JP2003533828A - Electronic trading management method and system - Google Patents

Abstract

  (57) [Summary] A system that operates electronic trading for markets that have a regularly priced value, such as individual company stocks, stock indices, interest rates, foreign exchange rates, financial indices, commodity prices, or weather parameters. And methods. The exchange sets the maximum market price value, the effective maximum daily limit for market fluctuations, and determines market donations based on actual market prices. The electronic exchange has a plurality of customers, each customer having a margin account and a market position. The open position held by the customer is sold, bought or zero. The method begins by receiving an order from a customer. The order is accepted if the customer's margin account is at least equal to twice the new position as a result of multiplying the order by the maximum market margin value. If the customer's margin account is less than this value, the order is rejected. Once accepted, the order is posted to the exchange where it can be matched with counterorders from other customers. The customer's position is set to a new position and the process is repeated for each order submitted by the customer during a given trading period.

Description

Detailed Description of the Invention

FIELD OF THE INVENTION The present invention relates to transactions (exchange, transaction or exchange, hereinafter translated according to context).
The present invention relates to a method and system for managing and operating In particular, the present invention relates to methods and systems for managing and operating transactions, such as transactions associated with index variables, to reduce credit risk on transactions.

BACKGROUND OF THE INVENTION Electronic exchanges, especially those that allow users to remotely access the exchange through networks such as the Internet, are rapidly becoming recognized. Increasing reliance on the Internet for financial transactions and its recognition of eligibility, the continued development of the global investment industry, the surprising losses of recent hedge funds, and the resulting index-linked funds. And due to factors such as increased self-managed investment, all of these are
Or contribute to the need for speculative electronic trading.

The Internet has also matured to the point where financial professionals and the general public can safely send sensitive data via the World Wide Web (www). Industry standards for web safety have also adequately answered this trust. Strong encryption techniques (128-bit and higher keys) are now available. This high level of security combined with the high accessibility of the Internet and the ease of global communication have led to an explosion of e-commerce, e-commerce and e-brokers.

Following the trend of the last decade, the global mutual fund business continues to grow at an accelerating rate. Given the population distribution of developed countries, the net inflow of funds for retirement investment accounts on a global scale is expected to continue. In general, many professionally managed funds do not consistently get better returns than the broad equity indices they benchmark. Investment masses are beginning to feel resentment as they are charged high management fees even when their managed funds do not outperform the benchmark. The recent dramatic losses of various hedge funds have underscored the fact that professional management does not guarantee the protection of principal.

For all of these reasons, there is a need for an alternative mechanism by which retail investors can be cost-effectively exposed to major equity indices. Index futures contracts can partially meet this need, if available, but they also have significant drawbacks. The future settlement of contracts (hereinafter referred to as "futures") means that there are multiple contracts for a given index, each with a different maturity. Investors who want to hold a long-term position (open position) must continually switch to the next contract as their upcoming contracts mature, which is a confusing demand for many investors. Has become. Moreover, index futures contracts are sized appropriately for institutional investors and are too large for small investors.

The electronic trading revolution, which has recently been in the spotlight, has only scratched the surface for potentially possible developments. From trading financial futures such as Globex ™,
All of the innovations to date, from small electronic intermediaries like E * Trade (trademark), are simply about automating known trading systems to reduce or eliminate credit risk. I haven't done anything. In other words, the parties to the catastrophe and those losses that have catastrophic consequences could continue to occur.

Traditional methods of reducing risk at the institutional investor level are generally based on collateralizing securities or simply reliance on the investor's financial position. While such methods work reasonably well in many environments, they often result in surprising failures, such as the collapse of bearing banks and the billion-dollar rescue of Long Term Capital Management. On the retail side, in order to determine credit risk, it is sufficient to make sure that the investor can cover the potential loss if he / she is allowed to sell or to open in margin. Credit evaluation must go through an inefficient and costly process. Even if you do that, brokers do not trade with certainty, but with probability.

[0008] Therefore, in providing electronic trading, investors are able to trade in a simple and intuitive manner and manage their investment while limiting or reducing credit risk or trading exposure. There is a need for a way to manage such transactions.

SUMMARY OF THE INVENTION It is an object of the present invention to provide a method and system for operating electronic trading that eliminates or reduces at least one disadvantage of past systems and methods. In particular, it is an object of the present invention to provide a method and system for operating and managing electronic transactions that reduces the credit risk of the transactions.

