JP2008262429A - Automatic trade system, automatic trade method and program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide an automatic trade system for determining a trade sign based on the ask/bid volume and fluctuation width of the ask/bid volume obtained from a trading market. <P>SOLUTION: An ask/bid volume value data acquisition part 101 acquires ask/bid volume value data from a trading market server 61A. An ask/bid volume value analysis part 102 analyzes the ask/bid volume data acquired by the acquisition part 101 to determine an ask/bid volume at a predetermined point of time or fluctuation width of the ask/bid volume for a predetermined period. A trade sign determination part 103 acquires a condition set by a user from setting data 107, and determines whether a result determined by the analysis part 102 satisfies this condition or not to determine whether a predetermined stock is sold or purchased (trade sign). A trade ordering instruction part 104 performs a trade ordering instruction according to the trade sign determined by the determination part 103. Trade ordering instruction data is transmitted to the trading market server 61A through a securities system interface 109 and a securities company server 41A. <P>COPYRIGHT: (C)2009,JPO&INPIT

Description

  The present invention relates to an automatic trading system that provides information necessary for automatic trading of financial products or controls automatic trading.

  Currently, for financial products centered on stocks, a system that automatically performs from stock selection to buying and selling orders using a computer such as a PC (personal computer) is widely used. Such transaction forms of financial products are referred to as “system trading”, “program trading” or “algorithm trading”.

  Such an automatic stock trading system usually buys stocks selected under certain conditions, then sells and settles, and at the same time short sells, and after this short sell settlement, further buys. An investment technique for performing such transactions continuously, that is, so-called reverse transactions, is used. In the automatic trading system, trading as described above is performed based on trading signs calculated by a computer without any intervention by investors or subjectivity.

  There are various methods for determining a trading sign in the automatic trading system, and there is a method of presenting a selling sign or a buying sign when the stock price reaches a predetermined value. For example, Patent Document 1 discloses a trading order automatic generation device that sequentially acquires and monitors market information such as stock prices, and automatically executes orders corresponding to the conditions when these stock prices satisfy a predetermined condition. With such a device, it is possible to prevent an increase in trading losses due to fluctuations in stock prices.

JP 2004-5554 A

  In addition, there is a method of determining the selling sign or buying sign and the timing of presenting them by technical analysis. In technical analysis, patterns of stock price changes and trends are captured using moving averages, stock charts, and other indicators, and the future of the market is predicted. If future fluctuations in stock prices can be accurately predicted without human intervention, many trading profits can be expected by repeating trading. This is the advantage of this type of automated trading system.

  On the other hand, Patent Document 2 discloses an execution probability calculation system that calculates the probability that an order can be executed when a limit order is placed for a specific issue at a certain price / quantity in the stock market. The system obtains the execution probability using market time series information including the quotation.

JP 2006-189995 A

  However, the conventional automatic trading system including the automatic trading order generation device of Patent Document 1 captures future stock price movements such as moving averages and stock price charts in a relatively long span, and analyzes them. There is no automatic trading system that predicts the stock price based on the current or immediately preceding sales volume (auction volume) or buy price (auction volume).

  In addition, there is a system that uses time series information of a market including a quotation, such as the execution probability calculation system of Patent Document 2, but the system is only for calculating the execution probability, It is not a system that predicts future stock prices and does automatic trading.

  SUMMARY OF THE INVENTION Accordingly, an object of the present invention is to provide an automatic trading system, an automatic trading method, and a program for predicting fluctuations in stock prices by referring to quote data obtained from a trading market and automatically controlling the trading of stocks and the like accordingly. Is to provide.

  A further object of the present invention is to provide an automatic trading system, an automatic trading method for predicting a stock price fluctuation and determining a trading sign based on a quotation quantity at a certain point in time or a fluctuation range of the quotation quantity in a predetermined period, and To provide a program.

  The first embodiment of the present invention includes quote price data obtaining means for obtaining quote price data of a financial product traded in a trading market, and a quote quantity fluctuation representing a relative fluctuation status of the quote quantity from the quote price data. A quote analyzing means for obtaining a width, and a trading sign determining means for determining a trading signature of a corresponding financial product when it is determined that a quoted quantity fluctuation range obtained by the quote analyzing means satisfies a trading condition; The automatic trading system is configured to include trading order instruction means for instructing trading order of the corresponding financial product based on the determined trading signature. According to the present invention, it is possible to effectively predict the price movement of a financial product based on a change in the quote price, and an automatic buy / sell order without manual intervention is performed in accordance with the decision of a buy / sell sign.

  According to a second embodiment of the present invention, in the first embodiment, an automatic trading system is configured such that the range of fluctuation in the amount of quotation set as a trading condition includes both those relating to bids and those relating to bids. is there.

  A third embodiment of the present invention is an automatic trading system configured so that, in the first embodiment, the trading conditions include conditions for at least a plurality of quotation quantity fluctuation ranges in different periods.

  The 4th embodiment of the present invention is an automatic trading system constituted so that trading conditions may further include conditions about a quotation quantity in the 1st embodiment.

  According to a fifth embodiment of the present invention, quote price data obtaining step for obtaining quote price data of a financial product traded in a trading market, and quote quantity fluctuation representing a relative fluctuation status of the quote quantity from the quote price data A quote analysis step for obtaining a width, and a trade sign determination step for determining a trade signature of a corresponding financial product when it is determined that a quoted quantity fluctuation range obtained by the quote analysis step satisfies a trading condition; The automatic buying and selling method is configured to include a buying and selling order instruction step for giving a buying and selling order instruction for a corresponding financial product based on the determined buying and selling sign.

  According to a sixth embodiment of the present invention, a computer is used to acquire quotation data of financial products traded in a trading market. The quotation data indicates the relative fluctuation status of the quotation quantity from the quotation data. A quotation analyzing means for obtaining a quantity fluctuation range, a trading sign determining means for determining a trading sign of a corresponding financial product when it is determined that the quotation quantity fluctuation range obtained by the quotation analyzing means satisfies a trading condition , And a program for functioning as a purchase / purchase order instruction means for issuing a purchase / order instruction for the corresponding financial product based on the determined trade sign.

