JP2002149981A - Method of processing order matching system for securities, etc. - Google Patents

Abstract

PROBLEM TO BE SOLVED: To solve the problem on an auction system as one of present agreement processing methods, which is an effective method for highly floatable securities but has an extremely lower agreement rate in the case of low floatable securities, possibly causing no consistent deal to be made by investors, and on a market make system in which a market maker offers selling tendency prices and buying tendency prices all times to cause consistent deal to be made by the investors but the determination of prices is disadvantageously left to the market maker because, if there is a large spread (the range of selling/buying prices) in the offered prices, the order generated within the range can not be agreed unless the market maker changes the offered prices. SOLUTION: This matching engine processing method comprises accepting prices offered by the market maker (the market make system) and processing the agreement within the range thereof (the auction system) if the conditions of both ordinary orders are coming into agreement each other.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a system for automatically accepting orders in transactions of securities and the like used on stock exchanges and the like, and for executing and managing contracts.

[0002]

2. Description of the Related Art A contract processing method at the Tokyo Stock Exchange, which represents Japan, is called an auction board-type method, and will be described below based on a specific example with reference to the accompanying drawings. First, FIG. 1 shows the order status from the transaction order reception time to immediately before the start of the transaction. (1) in FIG. 1 is a reference price such as the closing price of the previous day (final price of the previous day's transaction), and (2) in FIG.
Indicates a buy order quantity for each price, and (3) indicates a sell order quantity for each price. (4) is the quantity obtained by accumulating the buy order quantities in descending order of price, and (5) is the quantity obtained by accumulating the sell order quantities in descending order of price. In such an order situation, when a transaction starts, the approaching price (hereinafter referred to as "open price") is determined once, but since there are various orders, the price priority (buying is higher order price) The opening price is determined based on the order and selling order of the cheap order price and time priority (in the case of the order with the same price, the order time is earlier). In the case of FIG. 1, since the cumulative sales and the cumulative purchases increase at the order price of 307 yen, the transaction is started with the opening price of 307 yen.
In this case, a buy order of 307 yen or more and a sell order of 307 yen or less are executed at the opening price. The order status after the result is as shown in FIG. (6) in FIG.
Means opening price. Here, if one unit of sell order is newly generated at 308 yen, the order situation is as shown in FIG. 3 ((7) in FIG. 3). In other words, if there is no one side of the order to sell or buy (corresponding order), the order is not executed at any price. Next, a description will be given, with reference to the accompanying drawings, of the market making method used for some brands in the overseas NASDAQ market and the Japanese over-the-counter market. The major difference from the above-mentioned auction method is that the sell offer price and quantity and the buy offer price and quantity are displayed from each market maker. FIG. 4 shows a NASDAQ display method, in which the price (by selling and buying) and the quantity (by selling and buying) are displayed by adding the sign presented by each securities company to the name of the securities company. FIG. 5 shows a domestic JASDAQ display system. As shown in FIG. 4, quotes are presented from each securities company, and the display method is the best quote (the lowest sell quote price ((8) in FIG. 4)). ), Only the highest bid price ((9) in FIG. 4) is displayed, and the investor receives only the quote price (including securities companies other than market makers). Investors (other securities companies are also allowed) place orders based on this quote price, but if the order is for sale, the contract is executed if it is less than the market maker's buy price, and the order from the investor is If the price is higher than the market maker's offer price, the contract is executed. However, if there is an order from an investor for the price in the spread of the market maker, the price is determined by the market participant because it is not executed and is not reflected in the sign ((10) in FIG. 6). Instead, the market maker will decide,
No efficient price formation.

[0003]