As a first aspect, the present invention provides an electronic for market having a fixed value such as stock, interest rate, foreign exchange rate, financial index, commodity price, or weather parameter of individual term cows. Provides a way to manage a transaction. The transaction sets a maximum market price, a practical maximum daily limit for fluctuations in the market as it moves up and down, and a lean market price based on the actual market. The electronic exchange has multiple customers, and each customer has a margin account and market position. The open interest held by the customer is a sell open interest, a buy open interest or no open interest. The method first receives an order from a customer. The order includes size and price or amount. An order is confirmed when the customer's margin account is at least equal to the potential open position multiplied by the maximum market price multiplied by a threshold factor if the order was executed. If the customer's margin account falls below this value, the order is rejected or adjusted. Once confirmed, the order will be posted to the exchange where it will be matched with counter orders from other customers. If the trade is successful, the customer's open position is set to the actual open position as a result of the trade, and the same process is repeated for each order submitted by the customer for a given trading period. . Each partial or complete transaction will also adjust the customer's margin account. In an embodiment, the threshold is set to 2 and the potential loss from the transaction will be limited in amount to the customer's margin account held by the exchange.

After the end of the trading period, usually one trading day, the market closes the incoming order window and determines the market closing price. In most cases, the closing price falls within the maximum market price, and the customer's margin account is marked to market by multiplying the difference between the market closing price and the open market price by the customer's open position.

In the exceptional case where the market closing price deviates from the market price range price, in the method of the present invention, the market closing price is appropriately added or subtracted from the biased market price to the maximum market price range. Limit to the amount. The customer's margin account is then adjusted to the artificially set closing price detailed above, and all open interest in the transaction is cleared.

In a further aspect, the present invention automatically raises a customer's open interest after a trading period if the customer's margin account is at least not equal to the customer's open interest multiplied by the maximum market price price multiplied by a threshold factor. Provide a way to reduce. In this case, the customer's open interest is the transaction price at which the market closing price becomes the maximum market price plus or minus in the worst case, and it is possible to complete a single transaction or multiple transactions. Reduce. The customer's margin account will be adjusted for the above transaction,
In the worst case, the customer's margin account is reduced to zero.

In an embodiment, the withdrawal of the margin account requested by the customer is first confirmed by considering the current balance, the customer's existing open interest, and the order not yet filled in the market. If the customer has zero open positions and there are no outstanding orders in the market, the customer can withdraw the full current margin amount.

In a further aspect of the invention, there is provided an electronic trading system for electronic trading having a preset maximum market price price. The system comprises a processor unit with means for connecting to a network, and a mass storage device for storing and retrieving customer information including the customer's open interest and the customer's margin balance.
The trading engine is more than the trading engine that accepts and drops orders from customers, the end-of-day engine that mark-to-market on the margin account, and the maximum market price that the customer's margin account multiplies on the market price multiplied by the threshold factor. Includes an automatic reduction engine that automatically reduces customers' open interests when small.

In a further aspect of the invention, there is provided electronic trading that reduces risk in markets that have regularly priced values. The transaction has a preset maximum market price and a market closing price limited by the three largest market prices. The market bias of a trade is determined by the value that is regularly priced at the end of the previous trading period.

DETAILED DESCRIPTION OF THE INVENTION The present invention is generally directed to all market price movements, such as stock indexes, individual company stocks, interest rates, foreign exchange rates, financial indexes, commodity prices, and weather factors. Electronic transactions for trading, investing or speculation in In essence, the present invention provides an electronic futures exchange that limits the risk and exposure of trading and trading participants to the amount deposited in each customer's margin account. As with any futures exchange, the customer holds losses and gains on open and sold open trades that are zero after deduction, and open trades that are zero after deduction. As known to those skilled in the art, transaction fees are charged on both open interest. Generally, the fees are either a fixed percentage of the transaction value or a flat fee.

The electronic trading of the present invention operates with minimal restrictions on the market and participants.
First, for each bargain, there must be a price volatility limit, here called the maximum market price. The maximum market price range refers to an arbitrarily selected value that limits the amount of fluctuation in the market price within a single trading period. Typically, the maximum market price is large enough to reflect normal market movements and is determined by the manager of the trade so that it is exceeded only in exceptional circumstances such as market collapse.