  According to a seventh embodiment of the present invention, quote price data obtaining means for obtaining quote price data of a financial product traded in a trading market, and a quote quantity fluctuation representing a relative fluctuation status of the quote quantity from the quote price data A quote analyzing means for obtaining a width, and a trading sign determining means for determining a trading signature of a corresponding financial product when it is determined that a quoted quantity fluctuation range obtained by the quote analyzing means satisfies a trading condition; The automatic trading system is configured to include at least informing means for informing the determined trading sign. According to the present invention, it is possible to effectively predict the price movement of a financial product based on the fluctuation of the quotation price, and the determined trading sign is notified to the user. Further, the notifying means can be configured to notify at least one of the indicative quantity and the indicative quantity fluctuation range together with a trading sign.

  The automatic trading system according to the present invention automatically places financial products such as stocks on the basis of trading conditions set by the user. The trading conditions can be set with conditions regarding the quoted quantity and quoted quantity fluctuation range obtained from the trading market, and the automatic trading system obtains quoted price data from the trading market and calculates the quoted quantity and the fluctuation range of the quoted quantity It is determined whether or not the sales condition is satisfied.

  With such an automatic trading system, stock price fluctuations can be predicted on an unprecedented basis. By using a frequently changing judgment element such as a quotation quantity, automatic trading based on more flexible trading judgment is realized.

  Initially, with reference to FIG. 1A, the system configuration | structure containing the automatic trading system 1 which concerns on the 1st Embodiment of this invention is demonstrated. In this example, a case where an individual user automatically buys and sells stock using a user terminal 10 formed of a computer such as a PC (personal computer) is shown. Here, we will explain the system for automatic trading of stocks, but as long as quote data can be obtained from the trading market and automatic trading order instructions are possible, other index futures, commodity futures, etc. The same applies to financial products.

  The automatic trading system 1 according to the first embodiment of the present invention operates on a user terminal 10, and the user terminal 10 is connected to a securities company server 41 of a securities company 40 via a network 30. Furthermore, the securities company server 41 is connected to the transaction market server 61 of the transaction market 60 via the network 50.

  The network 30 is a network such as a WAN including the Internet that connects the user terminal 10 and the securities company server 41. For example, purchase / order instruction data is transmitted from the user terminal 10 to the securities company server 41, and vice versa. In addition, quote data including quote information is transmitted from the securities company server 41 to the user terminal 10. The automatic trading system 1 predicts the fluctuation of the stock price by analyzing the quote data received from the securities company server 41, and transmits trading order instruction data to the securities company server 41 according to the analysis result.

  The automatic trading system 1 can also be operated in a mobile device 20 such as a mobile phone or a PDA. In this case, the mobile device 20 and the securities company server 41 are, for example, a wireless communication network (mobile phone network) and the Internet. Connected through a network.

  When the brokerage server 41 receives trading order instruction data from the user terminal 10 or the portable device 20, the securities company server 41 instructs the trading market server 61 to order the designated brand based on the trading order instruction data. Here, the trading market 60 is a trading market such as the Tokyo Stock Exchange, and the trading market server 61 is a computer constituting a stock trading system of the Tokyo Stock Exchange. Here, the network 50 is, for example, a broadband dedicated line connecting the securities company server 41 and the transaction market server 61.

  In this example, the user terminal 10 used by an individual user receives quote data and transmits trading order instruction data to the transaction market server 61 via the securities company server 41. If there is no system or other regulation, the user terminal 10 and the transaction market server 61 can be directly connected as a system on the computer system. Depending on the case, a form of direct connection with respect to either reception of quote data or transmission of purchase order instruction data is also conceivable. A plurality of user terminals 10 can be connected to the securities company server 41, and many individual users can use the system.

  An automatic trading system 70 according to the second embodiment of the present invention has the same overall system configuration as that of FIG. 1A, but automatic trading is realized by a so-called ASP (Application Service Provider) service. In this example, the function of the substantial automatic trading system is provided by the securities company server 41, and the individual user accesses the securities company server 41 by a browser operating on the user terminal 10 (for example, by the HTTP protocol), and the user terminal The system which performs condition setting, sale result display, etc. by 10 is comprised.

  Next, a system configuration including an automatic trading system 100 according to the third embodiment of the present invention will be described with reference to FIG. 1B. In this example, a case where an employee of a securities company automatically buys and sells stock using the user terminal 110 is shown. The automatic trading system 100 operates on a user terminal 110, and the user terminal 110 is connected to a securities company server 141 in the same securities company 140 via a network 130. Furthermore, the securities company server 141 is connected to the transaction market server 161 of the transaction market 160 via the network 150.

  The network 130 is a network such as a local area LAN that connects the user terminal 110 and the securities company server 141. Of course, if the bases of the user terminal 110 and the securities company server 141 are different, they are connected via a network such as a WAN including the Internet. Trading order instruction data or the like is transmitted from the user terminal 110 to the securities company server 141, and conversely, quote data such as quote information is transmitted from the securities company server 141 to the user terminal 110, The user terminal 110 controls automatic trading. These points are the same as in the first embodiment described above.

  The automatic trading system 100 can also be operated in a mobile device (not shown) such as a mobile phone or a PDA, as in the first embodiment.

  When the brokerage server 141 receives the buy / sell order instruction data from the user terminal 110 or the portable device, the brokerage server 141 instructs the trade market server 161 to order the specified stock based on the buy / sell order instruction data. The trading market server 161 is a computer constituting a stock trading system such as the Tokyo Stock Exchange. The network 150 is, for example, a broadband dedicated line that connects the securities company server 141 and the transaction market server 161. Furthermore, a plurality of user terminals 110 can be installed.

  FIG. 2 is a functional block diagram of a system including the automatic trading system 1 according to the first embodiment. A user terminal 10A corresponding to the user terminal 10 in FIG. 1A includes a quote price data acquisition unit 101, a quote price analysis unit 102, a buy / sell sign determination unit 103, a buy / sell order instruction unit 104, an order result analysis unit 105, and a user setting receiving unit 106. , Setting data 107, display control unit 108, and securities system interface 109.

  A securities company server 41A corresponding to the securities company server 41 of FIG. 1A includes a user terminal interface 120 and a market system interface 123. The market system interface 123 includes a market data management unit 121 and a market transaction management unit 122. The transaction market server 61A is connected.

  The quote price data acquisition unit 101 acquires quote price data from the securities company server 41A via the securities system interface 109 in real time or close to real time, and stores it in the memory or storage device of the user terminal 10A as necessary. To do. The market price analysis unit 102 analyzes the market price data acquired by the market price data acquisition unit 101, and obtains a market price at a predetermined time or a market price fluctuation range for a predetermined period. For example, the amount of change in the sales volume per second is calculated for each brand. The calculation of the quoted quantity fluctuation range will be described in detail later.

