JP2000353196A - Security trade aiding system - Google Patents

Abstract

PROBLEM TO BE SOLVED: To obtain a security trade aiding system improving the efficiency of processing for analyzing trades by acquiring the market information of properties. SOLUTION: The system consists of at least one data distribution device 2 for inputting up-to-data security market information, processing information necessary for trade analysis and distributing the processed information and at least one trader system 3 for obtaining the market information from the device 2, receiving a security trading request from a portfolio manager, determining a trading method, and then executing a security trade. The trader system 3 has a trade analyzer 6, a security order system 7 and an order management system 8.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a system for supporting a trader's business for executing trading of securities (trade). The present invention relates to a system for improving the efficiency of trade analysis processing and supporting the entire trader's business. Related to securities trading support systems.

[0002]

2. Description of the Related Art Generally, in the trading of securities (stock certificates, bonds, etc.), a fund management organization called a portfolio manager determines a policy of buying and selling securities such as a specific stock, and based on this policy, a trade execution organization called a trader. Performs a trade on the security.

[0003] A portfolio manager may also be a trader. In this case, the trader places an order to buy or sell securities with another trader.

[0004] The portfolio manager is a person or an organization that plays a role of depositing funds of an investor, operating the funds to generate profits, and returning the profits to the investors. As used herein, the term "institution" refers to a person or group having a certain role,
As in the case of a securities company, the term may refer to a company including physical facilities.

[0005] Traders are entrusted with the trading of actual securities by the portfolio manager, and are responsible for buying and selling securities in the market in accordance with the policies set by the portfolio manager so as to maximize profit within the range. Is an institution.

[0006] The policy formulated by the portfolio manager is an outline such that a certain amount of securities of a particular brand is sold or bought with a time limit.

[0007] In contrast, the trader divides the total trading volume of the requested securities into several parts so that the trade on the securities of a particular brand ordered by the portfolio manager can make the most profit and divides the total amount into a certain number. Buy and sell in the market at the right time.

[0008] As described above, when the portfolio manager executes the securities trade for which he / she has requested a transaction, it buys and sells the shares separately because the stock price fluctuates every day, so that the profits differ depending on the timing of the buying and selling. This is because the price of a security is affected and fluctuated by buying and selling, so that a difference occurs in profit depending on how much quantity and when to trade.

In this specification, the method of dividing securities and the timing of buying and selling are referred to as a "trading method of securities".

[0010] In order to find the most advantageous securities trading method, a trader conducts market analysis using various proposed trade analysis methods, and ultimately refers to the results of these trade analysis to find his / her own. Judgment will determine the optimal securities trading method. In this specification, the trading method of securities determined by the trader will be referred to as “firm trading method”, and data representing the fixing trading method will be referred to as “firm order data”.

[0011] As described above, the trader receives the basic policy of trading on securities of a predetermined brand from the portfolio manager, determines an optimal trading method within the basic policy range, and actually executes the trade. In the trader's business, a series of processes were managed and performed by humans while partially using computers, but trade analysis was outsourced to external organizations.

In the trade analysis, a predetermined index value is extracted from the latest market information and trade analysis is performed using the extracted index value. Since a large amount of data is processed, a conventional trader can perform trade analysis by himself / herself. It is difficult to conduct a trade analysis, and a certain condition is given to an external institution that can perform trade analysis, and a trade analysis is requested. Was.

[0013] For this reason, when a conventional trader is requested by a portfolio manager to perform a predetermined securities trade, a conventional trader formulates several trade methods, and estimates the cost of executing these trade methods to an external organization. We asked them to determine the most appropriate trading method by looking at the estimated costs of these trading methods and adding their own judgment.

[0014]

However, in the conventional trade analysis, since processing is intensively performed by a specific external organization, requests from a large number of traders are concentrated on the external organization, and the processing apparatus and the communication apparatus are intensively processed. Load was applied, and the processing efficiency of the entire system including the trader and its external institutions was low.

Conventional trade analysis has been costly and time-consuming because a large number of trade analyzes are concentrated on the processing unit of the external organization and a large load is imposed on the communication means between the trader and the external organization.

[0016] Therefore, in order for a trader to perform a trade analysis on one trade method, the necessary data must be sent to an external institution, and the data must be modified as appropriate until the analysis is completed, and a trade analysis performed on the next trade method. Could not.

For example, it has been conventionally difficult to simulate various trade methods beforehand as needed.

Also, due to the cost and time involved in the trade analysis, it is not easy to carry out post-evaluation of each trade in conventional securities trading.

Here, the post-evaluation of a trade refers to calculating the cost and profit when a trade is actually performed based on the optimal trading method of securities determined by the trader, and calculating the difference between the expected profit and the actual profit. This is an evaluation aimed at pursuing the cause of the problem.

