JP2019219849A - Reference output system, reference output method and reference output program - Google Patents

Abstract

To provide a reference output system, a reference output method and a reference output program for efficiently and accurately calculating the reference of property whose price fluctuates.SOLUTION: A control unit 21 of a management server 20 acquires contract information from an exchange server 10, records the contract information in a contract information storage unit 22, calculates a benchmark weighted on the basis of a contract time in the contract information, records the benchmark in association with a benchmark calculation time in a benchmark storage unit 23, acquires a plurality of benchmarks whose benchmark calculation time is included within the extraction range of a reference output time from the benchmark storage unit 23, and calculates a reference by using the plurality of benchmarks.SELECTED DRAWING: Figure 1

Description

  The present invention relates to a reference output system, a reference output method, and a reference output program for calculating a reference rate (reference) of a property value whose price fluctuates, such as a virtual currency.

  Techniques for calculating various indices for assets whose transaction prices fluctuate, such as stock prices, are being studied (for example, see Patent Document 1). In the technology described in this document, an objective theoretical stock price is calculated based on the result of comprehensively evaluating a company using a company evaluation index including an intellectual asset-related index.

  In addition, virtual currencies such as Bitcoin (registered trademark) are also treated as assets. Such bit coins can be obtained at exchanges, sales offices, and the like. In addition, futures are traded on the Chicago Mercantile Exchange (CME). Auctions are used for trading on exchanges, and buyers and sellers are presented with trading prices to form order books (boards). By matching the buyer's desired purchase price (bid) with the seller's desired sale price (ask, offer), a transaction is established (contracted).

  To refer to such prices, the Chicago Mercantile Exchange offers "BRTI" as a spot price index (real-time index) and "BRR" as a bitcoin reference reference rate (for example, non-patented). References 1-3). BRTI is a real-time index of one bit coin denominated in dollars and is constantly distributed in real time every second. BRR is the standard dollar denomination rate of 1 bitcoin, calculated daily at 4:00 pm GMT. This BRR is calculated by summing up the transaction flows of the major bitcoin exchanges in the specific calculation target period (1 hour). Specifically, one time frame is divided into 12 sections of 5 minutes each, and the BRR is calculated from the equal weighted average of the median weighted volume of each section.

WO2006 / 095747

CME Groupe, CME CF Bitcoin Reference Reference Rate and CME CF Bitcoin Real-Time Index, [online], CME Groupe homepage, [Search June 8, 2018] Internet, <http://www.cmegroup.com/ ja / trading / cf-bitcoin-reference-rate.html> CME Groupe, "About Bitcoin Reference Rate (BRR)", [online], CME Groupe homepage, [Search June 8, 2018] Internet, <http://www.cmegroup.com/ja/education/ courses / introduction-to-bitcoin / introduction-to-bitcoin-reference-rate.html> CME Groupe, "CME CF Cryptocurrency Reference Rates" [searched June 8, 2018] Internet, <http://www.cmegroup.com/education/bitcoin/bitcoin-reference-rate-methodology.html>

  For example, in order to operate the reference rate, an intentional bid may be performed at the time when the reference rate is calculated. In this case, the reference rate may fluctuate due to intentional bids. However, the calculation of the real-time index “BRTI” and the bitcoin reference reference rate “BRR” is complicated. In order to ensure transparency, a simple and clear calculation method is desirable.

  A reference output system that solves the above problem includes a contract information storage unit that stores contract information, a benchmark storage unit that stores a benchmark, and a control unit that is connected to a transaction server. Then, the control unit acquires contract information from the transaction server, records the contract information in the contract information storage unit, calculates a benchmark weighted based on the contract time in the contract information, and associates the benchmark with the benchmark calculation time. Then, a plurality of benchmarks are recorded in the benchmark storage unit, and the benchmark calculation time is included in the extraction range of the reference output time from the benchmark storage unit, and a reference is calculated using the plurality of benchmarks.

  The present invention has been made to solve the above-described problem, and can efficiently and accurately calculate a reference rate (reference) of an asset whose price changes.