  Further, although not shown in FIG. 2, in some cases, calculation can be performed based on setting data 107 in which conditions set by the user are recorded. For example, by referring to the setting data, it is possible to know what kind of quotation quantity fluctuation range of which brand is necessary, so that the quote analysis unit 102 can be controlled to acquire and calculate only necessary data. .

  After acquiring the conditions set by the user from the setting data 107, the trading sign determination unit 103 determines whether the result obtained by the quote analysis unit 102 satisfies this condition, and whether to sell or buy a predetermined brand (Trade sign) is determined. The buy / sell order instruction unit 104 performs a buy / sell order instruction according to the buy / sell sign determined by the buy / sell sign determination unit 103 while referring to information stored in the setting data 107 as necessary. Trading order instruction data is transmitted to the securities company server 41A via the securities system interface 109.

  For example, an order generated for each trading sign is a new order in the first cycle, and a settlement order corresponding to the new order in the first cycle and a new new order in the second cycle. In the third cycle, there are a settlement order and a new order corresponding to the new order in the second cycle. Here, the second cycle may be set as the second cycle and the third cycle, and the third cycle may be set as the fourth cycle and the fifth cycle.

  If selling and buying are simply repeated in the trend reversal prediction direction (turnover transaction), a new order and a corresponding settlement order are repeated alternately. For example, when a trend conversion to a price drop is detected during a buy (long) position, the long position is settled and a sell (short) position is immediately held by a new order.

  Control may be performed so that a single order is made based on the buying and selling sign. For example, during a long position, once the price increase stops, once you place an order for settlement, and if you detect a trend of price increase again, place an order to hold the long position again. Then, place a new order in place of the short position.

  In general, both new orders and settlement orders are successful orders.

  The ordering result analysis unit 105 obtains and analyzes the ordering result such as the stock price (contract price) that has been established from the securities company server 41A via the securities system interface 109. The analysis result is displayed on the monitor of the user terminal 10A by the display control unit 108. Further, the analysis result can be fed back to the trading sign determination unit 103 so that the trading sign determination method and the trading conditions themselves are automatically changed. The order result analysis unit 105 is not an essential component at least for the automatic trading system of the present invention.

  For example, the order result analysis unit 105 simulates trading based on the simulated trading conditions in parallel with trading performed based on the actual trading conditions, compares operation results within a certain period of time, and performs well. It is conceivable to exchange (or add) the purchased goods with the trading conditions actually used according to a predetermined standard. In this case, the simulation sales conditions may be set by the user, or may be automatically derived from the actual sales conditions.

  The user setting receiving unit 106 displays, via the display control unit 108, a condition setting input screen for setting conditions such as the conditions under which the user selects stock brands and under what conditions buying and selling orders. Displayed on the monitor of the user terminal 10A. Further, when a condition setting is input from the user based on the display, the setting content is recorded as setting data 107 in the storage device of the user terminal 10A.

  As described above, the display control unit 108 controls the monitor of the user terminal 10A to display the analysis result of purchase / purchase order, the condition setting input screen, and the like, and when there is an input from the condition setting input screen, the input The contents are transferred to the user setting receiving unit 106. Further, control is performed so as to display the buying / selling sign, the indicative quantity, the indicative quantity fluctuation range, and the like determined by the buying / selling sign determination unit 103.

  The securities system interface 109 implements an interface with the securities company server 41A. For example, while receiving the quote data from the securities company server 41A, the trading order instruction from the trading order instruction unit 104 of the user terminal 10A is relayed to the securities company server 41A, and the order result and the like are received from the securities company server 41A. Such an interface may be provided from the securities company 40 as another program that operates on the user terminal 10A.

  The user terminal interface 120 of the securities company server 41A transmits and receives data to and from the securities system interface 109 of the user terminal 10A. In addition, the market data management unit 121 of the market system interface 123 acquires the quote information of each brand from the trading market server 61 in real time (or at a timing close to real time), and uses this as quote data to the user terminal interface 120. And provided to the user terminal 10A via the securities system interface 109. Further, the market transaction management unit 122 transmits / receives data to / from the transaction market server 61, transmits a stock purchase / purchase order instruction to the transaction market server 61, and receives order result information from the transaction market server 61. Or A stock trading order instruction is provided from the user terminal 10A via the user terminal interface 120 and the securities system interface 109, and order result information is provided to the user terminal 10A via the user terminal interface 120 and the securities system interface 109. The

  The functional block diagram shown in FIG. 2 also applies to the automatic trading system 100 according to the third embodiment shown in FIG. 1B. However, in the case of FIG. 1B, since the user terminal 110 and the securities company server 141 are basically used in the same securities company, the securities system interface 109 of the user terminal 10A shown in FIG. The user terminal interface 120 can be configured with a somewhat different function in terms of authentication and communication control.

  FIG. 3 is a functional block diagram of a system including the automatic trading system 7 according to the second embodiment. The user terminal 10B includes a browser 201. In addition, the securities company server 41B includes a user terminal interface 220, a quote price data acquisition unit 221, a quote price analysis unit 222, a buy / sell sign determination unit 223, a buy / sell order instruction unit 224, an order result analysis unit 225, a user setting reception unit 226, Setting data 227, display control unit 228, and market system interface 231 are included. Furthermore, the market system interface 231 includes a market data management unit 229 and a market transaction management unit 230, and is connected to the transaction market server 61B.

  The system configuration shown in FIG. 3 is different from the configuration shown in FIG. 2 in that an essential part of the function of the automatic trading system 7 is performed by the securities company server 41B. A setting input or the like is to be performed on the user terminal 10B, which is a so-called ASP service. The interface with the user is performed using a browser (WEB browser) operating on the user terminal 10B.

  The functions of the quote data acquisition unit 221, the quote analysis unit 222, the buy / sell sign determination unit 223, the buy / sell order instruction unit 224, and the order result analysis unit 225 of the securities company server 41B are the user terminals described in relation to FIG. The functions of the quote price data acquisition unit 101, the quote price analysis unit 102, the buy / sell sign determination unit 103, the buy / sell order instruction unit 104, and the order result analysis unit 105 of 10A are the same. However, the quote data is received from the market data management unit 229 of the securities company server 41B and is not provided to the user terminal 10B. Further, the sales order data and the order result are exchanged with the market transaction management unit 230 of the securities company server 41B.

