JP2003099610A - Order processor on foreign exchange transaction, order processing method and program for realizing this method - Google Patents

Abstract

PROBLEM TO BE SOLVED: To prevent the occurrence of a business burden for controlling an order of large amount transactions by finely dividing a large amount order by mutually opposing a customer of placing a large amount order in a transaction currency amount and a customer of placing a small amount order in the transaction currency amount. SOLUTION: This order processor D is provided with a support rate forming part 1, an order accepting part 2, and an opposition processing part 4, and is connected to an information vender V and a customer C via a network N. The support rate forming part 1 acquires information on an exchange rate from the information vender V, and forms a support rate for guaranteeing a contract of the transactions for the customer. The customer C acquires the support rate from the order processor D, and transmits order data to the order processor D. The order accepting part 1 accepts the order data for indicating the order content from the customer C via the network N. The opposition processing part 4 contracts the order of the customer C when the support rate and an order rate have the prescribed relationship.

Description

Detailed Description of the Invention

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a technique for realizing electronic commerce and, more particularly, to a technique for processing orders relating to foreign exchange transactions.

[0002]

2. Description of the Related Art In recent years, various financial transactions have been actively carried out with the development of financial services. Forex trading is one such financial transaction. Forex trading takes place in the foreign exchange market. This foreign exchange market is not actually set up in a physical building, but rather in a Reuters communication line or electronic broking system (EBS).
It is a market formed by transactions through the system).

In this foreign exchange market, bilateral transactions are carried out. A bilateral transaction is a transaction performed directly with a trading partner without going through an exchange, and is also called OTC (Over The Counter). The exchange rate is formed by the bilateral transactions that were established at that time.

[0004]

Conventionally, such foreign exchange transactions have been conducted mainly by banks and the like. However, in recent years, some traders have come to accept orders for foreign exchange transactions from individuals and make them face each other. In many cases, the clients of such traders include a customer who places an order with a large transaction currency amount and a customer who places an order with a small transaction currency amount.

In such a case, if the orders from the customers are made to face each other according to the order rate, a large amount of orders may be finely divided and some of them may be traded, and the rest of them may remain untraded. obtain. For example, it may happen that a part of an order of $ 1 million and an order of $ 100 are bilaterally traded and the rest of the order of $ 1 million is unfilled. In this case, there is a problem that an administrative burden is imposed to manage the order of the customer who makes a large amount of transaction.

An object of the present invention is to provide an order processing apparatus, method and the like for processing orders relating to foreign exchange transactions that solve the above problems.

[0007]

In order to solve the above-mentioned problems, according to one aspect of the present invention, an order processing apparatus for processing an order relating to a foreign exchange transaction received from a customer guarantees the execution of the transaction. A support rate generating means for generating a support rate, which is a rate, and the order rate of the order have a predetermined relationship with the support rate, the order from the customer is executed regardless of the currency amount of the order from the customer. And a relative processing means for performing the processing. In other words, the relative processing means determines an order from the customer to be executed based on the order rate of the order and the support rate, and orders a fictitious amount corresponding to the currency amount of the order from the fictitious customer. The order from the customer is executed by making the order of (1) and the order from the customer face each other.

[0008] The support rate generation means generates a support rate that guarantees the execution of the transaction. So, for example,
An order from a customer whose order rate and support rate match will be executed even if there is no order from another customer that is a counterpart. The relative processing means contracts the customer determined to be contracted, without partial contracting even when the order has a large amount of currency. It is possible to solve the above-mentioned problem by contracting the whole from the customer at one time without dividing.

When the order from the customer to be executed is a sell order, the relative processing means sets a fictitious buy order having a currency amount equivalent to the currency amount ordered by the customer relative to the order from the customer. If the customer's order to be executed is a buy order, a fictitious sell order with a currency amount equivalent to the currency amount ordered by the customer may be made to face the order from the customer.

In the above-mentioned configuration, when accepting a market order from the customer, a market contract rate for calculating the contract rate of the market order based on the support rate and the order rate of other uncommitted orders currently accepted. The calculation means may be further provided.

At this time, by calculating the contract rate based on the order rates of other uncommitted orders, it becomes possible to execute market orders at the support rate or at a rate more favorable to the customer than the support rate.
Further, in the above configuration, when the order from the contracted customer is a stop order, a slippage for calculating a price gap for securing the loss based on a loss that can occur by contracting the stop order. The calculation means may be further provided.

By committing a stop order, the order processing device can suffer losses due to the difference between the order rate of the stop order and the support rate. When contracting a stop order, calculate the price gap to secure the loss based on the loss that can occur by executing the stop order, and determine the contract rate of the stop order based on the value gap By doing so, it is possible to reduce the possibility of suffering such a loss.

Further, in the above structure, in order to manage the position obtained by the relative processing (hereinafter, the position of the order processing device is called the self position), that is, the economic risk, the order processing device is arranged to execute the contracted order. It may be possible to further include self-position management means for managing the amount of currency. More specifically, the self-position management means accumulates the currency amount of the contracted order, and in the integration, the self-position management means, if the contracted order is a sell order, the contracted order. May be added to the accumulated value, and when the contracted order is a buy order, the currency amount of the contracted order may be subtracted from the accumulated value.

The support rate generating means may generate, as the support rate, the offer rate applied to the buy order and the bid rate applied to the sell order. In this case, the self-position management means may further include the above-mentioned between the offer rate and the bid rate when there is a difference between the currency amount of the executed buy order and the currency amount of the executed sell order. By executing an order from the customer with an order rate,
The difference between the currency amount of the committed buy order and the currency amount of the committed sell order may be reduced. The difference between the currency amount of the executed buy order and the currency amount of the executed sell order is the same as the difference between the currency amount of the fictitious sell order and the currency amount of the fictitious buy order.

If there is a difference in the currency amount of the executed buy order and the currency amount of the executed sell order, the order processor has a self position. In this case, the self-position management means cancels at least a part of the self-position by contracting an order from a customer having an order rate close to the support rate even if the support rate and the order rate do not match. This makes it possible to reduce the economic risk borne by the order processing device.

More specifically, in order to cancel the self-position, the self-position management means, when the currency amount of the contracted sell order is larger than the currency amount of the contracted buy order, The customer's buy order is further filled, and if the committed sell order's currency amount is less than the committed buy order's currency amount, the customer's sell order is further filled.

In the above-mentioned self-position cancellation, the self-position management means may be arranged such that the self-position management means, when the currency amount of the contracted sell order is larger than the currency amount of the contracted buy order, If the buy rate from the customer whose order rate is close to the offer rate is preferentially filled and the currency amount of the filled sell order is less than the currency amount of the filled buy order, the order rate Preferentially fill the sell order of the customer near the bid rate. That is, when the currency amount of the fictitious buy order is greater than the currency amount of the fictitious sell order, the gicoposition management means gives priority to the buy order from the customer whose order rate is close to the offer rate. Let's face each other and the currency amount of the fictitious buy order is
When the currency amount of the fictitious sell order is smaller than that of the fictitious sell order, the sell order of the customer whose order rate is close to the bid rate may be preferentially opposed.

Furthermore, when the order processing device is connected to another device via a network, the self-position management means determines a difference in currency amount between a promised sell order and a promised buy order by a predetermined amount. If the value exceeds, the information requesting the transaction may be transmitted to the other device so as to reduce the difference. While the economic risk that the order processing device can bear is limited, there are cases where the order processing device cannot resolve its own position simply by using the order received from the customer. When the self-position of the order processing device is biased to sell or buy more than a certain amount, the self-position management means requests an external device to make a transaction, so that the economic risk of the order processing device is reduced even in such a case. Things are possible.

Furthermore, the order processing apparatus may further include cross-currency processing means for facilitating management of own position by converting a transaction for a certain currency into a transaction for another currency. .
The cross currency processing means can perform the following processing.

For example, the cross currency processing means is 3
Assuming there are different types of currencies, A, B, C
Other than the accumulated value for the transaction of currency A, the accumulated value for the transaction of currency C for currency B, and the accumulated value for the transaction of currency A for currency C It may be converted into an integrated value for the transaction. This makes it possible to convert a transaction having the smallest absolute value of the integrated value into another transaction and set the integrated value of the transaction having the smallest absolute value of the integrated value, that is, the own position to zero.

When it is set that a certain currency D is prioritized, the cross-currency processing means may convert a transaction for the currency D into a transaction other than the currency D. As a result, it becomes possible to easily manage the own position, as compared with the case where the management of each currency pair is performed separately.

Further, when the order data indicating the contents of the order from the customer includes a leverage rate indicating a multiple between the amount of currency traded in the order and the margin amount of the transaction, the order processing apparatus causes the order processing apparatus to execute the leverage rate. Further comprising a transaction unit setting means for setting the transaction unit of the order from the customer,
Self-position management means, based on the transaction unit,
It may be determined whether or not the order from the customer is executed.

Since the economic risk that can be taken by each customer is different, a leverage rate that is an index of the economic risk that can be taken from each customer is acquired, and the transaction unit setting means sets the transaction unit based on the leverage rate. . If the self-position management means determines that the self-position can be resolved without dividing the order from the customer into smaller units, the order from the customer is executed. This makes it possible to prevent subdivision of orders from customers in the process of canceling self-positions, and eventually to prevent difficulty in managing orders with a large amount of currency to be traded. .

According to another aspect of the present invention, in a relative processing method for processing an order relating to a foreign exchange transaction received from a customer, the computer generates a support rate which is a rate for guaranteeing the execution of the transaction. Then, when the order rate of the order is in a predetermined relationship with the support rate, the computer executes the order from the customer regardless of the amount of currency ordered by the customer.
May be included. This method can also solve the above problems. Here, the above computer may be one computer or a plurality of computers.

Further, by causing a computer to read and execute the program from a computer-readable recording medium in which a program for causing the computer to perform the same control as the function performed by each means constituting the above apparatus is recorded. Also, the above-mentioned problems can be solved. Further, by using a computer data signal embodied in a carrier wave that expresses the above program, the above problem can be solved by causing the computer to download and execute the program. Further, the program itself that causes the computer to perform the same control as the function performed by each means constituting the above apparatus can also solve the above problems.

[0026]

BEST MODE FOR CARRYING OUT THE INVENTION Embodiments of the present invention will be described below with reference to the drawings. In the following description, dollar / yen, euro / yen, etc. are used as an example of the currency to be traded, but it is not intended to limit the currency to be traded. Also, the dollar / yen means a dollar transaction against the yen, and the euro /
The yen means the euro trade against the yen, and the dollar means the US dollar unless otherwise specified.

First, the configuration of the order processing apparatus according to the first embodiment will be described with reference to FIG. As shown in FIG. 1, the order processing apparatus D according to the first embodiment is a customer C.
The terminal, the information vendor V, and the external transaction system E are connected via the network N. Network N
As a LAN (Local Area Network) such as a dedicated line,
WAN (Wide Area Netw) such as telephone lines and the Internet
ork) is considered. It should be noted that although the network N is shown separately in FIG. 1, it may be a combination of a plurality of networks or the same network. The order processing device D is also connected to an input / output device (not shown) that realizes an interface with the administrator.

As the input / output device and the terminal of the customer C, a telephone, a fax and a desktop computer, and a portable information terminal such as a mobile phone and a laptop computer can be considered. When the terminal of the customer C is a personal digital assistant, such as a PDA (Personal Digital Assistants), a mobile phone or a simplified mobile phone, the order processing device D
May use the information service for the mobile information terminal to accept the order from the customer C. Note that FIG.
In the above, a desktop computer is shown as an example, but this does not mean that the terminal of the customer C is limited.

The customer C issues a trade order to the trader via the terminal. When the terminal of the customer C has a function of transmitting and receiving information to and from the computer, when placing an order, the terminal of the customer C transmits order data indicating the contents of the order to the order processing device D. The order data includes information for identifying the customer C and information regarding a currency pair to be traded. Items included in the order data will be described later. Further, when the terminal of the customer C does not have the function of transmitting and receiving information, the person who receives the order from the customer C may input the order data to the order processing device D via an input / output device (not shown). . In the following description, the terminal of the customer C is assumed to have a function of transmitting and receiving information to and from the computer, but the present invention is not limited to this.

The information vendor V provides the order processing device D with information regarding the current transaction rate. The external trading system E is another system for conducting bilateral trading. Examples of the external transaction system E include other devices having the same functions as the order processing device D, EBS, Webet, and the like. Webet is a currency exchange online trading system provided by Coldman Sachs.