The above two methods have the following problems, which will be described below. In the case of the auction method, there is no market making order to provide liquidity, regardless of the order of the securities company itself (hereinafter referred to as “self-order”) and the order from investors (hereinafter referred to as “consignment order”). If the price condition is met, contract processing is performed, so that it can be said that this method is very efficient when securities with high liquidity are targeted. However, in the case of securities with poor liquidity, the contract rate is extremely reduced, and there is a risk that investors cannot always trade. If you really want to trade, buy orders, high price orders. In the case of a sell order, the order is at a low price, and the price to be traded greatly fluctuates. In the case of a large order with a large quantity, the order quantity of the order is disclosed to the market, and the size of the order results in an unfavorable price formation. On the other hand, in the case of the market making method, since the participating market makers always have to show the sell price and the buy price, investors can always trade at that price, and liquidity is poor. It is an efficient trading method for issues. However, if the buy / sell quote (spread) presented by the market maker is large, a price formation disadvantageous to the investor is performed. Further, in the case of an order based on the price in the spread, the contract is not executed unless the market maker changes the quote price. For example, if the market maker's quote is a sell quote price of 450 yen and a buy quote price of 440 yen, even if a consignment sell order for 445 yen and a consignment buy order for 445 yen occur, it is an order within the spread, Both have disadvantages that are not contracted (44 in case of auction method)
It is contracted for 5 yen). As described above, in the case of the auction method, there is a problem that there is a risk that trading will not be completed and the risk of price fluctuation will increase in the case of illiquid stocks, and in the case of the market making method, market makers will present Consignment orders within spreads have the problem of not being fulfilled. The liquidity of the actual trading market changes, and the auction method is used when liquidity is low, and the market making method is used when liquidity increases.
This is a very inefficient trading method.

[0004]

[Means for Solving the Problems] In order to cope with the change in liquidity, in addition to the function that the market maker always presents a sign, all the participants of the market (including the market maker) within the range of the spread presented by the market maker However, when the price conditions match with the other party (buy order for sell, sell order for buy), we provide a function that can execute contracts, secure liquidity and reduce costs by spread Realize the decline. In addition, a market for large orders (hereinafter referred to as "large market") and a market for small orders (hereinafter referred to as "small market") can be set and separated, and a small market (or transaction) can be set.
However, when a large order becomes a processable quantity and the corresponding order is in the large market (or trade), an order is set in the large market that combines a large number of small orders in the small market. The system can process and fulfill one order.

[0005]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS The basic structural features and other features of the present invention are as described above, and will be described below based on specific examples with reference to the accompanying drawings. In describing this system, a description will be given of a stock listed on the Tokyo Stock Exchange (hereinafter referred to as “TSE”) or stock as a specific example. As described in claim 1, the present invention covers securities such as stocks and bonds, currencies, commodity futures, etc. employed in at least one trading market of securities and the like. It is just doing. It should be noted that the system itself can be coded in any programming language known to those skilled in the art. First, the configuration of the entire system will be described with reference to FIG. A setting terminal (11) for securities firms participating as market makers to make various settings, a market making order input terminal (12) for entering and correcting market making orders, and inputting and correcting normal orders for self-orders and consignment orders And an information terminal (14) for receiving distribution of order / contract information of all the other participants through a communication means such as a dedicated line, etc., to a server system or the like of the system provider. You. still,
The function of each terminal described above can be used in one terminal. Next, for other market participants who are not market makers, terminals similar to (13) and (14) in FIG. 7 are connected to a server system or the like of the system provider via communication means such as a dedicated line. On the system provider side, a setting terminal (15) for the system provider to perform various settings, a monitoring terminal (16) for monitoring the contents of a transaction order, a control terminal (17) for controlling the entire system, and each participant (a market maker and a marketer). Authentication server system (18) for performing authentication upon connection from a participant), order-related / information-related server systems (19) and (20) for transmitting and receiving various information communications, and accepting and managing orders from each participant. Order receiving database server system (21) for order management, an order management server system (22) for managing information when an order is executed,
An order management and distribution server system (23) for distributing the order reception to market participants and other server systems, a matching engine (24) for executing a plurality of order contents, and a matching engine management server system for managing the entire matching system ( 25), a transaction log management server system (2) for recording order details and execution information from all participants
6), a main database server system (27) for managing the contents declared by the market maker, limit value range management, registered brand information, etc., a system monitoring server system (28) for monitoring the connection status of participants, all participants An information distribution server system (29) for distributing the information to an information system database server system (30) for storing the information content. The processing contents are as follows. When each participant logs in to the system provider's system, the main database server system (2
Check the information registered in 7) (user ID, market make registration brand, market make correspondence time) and the like. After the connection, the operation information is transmitted to the system monitoring server (28). When accepting an order from the market maker's market make order input terminal (12) and other market participants' normal order input terminal (13), the order management server system (22) performs the following trade check. Base price, quantity unit, price unit, price range, trading time, brand code, market making order, and trading content etc. for each registered brand and each transaction. If the check is caught, it is processed as an error and the reason is returned to the ordering party. If normal, the order number is assigned and the order contents are written to the order reception database server system (21) as "unprocessed". Incidentally, the order database server system (21) can be another recording medium device such as a memory. Next, when the matching engine (24) under management is operating, the matching engine management server system (25) refers to the order reception database server system (21) and includes therein the matching engine management server system (25). ) If there is an order to be controlled by itself (the status is “unprocessed” and is served by a brand under the control of the matching engine management server system (25)), the order is locked (other matching Engine management server engine (25) is inoperable) and the order status is "processing"
And transfer the data to the matching engine (24) at the same time as the transaction log management server system (26)
Record the contents of the order (participant number, order type (market making order, normal order), trading section, order quantity, order price, large order quantity, large order price). After the data is transferred from the matching engine management server system (25), the matching engine (24) performs a corresponding order matching process. Note that this transaction processing will be described with a matching processing method described later. In this transaction, if the conditions (trading category, price, quantity) match, the contents of the contract are transmitted to the order management distribution server system (23). The data (contract content) passed from the matching engine (24) is written to the transaction log management server system (26) and a contract notice is transmitted to the orderer. The contract contents, the contract price, quantity, and time are also written in the information-based database server system (30), and the contents are transmitted to the information terminals (14) of all market participants via the information distribution server system (29). ) And to an external information distribution system. The above is a series of flows from order to execution.