When the market price fluctuation exceeds the preset maximum market price range price, the closing price of the market is regarded as the restricted price, which is the price obtained by plus or minus the maximum market price range price. When such a situation arises, all of the electronic trading customers partition their open interest at that limited price. The next market price will be the actual price or the closing price from the previous section, with no limits, and all participants will start with a flat or zero open interest. The restricted price referred to here is not necessarily the same as the "limit price" at which trading is suspended in the actual market.

Furthermore, as a trading constraint, all participants or customers who have a building with losses and do not maintain the minimum required level of margin account are automatically reduced. However, this is called automatic reduction here. With automatic reduction, the customer's open interest is reduced or partitioned at the best available price. If the counterparty does not have a tradable price, the automatic curtailment mechanism creates the order at a limited price, which can result in the greatest loss to the customer. Conversely, if all profitable customers accept to reduce or partition open interest at a limited price, one or more of the losing counterparties will maintain margin at the required level. When you can't, you can get the maximum benefit.

In order to construct an electronic transaction according to the present invention, a market is selected that has a target, regularly pricing variable. The trade manager then allows the customer to register to trade for the selected market value. In the embodiment herein, the electronic transactions of the present invention are provided to customers on the Internet or other suitable network, and all registration and transaction activities are performed by a suitable electronic digital communication device, such as a computer with a modem. Run through. Customer registration generally provides self-confirmation information, credit information, and specific rules and constraints, and when necessary,
Includes acceptance of risk disclosures in compliance with securities and related laws and regulations. Once registered, the customer must open a margin or deposit account and maintain the balance in it in order to enter the market.

1 to 4 generally show a method of operating an electronic exchange according to the present invention. In FIG. 1, in step 100, the maximum market price range value FS is set. As mentioned above, this step is typically performed by a trade manager and can comply with historical or other market price data and indicators. In a typical example, step 100 is not performed daily, but rather is set at the beginning of a trade and adjusted only when it is clear that the value is too high or too low.

The method then proceeds to step 102, where a biased market value FO or a biased price is determined. Step 102 is performed at the beginning of each trading period-each day in many markets-and typically uses the closing price of the previous trading period.

Next, in the method, in step 104, the process proceeds to accepting an order from a registered customer of the exchange. An order is a buy or sell order of a certain size (ie number of units or contracts) at a buy or sell price at which the customer wishes to execute a trade. Step 10
At 6, the exchange asks the customer's potential custom open position P if the order is accepted.
Judge O. Depending on the size of the order, the customer's potential open position may be a buy or sell position depending on whether the order is a buy or sell order. The customer's potential open position PO is the customer's current open position plus the requested number of orders. If the order is executed, that is, if the counterparty having the opposite order is not placed on the exchange and the transaction is completed, the potential open interest of the customer becomes the actual open interest P of the customer. As will be apparent to those skilled in the art, the order may be partially executed, in which case the actual open position P of the customer after the transaction is completed is determined by the size of the actual transaction. By convention, sold and negative positions are shown as negative and positive as shown.

The customer deposits funds and has a margin account M, which is adjusted by daily transactions as described below. The margin account M is checked in step 108 to ensure that the customer has deposited sufficient funds in the worst case scenario of the market. In step 110, for the order to be confirmed, the margin M is equal to or greater than the customer's potential open position PO times the maximum price range value FS times the threshold factor Q, plus a constant. Need to be: M> | PO * FS * Q | + C In the embodiment here, Q is equal to 2 and the customer has two consecutive trading periods before the margin account completely disappears. Substantially means that you can withstand the maximum loss of. If Q is greater than 2, then the exchange is secure as a greater buffer. If Q is less than 2, then the exchange's risk has not been fully mitigated and the customer's margin account does not have sufficient funds to cover its maximum potential loss. Become. The value of C is typically set to zero. However, if, for example, the exchange wants to provide a credit line to the customer, C can be set equal to the credit line amount and a negative number. Conversely, if the exchange or customer wants to limit the potential loss to less than the full amount of the customer's margin account, C can be set to a positive value to provide such a cushion. Step 10
If the customer's margin account meets the conditions at 8, the order is confirmed at step 110 and posted to the exchange at step 112.