  The condition setting input from the user is provided to the user setting receiving unit 226 via the browser 201 of the user terminal 10B and the user terminal interface 220 of the securities company server 41B, and is stored in the storage device of the securities company server 41B as setting data 227. To be recorded.

  The condition setting input screen generated by the user setting receiving unit 226, the analysis display of the order result, and the like are transferred to the display control unit 228, and from there via the user terminal interface 220 (for example, using the HTTP protocol), the user terminal 10B. Are displayed on the browser 201 and displayed on the monitor of the user terminal 10B.

  As described above, an automatic trading system can be created as a program that runs on a computer or as a system that includes an ASP service. When the service is provided as a service, an automatic trading system having substantially the same function can be constructed by controlling the WEB browser on the user terminal side. More specifically, the WEB browser operating on the user terminal is controlled by another program, and the other program obtains the quotation data displayed on the WEB browser, analyzes the fluctuation of the quotation, When the condition is satisfied, the WEB browser is automatically emulated so as to give an instruction to buy and sell again through the WEB browser.

  In recent years, there are also securities companies that provide APIs for obtaining quotes and instructing buying and selling. By using such APIs, a mechanism of an automatic trading system that operates on a user terminal can be constructed relatively easily. be able to.

  Next, the outline of the processing flow of the automatic trading system according to the present invention will be described with reference to the flowchart of FIG. First, in step S10, quote data including quote information regarding each stock issue is acquired from the trading market. Basically, it is possible to obtain quote data for all stocks, but if the stocks subject to trading are limited, the quote data is limited to one or a limited number of stocks. It is desirable to do.

  After that, in step S11, an indicative quantity fluctuation range is obtained. The fluctuation range is, for example, the rate of increase / decrease (increase / decrease rate) between the past quote value and the current quote value, such as 1 second before, 3 seconds ago, or the previous time or the previous time. This fluctuation range can be expressed not by a ratio but by an increase / decrease quantity. Further, there is a case in which only the quotation quantity is obtained instead of the fluctuation range.

  Next, in step S12, it is determined whether or not the quotation quantity fluctuation range (or quotation quantity) obtained in step S11 satisfies the stock trading conditions. For example, when the fluctuation range of the sales price becomes a certain value or more, the designated brand is controlled to be bought and sold automatically. In addition, such a fluctuation range of the quotation quantity and the quotation quantity not only determine the timing of buying and selling, but also can be adopted as a standard for selecting a brand to be bought and sold. For example, it is possible to perform control such that a stock whose quoted quantity fluctuation range is equal to or greater than a certain value is to be traded.

  If it is determined in step S12 that the purchase / sell condition is satisfied (YES in step S12), a purchase order instruction is given in step S13. In step S12, if the buying and selling conditions are not satisfied (NO in step S12), the process ends without giving an ordering instruction. Such a series of determination / buying and selling order processing is repeatedly performed, for example, every time quote data is acquired from a transaction market server, or at predetermined short time intervals.

  If the subject of each of the above processes is represented by the functional unit shown in the functional block diagram of FIG. 2, for example, step S10 is realized by the quote data acquisition unit 101, and step S11 is realized by the quote value analysis unit 102. Step S12 is realized by the buying and selling sign determination unit 103, and step S13 is realized by the buying and selling order instruction unit 104.

  In the automatic trading system according to the present invention, the fluctuation amount of the indicative quantity is grasped from various viewpoints. Here, with reference to FIG. 5 and FIG. 6, an explanation will be given of what viewpoint the analysis quantity fluctuation range is analyzed.

  FIG. 5A shows a so-called “board” displaying the sales price and the sales price regarding the brand “XX Corporation”. In this board, the limit price is displayed between the bid price (the bid price) and the bid price (the bid price), and the bid price where the quote quantity exists is associated with the “market price”. The sign indicates the distribution (situation) of how limit orders are placed in relation to buying and selling stocks. The quote data from the trading market is, for example, a purchase order / limit cancel record including a brand, limit, and quantity is distributed in sequence, and the quote analysis unit 102 and the quote analysis unit 222 assemble them into FIG. 5A. Interpret with the image of a “board” as shown in.

  In this example, as for the sell price, there is a price between 101 yen and 105 yen, while for the buy price, there is a price between 100 yen and 96 yen. The best sale price that is the cheapest and easy to establish a transaction is called the best sale price, and here it is 101 yen (the best sale price is 101 yen, and the best sale quantity is 100). On the other hand, the best bid price that is most likely to be established is called the best bid price, which is 100 yen (the best bid price is 100 yen and the best bid price is 100). In some cases, the bid price and the bid price are different (spread). In this case, the best bid price and the best bid price are not close to each other.

  In this situation, when a new contract is made (for example, 101 yen, 50 shares), the quotation price of the best bid price of 101 yen is reduced to 50. Normally, from the Tokyo Stock Exchange's trading market server, as the quotation data, the top five quotations (the set of the sales quotation quantity and the sales quotation price) including the best quotation regarding the sales price, and the best purchase as the bid price. The top five quotations including the quotation (a set of bid price and bid price) are distributed at a predetermined timing. In the basic form of the automatic trading system of the present invention, two data of the best bid price and the best bid price are used, but it is also possible to determine a buy / sell order by using the bid price and the bid price for several quotes. it can. In addition, if quote data is provided for five or more quotes from the trading market server, processing can be performed using all or part of them as necessary.

  FIG. 5B shows an example of a method for obtaining the quoted quantity fluctuation range. The table of FIG. 5B shows the change in the quotation quantity in the time span per second (for each best bid and the best sale quotation) and the fluctuation (increase / decrease rate) for the quotation quantity one second ago.

  The first line is a sign at time T and corresponds to the situation shown in FIG. 5A. The second line shows the quotation at the time of T + 1 (seconds), and the buy price is 180 and the sell price is 80. Therefore, the rate of increase / decrease between time T and time T + 1 is 80% (= (180-100) / 100) for the bid price and -20% (= (80-100) / 100) for the bid price. Become. The third line shows the quotation at the time of T + 2 (seconds). The buy bid quantity is 150 and the sell price quantity is 80. Therefore, the increase / decrease rate between time T + 1 and time T + 2 is -17% (= (150-180) / 180) for the bid price and 0% for the bid price. Further, the fourth line shows the quotation at the time of T + 3 (seconds), and the buy bid quantity is 20 and the sell price quantity is 150. Therefore, the rate of increase / decrease between time T + 2 and time T + 3 is −87% (= (20−150) / 150) for the bid price and 88% (= (150−80) / 80) for the bid price. Become.