FIG. 2 is an explanatory diagram of a reference output system according to the embodiment. FIG. 2 is an explanatory diagram of a hardware configuration according to the embodiment. It is explanatory drawing of the information storage part of this embodiment, (a) is an explanatory drawing of a contract information storage part, (b) is a benchmark storage part, (c) is an explanatory view of a reference storage part. It is an explanatory view of a processing procedure of this embodiment, (a) is an explanatory view of a benchmark calculation processing, (b) is an explanatory view of a reference calculation processing. It is explanatory drawing of the price fluctuation of this embodiment, (a) is an actual price, (b) is explanatory drawing of the time transition of the calculated benchmark.

  An embodiment of a reference output system embodying the present invention will be described below with reference to FIGS. In the present embodiment, it is assumed that a reference rate (reference) of virtual currency (bitcoin) is calculated.

As shown in FIG. 1, in the present embodiment, an exchange server 10, a management server 20, and a user terminal 30 are used.
(Hardware configuration)
The hardware configuration of the information processing device H10 configuring each system (10, 20, 30) will be described with reference to FIG. The information processing device H10 includes a communication device H11, an input device H12, a display device H13, a storage unit H14, and a processor H15. Note that this hardware configuration is an example, and can be realized by other hardware.

  The communication device H11 is an interface that establishes a communication path with another device to transmit and receive data, and is, for example, a network interface card or a wireless interface.

The input device H12 is a device that receives an input from a user or the like, and is, for example, a mouse or a keyboard. The display device H13 is a display or the like that displays various information.
The storage unit H14 is a storage device that stores data for executing various functions of each system (10, 20, 30) and various programs. Examples of the storage unit H14 include a ROM, a RAM, and a hard disk.

  The processor H15 controls each process in each system (10, 20, 30) using programs and data stored in the storage unit H14. Examples of the processor H15 include, for example, a CPU and an MPU. The processor H15 expands a program stored in a ROM or the like into a RAM and executes various processes for each service.

(System function)
Next, the function of each system (10, 20, 30) will be described with reference to FIGS.
As shown in FIG. 1, in the present embodiment, a user terminal 30 and a management server 20 are used.
The exchange server 10 is a computer system (transaction server) that mediates transactions between sellers and buyers for virtual currency. The exchange server 10 manages information on the buyer's desired purchase price and the seller's desired sale price for the virtual currency. In the present embodiment, yen is used as the desired price. Further, the exchange server 10 manages information on a contract price when a transaction is established between a buyer and a seller.

  The user terminal 30 is a computer terminal used by a user who uses the reference. The user terminal 30 includes a control unit, an output unit, and an input unit. The control unit executes various applications. The output unit includes a display and outputs various information. The input unit includes a keyboard and a pointing device, and acquires an instruction input by a user.

  The management server 20 is a computer system that calculates a benchmark and a reference for bitcoin. The management server 20 includes a control unit 21, a contract information storage unit 22, a benchmark storage unit 23, and a reference storage unit 24.

  The control unit 21 includes control means (CPU, RAM, ROM, and the like) and performs processing (each processing of an information acquisition stage, a benchmark calculation stage, a reference calculation stage, and an information distribution stage) to be described later. By executing the reference output program for this purpose, the control unit 21 functions as the information acquisition unit 211, the benchmark calculation unit 212, the reference calculation unit 213, and the information distribution unit 214.

The information acquisition unit 211 executes a process of acquiring contract information from the exchange server 10.
The benchmark calculation unit 212 executes a process of calculating a benchmark based on the contract information. The benchmark calculator 212 stores a calculation formula (described later) for calculating the benchmark.

The reference calculation unit 213 executes a process of calculating a reference based on the benchmark. The reference calculation unit 213 holds reference time for calculating a reference, information on an initial value (c0) for determining a window (extraction range) for extracting a benchmark, and information on a reference number for determining validity of a window. are doing. The method of calculating the reference will be described later.
The information distribution unit 214 executes a process of distributing the calculated reference.