First, with regard to the execution processing method when only a market making order exists, the market making order is an order for providing liquidity to a transaction.
Naturally, market make orders from the same market maker are not executed. The first order placed at the best offer price in the market making order (hereinafter referred to as the "priority sell order") and the order placed first at the best offer price (the "priority buy order") There is a priority of execution. In such a state, when a new buy order that is equal to or more than the price of the preferential sell order is newly placed, the preferential sell order and the buy order are contracted.
When a sell order below the priority purchase order price is newly placed, the priority purchase order and the sell order are executed. In addition, compare the quantity of the priority selling and priority buying order with the quantity of the new buying and selling order, and if the quantity of the buying and selling order is small, all the quantity of the new buying and selling order is processed and the priority selling and the priority buying order are processed. Is executed for the same quantity of the new order. Conversely, if the quantity of the new order is larger, the next order (priority order at a price within the range of the order price of the new order) following the priority sale and priority buy order is raised and becomes the priority order and becomes a new order Is fulfilled.
Further, if the quantity of the new order is still not filled, the next order is raised and becomes a priority order, and the contract processing is performed with the remaining quantity of the new order. If new buy and sell orders are not filled in this repetition, the remaining quantity of the new order is held as the spread order. In such a situation, when a new order having a condition corresponding to the held order is generated, the held order and the newly generated order are contracted. The contract processing for large orders is as follows. Large orders are not executed under the market-make orders and regular orders mentioned above. The contract is executed as follows only when a plurality of small orders meeting the conditions of the large order are generated. For example, assume that there is a large purchase order. Suppose the order quantity is 20,000 shares and the price is 500 yen. A normal order is traded around 480 yen, and a small sell order (including a market making order and a normal order) is 500 yen or less, and there is no order that fulfills a small buy order. When the number of shares becomes 20,000, the small orders are locked (cannot be canceled or corrected), and the contract is executed at the price of the large order. The image is shown in FIG. The above is the contract processing method of the present invention.

[0007]

According to the present invention, since the present invention constitutes the processing method as described above, in addition to the market making function which can surely execute the order of the investor, in the case of the order price in the spread, Is provided with an auction-type function for directly filling orders of securities companies and investors other than market makers without going through market makers. As a result, even if the spread is large, the investor can execute the contract within the spread when the counterparty exists, and can enjoy the advantage of not having to pay the cost for the spread. This solves the problem of potential trading needs of not purchasing because it may not be possible to sell, and can contribute to further improving liquidity. Also, in the time zone when the market maker is absent (nighttime, holidays, etc.), the auction method with the best quote price at the end of the above-mentioned market maker participation obligation time zone is possible, but the tradeable price is within the spread. Therefore, it is also possible to mitigate the risk of price fluctuation, and a sound price formation can be realized. Also, for large orders that may affect market prices, the order details will not be displayed,
Execution is only performed when the conditions are met, thus enabling efficient trading.

[Brief description of the drawings]

FIG. 1 Auction-based pricing method 1

FIG. 2 Auction-based pricing method 2

FIG. 3 is an auction-based pricing method 3

FIG. 4 is a display method of the NASDAQ market making method.

FIG. 5 is a display method of the JASDAQ market making method.

FIG. 6 is a display method when a spread order is generated.

FIG. 7 is an overall configuration diagram of a system.