The order processing device D includes a support rate generating section 1, an order receiving section 2, a transaction unit setting section 3, a relative processing section 4,
Self position management unit 5, cross currency processing unit 6,
It includes a contract order management unit 7, a customer information database (hereinafter, database is referred to as DB) 8, a customer order management DB 9, a market DB 10, and a self-position table 11.

The support rate generation unit 1 generates a support rate, which is an exchange rate used for fulfilling an order in the order processing device D, based on the information acquired from the information vendor V. As information to be acquired from the information vendor V, a system other than this system, for example, a system similar to this system or EBS (Electric Banking Sys
tem) etc. and the exchange rate etc. Hereinafter, the exchange rate acquired from the information vendor V is referred to as an external rate. The rates include a bid rate (hereinafter referred to as a bid) and an offer rate (hereinafter referred to as an offer). The bid is the price when the customer C sells the currency to the trader (corresponding to the order processing device D in this embodiment), and the offer is the price when the customer C buys the currency from the trader. Generally, bids are cheaper than offers.

The support rate generator 1 generates a support rate bid and offer based on the external rate bid and offer. Hereinafter, the support rate bid is referred to as a support bid, and the support rate offer is referred to as a support offer. When the difference between the bid and offer of the external rate is equal to or more than a certain value or less than the certain value, the support rate generation unit 1 determines the central value of the bid and the offer of the external rate, that is, the bid and the offer of the external rate. A support offer may be generated by subtracting a predetermined value from the simple average to generate a support bid, and adding a predetermined value to the central value.

The support rate generator 1 transmits the generated support rate to the terminal of the customer C via the network N. Further, the support rate generated by the support rate generation unit 1 may be broadcast by FM character multiplex broadcasting (so-called visible radio) using a broadcasting device (not shown). In this case, the terminal of the customer C needs to have the function of a browser for watching the radio that can be seen.

The customer C knows the support rate through the output unit provided in the terminal and places an order to the order processing device D. In addition, according to the external rate that changes from moment to moment,
The support rate generation unit 1 generates a support rate every moment. In addition, the support rate generation unit 1 transmits the generated support rate to the customer C via the network N and outputs the generated support rate to the order reception unit 2, the relative processing unit 4, and the self-position management unit 5.

According to the order processing apparatus D, a market order (MKT described later) issued at a certain date and time, or a limit order (LMT or STP described later) having a constant support rate at a certain date and time always has a certain date and time. Buy and sell at the support rate. In other words, the support rate at a certain date and time is a rate at which the customer C is guaranteed that the order processing apparatus D will be able to buy and sell at the presented date and time. On the other hand, the order processing device D is a customer C at the support rate.
Is obliged to close the order.

If the order receiving unit 2 receives the order data from the customer C and the received order data has no data leakage,
Order identification information that identifies an order (hereinafter called order ID)
Is issued to the order and the order data is stored in the customer order management D
Store in B9. Further, the order receiving unit 2 includes a transaction unit setting unit 3, and the transaction unit setting unit 3 sets a transaction unit related to the order based on the leverage rate included in the order data, and sets the set transaction unit in the order data. Attach. Here, the leverage rate is information indicating how many times the contract rate corresponds to the margin money. About the leverage rate,
Details will be described later.

When the order processing apparatus D executes an order from the customer C, the order from the customer C is not divided into orders with a smaller currency amount than the transaction unit. As a result, it becomes possible to avoid that an order with a large amount of currency to be traded is subdivided and executed as the order management becomes complicated. Further, the order receiving unit 2 creates working data for the order based on the order data and stores the working data in the market DB 10.

The relative processing unit 4 contracts an order satisfying a predetermined condition based on the support rate and the working data. Here, according to the order processing apparatus D, the buy order and the sell order are not directly opposed to each other. If the order rate of the order has a predetermined relationship with the support price, the relative processing unit 4 executes the order regardless of the transaction unit, the transaction volume, and the transaction currency amount. The transaction currency amount is a value obtained by multiplying the transaction amount by the transaction unit. Since the order is executed regardless of the transaction currency amount of the buy order of the customer C and the sell order of the customer C, if the sum of the transaction currency amounts of the executed buy order and the sum of the transaction currency amounts of the sell order does not balance, the order is placed. The processing device D carries an economic risk. In this way, the economic risk state obtained by the order processing device D by executing the order of the customer C is called a self-position.

For example, when contracting a buy order of 50,000 dollars from the customer C, the relative processing unit 4 formally assumes a fictitious sell order of 50,000 dollars which is not an order from the customer, and 2 By making the two orders face to face, the order from the customer C is executed regardless of the transaction currency amount. In this case, the order is not partially filled even when the transaction currency amount is large. Conventionally, by placing an order with a high transaction currency amount and an order with a low transaction currency amount, high-order orders are subdivided, and only a small number of small amount transactions are completed, and the rest are established. There is a problem that a situation of not doing occurs, but this makes it possible to make such a problem less likely to occur. Furthermore, it becomes possible to solve the problem that the management of high-priced orders becomes complicated. In the case of the above example, as a result of the contract, the order processing device D has a selling position of 50,000 dollars as its own position.

The selling position means a state in which a certain currency is being sold, and if that currency rises, it becomes a loss,
If the price drops, it will be profitable. The buying position is the opposite. For example, in the case of a dollar / yen selling position, it means that the dollar is being sold. If the dollar rises against the yen (so-called dollar weak yen), it becomes a loss, and if it falls (so-called dollar weak yen increases), it becomes profit. Becomes Positions are maintained until they are settled by doing a reverse trade. The fact that the order processing device D has a self-position means that the order processing device D bears an economic risk due to the above-mentioned exchange rate fluctuation, and therefore it is necessary to manage the self-position.

The self-position management unit 5 manages the self-position obtained as a result of contracting the order from the customer C by accumulating the transaction currency amount of the contracted order from the customer C. Further, when the own position is biased to sell or buy, that is, when the sum of the transaction currencies of the sell order from the promised customer C and the buy order from the promised customer C is not the same, the self-position management unit In step 5, the contract received from the customer C is further contracted, so that the self-position corresponding to the currency amount of the contracted order is canceled.

Furthermore, when the own position is biased to buy or sell by a predetermined amount of currency or more, the own position management section 5 places an order for a trade for canceling the own position in the external trading system E. Good. In this way, the transaction with the external transaction system E performed so as to cancel the own position is called a cover transaction. The order having the property of canceling the self-position is specifically a sell order when the self-position is biased to buy, and a buy order when the self-position is biased to sell. It is possible to arbitrarily set the above-mentioned predetermined currency amount and the transaction quantity of the order placed outside.

Further, the self-position management unit 5 may include a cross currency processing unit 6. The cross-currency processing unit 6 facilitates management of own position by converting a transaction regarding a certain currency into a transaction regarding another currency. For example, dollar / yen, euro /
In addition to transactions with the dollar like the dollar, there are also transactions other than the dollar with the euro / yen. In this case, for example, it is possible to convert a euro / yen transaction into dollar / yen and euro / dollar, or convert a euro / dollar transaction into dollar / yen and euro / yen transaction. . Utilizing this, the cross-currency processing means facilitates managing the self-position of each currency pair by converting the self-position of one currency pair into the self-position of another currency pair.

The data structure of each DB will be described below with reference to FIGS. 2 and 3. The customer information DB 8 stores, for each customer C, customer identification information, a password, the name of the customer C,
Stores address, contact information, balance of accounts, valuation gain / loss of transactions, margin for unsettled transactions, etc. Since the data structure of the customer information DB 8 is self-explanatory, the description is omitted.

First, referring to FIG. 2, the customer order management DB 9
Will be described. The customer order management DB 9 stores order data which is information about each order received from the customer C. The order data includes, as items, customer identification information (hereinafter, the identification information is referred to as ID (IDentification information)), a type of currency pair, a transaction quantity, whether to sell or buy,
It includes order type, order rate, leverage rate, transaction unit, order ID, contract date and time, contract quantity, and contract rate.

The customer ID is information for identifying the customer C who has placed an order. The type of currency pair indicates the currency pair that the customer C desires to trade. As the type of currency pair, for example,
Examples include dollar / yen, euro / yen, and euro / dollar.
In the currency pair, the currency listed above is bought and sold, and the settlement is made in the currency listed below. For example, in the case of dollar / yen, dollars are bought and sold, and settlement is done in yen. The minimum transaction unit (normal transaction unit) is preset corresponding to the currency pair.

The transaction quantity indicates how many times the currency amount of the ordered currency is the transaction unit. For example, when the transaction unit of dollar / yen is 10,000 dollars and the transaction currency amount is 100,000 dollars, the transaction quantity is 10. The sell / buy distinction indicates whether the order sells currency (sell order) or buys (buy order). In FIG. 2, selling / buying is indicated by a flag, the flag for a sell order is “1”, and the flag for a buy order is “−1”.

The order type indicates how the order has the property to be processed. For example, the types of orders include limit (hereinafter referred to as LMT) and stop (hereinafter referred to as S).
TP), market (hereinafter referred to as MKT), and the like. In addition, OCO (One Cancel the Othe
r), if-done, etc. are possible, but the description thereof will be omitted.

The LMT is a so-called limit order, which is an order to sell or buy at a specified price. The STP is a so-called loss cut order or a profit securing order, and is an order to buy or sell immediately when the market rate reaches a specified price. MKT is a so-called market order,
It is an order to sell or buy at a rate that can be bought and sold now. LMT
In the case of STP and STP, the order rate is included in the information about the trading order, but in the case of MKT, the order rate is not included in the information about the trading order. Order rate is Customer C
Is the price of the currency in which you wish to buy or sell the item. In FIG. 2, the type of order is indicated by a flag, the flag for LMT is “1”, the flag for MKT is “0”, and the flag for STP is “−1”.

The leverage ratio represents the ratio of the contract price to the margin money. In the margin trading, the customer C does not have to hand over all the contract price to the trader, but instead, transfers a part of the contract price to the trader as margin. According to the present invention, the customer C can manage the risk amount by setting the leverage ratio. For example,
When the leverage ratio is 1, the margin money and the contract price are the same amount, and when the leverage ratio is 3, the margin money is 1/3 of the contract price.

When the leverage ratio is 1, the risk caused by the transaction through the order processing device D is almost the same as the foreign exchange risk caused by the foreign currency deposit. However, according to the foreign currency deposit, the customer can obtain the interest rate applied to the foreign currency by actually exchanging the home currency into the foreign currency and depositing it as the foreign currency. On the other hand, in the case of a transaction through the order processing device D, one currency is not actually exchanged for another currency. Further, the customer C can obtain the interest rate difference (called swap) between the bought currency and the sold currency, instead of the deposit interest rate in the case of foreign currency deposit. For example, when the customer C makes a dollar / yen buying transaction at a leverage ratio of 1, the customer C can obtain the difference between the dollar interest rate and the yen interest rate as a swap. Therefore, the transaction at the leverage ratio of 1 in the order transaction device D and the foreign currency deposit are transactions that are similar in appearance but different from each other. If the leverage ratio is 2 or 3, the gains and swaps due to foreign exchange fluctuations are 2 when compared with the case where the leverage ratio is 1.
The risk amount increases in proportion to the leverage ratio.

The above-mentioned customer ID, currency type, transaction quantity,
The sell / buy distinction, order type, order rate, and leverage rate are included in the order data received by the order processing device D from the customer C. The trading unit is set by the trading unit setting unit 3 based on the leverage ratio in order to prevent one order from being divided into an unreasonable trading volume and processed.
Attached to the order data. Specifically, the transaction unit setting unit 3
Sets a value obtained by multiplying the normal transaction unit by the leverage ratio as the transaction unit. The order ID is issued by the order receiving unit 2 and is attached to the order data when it is confirmed that the received order has no omissions.

The contract date and time, the contract quantity and the contract rate are attached by the relative processing unit 4 or the self-position management unit 5 when the order is contracted. Next, the data structure of the market DB will be described with reference to FIG. The market DB 10 is provided for each currency pair and stores data regarding each unfilled order related to that currency. For example, dollar / yen, euro / dollar, euro / yen, etc.
Market DB of dollar / yen for each currency pair,
A market DB for euro / dollar, a market DB for euro / yen, etc. are provided. Hereinafter, data regarding each unfilled order is referred to as working data, and an order that has been accepted but not yet filled is referred to as working order.