Since the ex-post evaluation is also calculated based on the change in the actual market situation, conventionally, it has been necessary to request an external organization that performs the trade analysis to perform the calculation. For this reason, processing is concentrated on the external organization, and a heavy load is imposed on the communication means.

The inability to easily perform a preliminary analysis of trades and a subsequent evaluation thereof has hindered the improvement of traders 'performance and reduced the objectivity of traders' evaluations.

Therefore, the problem to be solved by the present invention is to improve the efficiency of the process of conducting trade analysis from acquisition of market information of securities, so that the trader can perform pre-analysis and post-evaluation of the trade by himself. It is to provide a securities trading support system that can be used.

Further, in the conventional trader, although the processing by the computer is partially used, a system for receiving an order from the portfolio manager requesting trading of a certain security, a system for determining a trading method, and The systems for executing trades exist separately and independently, and a great deal of effort has been required to manage one security trade.

In particular, as described above, since a trade analysis was conventionally requested to an external organization, a consistent data flow inside the trader was interrupted, and the efficiency of data processing was reduced.

It is another object of the present invention to provide a securities trade support system for consistently managing and supporting the entire business of a trader.

[0026]

A securities trade support system according to claim 1 of the present application provides at least one data distribution for inputting the latest market information of securities and processing and distributing information necessary for trade analysis. Device, and at least one trader system that obtains market information from the data distribution device, receives a request for securities trade from a portfolio manager, determines a trade method, and then executes a securities trade after the trader system. In a securities trading support system having a trade analysis device, a securities ordering system, and an order management system, the data distribution device includes a market information input unit for inputting market information of the latest securities. The market information of the securities input by the market information input means; A primary information database that stores and manages information in a fixed format as information, secondary information processing means for inputting primary information of the primary information database and outputting secondary information necessary for trade analysis, and the secondary information processing means Secondary information storage means for storing the output secondary information, and distribution means for distributing the secondary information to each of the trader systems, wherein the trade analysis device of the trader system comprises: Secondary information receiving means for receiving secondary information, a secondary information database for storing and managing the secondary information received by the secondary information receiving means, and an analysis object for inputting primary order data of a securities trade to be analyzed Data input means and primary order data of the securities input by the analysis object data input means are input to the secondary information database. Liquidity pre-evaluation means for estimating the cost of securities trade by a predetermined trade method using secondary information and a market impact model; and a trade analyst after being evaluated by the liquidity pre-evaluation means. Fixed trade method storage means for storing the fixed trade method determined by the above, fixed order data output means for outputting fixed order data based on the fixed trade method, and input of trade data of securities trade from the order management system. Contract data input means and the contract data input by the contract data input means, and accesses the secondary information database to access the secondary information and the fixed cost and the variable cost of the order actually executed from the contract data. Post-evaluation means for calculating A primary order data input unit for inputting primary order data for requesting a predetermined securities trade from the tofolio manager; a primary order database for storing and managing the primary order data of the securities input by the primary order data input unit; An analysis target data output unit that extracts predetermined primary order data from the primary order database and outputs the primary order data to the trade analysis device as analysis target data, and a firm order data input unit that inputs firm order data from the trade analysis device; A firm order database for storing and managing firm order data input by the firm order data input means; and an order executing means for accessing the firm order database and executing an order for securities based on the firm order data. The order management system has the value An order management means for managing whether the order is executed by the order execution means of the ticket ordering system and the success or failure of the transaction, and outputting the contents of the securities trades executed as execution data; and storing and managing the execution data output by the order management means. And a contract data output means for extracting predetermined contract data from the contract database and outputting the contract data to the trade analyzer as contract data to be subjected to ex-post evaluation.

[0027] According to a second aspect of the present invention, in the securities trading support system according to the first aspect, the analysis target data output means of the security ordering system and the analysis target data input means of the trade analysis apparatus are in data communication. And the firm order data output means of the trade analyzer and the firm order data input means of the securities order system are connected so as to be able to perform data communication. ,
At the request of the trade analysis device, predetermined analysis target data is searched from the primary order database and transmitted to the analysis target data input means, and the firm order data input means of the securities order system includes The fixed order data is received from the fixed order data output means and stored in the fixed order database in a certain system.

According to a third aspect of the present invention, in the securities trading support system according to the first or second aspect, the execution data output means of the order management system and the execution data input means of the trade analyzer are in data communication with each other. The trade data output means of the order management system retrieves predetermined trade data from the trade database and sends it to the trade data input means when requested by the trade analysis device. It is characterized by the following.

