JP2005100101A - Market-making system - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a market-making system capable of effectively organizing a highly circulating market and effectively performing risk hedges. <P>SOLUTION: The market-making system 2 installed in a securities firm or the like computes selling prices of ETF on the basis of a price adjusting index of stock price index linked type investment trust beneficial securities (ETF) preset through a user terminal 8a used by a user (Trader) and current market price data showing market prices of futures for the ETF obtained from a system 6 of the securities exchange via a network 4. Ordering data of the ETF is prepared based on the calculated selling prices, and the prepared ordering data is transmitted to the system 6 of the securities exchange via the network 4 so as to perform orders for buying and selling. Risk indexes are calculated on the basis of the buying contract number and the selling contract number of the ETF, dealings of futures are placed so as to set the value of the risk indexes into a zero when the calculated risk indexes exceed a permissible limit, and risks based on the dealings of the ETF is hedged. <P>COPYRIGHT: (C)2005,JPO&NCIPI

Description

  The present invention relates to a market-making system for forming a market for stock index-linked investment trust beneficiary certificates (ETFs).

  A stock index-linked investment trust beneficiary certificate (ETF) is an investment trust managed for the purpose of linking to a specific stock index, such as the Tokyo Stock Price Index (TOPIX). It is possible to buy and sell on the stock exchange in the same way as. Unlike normal investment trusts, this ETF is listed on an exchange and can be bought and sold at any time during the session. It is also possible to conduct margin transactions, and the price changes in conjunction with a specific index, so that it has the advantage that it can easily enjoy the benefits of diversified investment.

  In addition, since it is necessary to perform complicated processing for ordering and managing stock trading transactions, there is a trading order automatic ordering apparatus that automatically orders stock trading transactions (see, for example, Patent Document 1). According to this trading order automatic ordering apparatus, it is possible to automatically place stock trading based on the detailed conditions of stock trading designated by the user.

JP 2001-1555086 A

  By the way, for ETFs, it is required to form a market with high liquidity where active trading is performed, that is, to create a market that can appropriately prepare trading partners for both sellers and buyers. ing. Here, in order to be able to immediately prepare a trading partner for both the seller and the buyer, it is necessary that an appropriate trading price of ETF is presented in the market. However, in order to present the appropriate trading price of ETF, it is necessary to properly grasp the fluctuation of the index linked with ETF and the market situation, and the trader orders the trading at the appropriate price manually. Has a certain limit, and it was difficult to form a market with improved liquidity. In addition, in order to increase liquidity, the position may become larger as a result of continuing to present appropriate trading prices, so it is necessary to perform appropriate risk hedging.

  An object of the present invention is to provide a market making system capable of appropriately forming a market with high liquidity and appropriately hedging a risk generated based on a stock index linked investment trust beneficiary certificate transaction. That is.

  The market making system according to claim 1 includes price adjustment index setting means for setting a price adjustment index for adjusting a trading price of a stock index linked investment trust beneficiary certificate, and a transaction of the stock index linked investment trust beneficiary certificate. Set by the futures setting means for setting the futures used for hedging the risk based on the market price, the market price data acquiring means for acquiring the market price data indicating the market price of the futures set by the futures setting means, and the price adjustment index setting means Based on the price adjustment index and the market price data of the futures acquired by the market price data acquisition unit, the trading price calculation unit for calculating the trading price of the stock index-linked investment trust beneficiary certificate, and the trading price calculation unit Ordering means for placing an order for the buying and selling of the stock index-linked investment trust beneficiary certificate based on the calculated trading price; And it features.

  According to the market making system according to claim 1, the trading price of the stock index-linked investment trust beneficiary certificate (ETF) is calculated based on the price adjustment index and the market price data of the futures, and the trading of the ETF can be ordered. it can. Therefore, an appropriate selling price can be presented to the market so that the seller and the buyer can meet and make a deal for the transaction accurately, and a highly liquid market can be accurately formed. Moreover, since the trading price of ETF is calculated based on the market price of futures, it is possible to appropriately hedge the risk based on forming a market with high liquidity.

