JP4688912B2 - VWAP hybrid system - Google Patents

Description

  The present invention relates to a processing system in the case where a large order placed in a financial market is traded using a volume-weighted average value (hereinafter referred to as “VWAP value”).

  VWAP value, which is a value that equalizes price fluctuation when ordering to a financial market, such as an institutional investor, when placing an order in the financial market, and specifying the transaction by “marketing” or “limit” You may specify a transaction to use.

  Among these trading methods, there is a risk that the contract price may fluctuate unexpectedly in the “marketing” trading method, and buying and selling may not be successful in the trading method performed at “limit”. There is a risk of being. Also, when institutional investors place a large number of orders on the general financial market (stock exchange) using “marketing” or “limit” trading methods, the ordering party's own order is in a disadvantageous direction for the ordering party. There is a risk that the price will move, so-called market impact will occur.

  On the other hand, it is known that the transaction method using the VWAP value can reduce these risks. For this reason, in the fund management of an ordering party that places a large amount of orders, such as institutional investors, it is important how to use transactions performed using VWAP values.

  In recent years, transaction methods for processing large orders using the VWAP value include VWAP guarantee transactions (see, for example, Non-Patent Document 1 and Non-Patent Document 2), and VWAP crossing transactions (for example, see Non-Patent Document 3). )) Is known.

Nomura Securities Co., Ltd. “VWAP Guarantee Transaction” (URL: http://www.nomura.co.jp/service/deal/rule/vwap.html: Search 2008.7.25) Matsui Securities Co., Ltd. “VWAP Guarantee Transaction Manual” (URL: http://www.matsui.co.jp/service/kitei/pdf/stock/vwap.pdf: Search 2008.7.25) Japan Securities Industry “Instinet Securities Trading Method Details” (URL: http://pts.offexchange.jp/html/11178besi.html: Search 2008.7.25)

  A transaction processing method using these VWAP values will be described with reference to FIGS. FIG. 8 is a conceptual diagram showing a processing method by VWAP guarantee transaction, and FIG. 9 is a conceptual diagram showing a processing method by VWAP crossing transaction.

  As shown in Fig. 8, VWAP guarantee trading is a relative transaction in which a securities company is a trading partner and makes a deal, mainly using the VWAP values of the front and back exchanges on the day of trading on the stock exchange. is there. In this VWAP guarantee transaction, the contract price is not the VWAP value itself, but is higher than the VWAP value in the case of a buy order and lower than the VWAP value in the case of a sell order. These price differences (spreads) are the earnings of the securities company. The difference between the sell order and the buy order is adjusted by placing the securities company in the financial market after holding it as its own position. In recent years, in order to efficiently perform such adjustment, a division (slicing) order by algorithm trade has been performed.

  As shown in Fig. 9, VWAP crossing transactions are securities companies that have PTS (private trading system) mainly using the prices announced by the former and closing stock exchanges throughout the day of trading on the stock exchange. However, this is a transaction that crosses orders between customers (crossing). In this VWAP crossing transaction, an institutional investor, such as an institutional investor, is a securities company using telephone, facsimile, e-mail, or other electronic methods by the end of the order reception time for multiple trading opportunities (sessions) per day. The securities company collects trading orders from institutional investors, etc. on the system, and systematically combines trading orders with a certain order and algorithm so that the number of successful trading is maximized. Make a deal. Note that the difference between the sell order and the buy order is an invalid order.

  Thus, since VWAP guarantee transactions and VWAP crossing transactions are completely different and independent methods each having unique characteristics, these transactions are treated as separately provided services.

  However, since the VWAP guarantee transaction is a relative transaction, the securities company must hold the difference between the sell order and the buy order as its own position to hold the price fluctuation risk. As a result, institutional investors, etc. There is a problem that the spread, which is the cost to be paid to a securities company, becomes high. In addition, since tradeable brands are mainly designated by securities companies as brands with high liquidity, there is a problem that the brands to be traded are limited and convenience is low. Furthermore, for securities firms, even when slicing orders based on algorithmic trades are used when adjusting their own positions resulting from the difference between selling and buying orders from institutional investors by placing orders in the financial market. There is a problem that there is a risk that the price will deviate greatly.

  In addition, in VWAP crossing transactions, there is a bias in the number of orders between buy orders and sell orders, and if the difference is large, all trade differences are invalid orders. There was a problem that it was difficult to stick. In addition, there was a problem for brokerage companies because they could not earn commissions for such expired orders, resulting in a large opportunity loss.

