JP2008209986A - Securities transaction execution system - Google Patents

Abstract

[PROBLEMS] To realize an automatic execution system capable of automatically adjusting an order quantity in response to a behavior of a trader.
SOLUTION: Order DB definition data for defining relationship between execution rate transition and transaction time and algorithm DB 16 for storing order timing, and each order by referring to the order schedule definition data every time the order timing arrives Get the scheduled execution rate at the timing, calculate the planned quantity by multiplying this by the total number of orders, calculate the actual quantity so far, and if the difference between the planned quantity and the actual quantity is a positive value, the quantity in question The execution processing unit 14 for generating the order data for the minute and transmitting it to the computer 32 of the exchange is provided.
[Selection] Figure 7

Description

  The present invention relates to a securities transaction automatic execution system, and more particularly, to a system for automatically buying and selling securities such as stocks according to preset conditions.

As an automatic execution system for securities trading, there has been an automatic trading system described in Patent Document 1 so far.
This automatic trading system divides the total trading volume into a plurality of slices, and has a function of automatically executing orders for the market by associating each slice and the trading price with a trading time division frame (for example, every minute). Yes. In addition, by associating the limit price change logic with each time frame in advance, it also has a function of changing the limit price according to the market trend (stock price or trading volume).
JP 2003-281369 A

Patent Document 1 claims that by using this automatic trading system, it is possible for a trader to achieve a certain level of performance without constantly monitoring market trends.
However, in this system, the transaction volume is limited to the slices set in advance for each division frame, so if the trader accelerates or suppresses the transaction at its own judgment, There was a problem that it was not possible to automatically perform book alignment for the corresponding quantity.

  The present invention has been devised to solve the above-mentioned problems of the prior art, and aims to realize an automatic execution system capable of automatically adjusting the quantity at the time of ordering in response to the action of a trader.

  In order to achieve the above object, the securities transaction automatic execution system according to the present invention is a storage means for storing order schedule definition data for defining the relationship between the transition of the execution rate with respect to the total number of orders and the passage of transaction time. When the ordering data including the storage means for storing the ordering timing during the transaction time and the order instruction data including the brand, the order type and the total number of orders are input, A means for obtaining a planned execution rate at each order timing by referring to the order schedule definition data, a means for calculating a planned quantity at the order timing by multiplying this by the total number of orders, and a process up to the order timing. Means for calculating the actual quantity, means for calculating the difference obtained by subtracting the actual quantity from the planned quantity, and if this difference is a positive value Generates order data of the minute quantities, is characterized in that a means for transmitting to the exchange computer.

In this securities transaction automatic execution system, the execution quantity so far (cumulative order quantity) is calculated from the planned quantity obtained by multiplying the planned execution rate at each order timing specified by the order schedule and the total number of orders entered. ), And only when the obtained value is greater than 0, new order data is transmitted to the exchange computer.
For this reason, when the execution pace is faster than planned due to some circumstances, new orders can be automatically suppressed. On the other hand, if the execution pace is behind schedule, orders for larger quantities will be placed accordingly.

  FIG. 1 is a block diagram showing a securities transaction automatic execution system 10 according to the present invention, and this system 10 includes a setting registration unit 12, an execution processing unit 14, and an algorithm DB 16.

  The setting registration unit 12 and the execution processing unit 14 are realized by the CPU of the computer executing necessary processes according to the OS and a dedicated application program. The algorithm DB 16 is provided in the hard disk of the computer, and stores order schedule definition data 18, order strategy definition data 20, and restriction item definition data 22.

To this system 10, a PC 26 operated by a trader and a gateway server 28 are connected.
The gateway server 28 is connected to a host computer 32 of a stock exchange via a communication line 30.

When using this system 10, the trader registers the automatic execution algorithm in the algorithm DB 16 via the setting registration unit 12.
Specifically, when the setting registration unit 12 is accessed from the PC 26, a web form for algorithm definition is transmitted and displayed on the Web browser of the PC 26 (not shown).
Traders define multiple algorithms for automatic execution by selecting and entering various data on this Web form. This algorithm is stored in the algorithm DB 16 via the setting registration unit 12.

FIG. 2 is a system diagram showing a specific example of setting items, in which (1) ordering schedule, (2) ordering strategy, and (3) restrictions are registered under a unique algorithm name.
Here, the “ordering schedule” defines the correspondence between the daily trading time on the stock exchange and the execution rate of orders, that is, the pace of execution. Specifically, a volume curve prepared in advance is used. Defined by selecting.
3 to 6 schematically show specific examples of the volume curve.