  The market making system according to claim 2, further comprising a trading plate number setting means for setting a trading plate number of the stock price index-linked investment trust beneficiary certificate, wherein the trading price calculation means is the trading plate number setting means. The trading price for the number of trading plates set by the calculation unit is calculated, and the ordering means is based on the trading price calculated by the trading price calculation unit, the number of trading plates set by the trading plate number setting unit. It is characterized by placing an order for buying and selling of stock index-linked investment trust beneficiary certificates.

  According to the market making system of claim 2, when “3” is set as the number of buying and selling boards, for example, the number of selling boards, the three selling prices are calculated, and the calculated selling prices are respectively set as the limit price. ETF sales can be ordered. Therefore, the price of ETF can be presented within an appropriate range, and a highly liquid market can be accurately formed.

  Further, the market making system according to claim 3 is a risk index calculating means for calculating a risk index indicating a transaction risk based on the number of the stock price index-linked investment trust beneficiary certificates for which a trading transaction has been executed. The risk index calculated by the risk index calculation means is a risk index determination means for determining whether or not the risk index is within an allowable range, and when the risk index determination means determines that the risk index exceeds the allowable range, And a futures ordering means for placing an order for buying and selling futures set by the futures setting means.

  According to the market making system according to claim 3, when the index (risk index) indicating the risk generated based on the ETF transaction exceeds a set risk index allowable range, the buying and selling of futures is ordered. Yes. In other words, in order to hedge the risk that arises based on ETF transactions, futures having the same merchandise as ETFs are traded. Therefore, it is possible to accurately form a highly liquid market and to appropriately hedge the risk generated based on ETF transactions.

  According to the present invention, the trading price of a stock index linked investment trust beneficiary certificate (ETF) can be calculated on the basis of the price adjustment index and the market price data of futures, and ETF trading can be ordered. Therefore, by presenting an appropriate selling price to the market, it is possible to form a highly liquid market in which sellers and buyers meet accurately and trades are executed without imposing a burden on the trader. In addition, when the risk index exceeds the allowable range, the risk index can be within the allowable range by placing an order for buying and selling futures, and therefore the risk based on the ETF transaction can be appropriately hedged.

  Hereinafter, the best mode of a market making system according to the present invention will be described with reference to the drawings.

  FIG. 1 is a block configuration diagram of an entire system including a market making system according to an embodiment of the present invention. The market making system 2 is installed in a securities company or the like, and is connected to the stock exchange system 6 via the network 4. The market making system 2 is connected to user terminals 8a, 8b and 8c used by users (mainly traders) who trade stock price index-linked investment trust beneficiary certificates (ETFs). The stock exchange system 6 is installed in a stock exchange such as the Tokyo Stock Exchange.

  FIG. 2 is a block configuration diagram of the market making system according to the embodiment. As shown in FIG. 2, the market make system 2 includes a data control unit 10 that controls data processing in the market make system 2. The data control unit 10 includes a communication control unit 12 that controls communication between the stock exchange system 6 and the user terminals 8a, 8b, and 8c, and a market price that is transmitted from the stock exchange system 6 through the network 4 as needed. A market value data storage unit 14 for storing data is connected. The data control unit 10 is connected to a data storage unit 16 that stores parameters related to ETF transactions set by the user.

  The market price data storage unit 14 stores the market price data of futures, that is, data indicating the market price of futures used for hedging risks based on ETF transactions. The market price data storage unit 14 stores the market price data of the ETF, that is, the data indicating the market price of the ETF that is the object of transaction, together with the market price data of the futures. The market price data of futures and the market price data of ETF include data indicating the code of the futures or ETFs, the market price, and the time when the market price was recorded. It is transmitted to the market making system 2 through the network 4 as needed. Therefore, in the market making system 2, the market price data of the futures and the market price data of the ETF transmitted from the stock exchange system 6 through the network 4 as needed are received via the communication control unit 12 and stored in the market price data storage unit 14. Remember.

  The data storage unit 16 also includes parameters related to transactions, such as futures used for hedging risks, price adjustment indices used when calculating the trading price of ETFs, and risk index tolerances. Parameters such as a risk index allowable range indicating the number of ETFs ordered at one time are stored. In order to hedge the risk arising in ETF transactions, futures that show the same price fluctuations as ETFs and have the same evaluation performance are used.