  The present invention has been made in view of such problems of the prior art, and the object of the present invention is to improve the contract rate, reduce the burden on the orderer of institutional investors, etc., and increase the market impact. It is to provide a VWAP hybrid system that can process large orders efficiently using VWAP values without giving.

  In order to achieve the above object, the VWAP hybrid system of the present invention is set by an ordering source side input / output terminal that receives the order conditions set by the ordering source and displays the notified information, and a market maker. A market maker-side input / output terminal in which order conditions are input and the notified information is displayed, and a condition set by the ordering source is received, and a VWAP crossing transaction is performed based on the condition, and the ordering source-side input / output terminal It is possible to send and receive information between the VWAP crossing system that notifies the result of the VWAP crossing transaction and the information system that captures the VWAP value determined after the exchange closes, and the VWAP crossing transaction Include an acceptable spread value that can be accepted to fill a stale order when a stale order occurs at An order source side condition accepting means for accepting and storing an order condition set by the order origin from the order source side input / output terminal; and the market maker including an acceptance spread value necessary for causing the market maker to execute the invalid order. A rating value is calculated based on a market maker side condition accepting means for accepting and storing the set order conditions from the market maker side input / output terminal, a ratio of accepting the invalid order for each market maker, and a response time from notification to acceptance. When the rating value management means to be stored and the VWAP crossing system are notified of the occurrence of the expired order, the order condition stored in the ordering side condition receiving means and the market maker side condition receiving means are stored. Order conditions and the rate A forwarding destination determining means for determining a forwarding destination suitable for the revocation order from a plurality of market makers based on the rating value stored in the market value management means, and the market maker side of the forwarding destination determined by the forwarding destination determination means The I / O terminal is notified of the brand of the expired order and the conditions set by the ordering party, and when the market maker at the forwarding destination accepts the invalidated order, the market maker side I / O terminal and the ordering side I / O terminal are temporarily Notify the contract, store the provisional contract, and when the market maker of the forwarding destination does not accept the invalidation order, request the forwarding destination determining means to determine a new forwarding destination. A provisional execution management means for transmitting the response time of the information to the rating value management means, and confirmation from the information system after closing The contract management means for taking in the VWAP value, determining the provisional contract as the actual contract using the VWAP value, and notifying the market maker side input / output terminal and the ordering source side input / output terminal of the contract. It is characterized by that.

  In the VWAP hybrid system of the present invention, when there is no forwarding destination that matches the revoked order, the forwarding destination determining means notifies the market maker side I / O terminal of the revoked order as a note of interest, and It is preferable that the market maker can be configured to additionally set the acceptance spread value via the market maker input / output terminal.

  Further, the VWAP hybrid system according to the present invention is configured such that the provisional commitment management means regards the provisional agreement of the invalid order as being automatically accepted without notifying the market maker side input / output terminal. Also good.

  According to the present invention, the VWAP can improve the contract rate, reduce the burden on the orderer of institutional investors, etc., and can process large orders using VWAP values efficiently without giving a market impact. A hybrid system can be provided.

  Hereinafter, the present invention will be described in detail based on illustrated embodiments. FIG. 1 is a schematic diagram showing a schematic configuration of a VWAP hybrid system according to an embodiment of the present invention. FIG. 2 is a schematic diagram conceptually showing an example of an ordering instruction screen displayed on the ordering source input / output terminal by the VWAP hybrid system according to the embodiment of the present invention. FIG. 3 is a schematic diagram conceptually illustrating an example of a market make screen displayed on the market maker side input / output terminal by the VWAP hybrid system according to the embodiment of the present invention. FIG. 4 is a flowchart showing a procedure of processing performed by the market maker side input / output terminal for the VWAP hybrid system according to the embodiment of the present invention. FIG. 5 is a flowchart showing a procedure of processing performed by the ordering source side input / output terminal for the VWAP hybrid system according to the embodiment of the present invention. FIG. 6 is a flowchart showing a procedure of processing performed by the VWAP crossing system for the VWAP hybrid system according to the embodiment of the present invention. FIG. 7 is a flowchart showing a procedure of processing performed by the VWAP hybrid system according to the embodiment of the present invention.

  First, the configuration of the VWAP hybrid system of this embodiment will be described with reference to FIG. A server 1 of an order execution company such as a securities company is provided with a VWAP hybrid system 11, a VWAP crossing system 12, and an information system 13 of this embodiment.