  In this case, for example, when a condition is set such that a purchase order is made when the increase / decrease rate of the bid price is −80% or less and the increase / decrease rate of the bid price is 80% or more, this condition is set at time T + 3. Is satisfied and a purchase order for the stock is automatically made.

  The indicative price indicates the limit price of each person who wants to sell and who wants to buy. A decrease in the bid price is a result of the purchase or cancellation of the sell limit, indicating that there is momentum in the direction of price increase (buy). Then, when all of the bid price is consumed by “buying”, the current price increases by one level. Conversely, an increase in the sales volume is an increase in the ask price, which is a resistance to an increase in price. The same argument holds for the buy price, although the direction is the opposite.

  That is, if the sales volume decreases, it becomes a “price increase (buy) factor”, and if it increases, it becomes a “price decrease (sell) factor”. On the other hand, if the bid price decreases, it becomes a “price reduction (sell) factor”, and if it increases, it becomes a “price increase (buy) factor”.

  Also, even if there is a tendency for price movements in the direction of a decrease in the quotation volume, it cannot be said that there is a direction if both the sales quotation volume and the bid distribution quantity increase or decrease at the same time. Based on the above criteria, the purchase order conditions as described above are set. The selling order conditions can also be set based on the same standard. The automatic trading system according to the present invention is advantageous in that it can predict fluctuations in the price immediately after by acquiring such fluctuations in quotations in small time units and relatively comparing the rate of change (increase / decrease speed) on both sides of trading. Automatically control buying and selling orders.

  FIG. 6A shows the same sell price and buy price as in FIG. 5B from time T to time T + 3. However, in order to evaluate the fluctuation of the quantity, the value itself changed (increase / decrease) Value) as a reference. For example, the second line shows the quotation at the time of T + 1 (seconds), the buy-off quantity changes from 100 to 180, and the sell-off quantity changes from 100 to 80. Therefore, the increase / decrease value between the time T and the time T + 1 is 80 for the bid price and -20 for the bid price.

  In this case, for example, a condition can be set such that a purchase order is placed when the increase / decrease value of the bid price is −70 or less and the increase / decrease value of the bid price is 70 or more, and this condition is satisfied at time T + 3, Purchase orders for the brand are automatically made.

  In addition, when buying and selling is frequently performed, there is a possibility that the above conditions are easily satisfied by determination every second. In such a case, it is preferable to determine the increase / decrease rate or the increase / decrease value not in a time span of 1 second but in a relatively long time span of 3 seconds or 5 seconds. It is also effective to make a judgment by combining several time spans as in the case where all the increase / decrease rates in the case of time spans of 1 second, 3 seconds and 5 seconds are negative. Furthermore, it is also possible to make a judgment by combining such a relative fluctuation state of the buy price or the sell price with the price quantity (the buy price or the sell price). Furthermore, in addition to these criteria, other conventionally used indicators such as stock prices and RSI may be added to make a purchase / order decision.

  FIG. 6B shows the rate of increase / decrease when the time span is 3 seconds. For example, the 4th row shows the price at the time T + 4 (seconds), and compared with the time T 3 seconds before, the bid price changes from 100 to 20, and the sell price changes from 100 to 150. ing. Therefore, the rate of increase / decrease between time T and time T + 3 is −80% (= (20−100) / 100) for the bid price and 50% (= (150−100) / 100) for the bid price. Become.

  In the above example, the purchase order is determined based on fluctuations in the two bid quantities, the best bid price and the best bid price. Other than that, for example, the best bid price and the best bid price are adjacent to each other. It is also possible to use the indicative quantity of the indicative price. As an example of such a condition, the rate of increase / decrease of the bid price (the best bid price) (time span 1 second) is -80% or less, and the bid price (the price next to the best bid price (next stage) The increase / decrease rate (quantity) (time span 3 seconds) is -70% or less, and the increase / decrease rate (best span price) is 80% or more. It is conceivable that a purchase order is placed when the rate of change (time span 3 seconds) next to (next stage) is 70% or more. In this example, the time span and the rate of increase / decrease rate are set differently depending on the quantity used.

  Further, the sign strength (trend) can be obtained by synthesizing the change amount range of the sell price and the change amount range of the buy price, and the buy sign or the sell sign can be determined accordingly. For example, the strength of the buy sign is added to the increase / decrease rate (or increase / decrease amount) of the bid amount by inverting the sign of the increase / decrease rate (or increase / decrease amount) of the bid amount. Set by level. In an example of level division, when this numerical value is 20 or less, buy sign strength 1 (weak), 20-40, buy sign strength 2, 40-60, buy sign strength 3, 60-80, When the buy sign strength is 4 or 80 or more, the buy sign strength is set to 5 (strong). On the other hand, the strength of the sales sign is reversed, and the rate of increase (increase / decrease) in the bid price is added to the rate of increase (increase / decrease) in the bid price by inverting the sign. Set by level.

  Here, referring to the bid price quantity in the buy sign strength and referring to the bid price quantity in the sell sign strength, for example, when the buy sign strength is 5 and the bid price quantity is 100 or less And the purchase order for the stock is automatically made. On the other hand, when the sell sign strength is 5 and the sell price is 100 or less, the sell sign is determined, and a sell order for the brand is automatically made.

  In addition, in the determination of the sign strength, it is also possible to calculate by multiplying a numerical value to be added after inverting the sign by a predetermined coefficient. For example, in the case where the increase / decrease rate of the sales volume is 40% and the increase / decrease rate of the purchase volume is −40%, a numerical value is obtained by calculation of 40% + 1.5 (−40%). Note that such adjustment of the determination method can be performed by the order result analysis unit 105 shown in FIG.

  Next, an example of the setting condition input screen 500 used in the automatic trading system according to the present invention will be described with reference to FIG. In the functional block diagram of FIG. 2, this setting condition input screen is a screen that the user setting receiving unit 106 displays on the monitor of the user terminal 10 </ b> A by controlling the display control unit 108, and is input to this screen by the user. The information is recorded as setting data 107 by the user setting receiving unit 106 in the storage device of the user terminal 10 </ b> A, and the setting data 107 is referred to by the trading sign determination unit 103 and the trading order instruction unit 104.

