JP7080544B2 - Reference output system, reference output method and reference output program - Google Patents

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 indicators for assets whose transaction prices fluctuate, such as stock prices, are being studied (see, for example, Patent Document 1). In the technique described in this document, an objective theoretical stock price is calculated based on the result of comprehensive evaluation of a company using a company evaluation index including an intellectual property-related index.

In addition, virtual currencies such as Bitcoin (registered trademark) are also treated as assets. Such Bitcoin can be obtained at exchanges, sales offices, and the like. In addition, futures trading is taking place on the Chicago Mercantile Exchange (CME). The auction format is adopted for transactions on the exchange, and an order book (board) is formed by having the buyer and the seller present the selling price respectively. A transaction is concluded (contracted) by matching the buyer's suggested purchase price (bid) with the seller's suggested selling price (ask, offer).

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 rate (eg, non-patented). Refer to Documents 1 to 3). BRTI is a real-time index of 1-bit coin denominated in dollars and is always delivered in real time every second. BRR is the dollar-denominated standard rate for 1 Bitcoin and is calculated daily at 4 pm Greenwich Mean Time. This BRR is calculated by aggregating the transaction flows of major Bitcoin exchanges for a specific calculation target period (1 hour). Specifically, the 1-hour frame is divided into 12 units of 5 minutes each, and the BRR is calculated from the evenly weighted average of the median volume weights of each division.

WO2006 / 095747A

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 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 manipulate the reference rate, an intentional limit price may be applied at the time when the reference rate is calculated. In this case, the reference rate may fluctuate due to the intentional limit price. However, the calculation of the real-time index "BRTI" and the Bitcoin reference reference rate "BRR" is complicated. A simple and clear calculation method is desirable to ensure transparency.

The reference output system for solving the above problems includes a contract information storage unit for storing contract information, a benchmark storage unit for storing a benchmark, and a control unit connected to a transaction server. Then, the control unit acquires the contract information from the transaction server, records it in the contract information storage unit, calculates a benchmark weighted based on the contract time in the contract information, and associates it with the benchmark calculation time. Then, it is recorded in the benchmark storage unit, a plurality of benchmarks whose benchmark calculation time is included in the extraction range of the reference output time are acquired 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 problems, and can efficiently and accurately calculate a reference rate (reference) for an asset whose price fluctuates.

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

Hereinafter, an embodiment of a reference output system embodying the present invention will be described with reference to FIGS. 1 to 5. In this embodiment, it is assumed that the reference rate (reference) of the virtual currency (bitcoin) is calculated.

As shown in FIG. 1, in this 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 apparatus H10 constituting 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. 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 and executes data transmission / reception, such as a network interface card or a wireless interface.

The input device H12 is a device that receives input from a user or the like, and is, for example, a mouse, a keyboard, or the like. 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 and various programs for executing various functions of each system (10, 20, 30). An example of the storage unit H14 is a ROM, a RAM, a hard disk, or the like.

The processor H15 controls each process in each system (10, 20, 30) by using a program or data stored in the storage unit H14. Examples of the processor H15 include a CPU, an MPU, and the like. 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 functions of each system (10, 20, 30) will be described with reference to FIGS. 1 to 3.
As shown in FIG. 1, in this embodiment, the user terminal 30 and the management server 20 are used.
The exchange server 10 is a computer system (transaction server) that mediates transactions between sellers and buyers for virtual currencies. The exchange server 10 manages information on the buyer's suggested purchase price and the seller's suggested selling price for the virtual currency. In this embodiment, yen denominated is used as the desired price. Further, the exchange server 10 manages information regarding the contract price when a transaction is completed between the buyer and the seller.

The user terminal 30 is a computer terminal used by a user who uses a 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 is composed of a display and outputs various information. The input unit is composed of a keyboard and a pointing device, and acquires an instruction input by the user.

The management server 20 is a computer system that calculates benchmarks and references 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, etc.) and performs processes described later (each process of information acquisition stage, benchmark calculation stage, reference calculation stage, and information distribution stage). By executing the reference output program for this purpose, the control unit 21 functions as an information acquisition unit 211, a benchmark calculation unit 212, a reference calculation unit 213, and an 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 calculation unit 212 stores a calculation formula (described later) for calculating a benchmark.

The reference calculation unit 213 executes a process of calculating a reference based on the benchmark. The reference calculation unit 213 holds information on a 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 the validity of the window. is doing. The reference calculation method 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 the contract information is acquired from the exchange server 10. Information on the contract date, contract price, and contract quantity is recorded in the contract management record 220.

In the contract date / time data area, data relating to the date and time when the transaction contract was made is recorded.
Data on the price and quantity at which the transaction was executed are recorded in each of the contract price and contract data areas.

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

In the calculated date / time data area, data related to the date and time when the benchmark was calculated is recorded. In this embodiment, a benchmark is calculated when a transaction contract is executed. Therefore, the contract date and time is recorded as the calculation date and time.
Data related to the calculated benchmark (RTB) is recorded in the benchmark data area.

As shown in FIG. 3C, the 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 the reference. Information about the calculation date and the reference is recorded in the reference management record 240.

In the calculation date data area, data related to the date on which the reference was calculated is recorded.
In the reference data area, data regarding the reference rate (reference) of the virtual currency is recorded.

<Outline of processing procedure>
The outline of the processing procedure will be described with reference to FIG.
(Benchmark calculation process)
The benchmark calculation process will be described with reference to FIG. 4 (a).
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. This contract information includes the contract date, contract price and contract quantity. Then, the information acquisition unit 211 generates a contract management record 220 in which the acquired contract information is recorded, and records it in the contract information storage unit 22.