The securities trading support system according to claim 4 of the present application is the system according to claims 1 to 3, wherein the primary order data input means of the securities ordering system includes:
At least one terminal communicably connected to the ordering system of the portfolio manager, the primary order data input means receives the primary order data from the ordering system of the portfolio manager, and stores the primary order data in the primary order database in a certain system. It is characterized by being stored.

According to a fifth aspect of the present invention, in the securities trading support system according to the first to fourth aspects, the order execution means of the securities ordering system is communicably connected to an ordering system of a securities exchange. The system comprises at least one terminal, and the order execution means is configured to be able to directly instruct the securities exchange to trade securities in accordance with the contents specified in the firm order data.

[0031]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS Next, an embodiment of a "securities trade support system" according to the present invention will be described with reference to the drawings attached to the application.

FIG. 1 shows a security trading support system according to an embodiment of the present invention.

The securities trading support system 1 according to the present embodiment shown in FIG. 1 includes a data distribution device 2, a trader system 3, an ordering system 4 of a portfolio manager, and a securities exchange as major systems or institutions involved. And an ordering system 5.

The data distribution device 2 is a device for inputting the latest securities market information, processing the information, and distributing information necessary for trade analysis.

The data distribution device 2 may be composed of one device as shown in FIG. 1, or a plurality of similar devices may be present for distributing the processing load. Also,
A plurality of data distribution devices 2 that specify the type of market information to be provided may exist.

The trader system 3 receives a trading order for securities from the portfolio manager (this will be referred to as a primary order) and sets a trading method so as to maximize the profit within the primary order of the portfolio manager. An institution that decides and buys and sells securities. FIG. 1 shows a hardware configuration of the trader system 3.

The trader system 3 has therein a trade analyzer 6, a securities ordering system 7, and an order management system 8. The trade analyzer 6, securities ordering system 7, and order management system 8 will be described later.

Although FIG. 1 shows only one trader system 3 as a representative, there are many trader systems 3 in practice.

The portfolio manager ordering system 4 is an ordering system provided in the portfolio manager.

As described above, the portfolio manager is an organization that manages an investor's fund.

The order system 5 of the securities exchange is an order system of the securities exchange.

The securities exchange is an organization that conducts securities transactions. A stock exchange may refer to a stock exchange market, or it may refer to a securities company intervening between a trader and the stock exchange market.

The data distribution device 2 further includes a market information input unit 9, a primary information database 10 (the database is shown as DB, the same applies hereinafter), and a secondary information processing unit 11.
And a secondary information storage unit 12 and a distribution unit 13.

The market information input means 9 is a means for inputting the latest securities market information. Market information input means 9
Is preferably a means capable of inputting file data by data communication.However, as long as it is a means capable of inputting data, this corresponds to this means.In addition to input means such as a keyboard, data can be input from a storage medium such as a floppy disk. It shall include readable data reading means and the like.

The market information input means 9 of this embodiment is preferably connected to a market information network 14 for providing the latest securities market information in a data communicable manner.

The market information network 14 preferably obtains market information such as stock prices and trading volumes from the Tokyo Stock Exchange or the Osaka Securities Exchange, etc., and provides this as data in a certain format (this is referred to as primary information). Network.

The primary information database 10 is a database for storing and managing the primary information. In this specification, the term "database" refers to a comprehensive one including a collection of data, a data management program, and storage means for storing and managing them.

The secondary information processing means 11 is a means for processing the primary information of the primary information database 10 and outputting various reference values used for trade analysis (this is referred to as secondary information).

The secondary information storage means 12 is a means for storing the secondary information.

The distribution means 13 is means for distributing the secondary information to each trader system 3.

Next, the trade analyzer 6 of the trader system 3, the securities ordering system 7, and the order management system 8
Will be described.

The trade analyzer 6, securities ordering system 7, and order management system 8 are systems provided in the same trader system 3.

These devices and systems are configured so that at least data can be exchanged with each other, and are preferably configured so that data can be directly input and output by a data communication method. It is configured to perform processing and return a result.

The trade analysis device 6 is a device for performing a trade analysis. The method of trade analysis will be described later.

The trade analyzer 6 includes a secondary information receiving unit 15, a secondary information database 16, an analysis target data input unit 17, a liquidity preliminary evaluation unit 18, a fixed trade method storage unit 19, a fixed order Data output means 20
Contract data input means 21, ex-post evaluation means 22,
Evaluation result output means 23.

The secondary information receiving means 15 is means for receiving secondary information. The secondary information receiving means 15 is physically composed of general communication means.

The analysis target data input means 17 is a means for inputting analysis target data to be trade-analyzed. The analysis target data is data requesting a transaction for securities of a predetermined brand requested by the portfolio manager. Based on this analysis target data, the trade analyst appropriately decides the trade method.