  The setting condition input screen 500 includes a user ID input area 501, a condition code input area 502, a brand selection designation area C 1, a transaction information designation area C 2, a trading condition designation area C 3, and a setting end button 506.

  The user ID input area 501 is an area for inputting an ID for identifying a subject (user) who actually buys and sells stock. The condition code input area 502 is an area for inputting a condition code for identifying automatic trading conditions for each user identified by the user ID. When changing an existing condition setting, a condition code corresponding to the condition setting is input.

  In the brand selection / designation area C1, brands to be subject to automatic trading are designated in several patterns. If you check the TSE code check box, the trading target is limited to the stock corresponding to the TSE code entered in the TSE code input area (in this example, XX Corporation). When the price is satisfied, the stock is automatically traded.

  When the brand group check box is checked, a plurality of brand groups selected in advance by the user are designated, and among them, those satisfying the trading conditions are subject to automatic trading. Note that there is a possibility that trading may be restricted due to funds. In this case, it is possible to check the priority order check box and assign, for example, limited funds in order of stock price, RSI, and the like.

  If you do not specify a particular brand, check the Unspecified checkbox. In this case, automatic trading is performed unconditionally for brands that satisfy the trading conditions. As with the issue group, there is a possibility that trading with funds may be restricted, but in this case, it is possible to deal with the same as in the issue group.

  In the transaction information designation area C2, basic information relating to transactions with securities companies and automatic trading is set. For example, a start fund for starting automatic trading for the first time, a purchase fund used for purchasing one brand, a transaction type (for example, a spot transaction or a margin transaction), a period of automatic trading, and the like are set.

  In the trading condition designation area C3, trading conditions regarding automatic trading are set. For example, a list box that specifies whether the rate of change or the amount of increase / decrease is the basis for the transaction classification that distinguishes whether to sell or buy, the bid volume, and the sell volume when the conditions are met , An area for entering an increase / decrease rate (%) or increase / decrease quantity, a list box for specifying the following or above conditions, an additional specification button 503 for adding conditions, and a time span for specifying the increase / decrease rate of the quotation quantity Span designation buttons 504 are arranged.

  The extended trading condition designation area C4 is additionally displayed when the additional designation button 503 is pressed in the trading condition designation area C3 or another extended trading condition designation area C4, and in addition to the same input items as the trading condition designation area C3 A list box for designating whether the relationship is an AND relationship or an OR relationship with other conditions is arranged. With such extended trading condition designation area C4, even more complicated trading conditions can be designated.

  In addition, when the span designation button 504 is pressed in the trading condition designation area C3 or the extended trading condition designation area C4, a time span designation window 505 is displayed, and which is used as an indicative quantity to be determined based on the trading conditions. Can be specified. For example, in the example of FIG. 7, it is specified that the increase / decrease every second and the increase / decrease every 5 seconds of the best bid price and the best sell price quantity satisfy the condition.

  When such condition setting is completed, a setting end button 506 is pressed. Then, the contents of this setting are recorded as setting data in the user terminal (the securities company server in the configuration as shown in FIG. 3), and in the buying and selling sign determining unit and the buying and selling order instruction unit (in some cases, in the quote analysis unit), It is also referred to when changing settings again.

  Note that the setting condition input screen 500 shown in FIG. 7 is merely illustrated for easy understanding of the automatic trading system of the present invention. Other items can be set for each of the brand selection, transaction information, and trading conditions, and can be configured by another GUI. In addition, many other methods are conceivable for setting trading conditions. For example, by inputting QUERY using a predetermined keyword, the user can flexibly set more complicated conditions.

  Further, the setting condition input screen 500 can be configured to include selling and buying transaction categories under a single condition and to set different conditions for each transaction category.

  FIG. 8 shows the setting of trading conditions on the setting condition input screen 500 shown in FIG. The condition 001 shown in FIG. 8A is that the rate of increase / decrease in the best bid price (ratio to the best bid price 1 second before: time span 1 second) is −80% or less and the rate of increase / decrease in the best bid price. This indicates a condition that a purchase order is made when the ratio (the ratio to the best selling price one second before: a time span of one second) is 80% or more.

  The condition 002 shown in FIG. 8B is that the rate of increase / decrease in the best bid price (ratio to the best bid price 1 second before: time span 1 second) is 80% or more and the rate of increase / decrease in the best bid price ( This indicates a condition that a sales order is placed when the ratio of the best selling price one second before: a time span of 1 second) is −80% or less. The condition 003 shown in FIG. 8C is all of the increase / decrease rate of the best bid price (ratio with the best bid price of 1 second, 3 seconds, 5 seconds: time span 1 second, 3 seconds, 5 seconds) Indicates a condition of placing a purchase order.

  The condition 004 shown in FIG. 8D is for all the increase / decrease rates of the best sell volume (ratio with the best sell volume 1 second, 3 seconds, 5 seconds before: time span 1 second, 3 seconds, 5 seconds) Indicates a condition for placing a sell order. The condition 005 shown in FIG. 8E is that the rate of increase / decrease of the best bid price (ratio to the best bid price of 1 second before: time span 1 second) is 1% or more, and the rate of change of the best bid price (1 second) Ratio of previous best bid price: Time span 1 second) is -50% or less, and increase / decrease quantity of best bid price (difference from best bid price 3 seconds ago: Time span 3 seconds) is 200 or more In addition, when the increase / decrease quantity of the best bid price (difference from the best bid quantity 3 seconds before: time span 3 seconds) is 100 or less, it indicates a condition for placing a sell order.

  Next, with reference to FIG. 9 and FIG. 10, an example in which the determined trade sign is notified will be described. For example, a display screen or sound is used for informing such a trade sign. Here, an example of a display screen that mainly displays the determined buy / sell signature, the indicative quantity, the indicative quantity fluctuation range, and the like will be described. This display screen is, for example, a screen that is displayed on the monitor of the user terminal 10A by the display control unit 108 that has received data from the trading sign determination unit 103 or the like. When automatic trading is realized by the trading system of the present invention, the user grasps whether trading is instructed by the trading sign displayed on the display screen and how the quotation quantity fluctuates. can do.