First, the graph of FIG. 3 depicts a volume curve of “equal execution” in which the execution rate increases in proportion to the passage of transaction time. The time on the horizontal axis of the graph corresponds to 9:00 to 15:00 when the exchange is open, and the execution rate on the vertical axis of the graph corresponds to the percentage of the number of executions (orders) completed in the total number of orders. (The same applies hereinafter).
In the setting example of FIG. 2, this “equal execution” volume curve is defined.

In the graph of FIG. 4, a volume curve of “volume-weighted execution” corresponding to the daytime volume distribution in a predetermined number of days in the past is drawn.
In this case, orders are executed at a relatively fast pace in the vicinity of the front and back markets, and orders are executed at a relatively slow pace in other times, and the order schedule is relatively consistent with the actual trading pattern. It corresponds to.

  The graph of FIG. 5 depicts a volume curve of “order price standard execution” in which the execution rate is increased immediately after the start of trading and the execution pace remains slow toward closing.

  The graph of FIG. 6 depicts a volume curve of “discount standard execution” in which the pace of execution changes at a slow pace immediately after the start of trading, and the execution rate rapidly increases toward closing.

A trader who has set an ordering schedule for an algorithm by selecting a specific volume curve from these volume curves, then defines an ordering strategy.
This ordering strategy defines the timing, quantity, and price when the system 10 automatically sends order data to the market, and each stage of the transaction: “Zaraba”, “Close”, “Close” , “Other (arbitrary time)” is set.

In the setting example of FIG. 2, the ordering strategy is set as follows for “Zaraba” located between “close” and “close”.
Timing: 1 minute interval Quantity: Planned quantity-Execution quantity Price at the time of order: Limit price-> Best quotation price tracking Price change logic: Not completed for 5 minutes-> The above "Quantity" is the current scheduled execution rate based on volume curve x It means a value obtained by subtracting the “executed quantity” that is the actual ordering performance up to the present time from the “planned quantity” calculated by the total number of orders.
In addition, “Order price → Best price tracking” of “Price when placing an order” is a correction data in which the limit price is attached when new order data is sent, and the price is changed to the price when the best price on the board changes. Is generated and transmitted.
Furthermore, “Price change logic” “5 minutes incomplete → market” means that if the above price at the time of ordering cannot be executed for 5 minutes, correction data for changing the price to market is generated and transmitted. Yes.

In addition, the ordering strategy is set as follows for “delays” immediately after the start of trading.
Timing: 1 minute before the front line Quantity: Planned quantity-Implementation quantity Price: Price at the time of ordering: Banking Price change logic: None

Furthermore, an ordering strategy is set as follows for “closing” just before the end of the transaction.
Timing: 1 minute before closing the market Quantity: Planned quantity-Implementation quantity Price: Price at the time of ordering: Market price Change logic: None

Although not set in the setting example of FIG. 2, in this system 10, by setting a predetermined setting for “others” in the ordering strategy, any time point other than “close”, “zalaba”, and “close” Can develop an ordering strategy.
For example, when specific market data is received, or when a specific calculation index exceeds a threshold, special pricing is applicable.

Next, the trader sets the restrictions.
This restriction is logic for restricting the ordering operation by the execution processing unit 14, and the following two are defined in the setting example of FIG.
<1> Upper limit of trading volume: If the share of the market exceeds 30% of the total trading volume of the market: Stops new orders. <2> Upper limit of board quantity: Your limit order exceeds the remaining quantity on the market board. If 5% is reached: stop additional limit orders

Next, automatic execution processing by the system 10 will be described.
FIG. 7 is a conceptual diagram showing a data flow during automatic execution, and FIG. 8 is a flowchart showing a basic processing procedure at that time.
First, the trader accesses the execution processing unit 14 of the system 10 from the PC 26, inputs the order instruction data 40 including the following items through the order instruction form (not shown) displayed on the Web browser, and enters the execution processing unit 14. Send.
(1) Stock code
(2) Order type (Sell / Buy)
(3) Total number of orders
(4) limit price
(5) Algorithm name In addition, the trader sends individual order instructions based on his / her own judgment within the above total number of orders, even after sending the comprehensive order instruction data (order instruction data for one day). Data can be sent to the enforcement processor 14.

  The execution processing unit 14 that has received the comprehensive order instruction data 40 (S10) receives the order schedule definition data 18, order strategy definition data 20, and constraint definition data 22 related to the algorithm for automatic execution specified by the trader. Read from the algorithm DB 16 (S12).

  Next, the execution processing unit 14 receives market data (current value data, quote data, volume data, etc.) 42 transmitted from the host computer 32 of the exchange as needed (S14).