The analysis target data input means 17 is preferably a means capable of data communication with the analysis target data output means of the securities ordering system, which will be described later, but corresponds to this as long as it can input analysis target data. It may be data reading means such as a floppy disk drive.

The liquidity pre-evaluation means 18 considers the market change (impact) caused by the trader's trading of securities with respect to the market situation around that time, and considers the overall cost, that is, the reverse of the total cost. It is a means to estimate the profit of

The determined trade method storage means 19 is a means for the trade analyst to perform various trial calculations by the liquidity preliminary evaluation means 18 and store the determined trade method from the results.

The firm trade method is based on the size of the stock to be traded (for ease of understanding, a representative “stock certificate” will be used here) and the total trading volume of the stock certificate requested by the portfolio manager. A division method that determines whether the transaction is to be performed by dividing the block into blocks and the number of times, a transaction time that defines when the transaction is performed for each divided block, and the like are defined. As described above, data representing the firm trade method is called firm order data.

The firm order data output means 20 is means for outputting the firm order data. The firm order data output means 20 is means for outputting firm order data in the form of a data file. As long as firm order data can be output in the form of a data file, communication means and a floppy disk drive can also be firm order data output means 20.

The contract data input means 21 is a means for inputting contract data. The contract data is transaction data of securities actually performed by the securities ordering system 7.

The contract data input means 21 is preferably a communication means capable of data communication with a contract data output means of the order management system 8 described later, but may be a data reading means such as a floppy disk drive.

The post-evaluation means 22 is a means for calculating the cost of the ex-post actual trading of securities.

The evaluation by the post-evaluation means 22 is performed by factorizing the total cost actually incurred into a fixed cost and a cost fluctuated by the trader's trading method, and objectively evaluating the quality of the trader method. Is what you do.

The evaluation result output means 23 is a means for outputting a pre-evaluation or a post-evaluation of a securities trade or an evaluation of both of them.

The evaluation result output means 23 is applicable as long as it is a means capable of outputting the result of evaluation, and includes communication means for outputting in the form of a data file, storage medium access means for outputting to a storage medium, a printer, and a display device. It doesn't matter.

Next, the securities ordering system 7 will be described.

The securities order system 7 includes a primary order data input unit 24, a primary order database 25, an analysis target data output unit 26, and a confirmed order data input unit 2.
7, confirmed order database 28, and order execution means 29
And

The primary order data input means 24 is a means for inputting primary order data. As described above, the primary order data is data that defines the outline of a securities trade sent from the portfolio manager to the trader system 3, and is data that defines the brand, the total transaction volume, the deadline for completing the transaction, and the like.

The primary order data input means 24 is preferably provided by the order manager 4 of the portfolio manager.
Although it is a means capable of data communication with the storage device, a storage medium reader or a normal input means can be used depending on the scale as long as it can input data.

The primary order database 25 is a database for storing and managing the primary order data.

The analysis target data output means 26 is a means for outputting the primary order data to be analyzed to the trade analysis device 6.

The data-to-be-analyzed means 26 is preferably connected to the data-to-be-analyzed input means 17 of the trade analyzer so as to be able to perform data communication, and retrieves automatically requested primary order data at the request of the trade analyzer 6. And outputs it to the trade analyzer 6.

The firm order data input means 27 is means for inputting firm order data representing a trade method analyzed by the trade analyzer 6 and finally determined as an optimal trade method.

The firm order data input means 27 is preferably a means connected to the firm order data output means 20 of the trade analyzer so as to be able to perform data communication. The firm order data input means 27 reads the firm order data from a storage medium storing the firm order data. It may be medium reading means or input means such as a keyboard.

The firm order database 28 is a database for storing and managing firm order data.

The order execution means 29 is means for executing a securities trade based on firmed order data.

The order execution means 29 is preferably a means capable of data communication with the ordering system 5 of the securities exchange, and capable of directly requesting the securities exchange to make a transaction.
The order execution means 29 may correspond to a plurality of order terminals for a securities exchange.

Next, the order management system 8 will be described.

The order management system 8 includes an order management means 30
Contract data 31 and contract data output means 32
And

The order management means 30 manages the order of the securities performed by the order execution means 29.

The order management means 30 has a main function of managing the success or failure of the securities trade performed by the order execution means 29. However, the order management means 30 has a security trade rule database, and the order execution means 29 performs the processing. It can also serve as a means for monitoring whether a security trade is appropriate for the trade that is being made or legally or in light of the agreement.

The contract database 31 is a database for storing and managing contract data.

The contract data output means 32 is a means for outputting the contract data to the contract data input means 21 of the trade analyzer.