The working data includes items such as reference number, customer ID, sell / buy distinction, order type, transaction unit, and transaction quantity. The reference number is attached to the working data by the order receiving unit 2 based on the order rate and the order ID included in the order data of the working order. More specifically, the reference number is the order rate to the order I
It is created by the order receiving unit 2 by connecting D and attached to the working data.

When the type of order is MKT, the order rate is not included in the order data, so the order receiving unit 2 creates a reference number with the support rate at the time of receiving the order as the order rate, Attach the created reference number to the working data. Furthermore, the order reception unit 2 is the MK
The T order type is set as LMT in the working data. That is, in the working data, the types of orders are only LMT and STP. Other items in the working data are based on order data.

Self position table 11 (not shown)
Stores its own position for each currency pair. The self position is stored by the self position management unit 5,
It is updated every time the order of the customer C is filled, every time the self position is canceled, and every time the cross currency process is performed.

The procedure of order processing in the order processing device D will be described below with reference to FIGS. 4 to 10. Figure 4
It is a flowchart which shows the procedure in which the order processing apparatus D processes the received order. For the customer C, the support rate generation unit 1 of the order processing apparatus D generates a support rate corresponding to the external rate that changes every moment, and presents the generated support rate to the customer C. The customer C can determine whether or not to place an order, the content of the order, and the like by referring to the support rate displayed on the output unit of the terminal.

When the customer C accesses the order processing device D from the terminal and transmits the order data indicating the contents of the order to the order processing device D, the order receiving section 2 of the order processing device D causes the customer C
The order data is received from (step S1). The order processing device D acquires the customer ID for identifying the customer C when the customer C accesses or receives the order data. Subsequently, the order receiving unit 2 confirms whether the received order data includes necessary information. Next, the order receiving unit 2 refers to the customer information DB 8 by using the customer ID of the customer C, and determines whether or not the amount of money (margin) required to accept the order is less than or equal to the transactionable amount of the customer C. It is determined (step S2).

The tradable amount means the new trading capacity of the customer C and is calculated from the margin margin of the customer C and the like. The tradable amount can be calculated by subtracting the required margin amount of the unsettled transaction from the sum of the margin margin of the customer C and the valuation gain / loss, and dividing by the required margin amount for one transaction. The formula for calculating the tradable amount is as follows.

Tradeable amount = (Margin entrusted to customer + Margin on valuation difference−Necessary margin for unsettled transaction) / (Necessary margin for one transaction) On the other hand, the margin required to accept an order is the order It corresponds to the transaction volume included in the data. It is the amount of the contracted currency when the quantity order is executed divided by the leverage rate.

When the order receiving unit 2 determines that the margin required to accept the order is larger than the transaction amount of the customer C (step S2: No), the process proceeds to step S9, and the order receiving unit 2 Notifies the customer C that the order cannot be accepted, and ends the processing. When it is determined that the margin required to accept the order is equal to or less than the transaction amount of the customer C (step S2: Yes), the order receiving unit 2 further
Based on the order data, it is determined whether the order type is MKT (step S3). If it is determined that the order type is not MKT (step S3: No), the process proceeds to step S10 (described later). When it is determined that the order type is MKT (step S3: Yes), the order receiving unit 2 acquires the current support rate from the support rate generating unit 1 (step S4). Here, the order reception section 2
Determines whether the order is a buy order or a sell order, based on a flag indicating whether sell or buy included in the order data. If the order is a buy order, the support rate generation unit 1 provides a support offer. And if the order is a sell order, get a support bid. The order reception unit 2 notifies the customer C of the acquired support rate and confirms the contract rate (step S5).

If the customer C does not approve the request (step S6: No), the process advances to step S9 to notify that the order cannot be accepted, and the process ends. When the approval is obtained from the customer C (step S6: Yes), the transaction unit setting unit 3 of the order receiving unit 2 attaches a transaction unit to the order data based on the leverage rate included in the order data, and further orders. Give an ID. Next, the order reception unit 2
The order data is stored in the customer order management DB 9 together with the customer ID (step S7). Here, the transaction unit is
It is the normal transaction unit multiplied by the leverage ratio.

For example, in a dollar / yen transaction, assuming that the normal transaction unit is 10,000 dollars, the leverage ratio is 1
If so, the transaction unit setting unit 3 sets the transaction unit of the order to 10,000 dollars. Similarly, when the leverage ratio is 2 or 3, the transaction unit setting unit 3 sets the transaction unit of the order to 20,000 dollars or 30,000 dollars, respectively. Also,
For example, in the case of an order with a trading volume of 3 and a leverage ratio of 3, the trading unit of the order is $ 30,000 and the margin is $ 30,000. When all the orders are filled, the contracted currency amount is $ 90,000. Become. Since the transaction unit is 30,000 dollars, even if the order is most subdivided, the order is divided into three contracts of 30,000 dollars each. As a result, it is possible to prevent the management of a large amount of orders from becoming complicated by subdividing and executing an order of a large amount of transaction currency. Further, as the order ID, for example, a serial number may be used.

Further, the order receiving unit 2 creates a reference number based on the order rate and the order ID, attaches the reference number to the working data based on the order data, and adds the reference number to the order data of the order to be accepted. A working data based on the order data is created by adding a reference number, stored in the market DB 10 corresponding to the ordered currency pair (step S8), and the process is ended. For example, the order rate is 120.
If there is an order of 00 / dollar with an order ID of 002, the order receiving unit 2 sets 120000 as a reference number of the order.
02 may be created. For this reference number,
The 5th digit from the top shows the order rate, and the 6th to 8th digits from the top show the order ID. Here, the type of order is MKT
If there is no order rate, the support rate obtained in step S4 is given to the working data as the order rate, and the MKT order is stored in the market DB 10 as the LMT order.

If No in step S3, the order receiving unit 2 further determines whether the order rate included in the order data is reasonable (step S1).
0). For LMT orders, a reasonable order rate is a more favorable rate for customer C than the current support rate. Therefore, when the order rate is more disadvantageous for the customer C than the support rate, the order receiving unit 2
It is determined that the order rate is not reasonable (step S1
0: No), the process proceeds to step S9, the customer C is notified that the order rate cannot be accepted because the order rate is not rational, and the process ends. Specifically, in the case of a sell order, if the support bid is higher than the order rate, or in the case of a buy order, if the support offer is lower than the order rate, the order receiving unit 2 determines that the order rate is not reasonable. It may be judged.

Since the STP order has the above-mentioned characteristics, the rational order rate is more disadvantageous to the customer C than the current support rate. Therefore, the order receiving unit 2 determines that the order rate is higher than that of the customer C
If it is advantageous, it is determined that the order rate is not reasonable (step S10: No), and step S9.
Proceed to. Specifically, in the case of a sell order, if the support bid is lower than the order rate, or in the case of a buy order, if the support offer is higher than the order rate, the order receiving unit 2 determines that the order rate is not reasonable. It may be judged.

When the order receiving unit 2 determines that the order rate is reasonable (step S10: Yes), the process proceeds to step S7. In this way, the order reception unit 2
When receiving the order data, stores the order data in the customer order management DB 9, and further stores working data based on the order data in the market DB 10.

Next, the overall flow of the order processing procedure will be described with reference to FIG. The following processing is performed each time new working data is stored in the market DB 10 or each time the support rate changes by one unit or more. First, when new working data is stored in the market DB 10 or the support rate changes by one unit or more (step S21: Yes), the relative processing unit 4 performs processing for making the orders relative based on the latest support rate. Perform (step S22). Here, 1 unit means, for example,
If it is dollar / yen, it is 1 sen, if it is euro / dollar,
1 cent.

In the relative processing, the relative processing unit 4 does not make the orders of the customer C face each other. Instead, if the order rate of the order from the customer C has a fixed relationship with the support price, the relative processing unit 4 executes the order regardless of the transaction unit, the transaction volume, and the currency amount. In this case, the order from the customer C is not made to face each other, but formally, the order from the customer C to be executed and the fictitious order of the same currency amount are made to face each other. This relative processing will be described later in detail.

When there is no executed order in the relative processing by the relative processing unit 4 (step S23: No), the process proceeds to step S33. As a result of the relative processing, if there is an executed order (step S23: Yes), step S2
The processing from 4 to step S26 and the processing from step S27 to step S32 are performed.

The processing from step S24 to step S26 is a contract processing, and from step S27 to step S3.
The process 2 is a process for canceling the self-position that the order processing device D has as a result of the relative process. First,
The contract processing will be described.

When the order from the customer C is executed, the relative processing unit 4 deletes the working data of the order from the market DB 9, and further the order data in which the last three digits of the reference number of the working data is the order ID. Is acquired from the customer order management DB 9. The relative processing unit 4 adds the contract date and time, the contract amount, and the contract rate to the order data (step S24).

When the contract date and time is added to the order data,
The contracted order management unit 7 acquires information about the customer C who placed the order from the customer information DB 8 using the customer ID included in the order data as a search key (step S25). Subsequently, the contract order management unit 7 notifies the customer C that the order has been contracted, based on the information such as the contact information included in the information about the customer C (step S26), and proceeds to step S33.

Next, the processing for canceling the self-position will be described. When the order of the customer C is filled by the relative processing, the order processing device D, more specifically, the trader who owns and manages the order processing device D, has the own position. Therefore, the order processing device D mainly bears an economic risk due to exchange rate fluctuations. Therefore, it is necessary to manage the self-position so that the self-position does not accumulate above a certain level.

In the case of Yes in step S23, the relative processing unit 4 outputs to the self-position management unit 5 whether the contract is sold or bought, the type of currency pair, and the transaction currency amount. The self-position management unit 5 updates the self-position based on the notification (step S27).

The self-position management unit 5 manages the self-position for each currency pair. When the relative processing unit 4 executes a buy order from the customer C, the relative processing unit 4 decreases the own position corresponding to the executed currency pair by the executed transaction currency amount, and the relative processing unit 4 executes the sell order from the customer C. If so, the self-position corresponding to the committed currency pair is increased by the committed transaction currency amount. Therefore, the self-position may take a positive value or a negative value. If the own position is positive, the total transaction currency amount of the sell order from the committed customer C is the committed customer C.
It means more than the total trading currency amount of buy orders from.

On the other hand, when the own position is negative, it means that the total transaction currency amount of the buy orders from the committed customer C is larger than the total transaction currency amount of the sell orders from the committed customer C. To do. For example, when the current own position of $ / yen is 1 million dollars and the buy order from the customer C of $ / yen is executed by $ 100,000, the own position management unit 5 sets the own position to one million dollars. To 100,000 dollars, and renews own position to 900,000 dollars. The transaction currency amount is, of course, an integer multiple of the transaction unit, that is, a value obtained by multiplying the transaction unit by the transaction quantity (also called a lot). For example, an order with a transaction currency amount of $ 100,000 and a transaction unit of $ 20,000 is an order of 5 lots. Then, the order is filled with an integral multiple quantity of $ 20,000, such as $ 20,000, $ 40,000, or $ 60,000.

After updating the self-position, the self-position management unit 5 further cancels the self-position by making it face the order from the customer C, if necessary (step S28). This process will be described later. Then, the self-position management unit 5 determines whether or not the updated absolute value of the self-position is equal to or larger than a predetermined value (step S29). This predetermined value is the order processing device D
May be set based on the amount of financial risk that the Also, for example, the predetermined value is 0
It may be set as (zero), and each time an order is filled, if there is a self-position after the order is filled, the self-position may be canceled. When the self-position management unit 5 determines that the absolute value of the self-position is less than the predetermined value (step S29: No), step S29.
Proceed to 33. When it is determined that the absolute value of the own position is equal to or larger than the predetermined value (step S29: Yes), the own position management unit 5 cancels the own position by the cover transaction of the currency pair corresponding to the own position (step S30). ).

In the cover transaction, for example, when the own position is a positive value, the own position of the order processing device D is biased toward buying, and therefore the own position management unit 5
A sell order is placed in an external trading system E to carry out a sell transaction. On the contrary, when the self-position is a negative value, a buy order is placed in the external trading system E to carry out a buy trade. Then, the self-position management unit 5 updates the self-position based on the content of the cover transaction. That is, the self-position management unit 5 reduces the absolute value of the self-position by the amount of the cover transaction. This makes it possible to prevent the order processing device D from taking a certain economic risk. Here, as an external trading system, another device having the same function as the order processing device D or the above-mentioned E
You may use BS, Webet, etc.