  The price adjustment index used when calculating the trading price of the ETF stored in the data storage unit 16 includes a sell price adjustment index (Ask Tick Rise) and a buy price adjustment index (Bid Tick Rise). Yes. The selling price adjustment index is used to calculate the price when selling the ETF, and the buying price adjustment index is a parameter used to calculate the price when purchasing the ETF. The risk index allowable range (Delta Range) is a parameter for which a minimum value and a maximum value are set, and is used as a threshold when determining whether or not to place a future order. The number of ETFs ordered at one time (Volume) is a parameter indicating the number of orders per one limit price.

  In addition, the number of buying and selling boards, margin ticks, minimum order quantity, and designation of whether to give priority to selling price or buying price can be set as parameters. The number of buying and selling boards includes the number of selling boards (Ask Num) and the number of buying boards (Bid Num), and any number of “0 to 5” can be set. The number of sold boards is a parameter that indicates how many ETF sell limit prices are presented in a single order, and the number of buy board is a parameter that indicates how many ETF buy limit prices are presented in a single order. . Margin Tick is a price adjustment index that is added to the price adjustment index when the best bid price of the futures used for risk hedging is less than the set number of orders per limit price. This is a parameter indicating the ratio. The minimum order number (Min Vol) remains on the board, that is, when the number of ETFs that have not been executed among the number of ETFs ordered falls below a predetermined number. This parameter is used as a threshold for canceling the number of ETFs and placing a new order again. Furthermore, specifying which of the selling price and the buying price should be prioritized (Priority: priority limit price) prevents the selling price and the buying price from being the same, and preventing the selling and buying from being executed. Therefore, this is a parameter for designating which price is given priority when the selling price and the buying price are the same. The data storage unit 16 also stores parameter setting screen data for displaying a parameter setting screen on the user terminal when the user sets the above parameters. Furthermore, transaction monitor screen data for displaying a transaction monitor screen for the user to monitor the transaction status of ETF is also stored.

  FIG. 3 is a block configuration diagram of the user terminal 8a according to the embodiment of the present invention. As shown in FIG. 3, the user terminal 8 a includes a data control unit 20 that controls data processing in the user terminal 8 a. The data control unit 20 is connected to a communication control unit 22 that controls communication with the market making system 2 and an input unit 24 that inputs parameters for conducting ETF transactions. In addition, the data control unit 20 includes a data storage unit 26 that stores parameter setting screen data transmitted from the market make system 2 and received via the communication control unit 22, and a display unit 28 that displays the parameter setting screen. It is connected.

  Note that a user registered in the data storage unit 26 in advance as a user who sets a user identification number and password used when authenticating a user who logs in to the market making system 2, that is, a parameter relating to ETF transactions, is stored. A user identification number and a password for identifying the password are stored. Moreover, since the structure of the user terminals 8b and 8c is the same structure as the user terminal 8a, description is abbreviate | omitted.

  Next, parameter setting processing by the market making system according to the embodiment will be described with reference to the flowchart of FIG. In the following, a case where parameters are set via the user terminal 8a will be described as an example.

  First, in the user terminal 8a, the user identification number and password input via the input unit 24 to log in to the market making system 2 in order to perform ETF transactions of an arbitrary brand, and the data storage unit 26 are stored. The user identification number and password are verified. When the input user identification number and password and the user identification number and password stored in the data storage unit 26 do not match, a notification that the verification does not match, for example, “user identification number or A notification such as “The password is incorrect” is displayed on the display unit 28. On the other hand, when the input user identification number and password and the user identification number and password stored in the data storage unit 26 match, the market making system 2 is notified via the communication control unit 22. A transaction monitor screen data transmission request for requesting transmission of transaction monitor screen data is transmitted.