  The server 1 is a personal computer used by an orderer such as an institutional investor or an ordering side input / output terminal 2 such as an information terminal via a communication line such as the Internet, and a personal computer used by a market maker such as a securities company. And information can be transmitted to and received from the market maker side input / output terminal 3 which is an information terminal or the like.

  The VWAP hybrid system 11 includes an orderer side condition accepting unit 11a, a market maker side condition accepting unit 11b, a forwarding destination determining unit 11c, a rating value managing unit 11d, a provisional contract managing unit 11e, and a real contract managing unit 11f. And.

  The order source side condition accepting unit 11a is constituted by a data management system such as a database, and accepts and stores the order conditions set by the order source from the order source side input / output terminal 2, and forward destination determining unit 11c. It is comprised so that it may transmit according to the request | requirement from.

  Further, the market maker side condition accepting means 11b is composed of a data management system such as a database, and accepts and stores the order conditions set by the market maker from the market maker side input / output terminal 3, and requests from the forwarding destination determining means 11c. Is configured to transmit in response to.

  Further, the forwarding destination determining means 11c is stored in the order receiving side condition accepting means 11a when notified of the occurrence of an invalid order from the VWAP crossing system 12 or when requested by the provisional execution managing means 11e. The order condition set by the ordering source, the order condition set by the market maker stored in the market maker-side condition accepting means 11b, and the rating value stored in the rating value managing means 11d are extracted, and a plurality of them are extracted based on them. The optimum forwarding destination is determined from among the market makers, and the forwarding destination is transmitted to the provisional agreement management means 11e.

  When there is no forwarding destination that matches the conditions set for the invalid order and the forwarding destination cannot be determined, the forwarding destination determination unit 11c pays attention to the invalid order to the market maker side input / output terminal 3. Process to notify as a brand.

  The rating value management means 11d is composed of a data management system such as a database. The rating value management means 11d receives, from the provisional agreement management means 11e, the ratio and response time at which the market maker as the forwarding destination has accepted the invalid order, The rating value is calculated and stored, and the rating value is transmitted in response to a request from the forwarding destination determining means 11c.

  Further, the provisional agreement managing means 11e first notifies the market maker side input / output terminal 3 of the forwarding market maker determined by the forwarding destination determining means 11c of the brand and the condition set by the ordering source. When the forwarding market maker accepts the invalidation order, it notifies the ordering source input / output terminal 2 and the market maker side input / output terminal 3 of the provisional agreement, stores the provisional agreement, and the forwarding market maker submits the invalidation order. If not accepted, the forwarding destination determination means 11c is requested to determine a new forwarding destination, and finally, a process for transmitting the approval / disapproval and the response time from notification to acceptance to the rating value management means 11d is performed. It consists of programs.

  Further, the contract management means 11f first takes in the confirmed VWAP value announced by the exchange from the information system 13 after closing, and uses the VWAP value to confirm the provisional contract as the actual contract. It is configured by a program for performing a process for notifying the order source side input / output terminal 2 and the market maker side input / output terminal 2 of the notification of this contract.

  Next, the ordering source input / output terminal 2 will be described with reference to FIGS. As shown in FIG. 2, the ordering side input / output terminal 2 displays an ordering instruction screen 21 having an order detail setting unit 21 a and an allowable spread value setting unit 21 b.

  In addition, the order content setting unit 21a is provided with an input field for setting conditions of VWAP crossing transactions such as a stock code, a type of buying / selling, a quantity, an order valid time, etc., as in the setting items in the conventionally known stock transactions. ing.

Further, the allowable spread value setting unit 21b, and the forward selection column 21b ₁ is a check box for selecting whether to forward the revocation order when expired orders at VWAP Crossing transaction to a market maker, the revocation order And an allowable spread value setting field 21b ₂ for inputting an allowable spread value acceptable by the ordering party.

  In this way, the ordering source side input / output terminal 2 uses the ordering condition input by an ordering source such as an institutional investor via the ordering instruction screen 21 to execute the order execution by a securities company or the like via a communication line such as the Internet. It is configured to transmit to the company server 1. In addition, when there is a notification from the server 1 regarding the expiration of an order, provisional agreement, actual agreement, or the like, a screen corresponding to the notification is displayed.

  Next, the market maker side input / output terminal 3 will be described with reference to FIGS. 1 and 3. As shown in FIG. 3, the market maker side input / output terminal 3 displays a market make screen 31 having an acceptance condition setting unit 31a, a forward order transaction unit 31b, and a noticeable brand display unit 31c.

