function at all, and the algorithm ordering means 3 exclusively determines the promised / uncommitted quantity for the order instructed. Place orders on the securities trading market while managing independently.

  However, the order placed by the algorithm ordering means 3 is selected in the off-market processing necessity selection unit 2b on the ordering instruction screen 2 to select “perform off-market transaction when large order can be executed”. The potential orders recorded in the potential order storage unit 5 via the order recording means 6 are also included. A latent order is executed out of the market via the off-market processing means 4 under the control of the market / off-market order processing method discrimination execution means 7 when a predetermined condition is satisfied. For this reason, the function of managing the promised / uncommitted quantity in the algorithm trade in the securities trading market by the algorithm ordering means 3 itself is the quantity promised outside the market via the off-market processing means 4 for the potential order. Cannot be recognized.

However, the promised / uncommitted quantity of the potential order, including the quantity promised outside the market via the off-market processing means 4, is recorded in the potential order storage unit 5. Each time a contract is made outside the market via the market, it is updated to an accurate remaining quantity and checked in real time via the market / off-market order processing method discrimination execution means 7.
In this way, in the potential order, the uncommitted quantity cannot be grasped by the algorithm ordering means 3 alone, but can be grasped via the market / off-market order processing method discrimination execution means 7.
For this reason, in the large order processing system of this embodiment, as described above, the algorithm ordering means for the potential order recorded in the potential order storage unit 5 through the market / off-market order processing method discrimination execution means 7. 3 is controlled to limit orders placed by 3 to uncommitted minutes.

  The order instruction screen 2 is provided to a personal computer or an information terminal used by the orderer via a communication line such as the Internet. The algorithm ordering means 3, the off-market processing means 4, the latent order storage unit 5, the latent order recording means 6 and the market / off-market order processing method discrimination execution means 7 are provided in a server of an order execution company such as a securities company. .

The flow of large order processing using the large order processing system of the present embodiment configured as described above will be described with reference to FIGS.
The ordering party, in the algorithm processing order setting screen 2 of the algorithm trade ordering instruction screen 2, items necessary for performing algorithmic trading such as ordering patterns such as order quantity and ordering time, order waiting conditions, and selection of market / limit prices. Set conditions for. Further, the off-market processing necessity selection unit 2b selects whether or not to conduct off-market transactions when a large order can be executed (step S1). The input content on the order instruction screen 2 is sent to the server of the order execution company via a line such as the Internet. As a result, an algorithm order instruction for a large order is issued from the issuer to the order execution company (FIG. 4 (a)).

In the server of the order execution company, the latent order recording means 6 checks the input contents of the off-market processing necessity selection unit 2b on the ordering instruction screen 2 (step S2). If “off-market transaction is performed when large order is possible” is selected, the order contents such as brand, quantity, price, etc. are recorded in the potential order storage section 5 as the potential order ( Step S3).
Next, the order is forwarded to the algorithm ordering means 3 (step S4).
The algorithm ordering means 3 subdivides the order according to the algorithm (ordering pattern such as order quantity / ordering time, order waiting conditions, selection of market / limit price, etc.) set via the algorithm processing content setting unit 2a. When an order for the stock market is met, an order is placed on the stock market.

The market / non-market order processing method discrimination execution means 7 performs the following processing on the latent order recorded in the latent order storage unit 5 (FIG. 4B).
The market / off-market order processing method discriminating execution means 7 is a contract for the order in the uncommitted portion of the potential order among the orders placed in the securities trading market via the algorithm ordering means 3, and the uncommitted portion of the latent order. Correspondence between unmatched or potential orders between each other and orders placed outside the market, and promises in the off-market transactions of unordered potential orders are monitored in real time (step S11).

  Further, the market / non-market order processing method discrimination execution means 7 out of the latent orders recorded in the latent order storage unit 5, the latent order storage unit uses the trades made in the algorithmic trade or the off-market transaction in the securities trading market. (Step S12).

Further, market and off-market order processing method determination execution unit 7, if the uncommitted amount between latent order is Taito, stock market through the algorithm orders means 3 of the uncommitted portion of the potential order to abut against the one another It is checked whether or not there is an order placed in (step S13, S14). Then, for the order placed on the stock exchange market, the order is canceled (step S15). Then, the uncommitted portion of the potential order corresponding to each other is forwarded out of the market and immediately executed via the off-market processing means 4 (step S16).

Next, the market / off-market order processing method determination execution means 7, if the uncommitted portion of other potential orders corresponds to an order placed outside the market, the potential order corresponding to the order placed outside the market. It is checked whether or not there is an order placed in the stock exchange market via the algorithm ordering means 3 among the uncommitted items (steps S17 and S18). Then, for the order placed on the stock exchange market, the order is canceled (step S19). Then, the unfilled portion of the potential order corresponding to the order placed outside the market is forwarded to the outside of the market and immediately executed via the off-market processing means 4 (step S20).
Thereafter, the processes in steps S11 to S20 are repeated until there is no undetermined portion of the potential order recorded in the potential order storage unit 5.