  As shown in FIG. 3A, the contract information storage unit 22 records a contract management record 220 for a transaction contracted for bitcoin. The contract management record 220 is recorded when contract information is acquired from the exchange server 10. The contract management record 220 records information on the contract date and time, the contract price, and the contract amount.

In the contract date and time data area, data relating to the date and time when the contract was executed is recorded.
In each of the contract price and fixed amount data areas, data relating to the price and quantity at which the contract was executed is recorded.

  As shown in FIG. 3B, a benchmark management record 230 for calculating a reference is recorded in the benchmark storage unit 23. The benchmark management record 230 is recorded when the benchmark calculation unit 212 calculates a benchmark. In the benchmark management record 230, information on the calculation date and time and the benchmark is recorded.

In the calculated date and time data area, data on the date and time when the benchmark was calculated is recorded. In the present embodiment, it is assumed that a benchmark is calculated when a deal is executed. Therefore, the contract date and time is recorded as the calculation date and time.
In the benchmark data area, data on the calculated benchmark (RTB) is recorded.

  As shown in FIG. 3C, a reference management record 240 for the calculated reference is recorded in the reference storage unit 24. The reference management record 240 is recorded when the reference calculation unit 213 calculates a reference. In the reference management record 240, information on the calculation date and the reference is recorded.

In the calculation date data area, data regarding the date when the reference was calculated is recorded.
In the reference data area, data relating to a virtual currency reference rate (reference) is recorded.

<Overview of processing procedure>
The outline of the processing procedure will be described with reference to FIG.
(Benchmark calculation process)
The benchmark calculation processing will be described with reference to FIG.
First, the control unit 21 of the management server 20 executes a contract information acquisition process (step S1-1). Specifically, the information acquisition unit 211 of the control unit 21 acquires the contract information of the virtual currency from the exchange server 10. The contract information includes a contract date and time, a contract price and a contract amount. Then, the information acquisition unit 211 generates a contract management record 220 in which the acquired contract information is recorded, and records the contract management record 220 in the contract information storage unit 22.

  Then, the control unit 21 of the management server 20 executes a benchmark calculation process (Step S1-2). Specifically, the benchmark calculation unit 212 of the control unit 21 extracts the contract management record 220 contracted for a predetermined period from the contract information storage unit 22. Then, the benchmark calculation unit 212 calculates a benchmark (RTB) using Expression (1). Here, “Pi” is a contract price, “Si” is a fixed amount, “t” is a calculation date and time, “ti” is a contract date and time, and “λ” is a positive constant. This “λ” is used to calculate an attenuation value for contract information at a contract time far from the benchmark calculation time. As the numerator of the equation (1), the total value (first total value) of the multiplied value of the contracted amount and the contracted price weighted by time is used. On the other hand, as the denominator of the equation (1), a total value (second total value) of approximate quantitative values weighted by time is used.

  Next, the control unit 21 of the management server 20 executes a benchmark registration process (Step S1-3). Specifically, the benchmark calculation unit 212 of the control unit 21 generates a benchmark management record 230 recording the calculated benchmark, and records the benchmark management record 230 in the benchmark storage unit 23.

  FIG. 5A shows the time transition of the contract price by indicating the time on the horizontal axis and the contract price on the vertical axis. For example, around time “415000”, a steep contract price transaction is shown. FIG. 5B shows the time transition of the benchmark in the same time range as FIG. 5A. Although the waveform is common to the time transition of the contract price, the benchmark around the time "415000" is looser than the contract price. In other words, the benchmark has a waveform that reflects the time transition of the contract price by keeping a waveform similar to the time transition of the contract price while rounding off a steep change.

(Reference calculation processing)
Next, the reference calculation process will be described with reference to FIG. This process is executed at a predetermined time. As the predetermined time, a time at which a predetermined time has elapsed from a reference time for calculating a reference (for example, 4:00 pm as a reference output time) is used.