The acceptance condition setting unit 31a automatically accepts the acceptance condition setting field 31a ₁ for inputting the condition including the acceptance spread value necessary for the market maker to execute the invalid order, and the forwarded invalid order. An automatic acceptance setting field 31a ₂ which is a check box for selecting whether or not to perform is provided. Note that the acceptance condition setting section 31a _1, other setting field acceptance spread values, as in the conventional spread input items, and trading each quantities ranging from a plurality of spread pattern for each brand, upper holdings A setting field for inputting the position and valid / invalid of the setting contents is provided.

In addition, in the forward order transaction section 31b, a forward order content display field 31b ₁ for displaying the name of the brand and trade related to the forwarded expired order, the order quantity, the allowable spread value, etc., and the forwarded expired order are displayed. An agreement acceptance selection field 31b ₂ is provided for selecting whether to accept or not.

Further, in the attention issue display section 31c, an issue issue information display column 31c ₁ for displaying, as an issue issue, the issue name of an expired order for which no suitable forwarding destination has been found, and an expired order displayed as an issue issue. And an additional acceptance setting field 31c ₂ for selecting whether to accept by adding a condition such as an acceptance spread value.

  In this way, the market maker side input / output terminal 3 determines whether or not the order conditions entered by the market maker via the market make screen 31 and whether or not the order is acceptable, via a communication line such as the Internet, a server of an order execution company such as a securities company. 1 to transmit to. In addition, when there is a notification from the server 1 regarding the expiration of an order, provisional agreement, actual agreement, or the like, a screen corresponding to the notification is displayed.

  In the securities trading market, there are a large number of issues that can be traded, so market makers do not necessarily set conditions for accepting all of them in advance when they become invalid orders. Of course, it may occur when there is no forwarding destination. However, if an expired order with no such forwarding destination is notified and presented as a note of interest, the market maker can make additional settings including acceptance spread values based on the notification. Increasing rates and reducing opportunity losses will be more efficient. Therefore, in the present invention, the market maker side input / output terminal 3 is configured to display, as described above, an expired order for which an appropriate forwarding destination has not been found as a note of interest.

  Note that it is preferable to present only the brand name as the brand of interest. This is because if there is a fact that there is a large order that clearly indicates the type of sale or quantity, so-called front running may occur where trading is performed in anticipation of future market trends. .

  Next, with reference to FIG. 1 to FIG. 6, the processing procedure performed by the VWAP hybrid system according to the present embodiment, and the VWAP hybrid system, the market maker side input / output terminal, ordering input / output terminal, and VWAP crossing A procedure of processing performed by the system will be described.

  First, using FIG. 1, FIG. 3, and FIG. 4, the procedure of the process performed by the market maker side input / output terminal 3 from the input of the condition on the market maker side to the transmission of the condition will be described.

  When the market maker inputs conditions such as acceptance spread values according to brands, trades, and quantities to the market maker side input / output terminal 3 (step S1), the market maker side input / output terminal 3 inputs the conditions to the market maker. When a revocation order conforming to the above is forwarded, a selection is made as to whether or not to accept automatically (step S2). Thereafter, the market maker side input / output terminal 3 transmits the input contents to the server 1 of the order execution company via a line such as the Internet and stores it in the market maker side condition receiving means 11b of the VWAP hybrid system 11 ( Step S3).

  Next, a procedure of processing performed by the ordering source side input / output terminal 2 from the input of the ordering side condition to the transmission of the condition will be described with reference to FIGS.

  When the ordering source inputs conditions such as the order brand, trading, order quantity, order valid time, etc. for the VWAP crossing transaction to the ordering source side input / output terminal 2 (step S4), the ordering source side input / output terminal 2 Originally, when an order for a VWAP crossing transaction becomes a revoked order, a selection is made as to whether or not to forward the revoked order (step S5). If the ordering party wishes to forward, the ordering source side input / output terminal 2 further sets an allowable spread value that can be accepted for the invalid order (step S6), and sets the allowable spread value. Then, the data is transmitted to the server 1 of the order execution company via a line such as the Internet, and stored in the ordering side condition receiving means 11a of the VWAP hybrid system 11 (step S7). On the other hand, when the orderer does not wish to forward, such setting and transmission of the allowable spread value are not performed. After performing these processes, the ordering source input / output terminal 2 transmits the order to the server 1 of the order execution company via a line such as the Internet, and places an order to the VWAP crossing system 12 (step S8).

  Next, a procedure of processing performed by the VWAP crossing system 12 from the order of the VWAP crossing transaction to the start of processing of the invalid order will be described with reference to FIGS.