The cover transaction will be described below with reference to FIG.
This will be described in more detail. In this description, it is assumed that the currency pair is euro / yen, but it does not mean that the currency pair for which the cover transaction is performed is limited. In FIG. 6, three graphs are shown. In these graphs, the horizontal axis shows the currency pairs and the vertical axis shows the number of self-positions in millions of euros.

FIG. 6A shows the euro / yen self-position of the order processing device D at a certain point of time. Figure 6
As shown in (a), it can be seen that the euro / yen self-position is + (plus) 50,000 euros at this point. After this, it is assumed that the relative processing unit 4 has executed the sell order of the customer C of 70,000 euros. FIG. 6B shows the euro / yen self-position of the order processing device D after the execution of 70,000 euro. As shown in Fig. 6 (b), the own position of the order processing device D is further increased from +50,000 to 70,000 euro because the own position is updated as a result of the execution of a new sell order of 70,000 euro. +12
It is 10,000 euros.

Here, if the predetermined value used in the determination in step S29 is 100,000 euros, the self-position management unit 5 determines that the current absolute value of the self-position is
It is determined that the value is equal to or larger than a predetermined value, and the cover transaction is performed based on the predetermined value. In the case of FIG. 6B, since the self-position is a positive value, the self-position management unit 5 issues a sell order of 100,000 euro to the external trading system E and performs the sell trade. FIG. 6C shows the order processing device D after the cover transaction.
Shows the euro / yen self position. As shown in FIG. 6C, the self-position management unit 5 has canceled the self-position of 100,000 euro by the cover transaction, and therefore the self-position of the order processing device D is reduced to +20,000 euro. In this way, the self-position management unit 5
Clears its own position through a cover transaction.

Then, the cross-currency processing unit 6 of the self-position management unit 5 determines whether or not the cross-currency processing can be performed (step S31). When the cross currency processing unit 6 determines that the cross currency processing cannot be performed (step S31: No), the process proceeds to step S33 without performing the cross currency processing. When it is determined that the cross currency processing can be performed (step S31: Yes), the cross currency processing unit 6 performs the cross currency processing (step S3).
2), go to step S33. The determination in step S31 and the cross currency process in step S32 will be described in detail later.

In step S33, the order processing device D
Determines whether to end the order processing, and when it is determined to continue the order processing (step S33: No), returns to step S21. Otherwise (step S33: Y
es), and ends the order processing.

The procedure of relative processing by the relative processing section 4 will be described below with reference to FIG. This relative processing corresponds to step S22 in FIG. First, the relative processing unit 4
Waits for new working data to be added to the market DB 10 or for the support rate generated by the support rate generation unit 1 to change (step S4).
1). When new working data is added to the market DB 10, that is, when there is a new order (step S4)
1: New order), the relative processing unit 4 makes the orders relative to each other according to the type of the order.

According to the working data stored in the market DB 10, the type of order is LMT or STP.
Is either. The relative processing unit 4 determines whether the type of order is LMT based on the working data, S
It is determined whether it is TP (step S42).

When the type of order of the new order is STP (step S42: STP), if the order rate of the order is a sell order equal to or higher than the support offer, the relative processing unit 4 executes the order. Or the order is
If it is a buy order whose order rate is less than or equal to the support bid, the relative processing unit 4 fills the order (step S
43), the relative processing ends. When contracting an order, the relative processing unit 4 determines the contract rate of the contracted STP based on the order rate. Generally, in the case of an STP order, the contract rate is more disadvantageous to the customer C than the order rate. In the case of an STP buy order, the relative processing unit 4 sets the order rate to a commission and a predetermined slippage (the difference between the order rate and the contract rate).
Is added to the contract rate, and in the case of an STP sell order,
A commission and a predetermined slippage may be subtracted from the order rate to obtain the contract rate.

A more specific description will be given below. The order rate is the first half of the working data reference number. For example, if the currency pair is dollar / yen, the dollar as of 2001 is around 120 yen, so the first three digits of the reference number correspond to the three digits of the order rate in yen units. The fourth and fifth digits from the top correspond to the two digits of the order rate in denominations. When the support bid is 120.10, the above S
When contracting a buy order of TP, the relative processing unit 4 refers to the market DB 10 to refer to the working data in which the upper 5 digits of the reference number are below the support bid, that is, the upper 5 digits are below 12010. Of the orders corresponding to the acquired working data, all of the STP buy orders are executed regardless of the transaction quantity and the transaction unit.

Similarly, when the order type of the new order is LMT (step S42: LMT), the relative processing unit 4
Fills an order if it is a sell order with an order rate below the support bid. Alternatively, if the order rate of the order is a buy order whose support rate is equal to or higher than the support offer, the relative processing unit 4 executes all contracts regardless of the transaction quantity and the transaction unit (step S44), and ends the relative processing. When executing LMT orders, the relative processing unit 4
Determines the fill rate based on the LMT's order rate. Relative processing unit 4, in the case of LMT buy order,
LMT by adding commission to ordering rate
In the case of the sell order, the commission rate may be subtracted from the order rate to obtain the contract rate.

When it is determined in step S41 that the support rate has changed (step S41: change in support rate), the relative processing unit 4 further determines whether the support offer has fallen (step S45).
Note that in many cases, support offers and support bids change at the same time. Here, when the rate falls,
In the transaction of the currency B against the currency A, it means that the currency B falls with respect to the currency A, that is, the currency B becomes weaker and the currency A becomes higher. More specifically, for example, in the case of a dollar / yen transaction, a decrease in the rate means a weaker yen and a stronger yen. If the rate goes up, the opposite is true.

When the support offer has fallen (step S45: Yes), the relative processing unit 4 buys an LMT having an order rate falling within the rate band of the changed portion of the support offer before the change and the support offer after the change. And all STP sell orders are executed (step S4
6), the process ends. The method of determining the contract rate is the same as above.

On the other hand, when the support offer has not dropped (step S45: No), the relative processing unit 4
Further, it is determined whether or not the support bid has risen (step S47). When the support bid has risen (step S47: Yes), the relative processing unit 4 sells the SMT of the LMT having the order rate falling within the rate band of the change portion of the support bid before the change and the support bid after the change and the S.
All the purchase orders for TP are executed (step S48), and the process is terminated. The method of determining the contract rate is the same as above. Even if the support rate changes, if the support offer has not fallen, and the support bit has not risen (step S47: No), the relative processing unit 4 does not perform the relative processing.

As an example, a dollar / yen support rate is 12
The relative processing will be specifically described assuming that the value has changed from 0.10 · 20 to 120.00 · 10. Here, 120.10 / 20 means that the support bid is 120.10 and the support offer is 120.20. First, the support offer will be described. Support offers have fallen from 120.20 to 120.10. As support offers are falling,
The relative processing unit 4 performs relative processing on LMT buy orders and STP sell orders. The rate of change is 12
Since it is between 0.20 and 120.10, the relative processing unit 4
The working data in which the first five digits of the reference number are between 12020 and 12010 is acquired from the market DB 10, and based on the flag indicating the sell / buy distinction and the order type included in the acquired working data. Of the orders corresponding to the working data, the LMT buy order and the STP sell order are all executed regardless of the transaction volume and the transaction unit.

Similarly, the support bid is 120.10 to 12
It has fallen to 0.00. Since this does not correspond to the case where the support bid is rising, the relative processing unit 4 does not perform the relative processing for the LMT sell order and the STP buy order. In this way, the relative processing unit 4 executes the order from the customer C. As a result of the execution of the order, when the amount of currency in which the sell order is executed is not balanced with the amount of currency in which the buy order is executed, the order processing device D has its own position.

The procedure of the self-position elimination processing by the self-position management unit 5 will be described below with reference to FIG. This process corresponds to step S28 in FIG. First, the self-position management unit 5 performs step S27.
When the self position is updated at, it is determined whether or not the absolute value of the updated self position is greater than 0 (step S51). When the self-position management unit 5 determines that the absolute value of the self-position is 0 (step S51: No), there is no self-position to be canceled, and thus the self-position canceling process ends.

When the self-position management unit 5 determines that the absolute value of the self-position is larger than 0 (step S
51: Yes), the self-position management unit 5 further
It is determined whether the sign of the self position is positive or negative (step S52). When it is determined that the sign of the self position is positive (step S52: Yes), the self position management unit 5 proceeds from step S53 to step S62.
Do up to. When it is determined that the sign of the self-position is negative (step S52: No), the self-position management unit 5 performs steps S71 to S80.

First, the case where it is determined that the sign of the self position is positive will be described. First, the self-position management unit 5 sets an order rate of an order to be searched when searching the market DB 10. If the sign of the self position is positive, the self position management unit 5
Set a support offer as an initial value (step S
53). Subsequently, the self-position management unit 5 searches the market DB 10 for the working data of the buy order of the LMT having the reference number that matches the order rate in which the upper five digits are set (step S54).

When the corresponding working data cannot be acquired (step S55: No), the process proceeds to step S61. When the corresponding working data has been acquired (step S55: Yes), the self-position management unit 5
Further, it is determined whether or not the absolute value of the own position is equal to or greater than the trading unit of the order indicated by the working data (step S56). When it is determined that the absolute value of the own position is less than the trading unit of the order (step S5)
6: No), unless the order is divided into currency amounts smaller than the transaction unit, the self-position cannot be resolved. Therefore, the self-position is not canceled using the order, and the process proceeds to step S60.

When it is determined that the absolute value of the own position is equal to or greater than the trading unit of the order (step S56: Y
es), if you do not divide the order into smaller units
You can use that order to close your position. Therefore, the self-position management unit 5 cancels the self-position by using the order.

More specifically, if the absolute value of the own position is equal to or larger than the transaction currency amount of the order, it is possible to execute the entire transaction currency amount of the order without dividing the order into a plurality of orders. Therefore, the self-position management unit 5 fills all the orders. Formally, the self-position management unit 5 makes a fictitious sell order having the same currency amount as that of the order and the order correspond to each other.

If the absolute value of the own position is equal to or more than the transaction unit of the order but less than the transaction currency amount of the order, the own position management unit 5 is less than the absolute value of the own position and the transaction unit of the order. The amount of currency that is a multiple of is calculated, and the order is filled by the amount corresponding to the calculated amount of currency. Formally, the self-position management unit 5
A fictitious sell order having the same currency amount as the calculated currency amount and the calculated currency amount of the order are made to face each other. The rest of the order is not filled and remains in the market DB 10 as a working order. Note that the execution rate of the ordered order is determined in the same manner as in the case of the relative processing, and thus the description thereof will be omitted.

When the order is executed, the above-mentioned step S2 is executed.
The contract processing similar to that of step S26 is performed from step 4 (step S57). Furthermore, the self-position management unit 5 updates the self-position based on the contract result (step S58). The method for updating the self-position is the same as in step S27 described above.

Subsequently, the own position management unit 5 determines whether or not the updated absolute value of the own position is equal to or larger than a predetermined value, for example, the smallest possible transaction unit (step S59). The transaction unit setting unit 3 sets a different transaction unit for each order based on the leverage rate included in the order data. If the transaction unit is the smallest amount,
Since it is a normal transaction unit (also a transaction unit when the leverage ratio is 1), the normal transaction unit may be set as a predetermined value.

When the self-position management unit 5 determines that the absolute value of the self-position after the update is not equal to or larger than the predetermined value (step S59: No), there is almost no self-position to be eliminated, and therefore the self-position elimination process is performed. To finish. When the self-position management unit 5 determines that the updated absolute value of the self-position is greater than or equal to the predetermined value (step S59: Yes), the self-position management unit 5
Determines whether there is any other working data retrieved (step S60), and if there is any working data (step S60:
Yes), and returns to step S56. When there is no other working data retrieved (step S60: No), the self-position management unit 5 determines whether or not the order rate to be retrieved has reached the support bid (step S61).

When the self-position management unit 5 determines that the order rate being the search target has reached the support bid (step S61: Yes), the self-position elimination process ends. When the order rate to be searched has not reached the support bid (step S61: No), the self-position management unit 5 sets the order rate to be searched to be one point lower, and returns to step S54.

Next, the case where it is determined that the sign of the self-position is negative (step S52: No) will be described. In this case, the self-position management unit 5 performs steps S71 to S80. Step S7
The steps 1 to S80 correspond to the steps S53 to S62 described above, respectively, and most of the procedures are the same as when the self-position is positive. I will put it down and explain.