The posting of the order allows the trade to be traded in a similar manner with the appropriate counterparty who has properly posted the counter-order to the exchange. When a transaction with a counterparty is established, the margin account of each counterparty is credited with an amount corresponding to the difference between the transaction price and the closing price multiplied by the size of the transaction, as in the traditional way of trading futures. Or borrowed. And the total open interest of the counterparty is adjusted by the size of the transaction. For example, one trading partner has a confirmed order on the exchange at a given ask price, that counterparty has a confirmed buy order on the market at a given ask price, and the price is the ask price. If it is higher than the above, the transaction will be closed, and there will be open interest facing both parties. If the size of the sell order is the same as the size of the buy order, the order is filled and the market is exited. If the size of the sell order is not equal to the size of the buy order, the smaller order will be fulfilled but the larger order will be reduced accordingly.

If the conditions are not met at step 108, the order is rejected or adjusted at steps 114a or 114b, respectively. Upon rejection in step 114a, the customer is notified of the rejection and the required margin must be deposited in the customer's margin account in order to execute the desired order. If the customer deposits the required amount accordingly, the order can be resubmitted. Alternatively, the exchange may adjust the order as shown in step 114b and reduce the size of the order until the conditions in step 108 are met. There again, an electronic message is transmitted to the customer informing him of the adjustment. Embodiments herein allow the customer to be given the option of either rejecting the order or adjusting the size of the trade.

Referring to FIGS. 2-4, a typical end of day procedure in accordance with the present invention is shown. At the end of each trade section, the exchange is first closed in step 200 for incoming orders and other trades. Therefore, in step 202, the market closing price FT is determined. In the present embodiment, the market closing price is determined by directly referring to an external index, price or other parameter. Alternatively, the closing price can be determined based on the trading level for the last few minutes after the closing, as is currently done on many futures exchanges. As shown in step 202, the market closing price FT and the market offset price FO
The difference amount of is compared with the maximum market price range value FS.

If | FT-FO | <FS, the day-end procedure of step 204 is continued. If the above conditions are not satisfied, that is, if the market price fluctuations in the transaction or in the building exceed the limit value set by the administrator, the method is step 2
Proceed to 06 and proceed to the procedure outlined in FIG. 4 as described below.

If the condition of step 204 is satisfied, it is determined in step 208 whether any of the customer accounts are subject to automatic reduction according to the automatic reduction list maintained on the exchange. If the answer is yes, the method of the present invention proceeds to step 210 and transitions to the automatic reduction outlined in FIG. 3 as detailed below. If automatic curtailment is not required, the method proceeds to step 212 and all open (ie confirmed but not executed) orders on the exchange's plate are canceled.

Then, in step 214, each customer's end-of-day balance is calculated and each customer's margin sentiment is adjusted to reflect that day's profit or loss. This is called mark-to-market, as is well known to those skilled in the art. Each customer's margin account is adjusted by an amount equal to the difference between the customer's open market and the close price of the open market: M = M + (FT−FO) * P This adjusted margin is tested to see if it has deposited sufficient residual minimum funds to satisfy the basic trading conditions of M: | P * FS * Q | + C If not, the customer is placed on the automatic curtailment list in step 218. So the customer will be given the opportunity during the next trading period to be notified if additional funds will be added to raise the margin account to the required minimum margin level, otherwise the customer's account will be automatically Be the target of reduction. Either step 216 or 218, as appropriate, the resulting client's position and account are set at step 220 for the subsequent trading period.

Referring to FIG. 3, the automatic reduction method of the present invention is shown. Subject to the above conditions, the customer's account is subject to automatic curtailment when the margin account does not have sufficient funds to cover the market's existing open coins for two consecutive trading periods. Step 300
At, the exchange creates an order for the customer with a limit price of FO ± FS equal to: (MP * FS * Q) / FS If the customer currently has open interest, the limit price is FO + Become FS. Conversely, when the customer has a house ball, the limit price is FO-FS. In step 302, this automatically created order is posted to the exchange and executed at the exchange against the available orders of the other party. As is clear from the discussion of Figure 2 dealing with the automatic reduction procedure, all trading partner outstanding orders are held on the exchange's plate and then canceled until all required automatic reductions are completed. Each transaction incurs a profit / loss on the customer's margin account, as described above. After all available orders with counterparties are exhausted, if the order is executed in step 306, the automatic reduction will end and the customer's remaining open interest and margin balance will be for the following trading period. Is set to.

At step 306, if the order was not filled, the exchange creates an opposite order at a limit price large enough to fill the order, as shown at step 310. This counter-order is processed in the usual way, and the profit (loss) is loaned (borrowed) to each participant of the market according to each open interest. Note that this step is not necessary in many cases, as there are enough collatable orders on the exchange to handle the required automatic reductions in the close.