  When an order is placed from the ordering source input / output terminal 2, the VWAP crossing system 12 performs a VWAP crossing transaction (step S9), and confirms whether or not a revoked order exists after the VWAP crossing transaction ends. Is performed (step S10). If there is a revoked order, the VWAP crossing system 12 checks whether or not the revoked order is desired to be forwarded (step S11). Thereafter, if the revoked order is one that is desired to be forwarded, the VWAP crossing system 12 notifies the forwarding destination determination means 11c of the VWAP hybrid system 11 of the occurrence of the revoked order (step S12). If there is no expired order, or if the expired order is not desired to be forwarded, the VWAP crossing system 12 notifies the orderer input / output terminal 2 of the transaction end result. (Step S13).

  Next, a procedure of processing performed by the VWAP hybrid system 11 of the present invention from notification of occurrence of a revoked order to finalization of this contract will be described using FIG. 1 and FIG.

  First, the forwarding destination determination unit 11c of the VWAP hybrid system 11 receives a notification of the occurrence of a revoked order from the VWAP crossing system 12 (step S14), and records it in the ordering side condition receiving unit 11a regarding the revoked order. The condition set by the ordering source and the condition set by the market maker recorded in the market maker side condition accepting means 11b are confirmed (step S15). Then, the forwarding destination determination means 11c searches for a suitable market maker based on the conditions set by the ordering source and the conditions set by the market maker (step 16).

  If there is a matching market maker as a result of the search (step S17), the forwarding destination determining unit 11c checks the rating value recorded in the rating value managing unit 11d for each market maker (step S18), and the market maker. The optimum one is determined as the forwarding destination (step S19), and information such as the conditions set by the forwarding destination is transmitted to the provisional agreement management means 11e.

  Thereafter, the provisional contract management means 11e of the VWAP hybrid system 11 forwards the invalid order to the market maker side input / output terminal 3 of the market maker determined as the forwarding destination (step S20). When the forwarding destination accepts the invalid order, or when the forwarding destination is set to automatically accept the invalid order (step S21), the provisional agreement managing means 11e The provisional agreement is confirmed (step S22), the acceptance / rejection of the forwarded market maker and the response time are transmitted to the rating value management means 11d to calculate and store the rating value (step S23), and the ordering side input / output terminal 2 is notified of the provisional contract (step S24), and the information is transmitted to the contract management means 11f. On the other hand, if the forwarding destination does not accept the invalid order (step S21), the provisional agreement management means 11e requests the forwarding destination determination means 11c to determine a new forwarding destination and forwards it. The acceptance / rejection of the market maker and the response time are transmitted to the rating value management means 11d to calculate and store the rating value (step S25).

  If there is no matching market maker as a result of the search (step S17), the forwarding destination determining unit 11c notifies the market maker side input / output terminal 3 of each market maker as the brand of the expired order as the brand of interest. (Step S26).

  After that, when a condition that matches from the market maker is added to the invalid order notified as the note of interest and accepted (step S27), the provisional agreement management means 11e finalizes the provisional agreement (step S22). On the other hand, if the conditions matching the invalid order are not added and not accepted (step S27), the provisional agreement management means 11e notifies the ordering source input / output terminal 2 that the order has expired. (Step 28).

  The contract management means 11f of the VWAP hybrid system 11 that has received the notification that the provisional contract has been confirmed fetches the confirmed VWAP value from the information system 13 after the exchange closes (step S29), and uses the VWAP value. The provisional contract is confirmed as the actual contract (step S30), and the confirmation of the final contract is notified to the ordering side input / output terminal 2 and the market maker side input / output terminal 3 (step S31).

  As described above, according to the VWAP hybrid system of the present invention, conventionally, as a system for processing a large order using a VWAP value in a securities trading market, The advantages of both VWAP crossing transactions can be exploited.

  For this reason, if the VWAP crossing transaction is possible with the orderer only once, the orderer can process all of the large orders at once, and the revoked order cannot be processed with the VWAP crossing transaction. Even if a problem occurs, the possibility of processing can be searched using the VWAP value to which an allowable spread value is added to the invalid order.

  Therefore, according to the VWAP hybrid system of the present invention, the contract rate is improved, the burden on the orderer of institutional investors, etc. is reduced, and large orders are efficiently placed using the VWAP value without giving a market impact. Can be processed.

  The present invention is useful in the field of providing large order services in the financial transaction market.