  First, the control unit 21 of the management server 20 executes a process of acquiring a benchmark in the window (Step S2-1). Specifically, the reference calculation unit 213 of the control unit 21 stores the benchmark management record 230 included in the window (time [t−c] to time [t + c]) of the extraction range of the time width (c) in the benchmark storage unit. 23. In setting the first window, the initial value of the time width (c = c0) is used.

  Next, the control unit 21 of the management server 20 executes a determination process as to whether the window is appropriate (Step S2-2). Specifically, the reference calculation unit 213 of the control unit 21 counts the number of the acquired benchmark management records 230. If the counted number of records is equal to or larger than the reference number, the window is determined to be appropriate. On the other hand, if the number of records is less than the reference number, it is determined that the window is not appropriate.

  When it is determined that the window is not appropriate (in the case of “NO” in Step S2-2), the control unit 21 of the management server 20 executes a window enlargement process (Step S2-3). Specifically, the reference calculation unit 213 of the control unit 21 widens the time range of the window. For example, a new window (time [tc-α] to time [t + c + α]) obtained by adding a predetermined time width “α” to the current window (c) is set. Then, the reference calculation unit 213 repeats the processing after the acquisition processing of the benchmark in the window (step S2-1).

  On the other hand, when it is determined that the window is appropriate (in the case of “YES” in step S2-2), the control unit 21 of the management server 20 executes a reference calculation process from a plurality of benchmarks (step S2-4). Specifically, the reference calculation unit 213 of the control unit 21 randomly specifies the benchmark recorded in the benchmark management record 230 included in the window. Then, the reference calculation unit 213 uses the specified benchmark as a reference rate (reference).

  Next, the control unit 21 of the management server 20 executes a reference output process (Step S2-5). Specifically, the reference calculation unit 213 of the control unit 21 generates a reference management record 240 in which the specified reference is associated with the date, and records the reference management record 240 in the reference storage unit 24. Then, the information distribution unit 214 transmits the reference recorded in the reference storage unit 24 to the user terminal 30 in response to a request from the user terminal 30.

As described above, according to the present embodiment, the following effects can be obtained.
(1) In the present embodiment, the control unit 21 of the management server 20 executes a benchmark (RTB) calculation process (Step S1-2). By using the contract price, it is possible to eliminate artificial values due to unfilled bids and offers. In this case, a total sum value obtained by weighting the transaction contracts at surrounding times with respect to the benchmark calculation time is used. This makes it possible to calculate the virtual currency reference in real time while suppressing the influence of the abnormal value while considering the contract price.

  (2) In the present embodiment, the control unit 21 of the management server 20 executes a process of acquiring a benchmark in the window (Step S2-1) and a process of determining whether the window is appropriate (Step S2-2). When it is determined that the window is not appropriate (in the case of “NO” in Step S2-2), the control unit 21 of the management server 20 executes a window enlargement process (Step S2-3). Thereby, a reference can be calculated using a predetermined number of benchmarks with respect to the reference time.

  (3) In the present embodiment, when it is determined that the window is appropriate (in the case of “YES” in step S2-2), the control unit 21 of the management server 20 executes a reference calculation process from a plurality of benchmarks (step S2-2). S2-4). Here, a randomly selected value is used as a reference in a plurality of benchmarks. Thus, even when an artificial contract transaction is performed with respect to the reference time, the influence of this transaction can be suppressed. As a result, motivation to perform artificial contract transactions can be reduced.

This embodiment can be implemented with the following modifications. The present embodiment and the following modifications can be implemented in combination with each other within a technically consistent range.
In the above embodiment, the control unit 21 of the management server 20 executes a benchmark (RTB) calculation process (Step S1-2). In this case, the benchmark calculation unit 212 calculates the benchmark using Expression (1). The calculation method of the benchmark is not limited to the method using the equation (1). Any method can be used as long as it can calculate the benchmark that suppresses the abnormal value by reflecting the execution price at the execution date and time.