First, if the sign of the self-position is positive, then in step S53 the self-position management unit 5
Sets the initial value of the order rate to be searched as the support offer, but if the sign of the self-position is negative, in step S71, the initial value of the order rate to be searched is set as the support bid.

If the self-position sign is positive, the self-position management unit 5 in step S54.
Searches for a buy order for LMT, but if the sign of own position is negative, then in step S72, LMT
Search for sell orders. When canceling the self-position, if the self-position sign is positive, the self-position management unit 5 assumed a fictitious sell order, but if the self-position sign is negative, a fictitious buy order is placed. Suppose.

Next, if the self-position is positive after canceling the self-position for a certain order rate, in step S61, the self-position management unit 5 indicates that the order rate to be searched is a support bid. If the sign of the self position is negative, it is determined in step S79 whether the order rate to be searched is a support offer.

Finally, when the order rate to be newly searched is set and the self-position is positive, in step S62 the self-position management unit 5
Sets the order rate of the search target one point lower, but if the sign of self position is negative, step S
At 79, the order rate to be searched is set 1 point higher.

In this way, the self-position management unit 5
The self-position created by executing the order of the customer C is resolved. Hereinafter, the relative processing and the self-position elimination processing will be specifically described with reference to three examples.
First, as a premise of the first and second examples, it is assumed that three working data are stored in the dollar / yen market DB 9 as shown in FIG. In FIG. 3, reference numerals 11995101, 11998010 and 119940, respectively.
The working data of the dollar / yen with 22 is stored. The order indicated by the working data with reference number 11995101 is a sell order for LMT, with a trading unit of $ 10,000 and a trading volume of 1. The order indicated by the working data with reference number 11998010 is an LMT sell order with a trading unit of $ 30,000 and a trading volume of three. The order indicated by the working data with reference number 11994022 is an STP buy order with a trading unit of $ 10,000 and a trading volume of 1. Then, it is assumed that the support rate is 119.90 / 120.00 and the self-position is 0 when these working data are stored.

Example 1) In the above state, a new transaction unit 3
It is assumed that the relative processing unit 4 executes an MKT buying order from the customer C who has a transaction quantity of 2 for 10,000 dollars. As a result, the self-position management unit 5 changes the self-position from 0 to -6.
Update to $ 10,000 ($ 30,000 x 2). In this case, since the self-position sign is negative, the self-position management unit 5 carries out the processing from step S71.

That is, the self-position management unit 5 searches the working data of the LMT sell order from the support bid 119.90 to the support offer 120.00 in ascending order rate. As a result, the self-position management unit 5
Obtain working data with reference number 11995101.
The trading unit of the order indicated by this working data is $ 10,000, which is smaller than the absolute value of the own position of $ 60,000, so it is possible to execute the order without canceling the order unreasonably and cancel the own position. Is. The self-position management unit 5 eliminates $ 10,000 of the self-position and updates the self-position to -50,000.

Since the updated own position is still larger than the normal trading unit, the own position management unit 5
Searches the working data in order to perform processing for canceling the self position. As a result of the search, the self-position management unit 5 next acquires working data having the reference number 11998010. The trading unit of the order indicated by this working data is $ 30,000, which is smaller than the absolute value of own position of $ 60,000. However, since the trading volume of this order is 3, the trading currency amount of this entire order is 90,000 dollars, which is larger than the absolute value of the own position. Therefore, it is necessary to divide and execute this order. The self-position management unit 5 eliminates $ 30,000 of the self-position by facing a part of the order, and updates the self-position to $ 20,000. On the other hand, the order is executed only for one transaction unit of $ 30,000, and the remaining two transaction units are not executed and remain in the working data.

Example 2) In the above state, the support rate is 11
Suppose it changed to 9.97 / 120.02. In this case, since the support rate has changed by 1 point or more, the relative processing unit 4 performs the relative processing. Changes in Support Bid 119.90-11
Selling L with an order rate in the rate range up to 9.97
The MT and the buy STP working data are searched by referring to the first 5 digits of the reference number. as a result,
Working data with reference numbers 11995101 and 11994022 are acquired. The relative processing unit 4 executes all the orders indicated by the acquired working data regardless of the transaction unit and the transaction quantity. Since the two trades that have been executed are opposite to each other in buying and selling and the product of the trading volume and the trading unit (that is, the trading currency amount) has the same value, the own position does not change and remains zero.

Example 3) As a premise of the third example, it is assumed that two working data having reference numbers 11995101 and 11998010 among the above three working data are stored in the dollar / yen market DB 10. The support rate and self-position at this time are shown in Example 1 and Example 2.
The same as the case of.

Here, the support rates are 119.95 and 120.95.
In case of the change to the above, the relative processing unit 4 sets the working data of the sell LMT and the buy STP, which have the order rates in the rate range from 119.90 to 119.95, which is the change portion of the support bid, to the working digits of the reference number from the top 5 digits. Search by referencing. As a result, working data with reference number 11995101 is obtained. The relative processing unit 4 has a reference number 119951.
Execute the order indicated by the working data with 01. Since the contracted order is a sell order and the product of the trading volume and the trading unit is 10,000, the own position management unit 5 updates the own position from 0 to $ 10,000. further,
Since the self-position is positive, the self-position management unit 5 searches the working data of the buy order from the support offer 120.05 to the support bid 119.95 in descending order of order rate. As a result, the self-position management unit 5 acquires the working data having the reference number 11998010. The trading unit of the order indicated by this working data is $ 30,000, and the absolute value of the own position is larger than $ 10,000. Since it is not possible to fill an order by dividing it into smaller units than trading units, the self-position management unit 5
Will not eliminate its own position.

After canceling the self-position, the self-position management unit 5 performs a cross-currency process if possible after performing a cover transaction, if necessary. Less than,
The determination as to whether cross currency processing can be performed will be described with reference to FIG. This processing is performed in step S3 of FIG.
1 and corresponds to step S32.

The cross-currency processing is performed by converting the own position of cross-currency (transaction other than the base currency, hereinafter the base currency will be described as dollars) into the transaction with respect to the dollar and eliminating the cross-currency self-position. , Facilitates management of the economic risk borne by the order processing device D. In the description of the cross currency process, attention is paid to the dollar and the yen, and the currency other than the yen and the dollar is referred to as A. However, this is not to the effect of limiting the types of currencies to which cross-currency processing can be applied. For example, instead of the yen, any currency other than the currency A, such as the euro or the mark, may be adopted.

There are two patterns in the cross currency processing. In the first pattern, among the self-positions of three currency pairs of A / yen, A / dollar, and dollar / yen, the self-position of the currency pair having the smallest absolute value is 0.
The second pattern preferentially eliminates the self-position of a preset currency pair.

First, the first pattern will be described. The cross-currency processing unit 6 of the self-position management unit 5 first determines whether the sign of the self-position of the cross currency A / circle is positive or negative (step S81). It is not possible that the self-position is 0 in step S81 due to the determination shown in step S29 of FIG. 5, but if the self-position is 0, it is obvious that the cross currency process is not necessary.

When it is determined that the sign of the self-position of A / yen is positive (step S81: Yes), the cross-currency processing unit 6 further determines that the signs of self-position of dollar / yen and A / $ are both negative. Or not (step S82). When the determination in step S82 is No, the cross currency processing unit 6 proceeds to step S33 in FIG. 5 without performing the cross currency processing. If the determination in step S82 is Yes, the cross currency processing unit 6 performs cross currency processing (step S8).
4).

On the contrary, when it is determined that the sign of the self-position of A / yen is negative (step S81: No), the cross currency processing unit 6 further determines the sign of self-position of dollar / yen and A / dollar. Are both positive (step S83). When the determination result in step S84 is No, the cross currency processing unit 6 does not perform the cross currency process and proceeds to step S33 in FIG. If the determination in step S83 is Yes, the cross currency processing unit 6 performs cross currency processing (step S84).

As described above, the cross currency process can be performed when the self-positions of each currency pair have the above two combinations. FIG. 10 shows combinations of signs of self-positions of each currency pair when cross currency processing can be performed. In addition,
In FIG. 10, the currency pair is assumed to be dollar / yen, A / dollar, and A / yen in accordance with this explanation.

In the cross currency processing in step S84, the cross currency processing unit 6 uses A / yen, dollar /
The absolute value of the self-position having the smallest absolute value among the three currency pairs of yen and A / dollar is subtracted from the absolute values of the self-positions of other currency pairs. The processing will be described below for each currency pair of the self-position having the smallest absolute value.

1) When the absolute value of the self-position of dollar / yen is the minimum, the cross-currency processing unit 6 determines the support rate generation unit 1
The A / $ support rate is obtained from and the absolute value of the own position of $ / yen is divided by the mid rate of A / $. Here, the mid rate is a simple average of the support rate bid and offer. Subsequently, when the sign of the self-position of dollar / yen is positive, the cross-currency processing unit 6 subtracts the value obtained by the above division from the self-position of A / dollar (the sign is positive), and the same value is obtained. Add to A / yen self position (sign is negative). On the contrary, when the sign of the self-position of dollar / yen is negative, the value obtained by the above division is added to the self-position of A / dollar (the sign is negative), and the same value is the self-position of A / yen ( The sign is positive). As a result, the dollar / yen self-position is zero.

2) When the absolute value of the self-position of A / $ is the minimum, the cross-currency processing unit 6 gives the self-position of A / yen (the sign is negative) when the sign of the self-position of A / $ is positive. Add the absolute value of the self-position of A / $ to
When the sign of the self-position of / $ is negative, the absolute value of the self-position of A / $ is subtracted from the self-position of A / yen (the sign is positive). Further, the cross-currency processing unit 6 acquires the support rate of A / $ from the support rate generation unit 1 and multiplies the absolute value of the self-position of A / $ by the mid rate of A / $. Subsequently, when the sign of the A / $ self position is positive, the cross currency processing unit 6 subtracts the value obtained by the above multiplication from the dollar / yen self position (the sign is positive) to obtain the A / $ If the sign of the self position of is negative, the value obtained by the above multiplication is added to the self position of the dollar / yen (the sign is negative). As a result, the A / $ own position is zero.

3) When the absolute value of the self-position of A / yen is the minimum, the cross-currency processing unit 6 gives the self-position of A / dollar (the sign is negative) when the sign of the self-position of A / yen is positive. Add the absolute value of the self-position of A / $ to
When the sign of the self position of / yen is negative, the absolute value of the self position of A / dollar is subtracted from the self position of A / dollar (the sign is positive). Further, the cross-currency processing unit 6 acquires the support rate of A / $ from the support rate generation unit 1 and multiplies the absolute value of the self-position of A / yen by the mid rate of A / $. Subsequently, when the sign of the self-position of A / yen is positive, the cross-currency processing unit 6 adds the value obtained by the multiplication described above to the self-position of dollar / yen (the sign is negative) to obtain A / yen. If the sign of the self position of is negative, the value obtained by the above multiplication is subtracted from the self position of the dollar / yen (the sign is positive). As a result, the self-position of A / yen becomes zero.

In the above processing, addition / subtraction is performed in the direction in which the absolute value of the self-position of each currency pair decreases. Alternatively, in the table shown in FIG. 10, it is easy to understand that the subtraction is performed when the sign of the self-position is positive, and the subtraction is added when the self-position is negative. In any case, fractions less than or equal to the set minimum unit may be discarded. By processing as described above, the self-position of the currency pair having the smallest absolute value can be set to zero.

Next, the second pattern of the cross currency process will be described. In this pattern, in the case of this pattern, it is necessary to set in advance which currency pair does not have its own position. Even in the case of the second pattern, it is determined whether or not the cross currency process can be performed in the same manner as in FIG. Subsequently, the cross-currency processing unit 6 performs the following processing for each preset currency pair in which the self-position should be preferentially canceled.

When it is set to preferentially cancel the self-position of the dollar / yen, the cross currency processing unit 6
Performs the same processing as 1) of the first pattern described above. A
/ If it is set to preferentially cancel the self-position of the dollar, the same process as 2) of the first pattern is performed.
If the self-position of the circle is set to be preferentially canceled, the same process as the first pattern 3) is performed.

It should be noted that the setting of which of the above two patterns of cross currency processing is adopted in the order processing device D and which currency pair is preferentially canceled for its own position should be arbitrarily changed. Is possible.
Next, an order processing device according to the second embodiment will be described. The order processing device D2 according to the second embodiment is the first
The following points are mainly different from the order processing apparatus D according to the embodiment.