FIG. 4 shows a procedure when the fluctuation of the market price during the trading period becomes larger than the maximum market price range value. If such a condition is detected in step 206,
The market closing price is set in step 400 as follows: FT = FO ± FS Each customer's margin account reflects the profit (loss) from this FT on the day, as shown in steps 402 and 404. Adjusted, the customer's open interest is closed to zero. This means that the customer does not incur greater losses than the deposit amount of the margin, and having the customer's open interest limits the profits from them in a highly volatile market. Means that.

As will be apparent to those skilled in the art, in order to maintain the risk reduction that is the object of the present invention, it is necessary to limit the amount that the customer can withdraw from the margin account in any trading period. . In fact, the maximum amount a customer can withdraw without canceling an order is
If all of the existing open coins have the worst price for the customer and are traded or partitioned, they are limited to the amount remaining in the account. If the customer has zero open positions and no open orders, the full margin account can be withdrawn.

The following are two examples of trading operations according to the method of the present invention. The market price is based on the published financial index X, and the initial value is 100. Quotes are priced daily. The maximum market price range value is set to 10.

[0037]   The following is a table of 5 days of leaning and Daihiki values.

Daily closing price Closing price 0 N / A N / A 1 100 104 104 2 104 114 3 3 114 110 110 4 110 120 5 122 131 In the first example, customer A buys 10 at the beginning of the third day. The ball, or customer, will get $ 10 when the index per unit increases, and the margin account balance is $ 500. A did not trade on the third day. At the end of the third day, A loses $ 40 and the margin account is adjusted to $ 460. Starting on the fourth day, he started with 10 bought balls and sold 5 units at a price of 115 during the day. A immediately made a profit of $ 25 (5 * (115-110)) and his actual open interest fell to 5. At the end of the fourth day, the actual market closing price is 122, which is above the close price plus the maximum market price range, ie 120, so the method shown in FIG. 4 applies: A is his Opened money will be partitioned at a price of 120, $ 5
A profit of 0 (5 * (120-110)) occurred. In this way, A earned a total of $ 75 during the fourth day. At the beginning of the fifth day, A has no open positions and no one participating in the transaction has any open positions.

In the second example, at the beginning of the second day, B has an open marble 12 for sale, and has deposited a minimum margin amount that covers this open marble (| (-12) * 10. * 2 | = $ 240
). B attempts a sell order, but the system informs him that he will not allow this without first depositing additional margin. B could have submitted a buy order to cover his open positions, but chose not to do so. At the end of the second day, B's margin was a loss of $ 120 (M = 240 + (-12) *
It is adjusted to reflect (114-104) = $ 120). At the beginning of the third day, B has a margin of $ 120 and has 12 open positions. B must either reduce his open interest by 12, ie buy 12, or deposit $ 120, or somehow combine the two. Assuming B does nothing, there is no sell order available, and the automatic curtailment mechanism advertises a limit-buying buy order for B, while the other participants limit weighted by their open interest size. Create a sell order for. The resulting trade reduces B's open interest, and B has and spends his $ 120 margin margin to do so. Even in markets with minimal activity, there are offers at prices below the cap, which allows B to close his open interest and keep his margin balance.

FIG. 5 shows an embodiment of an electronic trading system 500 for carrying out the method described above. As shown, exchange 500 preferably includes customers A and B and exchange 500.
It is connected to the Internet 501 or other network that provides a means of electronic communication between. Only two customers are connected to the Internet 501,
As will be appreciated by those skilled in the art, depending on the bandwidth of the network, many customers can be connected at one time. In the present embodiment, the exchange 500, the Internet 501, and the customers A and B are all capable of transmitting, forwarding, and / or routing properly encrypted data by encryption of 128 bits or more. Is.
Generally, each customer has a central processing unit, a main storage device such as random access memory (RAM), a pointing device such as a keyboard, a mouse, a trackball and a trackpad, a display or screen device, a hard drive, a floppy disk, a flash memory. A general purpose computer such as an IBM-PC compatible computer having standard components (not shown) such as a mass storage device, a network interface card or controller such as an Ethernet card, and a modem. It Customers communicate with other systems via modems. Various optional input / output devices such as printers, slide output devices, plotters, etc. can be connected to the customer.