──────────────────────────────────────────────────続 き Continued on the front page (51) Int.Cl. ⁷ Identification symbol FI Theme coat ゛ (Reference) G06F 17/60 318 G06F 17/60 318G 332 332

Claims (8)

[Claims] [Claim 1] At least one securities such as stocks and bonds, currencies,
This is a method of controlling an order data processing system that mainly uses a computer that automatically matches and executes a plurality of trade orders such as commodity futures. In order to provide market liquidity, securities companies, banks, etc. "Market maker".) In addition to the function of executing the order processing of the corresponding order at the sell price and the buy price of the order that always shows the available quote (hereinafter referred to as "market make order"),
Except for market make orders between market makers, general investors, institutional investors, etc. (hereinafter, referred to as “market participants”) within the range of the sell and buy prices offered by market makers (hereinafter referred to as “spreads”). If there is a counterpart in the order (hereinafter referred to as "ordinary order"), it has a function that can execute the normal order, set both or only one of the above functions, This is a processing method of the order matching system for securities and the like, which has a function of operating and performs processing. 2. The processing method of the order matching system for securities and the like described in claim 1 has a function of inputting an order by a market participant and correcting an order already placed (amount of the order quantity). In addition to functions that allow you to reduce or correct the order price and cancel), you can also set the base value and quantity for buying and selling, and set the minimum and maximum transaction quantities and minimum and maximum transaction prices for each order. , And by setting different transaction categories, it is possible to set different minimum, maximum transaction quantities and prices for the same issue, and this is a processing method of an order matching system for securities and the like. 3. The processing method of the order matching system for securities and the like described in claim 1 includes the following steps: When the order corresponding to the total order quantity corresponds to an order of another transaction category (the same brand, automatic arbitrage between different transactions), the order matching system for securities and the like has a function to be executed. Is the way. 4. The processing method of the order matching system for securities and the like described in claim 1 has a function of setting and controlling a time period during which each participating market maker must present a sign. And set the time zone from the earliest time (for example, 8:00 am) to the latest time (for example, 8:00 pm) declared by each market maker as the market maker participation time (hereinafter referred to as “time zone A”), and other times It has the function of setting the time zone to the non-market maker participation time (hereinafter referred to as “time zone B”). When the time zone is changed from the time zone A to the time zone B, the final best offer price presented by the market maker in the time zone A The market participant's regular order will be executed within the price range modified based on (the lowest offer price and the highest offer price at the time change). Treatment is a treatment method for securities order matching system, characterized by. 5. The processing method of the order matching system for securities and the like described in claim 1 has a function of setting a limit value width, and in particular, the limit value width in the time zone B is set to the final best value. A method for processing an order matching system for securities and the like, characterized by having a function capable of setting a value that can be traded within a range of several percent above and below a quote price. 6. In the processing method of the order matching system for securities and the like described in claim 1, in the participation time zone A of the declared market maker, the quote and quantity of selling and buying must be set. In addition to having a function that must be performed, it has a function to set orders that can be corrected and canceled (orders that can only be sold or bought are possible) as well as market participants other than market makers, and during times outside each market maker's voluntary declaration A method for processing an order matching system for securities and the like, characterized in that the market maker can refuse to set a quote, and has a function of setting an order that can be corrected and canceled in the same manner as the quote with the market participant. 7. The processing method of the order matching system for securities and the like described in claim 1 includes a method for canceling a sign that was presented in a time zone A declared by a market maker, When the order is filled, when either the sell or buy quote disappears, it has a function to request a new quote again within a certain period of time, and if the market maker does not show it, Securities that have the function of recording the information and, as a penalty for a certain period of time, suspending the function as a market maker based on the set contents with respect to the securities, etc. that fall under the penalty. This is a processing method of the equal order matching system. 8. In the processing method of the order matching system for securities, etc. described in claim 1, in the time zone A, the market maker gives the order maker the contents of all order data (order of what price at what price). Is there?)
And a function to distribute information on the transaction status (including the market price and trading volume at the time of execution), and to market participants, the market maker's best selling price and the best buying price and the market price and trading information at the time of execution, In the time zone A, there is a function capable of not distributing information on the order status of each brand within the spread, and in the time zone B, the market price and trading volume at the time of execution, the upper limit (maximum transaction) price, the lower limit ( It has the function of distributing price information and can display the best price (lowest sell order price for sell, highest buy order price for buy) of market participants. This is a processing method of the order matching system for securities and the like, which has a function capable of performing the above.