The trade data output means 32 is preferably connected to the trade data input means 21 of the trade analyzer so as to be able to perform data communication, and searches and outputs trade data in response to a request from the trade analyzer 6. The storage medium access means is not limited to the data communication means but can output data in the form of a data file.

The configuration of the securities trade support system 1 according to the present embodiment has been described above. Next, the processing flow of the securities trade support system 1 having the above configuration will be described below.

In the securities trading support system 1 of the present embodiment, information and data required for trade analysis must be distributed to each trader system 3 before trade analysis is performed in the trader system 3. The data distribution device 2 plays a role of distributing information necessary for the trade analysis to each trader system 3.

Market information input means 9 of data distribution device 2
Is connected to the market information network 14, and inputs the latest market information from the market information network 14 (step S100).

The market information network 14 inputs information such as stock prices and trading volumes of all issues from the first and second copies of the Tokyo Stock Exchange, and provides this to a third party in a fixed data format. The market information input means 9 of the data distribution device 2 is connected to the market information network 14 and
The market information is input from step 4 and stored in the primary information database 10 (step S110).

The market information stored in the primary information database 10 includes attribute data including the securities code, the type of business, the number of unit shares, and the number of listed shares, daily data indicating the beginning and end of the day, stock prices and trading volume, and intraday Intraday data indicating stock prices and trading volumes are stored in a database in a fixed format and stored and managed.

The secondary information processing means 11 extracts the primary information recorded in the primary information database 10 (step S120), calculates data (secondary information) to be used for securities trade from these, and outputs the secondary information. Storage means 12
(Step S130).

Here, the secondary information is a daily average volume,
Daily Open, Close, High, Low, Volume Weighted Average Price (VWAP), Price Fluctuation Standard Deviation (Volatility),
There is a regression coefficient of the market impact estimation model.

The regression coefficient of the market impact estimation model uses a predetermined estimation model when estimating the market impact due to the trade in the trade analysis device 6 of the trader system 3, and the regression coefficient used for the estimation model is To provide. By updating the regression coefficient according to the latest market trends, more accurate impact estimation can be performed.

The distribution means 13 takes out the secondary information from the secondary information storage means 12 at a fixed time and distributes the secondary information to the secondary information receiving means 15 of each trader system 3 (step S140).

The trade analysis device 6 of the trader system 3 receives the secondary information processed by the data distribution device 2 from the distribution means 13 of the data distribution device 2 and stores and manages this in the secondary information database 16 (step S15).
0).

The above is the preparation for conducting trade analysis in the trader system 3.

Next, the flow of processing of the securities trade support system 1 of this embodiment will be described along with the business in the trader system 3.

The operation of the trader system 3 starts with an order from the portfolio manager.

When the portfolio manager decides to trade a predetermined number of securities for a predetermined quantity, the portfolio manager sends a primary order requesting execution of the trade to the trader system 3 using the ordering system 4 (step S).
200).

In the trader system 3, the primary order data input means 24 of the securities ordering system 7 receives the primary order and stores the primary order in the primary order database 25 as primary order data (step S210).

The primary order data includes the portfolio manager who placed the order, the brand code, the type of trade, whether to sell or buy, the number of shares ordered, and the like. The primary order database 25 stores these systematically.

A trade analyst determines an optimal trading method within the range of the primary order data. The pre-evaluation of liquidity is performed in the work of determining the optimal trading method.

Here, the trade analyst divides the total trading volume of securities of a specific brand indicated by the primary order data into a plurality of blocks by various dividing methods, and trades each block at a virtual timing. The cost and profit in such a case are estimated by liquidity pre-evaluation, and the most profitable trading method is discovered while making corrections.

When the trade analyst makes an advance evaluation of liquidity, the trade analyzer 6 is activated, and data to be analyzed is input by the data input means 17 for analysis (step S220). Here, the analysis target data is one of the primary order data, and is data to be subjected to the liquidity preliminary evaluation of the securities trade.

In response to the request from the data-to-be-analyzed input means 17, the data-to-be-analyzed output means 26 retrieves the corresponding primary order data from the primary order database 25 and sends it to the data-to-be-analyzed input means 17.

The liquidity preliminary evaluation means 18 inputs the analysis target data from the analysis target data input means 17 and the secondary information from the secondary information database 16, and performs the liquidity preliminary evaluation (step S230).

This liquidity preliminary evaluation estimates the impact cost using the market impact model, and
The fixed cost is calculated using the closing price of the previous day, and the total cost is calculated.

The previous day's closing price for calculating the fixed cost can be obtained from the secondary information database 16.

As the market impact model used for estimating the impact cost, an impact model prepared in advance in the liquidity advance evaluation means 18 is used, and its regression coefficient is updated by secondary information from the data distribution device 2.