Next, the execution processing unit 14 obtains the current scheduled execution rate by referring to the volume curve at every ordering timing (every minute), and calculates the planned quantity by multiplying this by the total number of orders (S16). ).
Next, the execution processing unit 14 calculates an execution quantity (cumulative order quantity) up to the present time (S18), and obtains a difference between the planned quantity and the execution quantity (S20).
If this difference is greater than 0 (S22) and does not violate the restrictions on the upper limit of the volume and the upper limit of the plate quantity (S24, S26), the execution processing unit 14 stores the new order data 44 of the quantity corresponding to this difference. It is generated and transmitted to the host computer 32 of the exchange (S28).
For example, when the limit order is not easily executed, the above-mentioned difference is expanded because the execution quantity is low, and the order quantity at the time of new order is increased accordingly.

On the other hand, if the difference is determined to be 0 or minus in S22, it means that an order that has already exceeded the order schedule has been made, so the execution processing unit 14 generates and transmits new order data at the order timing. Retain and wait until the next ordering timing.
For example, the value of “scheduled quantity−executed quantity” may be 0 or less when an order exceeding the scheduled execution rate is made based on the judgment of the trader.
In addition, when it is determined in S24 that the upper limit of the volume is violated and in S26, it is determined that the upper limit of the plate quantity is violated, the execution processing unit 14 generates order data at the ordering timing. Refrain from sending and wait until the next ordering timing.

The automatic execution processing of S16 to S28 by the execution processing unit 14 is continued until the trading time of the stock exchange is over (S30).
During this time, monitoring data 60 such as market data and order data is transmitted from the execution processing unit 14 to the trader's PC 26 at any time and displayed on the Web browser.

Next, the price setting function of the system 10 will be described.
First, according to the setting example of FIG. 2, “execution” is set as the order price for “close” and “close”, and the price change logic is not set. All that is required is to generate order data for “success” and send it to the host computer 32 of the exchange.
On the other hand, “Zaraba”, which accounts for the majority of the transaction time, is set to “Price → Best Price Tracking” as the order price and “5 minutes incomplete → market” as the price change logic. The execution processing unit 14 executes more complicated processing.
Hereinafter, the price operation of the execution processing unit 14 in “Zaraba” will be described with reference to the flowchart of FIG. 9.

When each order timing arrives, the execution processing unit 14 first generates order data specifying “limit” as a price, and transmits it to the host computer 32 of the exchange (S50).
Next, when the execution processing unit 14 detects that a change has occurred in the best quotation price on the board based on the market data 42 (S52), correction data for changing the previous “limit price” to the “best quotation price” is obtained. It is generated and transmitted to the host computer 32 of the exchange (S54).
Furthermore, when 5 minutes have passed since the order is placed (S56), it is determined whether or not the order related to the order is fulfilled (S58). If the order is not promised, the price is changed from the previous "best bid". Correction data to be changed to “execution” is generated and transmitted to the host computer 32 of the exchange (S60).

  The price setting in FIG. 2 is an example, and “limit” can be set for “close” and “close”. For “Zaraba”, “limit” may be set as the ordering price, the price change logic may not be set, or only “success” may be set.

It is a block diagram which shows the securities transaction automatic execution system which concerns on this invention. It is a systematic diagram which shows the specific example of the setting matter in algorithm DB. It is a graph which shows the volume curve of equal execution. It is a graph which shows the volume curve of volume weighted execution. It is a graph which shows the volume curve of order price standard execution. It is a graph which shows the volume curve of discount standard execution. It is a conceptual diagram which shows the flow of the data at the time of automatic execution. It is a flowchart which shows the process sequence at the time of automatic execution. It is a flowchart which shows the procedure of price operation in Zaraba.

Explanation of symbols

10 Securities transaction automatic execution system
12 Setting registration section
14 Executive Processing Department
16 Algorithm DB
18 Order schedule definition data
20 Order strategy definition data
22 Restriction definition data
28 Gateway server
30 Communication line
32 Exchange host computer
40 Order instruction data
42 Market data

Claims (1)

Storage means for storing order schedule definition data that defines the relationship between the transition of execution rate relative to the total number of orders and the passage of transaction time;
Storage means for storing data defining the timing of ordering during trading hours;
Means for obtaining a planned execution rate at each order timing by referring to the order schedule definition data each time the order timing arrives when order instruction data including a brand, an order type, and the total number of orders is input;
Multiply this by the total number of orders and calculate the planned quantity at the ordering timing;
Means for calculating the quantity of execution until the ordering timing;
Means for calculating the difference obtained by subtracting the execution quantity from the planned quantity,
If this difference is a positive value, order data for the corresponding quantity is generated and sent to the exchange computer;
Securities transaction automatic execution system equipped with.

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