  In the above embodiment, when it is determined that the window is not appropriate (in the case of “NO” in step S2-2), the control unit 21 of the management server 20 executes a window enlargement process (step S2-3). The method of responding when the window is not appropriate is not limited to the enlargement of the window. For example, if the contract is insufficient, the desired purchase price and the desired sale price may be used. In this case, the control unit 21 of the management server 20 acquires from the exchange server 10 information on the desired purchase price and the desired sale price within a predetermined range from the reference time. Then, the control unit 21 calculates the statistical value of the desired price, and uses it as a part of a benchmark for calculating the reference.

  In the above embodiment, the control unit 21 of the management server 20 executes a reference calculation process from a plurality of benchmarks (Step S2-4). Here, a value randomly selected from a plurality of benchmarks is calculated as a reference. The method of calculating the reference is not limited to the method of randomly selecting the method as long as it can eliminate artificial prices. For example, a median (statistical value) of benchmarks may be used. Further, a plurality of reference calculation methods may be selectively used depending on the situation and used together. For example, different reference calculation methods may be used depending on whether the benchmark fluctuation is smaller than the reference value or when the benchmark fluctuation is larger than the reference value.

  DESCRIPTION OF SYMBOLS 10 ... Exchange server, 20 ... Management server, 21 ... Control part, 211 ... Information acquisition part, 212 ... Benchmark calculation part, 213 ... Reference calculation part, 214 ... Information distribution part, 22 ... Contract information storage part, 23 ... Benchmark Storage unit, 24: Reference storage unit, 30: User terminal.

Claims (8)

A contract information storage unit for storing contract information;
A benchmark storage unit for storing benchmarks,
A reference output system comprising: a control unit connected to the transaction server;
The control unit includes:
Acquiring contract information from the transaction server, recording it in the contract information storage unit,
In the contract information, a benchmark weighted based on the contract time is calculated and associated with the benchmark calculation time, and recorded in the benchmark storage unit.
A reference output system, wherein a plurality of benchmarks whose benchmark calculation time is included in a reference output time extraction range are obtained from the benchmark storage unit, and a reference is calculated using the plurality of benchmarks.   The control unit divides the first sum value obtained by multiplying the execution price of the plurality of execution information by the execution amount and the second total value obtained by summing the execution amount of the plurality of execution information, thereby obtaining the benchmark. 2. The reference output system according to claim 1, wherein   The method according to claim 2, wherein the control unit multiplies an attenuation value according to a time difference from the benchmark calculation time to a contract time in calculating the first total value and the second total value. Reference output system.   The reference output system according to any one of claims 1 to 3, wherein when the number of benchmarks included in the extraction range is smaller than the reference number, the extraction range is expanded.   The reference output system according to claim 1, wherein in calculating the reference, a benchmark randomly selected from a plurality of benchmarks included in the extraction range is calculated as the reference. .   The reference output according to any one of claims 1 to 5, wherein in the calculation of the reference, a value statistically calculated using a plurality of benchmarks included in the extraction range is calculated as the reference. system. A contract information storage unit for storing contract information;
A benchmark storage unit for storing benchmarks,
A method of outputting a reference using a reference output system including a control unit connected to a transaction server,
The control unit includes:
Acquiring contract information from the transaction server, recording it in the contract information storage unit,
In the contract information, a benchmark weighted based on the contract time is calculated and associated with the benchmark calculation time, and recorded in the benchmark storage unit.
A reference output method, wherein a plurality of benchmarks whose benchmark calculation time is included in an extraction range of a reference output time are obtained from the benchmark storage unit, and a reference is calculated using the plurality of benchmarks. A contract information storage unit for storing contract information;
A benchmark storage unit for storing benchmarks,
A program for outputting a reference using a reference output system having a control unit connected to the transaction server,
The control unit,
Acquiring contract information from the transaction server, recording it in the contract information storage unit,
In the contract information, a benchmark weighted based on the contract time is calculated and associated with the benchmark calculation time, and recorded in the benchmark storage unit.
Acquiring a plurality of benchmarks whose benchmark calculation time is included in an extraction range of a reference output time from the benchmark storage unit, and using the plurality of benchmarks to function as a unit for calculating a reference. program.

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