  In the market making system 2, when a transaction monitor screen data transmission request is received (step S10, see FIG. 4), the transaction monitor screen data is transmitted to the user terminal 8a (step S11). That is, the transaction monitor screen data for displaying the transaction monitor screen stored in the data storage unit 16 is transmitted via the communication control unit 12 to the user terminal 8a that is the transmission source of the transaction monitor screen data transmission request. To do.

  In the user terminal 8 a, transaction monitor screen data is received via the communication control unit 22 and stored in the data storage unit 26. Based on the transaction monitor screen data stored in the data storage unit 26, the transaction monitor screen is displayed on the display unit 28.

  FIG. 5 is a diagram illustrating an example of a transaction monitor screen before the transaction start according to the embodiment. In the transaction monitor screen, as shown in FIG. 5, parameters (Auto Condition), transaction execution status (Summary), transaction order status (Order Status), and market status (Market Condition) set for ETF transactions Is displayed. In the column “Auto Condition”, “Future (future)”, “Vol (number of orders per one limit price)”, “Mtic (margin tick)”, “Atic (sell price adjustment index),“ Btick (buy) Price adjustment index) ”,“ Anum (number of sold boards) ”,“ Bnum (number of buying boards) ”,“ Min (minimum order quantity) ”,“ Delta (risk index tolerance) ”and“ Priority (priority limit price) ” "" Is displayed. In the “Summary” column, the average contract price (AvgPrice) of the sell (Sell), the total contract constant (Filled), the total contract price (Total), and the average contract price of the buy (Buy) are displayed in the “Summary” column. A display column of (AvgPrice), a total contract constant (Filled), a total contract amount (Total), a difference between selling and buying (Total) is displayed, and a display column of a risk index (Delta) is displayed together with these.

  In the “Order Status” column, for each of ETFs and Futures, the number of unsold orders (UnFill) of each of Sell (Sell) and Buy (Buy), the contract constant (Filled) and limit price (Order) ( A display column of “Price” is displayed. In the “Market Condition” column, for each of ETF and Future, a display column for the value (Price) of the best selling price (A) and the best buying price (B) and the number (Vol) existing on the board is displayed. Is done.

  Further, as shown in FIG. 5, a “START” button used when requesting the start of the transaction and a “STOP” button used when ending the transaction are displayed at the top of the transaction monitor screen. For parameters related to ETF transactions, the parameter setting screen is displayed for the market making system 2 by specifying and clicking the “Auto Condition” portion displayed on the transaction monitor screen using a pointing device such as a mouse. The parameter setting screen data to be displayed can be requested to be transmitted, and the setting can be made via the parameter setting screen displayed based on the transmitted parameter setting screen data.

  In the market making system 2, when the parameter setting screen data transmission request is received (step S12, see FIG. 4), the parameter setting screen data is transmitted to the user terminal 8a (step S13). That is, the parameter setting screen data for displaying the parameter setting screen stored in the data storage unit 16 is transmitted via the communication control unit 12 to the user terminal 8a that is the transmission source of the parameter setting screen data transmission request. Send.

  In the user terminal 8 a, parameter setting screen data is received via the communication control unit 22 and stored in the data storage unit 26. Then, the parameter setting screen is displayed on the display unit 28 based on the parameter setting screen data stored in the data storage unit 26.

  FIG. 6 is a diagram illustrating an example of a parameter setting screen according to the embodiment. As shown in FIG. 6, an input unit for inputting futures is displayed at the top of the display screen, and various parameters indicating ETF transaction conditions (ETF Condition) are displayed below the input unit. Number of orders per year (Volume), number of selling boards (Ask Num), number of buying boards (Bid Num), selling price adjustment index (Ask Tick Rise), buying price adjustment index (Bid Tick Rise), margin tick (Margin) Tick), an input unit for inputting a minimum order quantity (Min Vol), a risk index allowable range (Delta Range), and a priority limit (Priority) are displayed. In the lower part of the display screen, an “OK” button used for confirming the content of the input parameter and a “Cancel” button used for correcting the content of the input parameter are displayed. The priority limit can be specified by clicking the inside of “O” displayed before selling (Ask) and buying (Bid) using a pointing device such as a mouse. When specified, “•” is displayed inside “○”. In addition, the user can select and input an arbitrary future from a plurality of futures displayed by pulling down the input section of “Future” in FIG. 6 using a pointing device.