  Further, the trading system of the present invention can be set to display only a trading sign on this display screen without performing an automatic trading order instruction in a simulation mode or the like. In this case, the user can confirm at what timing a trading sign is issued when automatic trading is performed. In addition, based on the buy / sell sign displayed on the display screen, the user can separately place a buy / sell order for the brand (for example, using another terminal).

  In FIG. 9A, the selling price quantity fluctuation range and the buying price quantity fluctuation range are combined and determined as a sign strength (trend), the strength is expressed by the angle of the arrow, and the quotation price itself is represented by the length of the arrow. A representing graph is shown. In this example, when the arrow points to the area 701 and the area 702 shown as the hatched area, a buy sign or a sell sign is shown.

  The quote price quantity referred to in the buying tendency (buy sign strength) is the bid price quantity, and the quote price quantity referred to in the selling tendency (sell sign strength) is the sell price quantity. For example, the area 701 corresponds to the case where the buy sign strength is 5 and the bid quantity is 100 or less, and when the arrow points to this area (arrow 703 in the figure), the “buy sign!” Display (704) is displayed, and in the case of automatic trading, a purchase order is automatically performed here. In addition, the display of “Buy Sign!” Is an example, and it may be possible to indicate whether “Buy” or “Sell” is displayed in a specific area of the display screen. It can also be configured to notify by sound.

  For example, the strength of the buy sign is added to the increase / decrease rate (or increase / decrease amount) of the bid amount by inverting the sign of the increase / decrease rate (or increase / decrease amount) of the bid amount. Set by level. In an example of level division, when this numerical value is 20 or less, buy sign strength 1 (weak), 20-40, buy sign strength 2, 40-60, buy sign strength 3, 60-80, When the buy sign strength is 4 or 80 or more, the buy sign strength is set to 5 (strong). On the other hand, the strength of the sales sign is reversed, and the rate of increase (increase / decrease) in the bid price is added to the rate of increase (increase / decrease) in the bid price by inverting the sign. Set by level.

  In addition, in the determination of the sign strength, it is also possible to calculate by multiplying a numerical value to be added after inverting the sign by a predetermined coefficient. For example, in the case where the increase / decrease rate of the sales volume is 40% and the increase / decrease rate of the purchase volume is −40%, a numerical value is obtained by calculation of 40% + 1.5 (−40%). Note that such adjustment of the determination method can be performed by the order result analysis unit 105 shown in FIG.

  In FIG. 9A, three arrows are shown. As shown in FIG. 9A, a plurality of arrows are displayed as time elapses, and after a certain period of time, the corresponding arrows are erased. The newer ones can be distinguished by showing them with higher luminance. In addition, when the nearby quotes have the same sign intensity or a sign intensity of 5, it is possible to control to change the color and thickness of the arrow.

  FIG. 9B shows the rate of increase / decrease in bar graphs for each of the bid price and the bid price (711, 712), which are added over time, and if a predetermined condition is met, This displays the sale sign. In this example, a condition is set to place a purchase order when the rate of increase / decrease in the bid price is 80% or more and the rate of increase / decrease in the bid price is -80% or less. When this condition is satisfied (713, 714) is displayed (715) of "sale sign!"

  As time elapses, the bar graph is added to the right side, and the left side is erased sequentially.

  FIG. 10A shows the respective increase / decrease rates of the bid price and the bid price as points plotted on a two-dimensional plane, and they are added as time passes, and if the predetermined condition is met, The sign or sale sign is displayed. In this example, the point 721, the point 723, the point 724, and the point 725 are transitioned from the point 721 plotted first, and at the point 726, “selling sign!” Is displayed (726). "Buy sign!" Is displayed (727).

  The plotted points are indicated by the arrows so that the order of transition can be seen. However, the points after a certain period may be deleted, or the older ones may be displayed as smaller points. .

  FIG. 10B represents the increase / decrease rate of the bid price, the bid price, and the increase / decrease quantity of the bid price as a sphere plotted on a three-dimensional space, which are added as time passes, When the condition is satisfied, a buy sign or a sell sign is displayed. In this example, the sphere 731 plotted first transitions to a sphere 733, a sphere 734, a sphere 735, and a sphere 736. In the sphere 736, “Buy Sign!” Is displayed (737). It is grasped by the shadow 732 of the sphere how each of the spheres is plotted on the two-dimensional plane corresponding to the increase / decrease rate of the purchase price and the sales price.

  In the plotted sphere, the order of transition is known by an arrow, and the older one is controlled to be displayed as a smaller sphere. In addition, a sphere after a certain period of time may be deleted, or control may be performed so that the older one is displayed as a lighter sphere.

  As described above, in FIG. 9 and FIG. 10, as the mode for notifying the determined trading sign, the indicative quantity used for the determination and the fluctuation range of the indicative quantity are also displayed. You can also.

  Next, with reference to FIG. 11, a hardware configuration of a computer on which the automatic trading system of the present invention operates will be described. Such a computer is, for example, a computer such as the user terminal 10A (FIG. 2) and the securities company server 41B (FIG. 3). The computer 600 in FIG. 11 is merely exemplary of a typical configuration, and can have various other configurations. Each function of the automatic trading system of the present invention can be distributedly operated on a plurality of computers.

  The computer 600 includes a CPU 601, a memory 602, an audio output device 603, a network interface 604, a display controller 605, a display 606, an input device interface 607, a keyboard 608, a mouse 609, an external storage device 610, an external recording medium drive device 611, and these. These components include a bus 612 that connects these components to each other.

  The CPU 601 controls the operation of each component of the computer 600, and controls the execution of a program that implements each function of the automatic trading system according to the present invention under the control of the OS.

  The memory 602 normally includes a ROM (Read Only Memory) that is a nonvolatile memory and a RAM (Random Access Memory) that is a volatile memory. The ROM stores a program executed when the computer 600 is started up. The RAM temporarily stores the above-described programs executed by the CPU 601 and data used during the execution of these programs.

  The audio output device 603 is a device such as a speaker, for example, and receives audio data and outputs audio when outputting audio or reproducing a moving image.

  The network interface 604 is an interface for connecting to the network 620. Here, the network 620 corresponds to the network 30 in FIG. 1A and the network 130 in FIG. 1B.

  The display controller 605 is a dedicated controller for actually processing a drawing command issued by the CPU 601. The drawing data processed by the display controller 605 is once written in the graphic memory and then output to the display 606. The display 606 is a monitor (display device) constituted by, for example, an LCD or a CRT.