It is a schematic diagram which shows schematic structure of the VWAP hybrid system based on the Example of this invention. It is a schematic diagram which shows notionally an example of the ordering instruction | indication screen displayed on the ordering source side input / output terminal by the VWAP hybrid system based on the Example of this invention. It is a schematic diagram which shows notionally an example of the market make screen which the VWAP hybrid system based on the Example of this invention displays on a market maker side input / output terminal. It is a flowchart which shows the procedure of the process which a market maker side input / output terminal performs with respect to the VWAP hybrid system which concerns on the Example of this invention. It is a flowchart which shows the procedure of the process which the order origin side input / output terminal performs with respect to the VWAP hybrid system which concerns on the Example of this invention. It is a flowchart which shows the procedure of the process which a VWAP crossing system performs with respect to the VWAP hybrid system which concerns on the Example of this invention. It is a flowchart which shows the procedure of the process which the VWAP hybrid system based on the Example of this invention performs. It is a conceptual diagram which shows the processing method by VWAP guarantee transaction. It is a conceptual diagram which shows the processing method by VWAP crossing transaction.

Explanation of symbols

DESCRIPTION OF SYMBOLS 1 Server 11 VWAP hybrid system 11a Order origin side condition reception means 11b Market maker side condition reception means 11c Forwarding destination determination means 11d Rating value management means 11e Temporary execution management means 11f Regular execution management means 12 VWAP crossing system 13 Information system 2 Ordering source side input / output terminal 21 Order instruction screen 21a Order content setting part 21b Allowable spread value setting part 21b _One-time feed selection field 21b ₂ Allowable spread value setting field 3 Marketmaker side input / output terminal 31 Market make screen 31a Acceptance condition setting part 31a ₁ Acceptance condition setting field 31a ₂ Automatic acceptance setting field 31b Forward order transaction part 31b _One-time order content display field 31b ₂ Contract acceptance selection field 31c Attention symbol display part 31c ₁ Attention symbol information display field 31c ₂ Additional acceptance setting field

Claims (3)

I / O terminal on the ordering side where the conditions of the order set by the ordering source are input and the notified information is displayed,
An input / output terminal on the market maker side where the conditions of the order set by the market maker are input and the notified information is displayed,
A VWAP crossing system that accepts the conditions set by the ordering party, performs a VWAP crossing transaction based on the conditions, and notifies the ordering source side input / output terminal of the result of the VWAP crossing transaction;
An information system that captures the VWAP value determined after closing the exchange;
Can send and receive information between
An order that accepts and stores the order conditions set by the ordering source from the ordering source input / output terminal including an allowable spread value that can be accepted to fill the expired order when an invalid order occurs in the VWAP crossing transaction Original condition receiving means,
A market maker side condition accepting means for accepting and storing an order condition set by the market maker including an acceptance spread value necessary for the market maker to execute the expired order, from the market maker side input / output terminal;
Rating value management means for calculating and storing a rating value based on the ratio of accepting the expired order for each market maker and the response time from notification to acceptance;
When the occurrence of the invalid order is notified from the VWAP crossing system, the order condition stored in the order source condition receiving means, the order condition stored in the market maker condition receiving means, and the rating value Forwarding destination determination means for determining a forwarding destination that matches the revocation order from the plurality of market makers based on the rating value stored in the management means;
The market maker side input / output terminal of the forwarding destination determined by the forwarding destination determining means is notified of the brand of the invalid order and the conditions set by the ordering source, and the market maker of the forwarding destination accepts the invalid order. The temporary input / output terminal and the ordering source input / output terminal are notified of the provisional agreement, the provisional agreement is stored, and when the market maker of the forwarding destination does not accept the invalid order, a new forwarding destination is sent to the forwarding destination determination means. Provisional agreement management means for requesting the determination, and sending the response value from acceptance to notification and acceptance to the rating value management means,
The VWAP value determined from the information system after the closing is taken in, the provisional contract is confirmed as the actual contract using the VWAP value, and the market contract is notified to the market maker side input / output terminal and the ordering side input / output terminal. This contract management means,
A VWAP hybrid system comprising:   When there is no forwarding destination that matches the revocation order, the forwarding destination determination means notifies the market maker side I / O terminal of the revocation order as a note of interest, and the market maker receives the revocation order via the market maker I / O terminal. The VWAP hybrid system according to claim 1, wherein the acceptance spread value can be additionally set.   3. The VWAP hybrid system according to claim 1, wherein the provisional commitment management unit considers that the provisional commitment of the revocation order is automatically accepted.

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