  In the user terminal 8a, a predetermined value is input via the input unit 24 on the parameter setting screen displayed on the display unit 28, and the set parameter is stored in the data storage unit 26. To send. That is, when parameters related to ETF transactions are set, the set parameters are stored in the parameter setting screen shown in FIG. 6 by designating and clicking the “OK” button using a pointing device such as a mouse. The information is stored in the unit 26 and transmitted to the market making system 2 via the communication control unit 22. Further, when the “OK” button is designated and clicked using the pointing device on the parameter setting screen, a transaction monitor screen including the set parameters is displayed instead of the parameter setting screen. In this transaction monitor screen, the parameters set in each display column of “Auto Condition” shown in FIG. 5 are displayed in the display column of “Market Condition” in the market acquired from the stock exchange system 6 via the network. Each status data is displayed.

  In the market making system 2, the parameter transmitted from the user terminal 8a is received via the communication control unit 12 (step S14, see FIG. 4), and the received parameter is stored in the data storage unit 16.

  Here, in the user terminal 8a, after setting the parameters, the “START” button on the transaction monitor screen displayed on the display unit 28 is designated and clicked using a pointing device such as a mouse, whereby the market making system 2 A transaction start request can be transmitted to and a transaction start based on the set parameters can be requested.

  Next, with reference to the flowchart of FIG. 7, the transaction processing by the market making system according to the embodiment of the present invention will be described. In the following, a case where a transaction is performed based on parameters set via the user terminal 8a and a transaction status is monitored at the user terminal 8a will be described as an example.

  First, the market price data of the ETF to be traded and the market price data of the future used for hedging the risk generated in the ETF transaction are acquired (step S20). That is, the market price data stored in the market price data storage unit 14 is the market price data of the ETF brand corresponding to the brand code of the ETF being traded, and the market price indicating the latest price of the ETF at that time. Data and market price data of the futures brand corresponding to the brand code of the futures, which is the market price data indicating the latest price of the futures at that time. The ETF market price data and the future market price data are the market price data and the best bid price indicative of the best selling price (the most concessioned selling price) from the market price data stored in the market price data storage unit 14. Only market value data indicating (the most concession bid price) is acquired.

  Next, ETF ordering data is created based on the market price data acquired in step S20 and the set parameters (step S21), and the created ordering data is sent to the stock exchange system 6 via the communication control unit 12. It transmits to (step S22). That is, first, the acquired market price data and the set price adjustment index are applied to Equation 1 below to calculate the trading price of ETF.

Trading price = Best price of futures + Price adjustment index x Unit of quotient (Formula 1)
Here, the “unit of the quoting price” is determined based on the value of the “quoting price”. For example, when the quoting price is “1,000” or less, “1” and “2,000 to 3,000” “10” in the case of “5” and “10,000 to 30,000”, and “50” in the case of “30,000 to 50,000”. In the following, a case where the unit of the quote price is “10” will be described as an example. When the selling price is calculated based on the above formula 1, order data is created based on the calculated selling price and the set number of trading boards, and the created order data is stored in the data storage unit 16. And transmitted to the stock exchange system 6 via the communication control unit 12.

  FIG. 8 is a diagram illustrating an example of a transaction monitor screen after the transaction starts. When parameters are set as shown in the “Auto Condition” column of FIG. 8, based on the set parameters and the market price data of the future of the stock code (Code) DNO 203 shown in the “Market Condition” column. Thus, the sales price shown in “Order Status” is calculated. For example, when calculating the selling price of ETF, as shown in FIG. 8, the best sell price of futures is “11, 400.00”, and the value of “Atic” set as a parameter is “1”. Therefore, these numerical values are applied to the above-described numerical formula 1, and “11, 400.00 + 1 × 10 = 11, 410.00” is calculated as the selling price.