The estimation based on the market impact model is based on information on market trends (historical information),
Attribute information such as the number of stock certificates to be traded and the holding ratio, and basic information on a trading method to be evaluated are used.

The historical information includes the average volume, the volume-weighted average price, and the like for a certain period (for example, 10 days) before the evaluation time, and can be obtained from the secondary information database 16.

The attribute information can be calculated from the primary order data and the secondary information.

Basic information can be obtained by inputting primary order data and trade analysts.

The liquidity preliminary evaluation means 18 uses the trade method temporarily determined by the trade analyst, the information from the primary order database 25, and the information from the secondary information database 16 to execute the trade method. The total cost is estimated and calculated using a market impact model (step S230).

The trade analyst estimates the costs of the various trading methods by the liquidity preliminary evaluation means 18, determines the most profitable trading method from among the costs, and determines the firm order data representing the firm trading method. It outputs to the fixed trade method storage means 19 (step S240).

When the trade analyst has completed the liquidity pre-evaluation, the firm order data output means 20 acquires firm order data from the firm trade method storage means 19, and transmits the firm order data to the firm order data input means of the securities order system 7. 2
7 (step S250).

The firm order data input means 27 of the securities order system 7 inputs firm order data obtained from the firm order data output means 20 of the trade analyzer 6, and stores and manages the firm order data in the firm order database 28 (step). S260).

[0120] The firm order database 28 manages the brand, quantity, trading type, time to order, etc. of the stock to be ordered.

The order execution means 29 obtains daily data of securities to be ordered from the firm order database 28, and automatically or under the approval of humans, sends the order data to the order system 5 of the securities exchange. It sends a request to trade those securities (step S270).

The ordering system 5 of the securities exchange executes a transaction on a stock exchange or the like in response to a request from the trader system 3 (step S280).

On the other hand, the order management system 8 of the trader system 3 monitors and manages the execution of the order by the securities order system 7 (step S300).

The order management means 30 of the order management system 8
Determines in advance whether an order to be executed by the order execution means 29 is suitable for the law or agreement, and if not, restricts the execution by the order execution means 29 or issues a warning message. Emits.

After the order is executed by the order execution means 29, the order management means 30 manages the success or failure of the securities trade. The data is output to the contract database 31 and stored and managed in the contract database 31 (step S310).

As described above, trading of securities is executed, and the contract data is stored.

The trade analysis device 6 performs an ex-post evaluation on the established securities trade.

The post-evaluation breaks down the total cost of the securities trade into fixed costs and variable costs.
As a result, costs that are not affected by the trader's decision (fixed costs) and costs that are affected (variable costs)
And reveal the trader's performance.

Various evaluation methods have been proposed as post-evaluation methods, and the trade analysis device 6 of the present invention can try a plurality of evaluation methods.

In a preferred embodiment of the present invention, ex-post evaluation can be performed by an ex-post evaluation method called an implementation short fall method and a VWAP method. Each of these ex-post evaluation methods is characterized by a method of decomposing variable costs.

In the case of the VWAP method, the ratio of the fixed cost and the variable cost to the volume weighted average price (VWAP) is calculated. The variable cost is a price change caused by the securities transaction, that is, an impact cost.

By calculating the ratio of fixed cost and variable cost to the volume weighted average price (VWAP),
The trader's decision on the trading volume can be objectively judged,
It can be utilized as know-how of the method of determining the subsequent trading method.

On the other hand, in the case of the implementation short fall method, the variable cost is further broken down into a timing cost, an impact cost, and an opportunity cost. The timing cost is a cost when the price goes up and down depending on the order execution date. Impact cost is the cost of a change in the price of a security due to an order. Opportunity cost is a cost that arises when a security that has been ordered but cannot be executed is brought to the next day's transaction.

The timing cost is influenced by the decision of the order execution date, and the impact cost and the opportunity cost are influenced by the decision of the quantity to be traded, and both are influenced by the decision of the trader.

By dividing the variable cost into a timing cost, an impact cost, and an opportunity cost, it is possible to specify whether the cost is caused by a time factor or a transaction amount, and it is possible to judge whether or not to determine a trade method. At the same time, it can be utilized as know-how of a method of determining a trading method thereafter.

When performing the above-mentioned post-evaluation, the post-evaluation means 22 of the trade analyzer 6 is activated, and the contract data input means 21 inputs contract data from the contract data output means 32 (step S320). When receiving a request from the contract data input unit 21, the contract data output unit 32 searches for the corresponding contract data from the contract database 31 and sends it to the contract data input unit 21. Here, the contract data includes information such as a contract date, a brand code, a trade type, the number of shares ordered, the number of contract shares, a trading value, and a delivery amount.