  Further, the market / off-market order processing method discrimination execution means 7 performs the processing of these steps S11 to S20, and uncommitted the order by the algorithm ordering means 3 for the potential order recorded in the potential order storage unit 5. Limit to minutes.

As described above, according to the large order processing system of the present embodiment, both algorithm trades in the securities trading market and off-market transactions, which have been conventionally systemized separately as large order processing methods, are conventionally used. The order processing method can be controlled. For this reason, the orderer only needs to give an order once, and if it satisfies the conditions that can be executed between large orders, it will be processed at once, and if it cannot be processed outside the market, it will be liquid. It is possible to perform processing by algorithmic trading in a high stock trading market.
Note that even if large order processing is performed outside the market, large orders will not flow into the securities trading market, so there will be no market impact on the securities trading market. Further, since the securities trading market is processed by algorithmic trading, the market impact can be suppressed.
Therefore, according to the large order processing system of the present embodiment, it is possible to reduce the burden on the ordering worker without missing the execution timing and efficiently process the large order without giving a market impact. It becomes.

  The present invention is useful in the field of providing large order services in the financial transaction market.

It is explanatory drawing which shows schematic structure of the large order processing system concerning one Embodiment of this invention. It is explanatory drawing which shows notionally an example of the order instruction | indication screen in the large-lot order processing system of this embodiment. It is explanatory drawing which shows the relationship between the processing methods of two large orders in the financial market using the large order processing system of this embodiment. It is a flowchart showing a processing procedure of a large order by the large order processing system of the present embodiment, (a) is a procedure from ordering instructions from the ordering source to forwarding to the algorithm ordering means, (b) is a market / off-market order The processing procedure via the processing method discrimination execution means is shown. It is a conceptual diagram which shows the relationship between the processing method of said two large orders in the present financial market.

Explanation of symbols

DESCRIPTION OF SYMBOLS 1 Large order processing system 2 Ordering instruction screen 2a Algorithm processing content setting part 2b Non-market processing necessity selection part 2b1 Selection designation field 2b2 Price designation field 3 Algorithm ordering means 4 Off-market processing means 5 Potential order storage part 6 Potential order recording means 7 Market / off-market order processing method discrimination execution means

Claims (2)

An algorithm processing content setting section for setting the contents of algorithm trade to be performed in the securities trading market and an off-market processing necessity selection section for selecting whether or not to conduct off-market transactions when large orders can be executed Having an ordering instruction screen,
An algorithm ordering means for placing an order instructed via the ordering instruction screen according to an algorithm set via the algorithm processing content setting unit;
Off-market processing means for dealing with orders placed outside the market;
A potential order store to record potential orders;
Of orders ordered via the order instruction screen, an order selected to conduct off-market transactions when the large order can be executed via the off-market processing necessity selection unit A potential order recording means for recording the potential order as a potential order in the potential order storage unit;
And a market / off-market order processing method discrimination execution means,
The market / off-market order processing method discrimination execution means is:
Of the orders placed in the stock exchange market through the algorithm ordering means, the promised portion of the order in the uncommitted portion of the potential order, the equivalent of the uncommitted portion of the potential order or the uncommitted portion of the potential order and the Transaction status monitoring means for monitoring in real time the correspondence with orders placed outside the market and the execution of unfilled potential orders in the off-market transactions ;
When the trade status monitoring means monitors, if the uncommitted portion of the potential order is matched with each other, or if the unfilled portion of the potential order is matched with the order placed outside the market, the potential orders not matched with each other Of the uncommitted portion of the promised order or the potential order that corresponds to the order placed outside the market, the order placed in the securities exchange market via the algorithm ordering means is canceled and the orders are matched with each other. Market / off-market transactions that forward unfilled potential orders or unfilled latent orders corresponding to orders placed outside the market are forwarded outside the market and are filled via the off-market processing means. Method discrimination means;
Of the potential orders recorded in the potential order storage unit, a potential order management means for reducing from the potential order storage unit the algorithm trade in the stock exchange market or the trade in the off-market transaction ;
Algorithm ordering means ordering restricting means for restricting orders placed by the algorithm ordering means for the potential orders recorded in the potential order storage unit to uncommitted fractions ;
Large order processing system characterized by having a. The market and market outside order processing method determination execution means, wherein when the transaction status monitoring unit has monitored, if uncommitted amount between latent order is Taito, the trading method determining means out of the market and the market, Taito each other Among the uncommitted portions of the potential orders that are placed on the securities exchange market via the algorithm ordering means, the orders are canceled, and the uncommitted portions of the potential orders that correspond to each other are forwarded out of the market. , Executed through the off-market processing means, and then, when monitored by the trading state monitoring means, there is an unfilled other potential order corresponding to an order placed outside the market. If, for dealing discriminating means out of the market and the market, collected the securities through the algorithm ordering means of uncommitted portion of potential orders that Taito and order being ordered out of the market For orders placed in the market, the order is canceled, the unfilled portion of the potential order corresponding to the order placed outside the market is forwarded outside the market, and the order is filled via the off-market processing means. The large order processing system according to claim 1, wherein:

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