Relative processing of MKT According to the order processing device D according to the first embodiment, the MKT
Is stored in the market DB 10 as an LMT whose order rate is the support rate at the time of receiving an order, and is relatively processed by the relative processing unit 4 in the same manner as the LMT. On the other hand, according to the order processing device D2 according to the second embodiment,
The relative processing of MKT differs from that of LMT.

Calculation of Slippage According to the order processing device D according to the first embodiment, the slippage is a predetermined value or a value set by the administrator of the order processing device D or the like. On the other hand, according to the order processing device D2 according to the second embodiment, the contract rate of the STP based on the support rate and the order rate at the time of contracting the STP, and in some cases, the working data stored in the market DB 10. The slippage used to calculate is calculated.

Method of Relative Processing According to the method of relative processing of LMT in the first embodiment, if the support rate and the order rate have a fixed relationship, they are contracted. On the other hand, according to the second embodiment, in addition to the method of relative processing of LMT in the first embodiment, if the order rates of the LMT orders from the customer C are in a certain relationship, the orders from the customer C will be exchanged. Adopt a method of facing each other.

The configuration of the order processing device D2 according to the second embodiment will be described below with reference to FIG. As shown in FIG. 11, the order processing device D2 according to the second embodiment.
Has basically the same configuration as the order processing device D shown in FIG. 1, but further includes a market contract rate calculation unit 12 and a slippage calculation unit 13.

When the order accepting unit 2 accepts the MKT from the customer C, the market contract rate calculating unit 12 calculates the MKT at the present time based on the working data stored in the market DB 10 at the time of accepting the order and the support rate at the time of accepting the order. Calculate the fill rate when you fill the order. The contract rate calculated by the market contract rate calculation unit 12 has the property of being the same as the support rate or more advantageous to the customer C than the support rate. The customer C, based on the current MKT contract rate calculated by the market contract rate calculation unit 12,
It is determined whether or not the MKT is executed. If customer C orders a deal, that MKT will be used unless the market situation changes.
Is contracted at the contract rate calculated by the relative processing unit 4. In this way, it is possible to improve the service to the customer C who uses the order processing device by enabling the customer C to trade at a more advantageous rate.

The slippage calculation unit 12 calculates the slippage used when determining the STP contract rate based on the STP order rate and the support rate and, if necessary, the working data stored in the market DB 10. The relative processing unit 4 calculates the STP contract rate based on the calculated slippage. This reduces the possibility that an administrator or the like who manages the order processing device D2 will bear an economic risk by contracting the STP.

The processing in the order processing device D2 according to the second embodiment will be described below with reference to the drawings.
First, the procedure of the order receiving process in the second embodiment will be described with reference to FIG. The procedure shown in FIG. 12 is different from the procedure of the order receiving process in the first embodiment shown in FIG. 4 instead of steps S4 to S6.
The difference is that steps S90 to S94 are performed.
Hereinafter, the description will be given with an emphasis on the difference between the first embodiment and the second embodiment.

According to the second embodiment, the handling of the order data regarding the MKT is different from that of the first embodiment. That is, when the order receiving unit 2 determines that the MKT has been received in step S3 (step S3: Yes), the market contract rate calculating unit 12 calculates the MKT based on the working data and the support rate stored in the market DB 10.
The contract rate when the MKT is contracted at the present moment is calculated (step S90). The procedure of the market contract rate calculation process will be described in detail later.

Subsequently, the order receiving unit 2 transmits the calculated market contract rate to the customer C, and the customer C confirms the rate (step S91). The customer C who orders the MKT determines whether or not the MKT is contracted based on the market contract rate in addition to the support rate, and issues an instruction to the order processing device D2 based on the judgment result. Customer C
However, if the customer does not instruct to execute the MKT at the market contract rate (step S92: No), the order reception unit 2 notifies the customer C that the reception of the MKT is canceled (step S9), and the processing is performed. To finish. When the customer C gives an instruction to execute the MKT at the market execution rate (step S92: Yes), the market execution rate calculation unit 12 receives the instruction and the working data and the support rate stored in the market DB 10 at the time of receiving the instruction. Based on the above, the contract rate when the MKT is contracted again is calculated (step S93). This recalculation process is the same as step S90.

The order receiving unit 2 determines whether or not the market contract rate calculated again in step S93 is more disadvantageous to the administrator or the like who manages the order processing device D2 than the market contract rate calculated in step S90. It is determined (step S94). When the re-calculated market contract rate is a contract rate that is disadvantageous to the administrator or the like who manages the order processing device D2 (step S9).
4: No), the order receiving unit 2 notifies the customer C that the MKT cannot be received at the contracted rate (step S).
9), the process ends.

Also, if the time from the time when the market contract rate is calculated in step S90 to the time when the market contract rate is calculated again in step S93 is a certain time or more, the order receiving unit 2 also Notify that the MKT cannot be accepted at the contract rate (not shown). If the MKT is not accepted, customer C
It is of course possible to place an order again.

The re-calculated market contract rate is
When the contract rate is not disadvantageous to the administrator who manages the order processing device D2 (step S94: Yes), the order receiving unit 2 stores the MKT order data in the customer order management DB 9
(Step S7). Immediately thereafter, the relative processing unit 4 executes the MKT contract at the contract rate,
The LMT order used in calculating the contract rate of T is contracted at the contract rate that considers the order rate and fees. After step S7, the process proceeds to step S8, but the second
According to the embodiment, as described above, the MKT's working data is not stored in the market DB 10 because the contract is determined when the order is accepted.

The procedure for calculating the MKT contract rate will be described below. This procedure corresponds to step S90 and step S93 in FIG. Since this procedure is different between the case of a buy order of MKT and the case of a sell order of MKT, the procedure in the case of a buy order of MKT will be described first.

When the order receiving unit 2 receives the MKT buying order, the market contract rate calculating unit 12 refers to the market DB 10 and based on the reference number, selling / buying type and order type included in the working data. , An LMT sell order having an order rate between the support bid and the support offer is extracted from the market DB 10. Then, the market contract rate calculating unit 12 extracts the LMs in the order in which the order rate is closer to the support bid.
From the T sell orders, select an order corresponding to the transaction currency amount of the MKT buy order. LMT with the same order rate
In the case of a sell order, the one with the earliest acceptance date and time is selected with priority. In addition, when the LMT sell order is selected, it is possible to divide the LMT sell order and select a part for each transaction unit. Subsequently, the market execution rate calculation unit 12 calculates the weighted average of the order rates of the selected LMT sell orders as the received MKT execution rate.

[0148] For example, the order receiving section 2 has a MK of 100,000 dollars.
When the buy order of T is accepted, the market execution rate calculation unit 12 selects LMT sell orders for a total of 100,000 dollars in the order of the order rate closer to the support bid, and the order rate of the selected LMT sell order. The weighted average of M
It is calculated as the contract rate of KT. For example, if the breakdown of the sell order of the selected LMT is as follows, M
The contract rate of KT can be calculated by the following formula.

LMT Sell Order Breakdown: Order rate 120.01, transaction currency amount $ 50,000 Order rate 120.05, transaction currency amount $ 20,000 Order rate 120.10, transaction currency amount $ 30,000 MKT execution rate = {Σ (LMT's Order rate) x (LMT transaction currency amount)} / (MKT transaction currency amount) = (120.01 * 5 + 120.05 * 2 + 120.10 * 3) / 10 = 120.045 = 120.05 (rounded up after the minimum currency unit) In some cases, the total transaction currency amount of the extracted LMT sell orders is less than the accepted transaction currency amount of the MKT buy orders. In this case, the market contract rate calculation unit 12 sells the LMT whose order rate is the support offer by the currency amount corresponding to the difference between the total transaction currency amount of the LMT sell orders and the transaction currency amount of the MKT buy orders. Assuming an order, calculate the execution rate of the buy order for that MKT.

[0150] For example, the order receiving unit 2 has an MK of 100,000 dollars.
When the buy order of T is accepted, but the total transaction currency amount of the sell orders of LMT extracted from the market DB 10 is only $ 80,000, the market contract rate calculation unit 12
Assume an LMT sell order with a support offer at an order rate for the lacking currency amount of $ 20,000.

FIG. 13A shows the selection order of the LMT sell order when the MKT buy order is accepted. Figure 1
As shown in FIG. 3 (a), when the MKT buy order is accepted, the LM having the order rate between the support bid and the support offer is calculated in order to calculate the MKT contract rate.
From the T sell orders, the orders are selected in order from the LMT sell order having an order rate close to the support bid.

Next, the procedure in the case of a sell order for MKT will be described. For MKT sell orders, the procedure is MK
The procedure is basically the same as in the case of a buy order for T. The differences are as follows. In the case of an MKT buy order, LMT sell orders are extracted from the market DB 10, and an order is selected from the extracted LMT sell orders in the order in which the order rate is closer to the support bid. On the other hand, in the case of MKT sell order, LM
The buy order of T is extracted, and the order is selected from the extracted buy orders of LMT in order of the order rate being closer to the support offer. . FIG. 13B shows the selection order of the LMT buy order when the MKT sell order is accepted.

In the case of an MKT buy order, when calculating the MKT contract rate, the minimum currency unit is rounded up. On the other hand, in the case of the MKT sell order, the units after the minimum currency unit are truncated.・ In the case of MKT buy order, if the total transaction currency amount of the extracted LMT sell order is less than the accepted MKT buy order transaction currency amount, the amount of the insufficient currency amount and the order rate are the support offer. Assume a sell order for LMT. On the other hand, in the case of the MKT sell order, it is assumed that the buy order is for the LMT whose order rate is the support bid for the shortage of the currency amount. According to the order processing apparatus D according to the first embodiment, in the case of an MKT buying order, it is treated as an LMT buying order with the order rate as a support offer,
The MKT sell order is handled as an LMT sell order with the order rate as the support bid. Meanwhile, the second
According to the embodiment, when the MKT is accepted, the contract rate is calculated based on the working data and the support rate stored in the market DB 10. This allows
The MKT contract rate is a support rate or a more favorable rate for the customer C. Then, order processing is performed by the order processing device D2. The procedure of this order processing is basically the same as that of the first embodiment shown in FIG. Hereinafter, with reference to FIG.
A procedure of relative processing of orders in the embodiment will be described. Note that FIG. 14 does not show the processing related to the MKT execution, but the processing related to the MKT execution has already been described.

As shown in FIG. 14, the relative processing in the second embodiment differs from the relative processing in the first embodiment shown in FIG. 7 in the following points. -According to the second embodiment, step S43, step S
After contracting STP in 46 and step S47, a process for calculating slippage is performed in step S100 or step S101. The procedure of the process for calculating the slippage will be described later.

According to the second embodiment, step S44
Further, after step S102 to step S10
Do 4. Hereinafter, regarding the procedure of the relative processing in the second embodiment,
The description will be given focusing on steps S102 to S104. First, the working data of LMT is market D.
When registered in B10 (step S42: LMT), step S44 is performed. Subsequently, after step S44, the relative processing unit 4 determines the LM executed in step S44.
It is determined whether there is T (step S102). When there is the LMT contracted in step S44 (step S102: No), the relative process is ended, and step S23 is performed.
Proceed to.

When there is no LMT executed in step S44 (step S102: Yes), the relative processing unit 4
Furthermore, if the new order is a sell order, then determines whether the order rate is less than the support offer. Alternatively, when the new order is a buy order, the relative processing unit 4
It is determined whether the order rate is higher than the support bid (step S103). If the new order is neither a sell order whose order rate is less than the support offer or a buy order whose order rate is higher than the support bid (step S103: No), the relative processing is ended and step S23.
Proceed to.

When the new order is a sell order whose order rate is less than the support offer, or a buy order whose order rate is higher than the support bid (step S1)
03: Yes), the relative processing unit 4 uses the market DB 10
Is checked to determine whether there is an order that is a counter party to the new order, and if there is an order that is a counter party to the new order, the new order is executed (step S104). The process of step S104 differs depending on whether the new order is a sell order or a buy order. First, the process of step S104 when the new order is a sell order will be described in detail.

When the new order is a sell order whose order rate is less than the support offer, the relative processing unit 4 refers to the market DB 10 and refers to the reference number, sell / buy distinction, and order type included in the working data. On the basis of,
Market DB1 for LMT buy orders whose order rate is higher than the order rate of new orders and lower than the support offer.
Extract from 0. The order rate of the buy order is a rate that is not disadvantageous (does not suffer a loss) to the administrator of the order processing device D2 as compared with the order rate of the new order. Therefore, if the transaction currencies are in balance, the extracted buy order and the new order can be opposed to each other to be executed.