  The input device interface 607 receives a signal input from the keyboard 608 and the mouse 609 and transmits a predetermined command to the CPU 601 according to the signal pattern.

  The external storage device 610 is, for example, a storage device such as a hard disk drive (HDD), in which the above-described program and data are recorded, and loaded from there to the RAM of the memory 602 as necessary at the time of execution. Is done. The setting data 107 in FIG. 2 and the setting data 227 in FIG. 3 are stored in this storage device.

  The external recording medium driving device 611 accesses a recording surface of a portable external recording medium 630 such as a CD (Compact Disc), an MO (Magneto-Optical Disc), or a DVD (Digital Versatile Disc), and is recorded there. It is a device that reads data. The external recording medium 630 can also record a program for realizing the automatic trading system according to the present invention. The data recorded on the external recording medium 630 is stored in the external storage device 610 via the external recording medium driving device 611, and if it is a program as described above, it is loaded into the RAM of the memory 602 at the time of execution from there. .

  As another distribution form of the program for realizing the automatic trading system according to the present invention, it can be stored in the external storage device 610 from a predetermined server on the network via the network 620 and the network interface 604. The program stored in this way is loaded into the RAM of the memory 602 at the time of execution and executed in the same manner as described above.

  Further, regarding the user terminal 10A (FIG. 2) and the securities company server 41B (FIG. 3) of the automatic trading system according to the present invention, the above-described audio output device 603 is basically not an essential component.

It is a basic diagram showing the system configuration | structure of the automatic trading system of this invention. 1 is a functional block diagram of a system including an automatic trading system 1 according to a first embodiment of the present invention. It is a functional block diagram of the system containing the automatic trading system 7 which concerns on the 2nd Embodiment of this invention. It is a flowchart which shows the process outline | summary of the automatic trading system which concerns on this invention. In the automatic trading system concerning the present invention, it is an approximate line figure used in order to explain how change of a quotation price is analyzed. In the automatic trading system concerning the present invention, it is an approximate line figure used in order to explain how change of a quotation price is analyzed. It is a basic diagram which shows the example of the setting condition input screen used in the automatic trading system which concerns on this invention. It is a basic diagram which shows the example which set the sales conditions on the setting condition input screen of FIG. It is a basic diagram which shows the example of a display of the trading sign performed in the automatic trading system which concerns on this invention. It is a basic diagram which shows the example of a display of the trading sign performed in the automatic trading system which concerns on this invention. It is a basic diagram which shows the example of the hardware constitutions of the computer which comprises the content server of the content delivery control system which concerns on one Embodiment of this invention.

Explanation of symbols

DESCRIPTION OF SYMBOLS 1,7,100 ... Automatic trading system 10,110,10A, 10B ... User terminal, 20 ... Portable apparatus, 30,130 ... Network, 40,140 ... Securities company, 41 , 141, 41A, 41B ... securities company server, 50, 150 ... network, 60, 160 ... trading market, 61, 161, 61A, 61B ... trading market server, 101, 221 ... Quote price data acquisition unit, 102, 222... Quote price analysis unit, 103, 223... Buy / sell sign determination unit, 104, 224. 106, 226... User setting receiving unit, 107, 227... Setting data, 108, 228... Display control unit, 109. User terminal interface 121, 229 ... Market data management unit, 122, 230 ... Market transaction management unit, 123, 231 ... Market system interface, 201 ... Browser, 600 ... Computer, 601 ... CPU, 602 ... Memory, 603 ... Audio output device, 604 ... Network interface, 605 ... Display controller, 606 ... Display, 607 ... Input device interface, 608 ... -Keyboard, 609 ... Mouse, 610 ... External storage device, 611 ... External recording medium drive device, 612 ... Bus, 620 ... Network, 630 ... External recording medium

Claims (7)

Quotation data acquisition means for acquiring quotation data of financial products traded in a trading market;
A quote price analysis means for obtaining a quote quantity fluctuation range representing a relative fluctuation status of the quote quantity from the quote data;
When it is determined that the quoted quantity fluctuation range obtained by the quote analysis unit satisfies a trading condition, a buying and selling sign determining unit that determines a buying and selling sign of a corresponding financial product;
An automatic buying and selling system comprising trading order instruction means for giving a trading order instruction for the corresponding financial product based on the determined trading sign. In the automatic trading system according to claim 1,
2. The automatic trading system according to claim 1, wherein the quotation quantity fluctuation range set as the trading condition includes both a bid price and a bid price. In the automatic trading system according to claim 1,
The automatic buying and selling system, wherein the buying and selling conditions include a condition regarding the range of fluctuations in the quantity of quotations in at least a plurality of different periods. In the automatic trading system according to claim 1,
The automatic buying and selling system, wherein the buying and selling conditions further include a condition for the indicative quantity. Quote data acquisition step for acquiring quote data of financial products traded in a trading market;
A quote price analysis step for obtaining a quote quantity fluctuation range representing a relative fluctuation status of the quote quantity from the quote data,
When it is determined that the quoted amount fluctuation range obtained by the quote analysis step satisfies a trading condition, a buying and selling sign determining step for determining a trading sign of a corresponding financial product;
An automatic buying and selling method comprising a buying and selling order instruction step for giving a buying and selling order instruction for the corresponding financial product based on the determined buying and selling sign. Computer
Quote data acquisition means for acquiring quote data of financial products traded in a trading market,
A quote price analysis means for obtaining a quote quantity fluctuation range representing a relative fluctuation situation of the quote quantity from the quote data,
When it is determined that the quoted quantity fluctuation range obtained by the quote analysis unit satisfies a sale condition, a sale / signature determination unit that determines a sale / signature of a corresponding financial product, and
A program for functioning as a trading order instruction means for performing a trading order instruction for the corresponding financial product based on the determined trading signature. Quotation data acquisition means for acquiring quotation data of financial products traded in a trading market;
A quote price analysis means for obtaining a quote quantity fluctuation range representing a relative fluctuation status of the quote quantity from the quote data;
When it is determined that the quoted amount fluctuation range obtained by the quote analysis unit satisfies a trading condition, a buying and selling sign determining unit that determines a buying and selling sign of a corresponding financial product;
An automatic trading system comprising at least a notifying means for notifying the determined trading sign.