  Here, as shown in FIG. 8, it is set that the value of “Anum” set as a parameter is “3”, that is, three kinds of limit prices are presented, and the value of “Vol” is “5”. , 000 ". Therefore, selling order data with a selling price of “11,410.00” and an order quantity of “5,000”, and a selling order with a selling price of “11,420.00” and an order quantity of “5,000” The sales order data with the data and selling price “11,430.00” and the number of orders “5,000” is created. Similarly to the case of selling, the purchase price “11,400.00” is calculated based on the best buy price “11,390.00” of the futures and the value “1” of “Btick” set as a parameter. Based on the calculated “Bnum” value “1” and “Vol” value “5,000”, the purchase order data in which the purchase price is “11,400.00” and the number of orders is “5,000” Is created.

  The created sell order data and buy order data are stored in the data storage unit 16 and transmitted to the stock exchange system 6 via the communication control unit 12. Further, the “Order Status” column of the transaction monitor screen in which the selling order data and the buying order data stored in the data storage unit 16 are transmitted to the user terminal 8a and displayed on the display unit 28 of the user terminal 8a. Is displayed.

  When the market making system 2 receives a notification from the stock exchange system 6 that a transaction based on a sell order or a buy order has been executed (step S23, see FIG. 7), the risk index delta The value of (Delta) is calculated (step S24). That is, when the transaction data indicating the transaction volume transmitted from the stock exchange system 6 is received, the risk index generated based on the contracted transaction is calculated based on the following Equation 2.

Delta = (ETF contract constant-ETF contract constant) / multiplier
+ Futures contract constant-Futures contract constant ... (Formula 2)
Here, “multiplier” is a numerical value determined by the brand of the ETF to be handled. For example, it is “1,000” if it is based on N225, and “10,000” if it is based on Topix. In the following, a case where “1,000” is set as “multiplier” will be described as an example. For example, the value shown in FIG. 8, the ETF purchase constant “30,000”, the ETF sale constant “40,000”, the futures purchase constant “5”, and the futures sale constant “0” are added to the above formula 2. As a delta value, “(30,000-40,000) / 1000 + 5-0 = −5” is calculated. Here, if the calculated delta value is “−”, the futures are purchased, and if the calculated delta value is “+”, the futures are Each sale has been shown to be able to hedge the risk to ETF transactions. The calculated delta value is stored in the data storage unit 16 and is transmitted to the user terminal 8a via the communication control unit 12, and the user terminal 8a displays “Delta” of “Summary” in the transaction monitor screen. "Is displayed in the display column.

  Next, it is determined whether or not the calculated delta value is within an allowable range (step S25). That is, it is determined whether or not the calculated delta value is within the risk index allowable range set as a parameter. When the calculated delta value is within the risk index allowable range (step S25), the process returns to step S20 and the transaction process is continued.

  If the calculated delta value exceeds the risk index allowable range set as a parameter (step S25), futures ordering data is created (step S26). For example, as shown in FIG. 8, when the risk index allowable range is set to “−1.0 to 1.0” and the calculated delta value is “−5”, ETF Since the risk index indicating the risk arising from the transaction exceeds the risk index tolerance set as a parameter, it is necessary to place an order for futures in order to hedge the risk. Here, since the calculated delta value is “−5”, it is shown that it is possible to hedge the risk by purchasing five new futures, so it is necessary to purchase five futures. Create order data.

  Next, the created future purchase order data is transmitted to the stock exchange system 6 via the communication control unit 12 (step S27). Then, it is determined whether or not a transaction based on the transmitted purchase order data has been made, that is, whether or not performance data indicating the volume based on the future purchase order data has been received (step S28). If the transaction based on the transmitted purchase order data is executed (step S28), the value of delta is within the risk index allowable range, so the process returns to step S20 and the ETF transaction is continued.

  According to the market making system according to the embodiment of the present invention, it is possible to calculate the selling price of ETF based on the best quote indicated by the market price data of futures and place an order for buying and selling ETF. Therefore, it is possible to place an order for buying and selling ETFs at an appropriate trading price based on the best quote of futures, and to present a trading price at which sellers and buyers can meet and enter into contracts. A high market can be accurately formed.

  In addition, according to the market making system according to the embodiment of the present invention, it is possible to place an order for ETF transactions based on the acquired market price data and the set price adjustment index. Therefore, it is possible to appropriately form a highly liquid market while reducing the burden on the trader for placing an ETF transaction.