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

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

FIG. 5A shows the time transition of the contract price by showing the time on the horizontal axis and the contract price on the vertical axis. For example, around the time "415000", a steep contract price transaction is shown. FIG. 5 (b) shows the time transition of the benchmark in the same time range as in FIG. 5 (a). The waveform is the same as the time transition of the contract price, but the benchmark around the time "415000" is looser than the contract price. That is, the benchmark is 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 the sharp change.

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

First, the control unit 21 of the management server 20 executes the benchmark acquisition process 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. Obtained from 23. In the setting of 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 or not the window is appropriate (step S2-2). Specifically, the reference calculation unit 213 of the control unit 21 counts the number of acquired benchmark management records 230. Then, when the number of counted records is equal to or greater than the reference number, the window determines that it is 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.

If it is determined that the window is not appropriate ("NO" in step S2-2), the control unit 21 of the management server 20 executes the window enlargement process (step S2-3). Specifically, the reference calculation unit 213 of the control unit 21 expands the time range of the window. For example, a new window (time [t-c-α] to time [t + c + α]) to which a predetermined time width "α" is added to the current window (c) is set. Then, the reference calculation unit 213 repeats the processing after the benchmark acquisition processing (step S2-1) in the window.

On the other hand, when it is determined that the window is appropriate (when "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 identifies 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 the 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 it 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 the 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 the calculation process of the benchmark (RTB) (step S1-2). By using the contract price, it is possible to eliminate artificial values due to uncontracted bids and offers. In this case, the total value obtained by weighting the transaction contracts at the surrounding times is used with respect to the calculated time of the benchmark. As a result, it is possible to calculate the reference of the virtual currency in real time by 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 benchmark acquisition process (step S2-1) in the window and a determination process (step S2-2) as to whether or not the window is appropriate. If it is determined that the window is not appropriate ("NO" in step S2-2), the control unit 21 of the management server 20 executes the window enlargement process (step S2-3). This makes it possible to calculate a reference for the reference time using a predetermined number of benchmarks.

(3) In the present embodiment, when it is determined that the window is appropriate (when "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). Here, a randomly selected value is used as a reference in a plurality of benchmarks. As a result, even when a deliberate contract transaction is made with respect to the reference time, the influence of this transaction can be suppressed. As a result, the motivation to make a deliberate contract transaction can be reduced.

This embodiment can be modified and implemented as follows. The present embodiment and the following modified examples 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 the calculation process of the benchmark (RTB) (step S1-2). In this case, the benchmark calculation unit 212 calculates the benchmark using the equation (1). The benchmark calculation method is not limited to the method using the equation (1). Any method may be used as long as it can calculate a benchmark that reflects the contract price on the contract date and time and suppresses outliers.

-In the above embodiment, when it is determined that the window is not appropriate (when "NO" in step S2-2), the control unit 21 of the management server 20 executes the window enlargement process (step S2-3). What to do if the window is not appropriate is not limited to expanding the window. For example, when the contract constant 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 information on the desired purchase price and the desired sale price within a predetermined range from the reference time from the exchange server 10. Then, the control unit 21 calculates the statistical value of the desired price and uses it as a part of the 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 as long as the artificial price can be excluded. For example, the median (statistical value) of the benchmark may be used. Further, the calculation methods of a plurality of references may be used properly according to the situation and may be used together. For example, different reference calculation methods may be used depending on whether the fluctuation of the benchmark is smaller than the reference value and the fluctuation of the benchmark is larger than the reference value.

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

Claims (8)

A contract information storage unit that stores contract information,
Benchmark storage unit that stores benchmarks and
A reference output system with a control unit connected to a trading server.
The control unit
The contract information is acquired from the transaction server and recorded in the contract information storage unit.
In the contract information, a benchmark weighted based on the contract time is calculated, associated with the benchmark calculation time, and recorded in the benchmark storage unit.
A reference output system characterized in that a plurality of benchmarks whose benchmark calculation time is included in the extraction range of the reference output time are acquired from the benchmark storage unit, and a reference is calculated using the plurality of benchmarks. The control unit divides the first total value obtained by multiplying the contract price of a plurality of contract information by the contract amount and the total sum value by the second total value obtained by summing the contract amount of the plurality of contract information. The reference output system according to claim 1, wherein the reference output system is calculated. The second aspect of the present invention, wherein the control unit multiplies the first total value and the second total value by a attenuation value according to a time difference from the benchmark calculation time to the contract time. 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 less than the reference number, the extraction range is expanded. The reference output system according to any one of claims 1 to 4, wherein in the calculation of 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 that stores contract information,
Benchmark storage unit that stores benchmarks and
A method of outputting a reference using a reference output system equipped with a control unit connected to a transaction server.
The control unit
The contract information is acquired from the transaction server and recorded in the contract information storage unit.
In the contract information, a benchmark weighted based on the contract time is calculated, associated with the benchmark calculation time, and recorded in the benchmark storage unit.
A reference output method characterized in that a plurality of benchmarks whose benchmark calculation time is included in the extraction range of the reference output time are acquired from the benchmark storage unit, and a reference is calculated using the plurality of benchmarks. A contract information storage unit that stores contract information,
Benchmark storage unit that stores benchmarks and
A program for outputting a reference using a reference output system equipped with a control unit connected to a transaction server.
The control unit
The contract information is acquired from the transaction server and recorded in the contract information storage unit.
In the contract information, a benchmark weighted based on the contract time is calculated, associated with the benchmark calculation time, and recorded in the benchmark storage unit.
A reference output characterized in that a plurality of benchmarks whose benchmark calculation time is included in the extraction range of the reference output time are acquired from the benchmark storage unit, and the plurality of benchmarks are used to function as a means for calculating a reference. program.

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