Conventional computer application software is generally provided to direct each customer's operations. The software is stored in memory and / or mass storage. The software system generally includes a kernel or operating system (OS), and a window shell. The OS and window shell are provided by, for example, Microsoft ™ Windows 98, Microsoft ™ Windows NT, IBM OS2 ™, Macintosh ™ OS, Linux ™ or other similar applications. One or more application programs, such as client application software, can also be stored for execution by the customer. In an embodiment, the client application software is Winstock
A communication layer such as a driver or a web browser such as a Microsoft Internet Explorer ™ or Netscape Navigator ™ browser that communicates with the Internet 501 through a driver, and at least one
It can support 28-bit encryption. Further, the software system preferably includes a user interface, such as a graphical user interface (GUI) for receiving and displaying user inputs, commands, and data and output generated from the operating system and application programs. .

Generally, the exchange 500 comprises a computing unit 502, a mass storage device 504, a trading engine 506, a day-end engine 508, and an automatic curtailment engine 510.
Computing unit 502 is typically embodied in one or more general-purpose computers, arranged as described above, coupled to a stand-alone machine or LAN. The computing unit 502 can also act as an internet server to act as a host for the exchange 500 on the internet 501, or can interface as a server (not shown). The mass storage unit 504 is a suitable device capable of storing and retrieving customer open interest and margin balance. Trading engine 506, end-of-day engine 508, and automatic reduction engine 510 are virtual computing units provided integrated within the application software running on computing unit 502. In particular, trading engine 506 performs the functions shown in FIG. 1, end-of-day engine 508 performs the functions shown in FIGS. 2 and 4, and auto-reduction engine 510 performs the functions shown in FIG. To do.

Charts are provided in Appendixes A and B to further illustrate the method and system of the present invention. Appendix A provides a summary of the day-end procedure described above. Appendix B provides a Microsoft Excel ™ implementation of the intraday order / cancellation confirmation of the present invention.

As will be appreciated by those skilled in the art, the present invention provides a method of operating electronic trading based on market variables of interest that substantially reduces credit risk, and a system for implementing the method. provide. The variables subject to trading can be virtually anything from stocks of individual companies to interest rates, foreign exchange rates and financial indices. The resulting market, regardless of its size, operates in a fair, orderly and transparent manner for all participants. The constraint of this method is that the market “gap”, or fluctuations in the target market variables that are greater than the current limits, limits participants' losses to funds held and maintained in the margin account. It is to be.

The above-described embodiments of the present invention are intended to be exemplary of the present invention. As will be apparent to those skilled in the art, variations, modifications and variations are possible without departing from the scope of the invention, which is defined only by the claims.

Appendix A Summary of End-of-Day Procedures 1) Close the market for incoming orders and forwarding 2) Automatically reduce open interest 3) Cancel all unfilled orders on the board 4) Calculate end-of-day balance 5) Set a close price for the next trading day 6) Set the customer's balance and open interest for the start of the next day Details 1. Close the market for incoming orders and forwarding 1.1. Wait until all outstanding trades and orders for the market are fulfilled 1.2. Leave all advertised orders on the order plate: Advertised orders will be used during automatic curtailment, if possible. Automatically reduce open coins 2.1. For open interest of each customer in a given market 2.1.1. Calculate the actual available balance with the current bias value 2.1.2. If hab <0, add the customer to the open interest reduction list 2.2. For each customer on the Open Interest Reduction List 2.2.1. Restricted price (upper limit for sold and lower limit for bought)
Create an order for x + 1 units when x = hab / daily limit 2.2.2. Total order = Total order + (x + 1) 2.2.3. Announce order to unfilled column 2.3. For each customer of open interest on the market 2.3.1. Calculate the portion equal to the customer open interest / approach amount 2.3.2. Size is total order * Create an order with partially limited price 2.3.3. Announce order to unfulfilled column 2.4. Wait until all unfilled orders in the market are filled. Cancel all unfilled orders on the board Note: Orders created in 2.3 may be left out if the orders created in 2.2 are matched with existing orders.