  In addition, according to the market making system according to the embodiment of the present invention, a delta that is an index indicating a risk that occurs based on a deviation in the balance between the selling constant of the ETF and the buying contract constant is calculated. Since the trading of futures is ordered so that the value of becomes “0”, it is possible to appropriately hedge the risk caused by forming a highly liquid market.

  In the market making system according to the above-described embodiment, the risk index allowable range is a range of “−1.0 to 1.0”, but a range other than “−1.0 to 1.0” is used. The risk index allowable range may be set. That is, an arbitrary range based on the type of ETF to be traded and the type of futures used for risk hedging, for example, “−0.5 to 0.5”, “−2.0 to 2.0” and A range such as “−2.5 to 2.5” may be set as the risk index allowable range.

  In the market making system according to the above-described embodiment, specific numerical values are shown for each parameter, but each parameter may be set to an arbitrary value. That is, an appropriate value corresponding to the ETF brand or the future brand used for risk hedging may be set as a parameter.

  Moreover, in the market make system according to the above-described embodiment, parameters are set via the user terminal. However, the market make system includes an input unit, and inputs a predetermined value via the input unit. A parameter may be set. Further, the market making system may include a display unit, and the transaction status may be monitored by displaying a transaction monitor screen on the display unit.

It is a block block diagram of the whole system containing the market make system which concerns on embodiment of this invention. It is a block block diagram of the market make system which concerns on embodiment of this invention. It is a block block diagram of the user terminal which concerns on embodiment of this invention. It is a flowchart for demonstrating the parameter setting process by the market make system which concerns on embodiment of this invention. It is a figure which shows an example of the transaction monitor screen before the transaction start which concerns on embodiment of this invention. It is a figure which shows an example of the parameter setting screen which concerns on embodiment of this invention. It is a flowchart for demonstrating the transaction processing by the market make system which concerns on embodiment of this invention. It is a figure which shows an example of the transaction monitor screen after the transaction start concerning embodiment of this invention.

Explanation of symbols

  2 ... Market making system, 4 ... Network, 6 ... Stock exchange system, 8a, 8b, 8c ... User terminal, 10 ... Data control unit, 12 ... Communication control unit, 14 ... Current value data storage unit, 16 ... Data storage unit , 20 ... Data control unit, 22 ... Communication control unit, 24 ... Input unit, 26 ... Data storage unit, 28 ... Display unit.

Claims (3)

A price adjustment index setting means for setting a price adjustment index for adjusting a trading price of a stock index linked investment trust beneficiary certificate;
Futures setting means for setting futures used for hedging risks based on the transaction of the stock index-linked investment trust beneficiary certificate;
Market price data acquisition means for acquiring market price data indicating a market price of a future set by the futures setting means;
Trading price calculation for calculating the trading price of the stock index linked investment trust beneficiary certificate based on the price adjustment index set by the price adjustment index setting means and the market price data of the futures acquired by the market price data acquisition means Means,
A market making system comprising: ordering means for placing an order for buying and selling the stock price index-linked investment trust beneficiary certificate based on the trading price calculated by the trading price calculating means. Further comprising a trading plate number setting means for setting the trading plate number of the stock index linked investment trust beneficiary certificate,
The trading price calculation means includes:
Calculate the trading price for the number of trading boards set by the trading board number setting means,
The ordering means is
The buying and selling of the stock price index-linked investment trust beneficiary certificate of the number of trading plates set by the trading plate number setting means is ordered based on the trading price calculated by the trading price calculation means. The market make system according to 1. A risk index calculating means for calculating a risk index indicating the risk of the transaction based on the number of the stock price index-linked investment trust beneficiary certificates for which the trading transaction is executed;
Risk index determination means for determining whether the risk index calculated by the risk index calculation means is within an allowable range; and
A futures ordering means for placing an order for the buying and selling of futures set by the futures setting means based on the risk index when the risk index judging means determines that the allowable range is exceeded. Item 3. The market making system according to item 1 or 2.

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