JP2009535702A - 電子証券取引のための注文管理システム及び方法 - Google Patents
電子証券取引のための注文管理システム及び方法 Download PDFInfo
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
Abstract
Description
にとって代わる。誘起されたストップ注文は、更に、ウォッチリストにおけるシンボルの基準カウント(ref count)を減少させると共に、もしゼロならば、そのシンボルは取り除かれる。
“mvi=価格(price)×出来高(volume)×Ri”
その結果、ポートフォリオは、原資産グループ(すなわち、同じ原資産を有するポジションのグループ)に分割される。その場合に、市場価値のリスクアレイは、以下の式のとおりに総計を求められる。
“UMVi=Σmvi”
原資産グループにおける全てのポジションが同じ原資産を有するので、それらの市場価値の変動は相互に関連付けられる。リスクアレイの各ポジションが原資産の変動の1つの可能なシナリオを表すので、原資産グループの市場価値(underlier group market value)のリスクアレイは、各シナリオに関してグループの可能な市場価値を含む。各シナリオの“Z”値及び累積確率は、原資産のリスクアレイと同じである。
120 ゲートウェイ要素
125 決算インタフェース
130 取引サーバ
133 TS1
137 TSn
140 口座データベース
150 “ltask”モジュール
151 IT1
155 注文マネージャ
157 ITm
160 帳簿サーバ
163 シンボルデータベース
165 帳簿データベース
170 XMLパブリッシャ
173 取引スタッファ
175 アーカイブデータベース
180 状態なし注文ハンドラ
190 市場監視手段
Claims (23)
- 少なくとも1人のクライアントと通信するための通信モジュールと、
口座と関連付けられると共に、前記クライアントによって特定されたタスクを処理するためのサーバとを備え、
前記サーバが、複数の口座中心のパイプラインを備えると共に、
1つ以上の口座中心のパイプラインが、それぞれ前記タスクを処理するように構成される
ことを特徴とするシステム。 - 1つ以上の口座中心のパイプラインが、それぞれ前記タスクを列に並ばせるためのパイプライン待ち行列を備える
ことを特徴とする請求項1に記載のシステム。 - 前記サーバが、実行可能なスレッドを前記タスクに割り当てると共に、前記実行可能なスレッドを1つの口座中心のパイプラインに割り当てるように構成されたパイプラインスレッドプールを更に備える
ことを特徴とする請求項1に記載のシステム。 - 1つ以上の口座中心のパイプラインが、それぞれ前記タスクのサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項1に記載のシステム。 - 1つ以上の口座中心のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記タスクのサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項1に記載のシステム。 - 前記口座中心のパイプラインが、前記口座中心のパイプラインを通して連続してタスクを処理するように構成される
ことを特徴とする請求項5に記載のシステム。 - 1つ以上のイベントプロセッサが、前記口座中心のパイプラインを通して連続してタスクを動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項6に記載のシステム。 - 前記タスクが、複数の部分から構成される取引注文である
ことを特徴とする請求項1に記載のシステム。 - 前記複数の部分から構成される取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項8に記載のシステム。 - 口座と関連付けられるタスクをパイプライン待ち行列に入れて列に並ばせる段階と、
実行可能なスレッドを前記パイプライン待ち行列内の前記タスクに割り当てると共に、前記実行可能なスレッドを1つの口座中心のパイプラインに割り当てる段階と、
前記口座中心のパイプラインを通して前記タスクを処理する段階と
を有することを特徴とする方法。 - 1つ以上の口座中心のパイプラインが、それぞれ前記タスクのサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項10に記載の方法。 - 1つ以上の口座中心のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記タスクのサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項10に記載の方法。 - 前記タスクが、前記口座中心のパイプラインを通して連続して処理される
ことを特徴とする請求項12に記載の方法。 - 前記イベントプロセッサの内の1つ以上が、前記口座中心のパイプラインを通して連続してタスクを動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項13に記載の方法。 - 前記タスクが、複数の部分から構成される取引注文である
ことを特徴とする請求項10に記載の方法。 - 前記複数の部分から構成される取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項15に記載の方法。 - その上に格納されたコンピュータ実行可能な命令を有するコンピュータ読み取り可能な媒体を含むコンピュータプログラム製品であって、
コンピュータ上で実行されたときに、
口座と関連付けられるタスクをパイプライン待ち行列に入れて列に並ばせる段階と、
実行可能なスレッドを前記パイプライン待ち行列内の前記タスクに割り当てると共に、前記実行可能なスレッドを1つの口座中心のパイプラインに割り当てる段階と、
前記口座中心のパイプラインを通して前記タスクを処理する段階と
を有する方法をコンピュータに実行するように指示することを特徴とするコンピュータプログラム製品。 - 1つ以上の口座中心のパイプラインが、それぞれ前記タスクのサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項17に記載のコンピュータプログラム製品。 - 1つ以上の口座中心のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記タスクのサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項17に記載のコンピュータプログラム製品。 - 前記タスクが、前記口座中心のパイプラインを通して連続して処理される
ことを特徴とする請求項19に記載のコンピュータプログラム製品。 - 前記イベントプロセッサの内の1つ以上が、前記口座中心のパイプラインを通して連続してタスクを動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項20に記載のコンピュータプログラム製品。 - 前記タスクが、複数の部分から構成される取引注文である
ことを特徴とする請求項17に記載のコンピュータプログラム製品。 - 前記複数の部分から構成される取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項22に記載のコンピュータプログラム製品。
Applications Claiming Priority (5)
Application Number | Priority Date | Filing Date | Title |
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US79608306P | 2006-04-28 | 2006-04-28 | |
US60/796,083 | 2006-04-28 | ||
US11/740,609 US7752123B2 (en) | 2006-04-28 | 2007-04-26 | Order management system and method for electronic securities trading |
US11/740,609 | 2007-04-26 | ||
PCT/US2007/010181 WO2007127336A2 (en) | 2006-04-28 | 2007-04-27 | Order management for electronic securities trading |
Publications (3)
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JP2009535702A true JP2009535702A (ja) | 2009-10-01 |
JP2009535702A5 JP2009535702A5 (ja) | 2010-06-24 |
JP5414520B2 JP5414520B2 (ja) | 2014-02-12 |
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JP2009507811A Active JP5414520B2 (ja) | 2006-04-28 | 2007-04-27 | 電子証券取引のための注文管理システム及び方法 |
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US (1) | US7752123B2 (ja) |
EP (1) | EP2024924A4 (ja) |
JP (1) | JP5414520B2 (ja) |
WO (1) | WO2007127336A2 (ja) |
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US7752123B2 (en) | 2010-07-06 |
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US20080015970A1 (en) | 2008-01-17 |
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