4. Calculate day-end balance 4.1. 4. Calculate and store the current balance using the closing price to calculate and store the day-end balance. Set the close price for the next trading day 5.1. [Front-to-back-mae Daihiki] <= Is it a daily limit? 5.1.1. Reaching = Mae Daihiki 5.2. Others 5.2.1. Proximity = upper limit / lower limit 6. Set customer balance and open interest for the start of the next day 6.1. For each customer with open interest in the market 6.1.1. Remaining balance = pre-dai draw balance 6.1.2. [Before before-mae Daihiki] <= Is it a daily limit 6.1.2.1. Freshly leaning ball = front large pull-back ball 6.1.3. Other 6.13.1. Attached new ball = 0 Appendix B BCD 2 Current order input 3 Uncompleted order price 9750 Customer submitted price 4 Uncompleted order size 10 Customer submitted size <0 is sell order> 0
Is a buy order 5 6 Donation customer parameters 7 Donated open interest 30 <0 sell,> 0 buy, 0 is a flag
To 8 Remaining donation amount 10000 <0 9 9 Market parameters 11 MPLRT 0.5 Factor for ensuring system operation 12 Limit value 250 Maximum price fluctuation from donation to Daihiki 13 Donation price 10000 Closing price of the previous Daihaku without adding 14 Fee 0 Fee, substantially increase in payment price, decrease in receiving price 15 16 Balance calculation 17 Current open position ＝ SUM (C7, F12: F26) Donation open position plus intraday trading net open position 18 Current balance ＝ SUM (C8, G12: G16) ) Donation balance plus profit / loss from intraday trading 19 MPL = ABS (C17 * C12 / C11) Current open position limit * / MPLRT 20 Cash usage balance = C18-C19 Current balance minus MPL, not negative during the day, If it becomes negative, automatic reduction will be applied 21 Software usage balance = MIN (C20, $ C $ 27, $ C $ 34) Size of available commodities that can be withdrawn without canceling the posted order 22 23 Bid price calculation 24 Wtdavg Bid price = IF ( C25 = 0,0, SUMPRODUCT (G4: G8, E4: E8) / C25 + C
14) Average bid price 25 weighted by size and fee Total bid size = SUM (G4: G8) Sum of customer bids 26 Total profit / loss = C25 * (C13-C24) In the case of full bid price execution P / L 27 All available for execution = C18 + C26-ABS Cash usage balance after all bid price transactions (C17 + C25) / C11 * C12 28 Maximum bid size = MAX (0, (C11 * (C18 + C26) / C12- (C17 + C25)) / (1- (C13
-C38-C14) * C11 / C12)) Maximum (positive maximum) at the permissible given price Bid price size 29 30 Bid price calculation 31 Wtdavg Bid price = IF (C32 = 0,0, SUMPRODUCT (H4: H8, E4: E8) / C32
-C14) Average bid / price price weighted by size and commission 32 Total bid size = SUM (H4: H8) Sum of customer bids 33 Total profit / loss = C32 * (C13-C31) Profit / loss in case of 34 34 All execution available = C18 + C33-ABS (C17 + C32) / C11 * C12 Cash usage balance after all bid / quote transactions 35 Maximum bid size = MIN (0,-(C11 * (C18 + C33 ) / C12- (C17 + C32)) / ((C13-
C38 + C14) * C11 / C12 + 1)) Maximum (positive maximum) Ask price size 36 37 Confirmation order output 38 Confirmation price = MAX (MIN (C3, C! # + C12), C13− C12) Submission price after limit 39 Confirmation size = MAX (MIN (C4, C28), C35) Submission size after above maximum size EFGH 2 Existence confirmation order 3 Price size Only bid price Asked price only 4 10001 -12 = MAX (0, F4) ＝ MIN (0, F4) 5 10000 10 ＝ MAX (0, F5) ＝ MIN (0, F5) 6 ＝ MAX (0, F6) ＝ MIN (0, F6) 7 ＝ MAX (0, F7) ＝ MIN (0, F7) 8 ＝ MAX (0, F8) ＝ MIN (0, F8) 9 10 Transactions since donation 11 Price size profit / loss 12 10005 0 ＝ F12 * ($ C $ 13-E12) 13 10009 0 ＝ F13 * ($ C $ 13-E13) 14 9999 0 = F14 * ($ C $ 13-E14) 15 9900 0 = F15 * ($ C $ 13-E15) 16 = F16 * ($ C $ 13-E16)

[Brief description of drawings]

[Figure 1]   5 represents a flow chart of a method of order posting according to the invention.

[Fig. 2]   4 represents a flow chart of a mark-to-market method according to the invention.

FIG. 3 is a continuation of FIG. 2 and shows a flowchart of the method for automatically reducing the amount of open interest according to the present invention.