Subsequently, the relative processing unit 4 selects an order corresponding to the transaction currency amount of the new order from the extracted LMT buy orders in the order of the order rate closer to the support offer.
For LMT buy orders with the same order rate,
Priority is given to the order with the earliest acceptance date and time. The selected LMT buy order is a counterpart to the new order.

FIG. 15A is a view for explaining the procedure for selecting a relative counterparty from the orders received earlier when the new order is a sell order. As shown in FIG. 15A, from the LMT buy orders having an order rate that is equal to or higher than the order rate of the new order and lower than the support offer, the orders are selected in the order in which the order rate is closer to the order rate of the new order.

Here, when selecting an LMT buy order, it is possible to divide the LMT buy order and select a part for each transaction unit. Also, the extracted LM
When the total transaction currency amount of the buy orders of T is less than the transaction currency amount of the new order, the relative processing unit 4 may divide the new order into transaction units.

Subsequently, the relative processing unit 4 executes the execution of the buy order and the new order selected as the relative counterparty. In addition,
When only a part of the buy order of the transaction currency amount of the new order can be selected as the counterparty, the relative processing unit 4 executes the contract by the amount that the counterparty can select. Finally, the relative processing unit 4 calculates the contracted rate of the contracted LMT. LM
The method of calculating the contracted rate of T is the same as that in the first embodiment, and thus the description thereof is omitted.

Next, the processing when the new order is a buy order whose order rate is higher than the support bid will be described. Since the processing in this case is almost the same as that of the sell order, only different points will be described. When the new order is a buy order, the relative processing unit 4 places the sell order of LMT whose order rate is higher than the support bid and lower than the order rate of the new order in the market DB 1
Extract from 0. The relative processing unit 4 selects a relative counterparty from the LMT sell orders extracted in the order of the order rate closer to the support bid.

FIG. 15B is a view for explaining the procedure for selecting a relative counterparty from the orders received earlier when the new order is a buy order. As shown in FIG. 15B, from the LMT sell orders having an order rate higher than the support bid and equal to or lower than the order rate of the new order, the orders are selected in the order of the order rate closer to the support bid.

In step S44, if the order is a sell order, the order rate is not higher than the support bit, or if it is a buy order, the order rate is not lower than the offer rate, the new order is not executed. But,
Even if the order rate of the LMT of the new order does not satisfy the condition of step S44, in step S102 to step S104, the new order is ordered by comparing it with the order rate of the order received earlier. When it is determined that the manager of the order processing device D2 does not suffer a loss even if the order is executed at the rate, the relative processing unit 4 executes the new order. As a result, it is possible to improve the convenience for the customer C and increase the commission income by establishing more transactions for the administrator and the like.

Next, the procedure of STP slippage calculation processing will be described. This process is step S in FIG.
This corresponds to 100 and step S101. First, the slippage will be described. For example, an STP sell order of $ 120.00 will be filled if the support offer goes to $ 120.00. At this time, the execution rate of the LMT buy order actually executed in the order processing device D2 is 12
It is less than 0.00 yen, for example, 119.90 yen. If both the STP sell order of 120.00 yen and the LMT buy order of 119.90 yen are executed at the respective order rates, the administrator who manages the order processing device D2 will pay the difference of 10
You will suffer money as a loss. Slippage is used to secure such losses.

According to the second embodiment, the slippage is calculated based on the working data and the support rate stored in the market DB. As a result, the loss incurred by committing STP to this slippage and ST
If there is an LMT contracted at substantially the same timing as P, it is possible to reasonably determine the slippage based on the profit obtained by contracting the LMT.

The procedure of slippage calculation processing is STP.
Depends on whether the STP is a sell order or a buy order. As described above, the timing at which the STP is contracted is the time when the support rate changes and the time when the working data of the STP is stored in the market DB 10. At these points, if the order rate has a fixed relationship with the support rate, the STP is filled.

First, the procedure of the slippage calculation process when the STP is executed when the support rate changes will be described. This process is performed in step S1 of FIG.
Corresponds to 01. First, the procedure of the calculation process in the case of an STP sell order will be described. Here, the order processing device D
It is assumed that the second administrator or the like sets the maximum value and the minimum value of the slippage in advance.

The STP sell order is filled if the support offer falls. When the support offer drops, the relative processing unit 4 determines the contracted LMT buy order and STP sell order as described above. Then, the slippage calculating unit 13 calculates a simple average of the support offer and the support bid as the reference value M.
In other words, the reference value M is calculated by the following formula.

Reference value M = {(support offer) + (support bid)} / 2 (truncates less than the minimum currency unit) Furthermore, the slippage calculation unit 13 executes order processing by contracting the LMT buy order at the order rate. Device D
The profit P generated by the second administrator and the like is calculated. This profit P
Is caused by the difference between the support rate and the contracted LMT order rate. The formula for calculating the profit P is as follows. The profit P is usually a value of 0 (zero) or more.

Profit P = Σ {(Order rate of LMT-Reference value M) × Transaction currency amount of LMT} Similarly, the slippage calculation unit 13 executes an order processing device D by contracting the sell order of STP at the order rate.
The loss L incurred by the administrator of 2 is also calculated. This loss L
Is caused by the difference between the support rate and the contracted STP order rate. The formula for calculating the loss L is as follows. The loss L usually has a value of 0 (zero) or less.

Loss L = Σ {(reference value M-STP order rate) × STP transaction currency amount} Further, the slippage calculation unit 13 sums the sum of the profit P and the loss L calculated as described above. Calculated as profit / loss forecast A. If the total profit / loss forecast A is equal to or more than a predetermined value, for example, 0 (zero) or more, the slippage calculating unit 13
Sets the slippage to a predetermined minimum value. It should be noted that if the total profit / loss forecast A is 0 or more, it means that the order processing device D2 does not suffer a loss due to the difference between the support rate and the order rate by contracting the order when the support offer falls. means.

On the other hand, when the total profit / loss forecast amount A is smaller than a predetermined value, for example, smaller than 0 (zero), the slippage calculation unit 13 further sums the total profit / loss forecast amount A to the sum of the transaction currency amounts of the STPs. The average loss A by dividing by
Calculate BS. The formula for calculating the average loss ABS is as follows. It should be noted that, in the following equation, the value less than the minimum currency unit may be rounded up.

Average loss value ABS = total expected loss amount A / Σ
(STP Transaction Currency Amount) The slippage calculation unit 13 determines the calculated loss average value ABS as a slippage when the loss average value is less than a predetermined maximum value. On the other hand, when the average loss value is equal to or larger than the maximum value, the slippage calculation unit 13 determines the maximum value as the slippage. Relative processing unit 4
Is the contract rate by subtracting the commission and a predetermined slippage from the order rate.

FIG. 16A shows the relationship between the contracted order and the reference value in the case of the STP sell order. FIG.
As shown in (a), when the support offer declines, the LMT buy order and the STP sell order having the order rate between the before-change and after-change support offers are executed. Since the reference value is lower than the support offer, the order processing device D2 profits by contracting the LMT, but suffers a loss by contracting the STP.

Next, the procedure of slippage calculation processing in the case of an STP buy order will be described. The procedure for the STP buy order is basically the same as the procedure for the STP sell order. The differences are as follows.・ In the case of an STP sell order, the contract is executed when the support offer falls, but in the case of the STP buy order, the contract is executed when the support bid rises.

In case of STP buy order, the relative processing unit 4
Determines the LMT sell order and the STP buy order to be executed. The slippage calculation unit 13 calculates the profit P generated by the difference between the support rate and the order rate by contracting the LMT sell order at the order rate by the following formula. It should be noted that in the case of an STP buy order, when calculating the reference value M, it is possible to round up less than the minimum currency unit.

Profit P = Σ {(Order value of standard value M-LMT) × Transaction currency amount of LMT} Similarly, the slippage calculation unit 13 contracts the buy order of STP at the order rate to obtain the support rate. The loss L caused by the difference from the order rate is calculated by the following formula.

Loss L = Σ {(STP order rate−reference value M) × STP transaction currency amount} FIG. 16B shows the relationship between the contracted order and the reference value in the case of an STP buy order. Indicates. As shown in FIG. 16B, when the support bid rises, the LMT sell order and the STP buy order having the order rate between the pre-change support bid and the post-change support bid are contracted. The standard value is higher than the support bid.

Next, the procedure of slippage calculation processing when the STP is executed when the STP working data is stored in the market DB 10 will be described.
This process corresponds to step S100 in FIG. First, the calculation process in the case of an STP sell order will be described. For an STP sell order, the STP is filled if the order rate is greater than or equal to the support offer. In this case, in order to calculate the slippage, the slippage calculating unit 13 first calculates the reference value M described above. here,
If a value less than the minimum currency unit occurs when calculating the reference value M, it may be truncated.

Subsequently, the slippage calculating unit 13 calculates the weighted average of the difference between the contracted STP order rate and the reference value M as the loss average value ABS. The calculation formula is as follows. Loss average value ABS = Σ {| standard value M-STP order rate | × STP transaction currency amount} / Σ (STP transaction currency amount) The subsequent processing is the same as when the support rate changes. That is, the slippage calculator 13 calculates the calculated loss average value ABS when the loss average value is less than the maximum value.
Is determined as the slippage, and if not, its maximum value is determined as the slippage.

The processing for the STP buy order is basically the same as that for the sell order. It should be noted that if a value less than the minimum currency unit occurs when calculating the reference value M, it may be rounded up. The order processing devices D and D2 described above are described in the above in a microcomputer in advance,
It may be configured using firmware that incorporates a program that realizes the processing shown in each flowchart. The order processing devices D and D2 may be configured by using a general-purpose computer as follows.

The order processing devices D and D2, the external trading system E, etc., and the terminal of the customer C, etc. described in this embodiment can be configured by using a computer (information processing device) as shown in FIG. . The computer 20 of FIG. 17 includes a CPU 21, a memory 22, an input device 23,
An output device 24, an external storage device 25, a medium drive device 26,
And a network connection device 27, which are buses 1
8 are connected to each other.

The memory 22 is, for example, a ROM (Read Onl
y Memory), RAM (Random Access Memory), etc., and stores programs and data used for processing.
The CPU 21 performs necessary processing by executing the program using the memory 22.

The computer 20 receives the order processing devices D and D.
When realizing the function corresponding to 2, the support rate generation unit 1, the order reception unit 2, the transaction unit setting unit 3, the relative processing unit 4, and the self-position that configure the order processing devices D and D2 shown in FIGS. The management unit 5, the cross-currency processing unit 6, the market contract rate calculation unit 12, and the slippage calculation unit 13 are each stored in a specific program code segment of the memory 22 as a program indicating the process performed by each unit. Note that the processing performed by each of the above units has been described in the above description and each flowchart.

The input device 23 is, for example, a keyboard, a pointing device, a touch panel, etc., and is used for inputting instructions and information from the user. Output device 24
Is, for example, a display, a printer, or the like, and is used for inquiring to the user of the computer 20 and outputting processing results and the like.

The external storage device 25 is, for example, a magnetic disk device, an optical disk device, a magneto-optical disk device, or the like. It is also possible to store the above-mentioned program and data in the external storage device 25, and load them into the memory 22 for use as needed.

The medium driving device 26 drives the portable recording medium 29 to access the recorded contents. Portable recording medium 2
9 includes a memory card, a memory stick, a flexible disk, a CD-ROM (Compact Disc Read On)
ly Memory), optical disc, magneto-optical disc, DVD (D
igital Versatile Disk) or any other computer-readable recording medium is used. It is also possible to store the above-mentioned program and data in this portable recording medium 29 and load them into the memory 22 for use as needed.

The network connection device 27 is a LAN, W
An external device is communicated via an arbitrary network (line) such as AN, and data conversion accompanying the communication is performed. Further, if necessary, the above-mentioned program and data can be received from an external device and loaded into the memory 22 for use.