The ex-post evaluation means 22 inputs the contract data via the contract data input means 21 (step S330), and inputs market information such as the opening price, closing price, high price and low price of the day from the secondary information database 16. The sushi (step S340), it is possible to calculate the variable cost and the fixed cost of the post-upload evaluation from the information (step S340).
350).

The evaluation result output means 23 inputs the post-evaluation calculated by the above-mentioned post-evaluation means 22 and the pre-evaluation of the relevant trade from the fixed trade method storage means 19, and outputs this in the form of a report ( Step S360).

In the above-mentioned post-evaluation, the evaluation period can be freely set by designating the evaluation period.

That is, post-evaluation of daily securities transactions or securities transactions for a certain period can be performed.

The processing of the securities trading support system 1 has been described above.

According to the securities trading support system 1, the market impact model and the mathematical expression for performing the trade analysis are obtained by the trade analysis device 6 of each trader system 3.
Are prepared in advance, and the trade analysis using these is processed in each trader system 3.

On the other hand, market information for performing trade analysis, regression coefficients of market impact models, etc. are uniformly collected and processed by the data distribution device 2 and distributed to the trade analysis device 6 of each trader system 3 by the distribution means 13. It will be delivered.

According to the above configuration, the processing of collecting market information having a large amount of data is uniformly processed by the data distribution device 2 having a large processing capacity, and is a small processing, but a trading method in which various deformations occur. Is processed in the trade analysis device 6 of each trader system 3. In other words, the data distribution device 2 and the trader system 3 can perform their respective special processes.

Thus, each conventional trader system 3
Requests a trade analysis to an external organization corresponding to the data distribution apparatus 2 of the present application, and greatly reduces the load of communication for receiving the processing result. In addition, the load of evaluating a large number of trading methods having various conditions is removed even for an external institution that performs conventional trade analysis, although the processing amount is relatively small. As a result, the data processing efficiency of the entire system can be greatly improved, and the same effect can be achieved with a reasonable capital investment.

In the trader system 3 as well, the trade analyst can freely analyze various trade methods using his / her own trade analysis device 6, so that the optimal trade method can be very easily compared with the related art. Since the decision can be made, effective support for the decision can be obtained in the business of trade analysis.

Further, according to the securities trading support system 1, in the trader system 3, the order from the order of the primary order data to the final order to the securities exchange is managed and automated in a consistent data flow. Becomes possible.

That is, the order of the primary order data from the portfolio manager is stored in the primary order database 25 as it is by connecting the ordering system 4 of the portfolio manager and the primary order data input means 24 of the trader system 3. .

In the case where the liquidity preliminary evaluation is performed in order to determine the trading method, the analysis object data output means 2
6 and the analysis target data input means 17, the primary order data stored in the primary order database 25 is used in the liquidity preliminary evaluation.

Similarly, firmed order data representing the firmed optimal trading method is automatically stored in firmed order database 28 by connection of firmed order data output means 20 and firmed order data input means 27, and finally Is output to the order system 5 of the securities exchange by the order execution means 29.

Further, for the executed securities trade, the order management means 30 manages the success or failure of the trade and records the contract data in the contract database 31. The contract data is input to the post-evaluation means 22 of the trade analysis device 6 by connecting the contract data output means 32 and the contract data input means 21, and the post-evaluation can be automatically performed on the executed securities trade. This ex-post evaluation is
By having the secondary information database 16, processing can be performed inside the trade analyzer 6, and can be output together with the prior evaluation performed by the user.

As described above, according to the securities trading support system 1, the disadvantage that the data flow is interrupted due to the data leaking to an external institution for the conventional trade analysis is overcome, and the trader business as a whole is overcome. Can provide assistance.

[0153]

As is clear from the above description, according to the "securities trade support system" of the present invention, the collection, processing and distribution of market information and the trade analysis are performed by the data distribution device and each trader, respectively. Since the data is separated and processed in the trade analysis device, the collection of market information and the trade analysis, which have conventionally been concentrated on a specific data processing organization, are decentralized, and the efficiency of data processing is greatly improved as a whole.

Further, traders can conduct trade analysis in their own systems and use the latest market information in the trade analysis, so that accurate trade analysis can be easily performed.

According to the securities trading support system 1 of the present invention, data is used consistently within a trader. Further, when data communication is used, a series of trader work is automated, and trader work is performed. Is greatly improved.

[Brief description of the drawings]

FIG. 1 is a block diagram showing the configuration and processing flow of a securities trade support system according to an embodiment of the present invention.