FIG. 4 is a continuation of FIG. 2 and shows a flowchart of a method for partitioning a customer open position when the market closing price according to the present invention exceeds a preset level.

[Figure 5]   1 shows a block diagram of an electronic transaction management system according to the present invention.

─────────────────────────────────────────────────── ─── Continued front page    (81) Designated countries EP (AT, BE, CH, CY, DE, DK, ES, FI, FR, GB, GR, IE, I T, LU, MC, NL, PT, SE), OA (BF, BJ , CF, CG, CI, CM, GA, GN, GW, ML, MR, NE, SN, TD, TG), AP (GH, GM, K E, LS, MW, MZ, SD, SL, SZ, TZ, UG , ZW), EA (AM, AZ, BY, KG, KZ, MD, RU, TJ, TM), AE, AG, AL, AM, AT, AU, AZ, BA, BB, BG, BR, BY, CA, C H, CN, CR, CU, CZ, DE, DK, DM, DZ , EE, ES, FI, GB, GD, GE, GH, GM, HR, HU, ID, IL, IN, IS, JP, KE, K G, KP, KR, KZ, LC, LK, LR, LS, LT , LU, LV, MA, MD, MG, MK, MN, MW, MX, MZ, NO, NZ, PL, PT, RO, RU, S D, SE, SG, SI, SK, SL, TJ, TM, TR , TT, TZ, UA, UG, US, UZ, VN, YU, ZA, ZW

Claims (15)

[Claims] 1. A method of operating an electronic transaction having a plurality of customers, each customer having a margin account and an open interest on the exchange, the exchange having a preset maximum market price value. And having a biased market price, comprising the steps of: (i) receiving an order from a customer; (ii) a margin account of at least the order times the highest market price price times a threshold factor calculation result. When equal to potential open interest, confirm the order,
Otherwise, reject the order; (iii) advertise the confirmed order to the exchange; (iv) adjust the margin account and match the actual position when the order is traded (V) repeating steps (i) to (iv) for each order during the trading period; (vi) determining the market closing price for the trading period; (vii) The customer margin account is adjusted by an amount equal to the difference between the market closing price and the biased market price multiplied by the actual open interest. 2. The threshold value factor is two.
The method described in. 3. The method according to claim 1, wherein the market price with a bias is a market closing price of a previous trading period. 4. The method of claim 1, wherein the trading period is one business day. 5. The method of claim 1, wherein the confirming step comprises sending an electronic message to the customer. 6. The method according to any one of claims 1 to 5, further comprising the following steps: (i) The difference between the market closing price and the leaning market price is the maximum market price range value. And (ii) partition the customer's actual open interest at the market closing price limit. 7. A method according to claim 1, further comprising the following steps at the end of the trading period: (i) the customer's adjusted margin account is the actual customer's The open market multiplied by the maximum market price range multiplied by the threshold factor, which is smaller; and (ii) the actual open market of the customer is reduced by establishing a transaction based on the transaction price; (iii) the customer Further adjusting the margin account of the customer by an amount equal to the customer's actual open interest multiplied by the transaction value; (iv) the customer's further adjusted margin interest is at least the reduced open interest multiplied by the maximum. Repeat steps (ii) and (iii) until the market spread value times the threshold factor. 8. The method of claim 7, wherein the trade price is the maximum market price. 9. An electronic trading system for trading with a preset maximum market price, wherein the trading system comprises: storing and retrieving customer information including customer open interest and customer margin account balance. A mass storage device for operating a mass storage device, the processor unit being operatively coupled to the mass storage device, the processor unit having means for coupling to a network; a trading engine for accepting and processing orders from customers; A day-end engine for mark-to-market of the margin account, and if the customer's margin account is below the customer's open market multiplied by the highest market price multiplied by a threshold factor, the customer open market is automatically It is equipped with an automatic reduction engine that reduces 10. The electronic trading system of claim 9, wherein the processor unit is an internet server. 11. The electronic trading system according to claim 9, wherein the network is the Internet. 12. The electronic trading system according to claim 9, wherein the network is a local area network. 13. The electronic trading system of claim 9, wherein the network provides secure communication. 14. The electronic trading system according to claim 13, wherein the secure communication includes 128-bit encrypted communication. 15. An electronic transaction comprising the following for reducing risk in a market having a fixed price on a regular basis: a preset maximum market price limit; limited by the maximum market price limit Closing market price; and the closing market price determined by a fixed value at the end of the previous trading period.