FIG. 18 is a diagram for explaining a computer-readable recording medium capable of supplying a program and data to the computer of FIG. 17 and a transmission signal. Data stored in the above programs and each DB,
By supplying to a general-purpose computer as follows, it is possible to cause the general-purpose computer to perform the function corresponding to the order processing device D. For that purpose, the above-mentioned programs and data are stored in advance in a computer-readable recording medium 29. Then, as shown in FIG. 18, using the medium driving device 26,
A program or the like is read from the recording medium 29 by the computer 20, and is temporarily stored in the memory 22 or the external storage device 25 of the computer 20, and the CPU 21 of the computer 20 is caused to read and execute the stored program. Can be configured as.

Instead of reading the program from the recording medium 29 to the computer, the program may be downloaded from the DB 30 of the program (data) provider via the communication line (network) 31. In this case, for example, in a computer that has the DB 30 and transmits a program, the program data representing the program is stored in the program data
A transmission signal is obtained by converting the signal into a signal and modulating the converted program data signal using a modem, and the obtained transmission signal is output to the communication line 31 (transmission medium). In the computer that receives the program, by demodulating the received transmission signal using a modem,
Program data is obtained by obtaining a program data signal and converting the obtained program data signal. When the communication line 31 (transmission medium) connecting the computer on the transmitting side and the computer on the receiving side is a digital line, it is possible to communicate the program data signal. Further, a computer such as a telephone office may be interposed between a computer that has the DB 30 and transmits the program and a computer that downloads the program.

Although the embodiments of the present invention have been described above, the present invention is not limited to the above-described embodiments, and various other modifications can be made. For example, each unit and each DB that configure the order processing devices D and D2 realize a series of business processes by operating in cooperation with each other. Each of these units and each DB may be provided in the same server, or may be provided in different servers and operate in cooperation through a network.

(Supplementary Note 1) An order processing device for processing an order relating to a foreign exchange transaction received from a customer, the support rate generating means for generating a support rate which is a rate for guaranteeing the contract of the transaction, and Determine an order from the customer to be executed based on the order rate and the support rate, generate (or assume) a fictitious order for ordering a currency amount corresponding to the currency amount of the order from the customer, and An order processing apparatus comprising: a relative processing unit that executes a contract with an order from the customer by making a fictitious order and an order from the customer face each other.

(Supplementary Note 2) The support rate includes an offer rate applied to a buy order and a bid rate applied to a sell order, and the self-position management means uses the currency amount of the fictitious buy order. And the currency amount of the fictitious sell order is different, a further fictitious order is generated to be opposed to the order from the customer having the order rate between the offer rate and the bid rate. As a result, the difference between the currency amount of the fictitious buy order and the currency amount of the fictitious sell order is reduced, and the order processing apparatus according to appendix 1 is characterized.

(Supplementary Note 3) The self-position management means, when the currency amount of the generated fictitious buy order is larger than the currency amount of the generated fictitious sell order, is relative to the customer's buy order. To further generate a fictitious sell order, and if the generated fictitious buy order has a currency amount less than the generated fictitious sell order currency amount, to cause it to face the customer's sell order. 3. The order processing apparatus according to appendix 2, further comprising: generating a fictitious buy order.

(Supplementary Note 4) The self-position management means, when the currency amount of the generated fictitious buy order is larger than the currency amount of the generated fictitious sell order, the order rate is the offer rate. The buy order from the customer close to the customer is preferentially made, and when the generated fictitious buy order has a smaller currency amount than the generated fictitious sell order, the order rate is the bid. Prioritize the sell order of the customer close to the rate,
The order processing device according to appendix 2, characterized in that

(Supplementary Note 5) The order processing device is connected to another device via a network, and the self-position management means determines that the currency amount of the generated fictitious buy order is the generated fictitious order. When the difference between the currency amounts of the sell orders exceeds a predetermined value, information for requesting a transaction is transmitted to the other device so as to reduce the difference, and the order processing according to Note 2. apparatus.

[0199]

As described above in detail, according to the present invention, by placing a customer placing an order with a large amount of transaction currency and a customer placing an order with a small amount of transaction currency, a large amount of an order is placed. It is possible to prevent the administrative burden from being generated because the order is divided into small pieces and the order of a large amount of transactions is managed.

[Brief description of drawings]

FIG. 1 is a configuration diagram of an order processing device according to a first embodiment.

FIG. 2 is a diagram showing an example of a data structure of a customer order database.

FIG. 3 is a diagram showing an example of a data structure of a dollar / yen market database.

FIG. 4 is a flowchart showing a procedure of order reception processing.

FIG. 5 is a flowchart showing an overall flow of an order processing procedure.

FIG. 6 is a diagram illustrating a cover transaction.

FIG. 7 is a flowchart showing a procedure of relative processing.

FIG. 8 is a flowchart showing a procedure of self-position elimination processing.

FIG. 9 is a flowchart illustrating a procedure of determination processing as to whether or not cross currency processing is possible.

FIG. 10 is a diagram showing combinations of signs of self-positions of currency pairs to be written when cross currency processing can be performed.

FIG. 11 is a configuration diagram of an order processing device according to a second embodiment.

FIG. 12 is a flowchart showing a procedure of order acceptance processing in the second embodiment.

FIG. 13 is a diagram illustrating a procedure for calculating an MKT contract rate.

FIG. 14 is a flowchart showing a procedure of relative processing in the second embodiment.

FIG. 15 is a diagram illustrating a procedure of selecting a relative partner of a new order of LMT.

FIG. 16 is a diagram illustrating a slippage calculation procedure.

FIG. 17 is a configuration diagram of a computer.

FIG. 18 is a diagram illustrating a recording medium and a transmission signal that can supply a program and data to a computer.

[Explanation of symbols]

1 Support rate generator 2 Order reception department 3 Transaction unit setting section 4 Relative processing unit 5 Self Position Management Department 6 Cross currency processing section 7 Execution Order Management Department 8 Customer information database 9 Customer order management database 10 Market database 11 Self position table 12 Market execution rate calculator 13 Slippage calculator 20 computers 21 CPU 22 memory 23 Input device 24 Output device 25 external storage 26 medium drive 27 Network connection device 28 buses 29 Portable recording medium 30 DB 31 lines C customer D and D2 order processor E External trading system N network V information vendor

   ─────────────────────────────────────────────────── ─── Continued front page    (72) Inventor Hitoshi Aiba             4-11-30 Minamiazabu, Minato-ku, Tokyo Minamiazabu Shibuya             Building 5F Tokyo Forex Tray             Inside Dar's Securities Co., Ltd. (72) Inventor Hisatoshi Yamamoto             4-11-30 Minamiazabu, Minato-ku, Tokyo Minamiazabu Shibuya             Building 5F Tokyo Forex Tray             Inside Dar's Securities Co., Ltd. (72) Inventor Isao Kanamaru             4-11-30 Minamiazabu, Minato-ku, Tokyo Minamiazabu Shibuya             Building 5F Tokyo Forex Tray             Inside Dar's Securities Co., Ltd. (72) Inventor Seizo Sakata             4-11-30 Minamiazabu, Minato-ku, Tokyo Minamiazabu Shibuya             Building 5F Tokyo Forex Tray             Inside Dar's Securities Co., Ltd. (72) Inventor Shuji Fukushima             4-11-30 Minamiazabu, Minato-ku, Tokyo Minamiazabu Shibuya             Building 5F Tokyo Forex Tray             Inside Dar's Securities Co., Ltd.

Claims (17)

[Claims] 1. An order processing device for processing an order relating to a foreign exchange transaction received from a customer, which includes a support rate generating means for generating a support rate which is a rate for guaranteeing a contract of the transaction, and an order rate for the order. And a predetermined relationship with the support rate, a relative processing means for executing an order from the customer regardless of the amount of currency ordered from the customer. 2. The relative processing means, when the order from the customer is a sell order, makes the fictitious buy order having a currency amount equivalent to the currency amount ordered from the customer and the order from the customer correspond to each other. When the order from the customer is a buy order, a fictitious sell order having a currency amount equivalent to the currency amount ordered from the customer and an order from the customer are made to face each other. The described order processing device. 3. When accepting a market order from the customer, a market contract rate calculating means for calculating a contract rate of the market order based on the support rate and an order rate of another uncommitted order currently accepted. The order processing apparatus according to claim 1, further comprising: 4. A slippage calculation for calculating a value gap for guaranteeing the loss based on a loss that can be caused by executing the stop order when the order from the contracted customer is a stop order. The order processing apparatus according to any one of claims 1 to 3, further comprising means. 5. The order processing apparatus according to claim 1, further comprising self-position management means for managing a currency amount of the contracted order. 6. The self-position management means accumulates the currency amount of the executed order, and in the integration, if the executed order is a sell order, accumulates the currency amount of the executed order. 6. The order processing apparatus according to claim 5, wherein the order processing device is added to a value, and when the executed order is a buy order, the currency amount of the executed order is subtracted from the integrated value. 7. The support rate includes an offer rate applied to a buy order and a bid rate applied to a sell order, and the self-position management means sets a currency amount of the executed buy order. If there is a difference in the currency amount of the traded sell order, the traded order is further executed by contracting an order from the customer having the order rate between the offer rate and the bid rate. The order processing device according to claim 5 or 6, wherein a difference between a currency amount of a buy order and a currency amount of the contracted sell order is reduced. 8. The self-position management means further contracts the buy order of the customer when the currency amount of the contracted sell order is larger than the currency amount of the contracted buy order, 8. The order processing apparatus according to claim 7, wherein if the currency amount of the sell order is less than the currency amount of the contracted buy order, the sell order of the customer is further contracted. 9. The self-position management means, when the currency amount of the promised sell order is larger than the currency amount of the promised buy order, the order rate from the customer is close to the offer rate. When a buy order is executed with priority, and the currency amount of the executed sell order is less than the currency amount of the executed buy order, the sell order of the customer having the order rate close to the bid rate is prioritized. 9. The order processing device according to claim 7, wherein the order processing device is executed. 10. The order processing device is connected to another device via a network, and the self-position management means sets the currency amount of the contracted sell order to the currency amount of the contracted buy order. When the difference exceeds a predetermined value, information for requesting a transaction to the other device is transmitted so as to reduce the difference, The information according to any one of claims 5 to 9, wherein The described order processing device. 11. Assuming that the three types of currencies are A, B, and C, the integrated value of the transaction of the currency A against the currency B, the integrated value of the transaction of the currency C of the currency B, and the currency C The cross-currency processing means for converting the integrated value of the transaction having the smallest absolute value among the integrated values of the transaction of currency A into the integrated value of the other transaction is further provided. Item 10
The order processing device according to claim 1. 12. The method according to claim 1, further comprising cross-currency processing means for converting a transaction with respect to currency D into a transaction other than with respect to currency D when it is set that a certain currency D is prioritized. 10
The order processing device according to claim 1. 13. The order data indicating the contents of an order from the customer includes information on a leverage rate indicating a ratio between a currency amount traded in the order and a margin of the transaction, and is based on the information on the leverage rate. And further comprising transaction unit setting means for setting a transaction unit of the order from the customer, wherein the own position management means reduces the difference between the currency amount of the fictitious buy order and the currency amount of the fictitious sell order. At this time, it is determined whether or not to execute an order from the customer based on the transaction unit.
The order processing device according to the item. 14. An order processing method for processing an order for a foreign exchange transaction received from a customer, wherein the computer generates a support rate which is a rate for guaranteeing the execution of the transaction, and the computer orders the order. When the rate has a predetermined relationship with the support rate, the order processing method is characterized in that an order from the customer is executed regardless of the amount of currency ordered from the customer. 15. A program for causing a computer to execute control for processing an order relating to a foreign exchange transaction received from a customer, wherein a support rate which is a rate for guaranteeing the execution of the transaction is generated, and the order rate of the order is A program that causes the computer to execute a process including: executing an order from the customer regardless of the amount of currency ordered from the customer when the customer has a predetermined relationship with the support rate. 16. A computer-readable recording medium having a program for causing a computer to execute a control for processing an order relating to a foreign exchange transaction received from a customer, the rate being a rate for guaranteeing a contract of the transaction. A rate is generated, and when the order rate of the order has a predetermined relationship with the support rate, the order from the customer is executed regardless of the amount of currency ordered by the customer. A recording medium recording a program to be executed by a computer. 17. An order processing device for processing an order relating to a foreign exchange transaction received from a customer, comprising: information on a leverage ratio indicating a multiplying ratio of the ordered currency amount and the margin of the transaction received from the customer. Based on the above, a transaction unit setting means for setting a transaction unit of an order from the customer, and a relative processing means for causing the order from the customer to face another order for each transaction unit, Processing equipment.