[Explanation of symbols]

 DESCRIPTION OF SYMBOLS 1 Securities trade support system 2 Data distribution device 3 Trader 4 Portfolio manager ordering system 5 Securities exchange organization ordering system 6 Trade analysis device 7 Securities ordering system 8 Order management system 9 Market information input means 10 Primary information database 11 Secondary Information processing means 12 Secondary information storage means 13 Distribution means 14 Market information network 15 Secondary information receiving means 16 Secondary information database 17 Analysis target data input means 18 Liquidity preliminary evaluation means 19 Firm trade method storage means 20 Firm order data output Means 21 Contract data input means 22 Post-evaluation means 23 Evaluation result output means 24 Primary order data input means 25 Primary order database 26 Analysis target data output means 27 Firm order data input means 28 Firm order data Base 29 Order execution means 30 Order management means 31 Contract database 32 Contract data output means

Claims (5)

[Claims] At least one data distribution device for inputting market information of the latest securities, processing and distributing information necessary for trade analysis, and obtaining market information from the data distribution device, while obtaining market information from the portfolio manager In response to a request for a securities trade, the trader system performs at least one trader system after determining a trade method, the trader system includes a trade analyzer, a securities ordering system, an order management system, In the securities trade support system, the data distribution device includes: a market information input unit that inputs market information of the latest securities; and a market information of the securities input by the market information input unit. Primary information database that stores and manages information in a certain format Secondary information processing means for inputting primary information of the primary information database and outputting secondary information necessary for trade analysis, and secondary information storage for storing the secondary information output by the secondary information processing means Means, and distribution means for distributing the secondary information to each trader system, the trade analysis device of the trader system, secondary information receiving means for receiving the secondary information from the data distribution device, A secondary information database that stores and manages the secondary information received by the secondary information receiving unit, an analysis target data input unit that inputs primary order data of a securities trade to be analyzed, and the analysis target data input unit. Enter the primary order data of the entered securities, access the secondary information database, and use the secondary information and the market impact model Liquidity preliminary evaluation means for estimating the cost of securities trade by a fixed trade method; fixed trade method storage means for storing a fixed trade method determined by a trade analyst after being evaluated by the liquidity preliminary evaluation means Firm order data output means for outputting firm order data based on the firm trade method; trade data input means for inputting trade data of securities trade from the order management system; and trade data input means. Post-evaluation means for inputting contract data, accessing the secondary information database, and calculating fixed costs and variable costs of orders actually placed based on the secondary information and the contract data, and The ordering system is designed to execute predetermined securities trades from the portfolio manager. Primary order data input means for inputting primary order data to be requested; a primary order database for storing and managing the primary order data of securities input by the primary order data input means; predetermined primary order data from the primary order database Data to be analyzed and output to the trade analyzer as data to be analyzed, firmed order data input means to input firm order data from the trade analyzer, and firmness input by the firm order data input means. A fixed order database that stores and manages order data; and an order execution unit that accesses the fixed order database to execute an order for securities based on the fixed order data. Whether or not the order is fulfilled by the order execution means of the securities order system Order management means for managing the success or failure of the contract and outputting the contents of the securities trades executed as execution data; an execution database for storing and managing the execution data output by the order management means; and a predetermined execution from the execution database. A trade data output means for extracting data and outputting the trade data as trade data to be evaluated to the trade analyzer. 2. An analysis target data output means of said securities order system and an analysis target data input means of said trade analyzer are connected so as to be able to perform data communication, and said fixed order data output means of said trade analyzer and said securities are connected. The confirmed order data input means of the order system is connected so as to be able to perform data communication, and the analysis object data output means of the securities order system is provided with predetermined analysis object data from the primary order database in response to a request from the trade analyzer. The firm order data input means of the securities order system receives firm order data from the firm order data output means of the trade analyzer and sends the firm order data to the firm order database. 2. The method according to claim 1, wherein the information is stored in a fixed system. Placing securities trade support system. 3. The trade data output means of the order management system and the trade data input means of the trade analysis device comprise communication means capable of data communication with each other, and the trade data output means of the order management system comprises the trade analysis means. 3. The securities trading support system according to claim 1, wherein when a request is received from the apparatus, predetermined contract data is retrieved from the contract database and transmitted to the contract data input means. 4. The primary order data input means of the securities order system comprises at least one terminal communicably connected to an order system of a portfolio manager, and the primary order data input means comprises an order system of a portfolio manager. 4. The securities trading support system according to claim 1, wherein the first order data is received from the first order database and stored in the first order database in a certain system. 5. The order execution means of the securities ordering system comprises at least one terminal communicably connected to an ordering system of a securities exchange, wherein the order execution means is defined by fixed order data. 2. The system according to claim 1, wherein said securities exchange can be directly instructed to trade securities.
5. The securities trading support system according to any one of items 1 to 4.