JP4929184B2 - 証券取引注文スライサのコンピュータ装置および演算デバイス - Google Patents
証券取引注文スライサのコンピュータ装置および演算デバイス Download PDFInfo
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- JP4929184B2 JP4929184B2 JP2007545508A JP2007545508A JP4929184B2 JP 4929184 B2 JP4929184 B2 JP 4929184B2 JP 2007545508 A JP2007545508 A JP 2007545508A JP 2007545508 A JP2007545508 A JP 2007545508A JP 4929184 B2 JP4929184 B2 JP 4929184B2
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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
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- G—PHYSICS
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- 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
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Description
At2+Bt+C=時間“t”に対する小口注文の出来高(式1)
式中、変数A、BおよびCは、市場データの統計分析により導出されるか又は初期取引パラメータ145として入力され、且つ、“t”は取引されるべき所定の小口注文に対する段増的時間を表す。
(A+5)t2+Bt+C=時間“t”に対する小口注文の出来高(式2)
Asin2t+(B−1)2cos32t+D=時間“t”に対する小口注文の出来高(式3)
102 市場指示
110 注文管理システム(OMS)
111 チャネル
112 OMSメモリ
113 チャネル
119 市場
120 注文スライサ
124 注文スライサ計算器
126 メモリ
130 注文スライサ制御器
131 取引戦略
133 取引パラメータ
135 注文スライサ制御器用インタフェース
136 取引パラメータ
137 バス
140 取引体
141 取引パラメータ
145 初期取引パラメータ
151 注文番号フィールド
152 注文規模フィールド
153 買い/売りフィールド
154 金融商品名フィールド
155 開始時刻フィールド
156 終了時刻フィールド
157 指し値
159 注文
163 取引戦略
170 市場データベース
172 市場売買高記録器
173 市場データ
174 市場予測器
175 市場記録
177 市場予測
181 OSC受信器
183 OSC送信器
184 取引戦略
185 取引方針
187 リアルタイム取引パラメータ
188 変更可能な取引パラメータ
189 注文スライサ制御器(OSC)計算器
200 インタフェース
210 有効注文画面
220 平均日計出来高(ADV)ウィンドウ
230 実行割合ウィンドウ/実行ウィンドウ
232 摺動バー/スライダ
299 強制制御ボタン
300 視覚的インタフェース
302 価格表示
304 出来高表示
310 予想割合曲線
320 取引出来高グラフ
325 タイミング・バー
330 左縁部
335 有効時間(TIF)バー
340 左側部
350 右側部
360 目標取引曲線/目標百分率取引曲線
365 実行済み小口注文売買高
400 視覚的インディケータ
500 方法
510〜590 ステップ
600 コンピュータ・システム
610 注文スライサ制御器用プロセッサ
615 メモリ
620 プログラム
630 ネットワーク
635 記憶媒体
660 注文スライサ用プロセッサ
670 メモリ
680 プログラム
690 記憶媒体
Claims (8)
- ユーザから電子証券取引注文を受信するように構成された第1受信チャネルと;
注文について取引の制御をユーザにとって可能にする選択された電子証券取引戦略を、ユーザから上記電子証券取引注文と同時に受信するように構成された第2受信チャネルとを備えており、
上記注文および上記選択された取引戦略を処理することによって、上記選択された取引戦略を上記注文に関連付けるようにさらに構成されている証券取引注文スライサのコンピュータ装置であって、
上記第2受信チャネルを介して受信された上記選択された取引戦略に従い、上記証券取引注文を果たすための目標取引割合にもとづいて、1つ以上の小口注文を自動的に計算し、上記電子証券取引注文を上記1つ以上の電子証券取引小口注文へと小口化するように作用的に構成された計算器と
上記選択された電子証券取引戦略を上記1つ以上の電子証券取引小口注文に関連付けて記憶し得るメモリと
をさらに備えており、
上記計算器が、上記メモリに記憶された上記1つ以上の電子証券取引小口注文のうちの1つ以上を、後に選択されて上記第2受信チャネルを介して取引体から受信される取引戦略にもとづいて、自動的に再計算するように作用的に構成されている証券取引注文スライサのコンピュータ装置。 - 前記第1および第2受信チャネルは論理的チャネルである、請求項1記載の証券取引処理注文スライサのコンピュータ装置。
- 前記注文スライサは、前記第1受信チャネルを介して注文管理システムに対して作用的に接続されると共に、前記第2受信チャネルを介してユーザ・インターフェースに対して作用的に接続される、請求項1記載の証券取引処理注文スライサのコンピュータ装置。
- 前記ユーザは取引体である、請求項1記載の証券取引処理注文スライサのコンピュータ装置。
- ユーザと、市場データベースと、注文スライサとに対して作用的に接続され、電子証券取引注文の小口化を制御するインターフェースを備えており、
上記インターフェースが、
上記ユーザから第1チャネルを介して電子証券取引注文戦略を受信すべく作用的に構成され、上記注文の係属中に上記市場データベースから第2チャネルを介して注文データおよび関連の電子市場データを受信するようにさらに構成された受信器と
上記電子証券取引戦略および上記電子市場データにもとづいて、上記電子証券取引戦略の変更を計算する計算器と
上記小口注文に関係付けられた取引パラメータを記憶すべく作用的に構成されたメモリと、
上記注文スライサに対して第3チャネルを介して上記電子証券取引戦略または上記変更可能な取引パラメータのうちの少なくとも1つを送信すべく作用的に構成された送信器とを備えて成る証券取引処理の演算デバイスであって、
上記ユーザからのただ1つの命令に応答して上記注文スライサにおける上記注文の小口化が変化する証券取引処理の演算デバイス。 - 前記受信器は更に、前記注文スライサから1つ以上のリアルタイム取引パラメータを第4チャネルを介して受信するように作用的に構成され、前記計算器が、前記取引戦略または前記変更可能な取引パラメータを、前記電子証券取引戦略、前記1つ以上の取引パラメータ、および前記電子市場データにもとづいて計算する、請求項5記載の証券取引処理の演算デバイス。
- 前記送信器は更に、前記市場データベースと、前記ユーザからの市場指示とを制御するコントローラに対し、作用的に接続され且つ通信すべく構成される、請求項5記載の証券取引処理の演算デバイス。
- 前記インターフェースは、前記受信器および前記送信器を介し、単一指示を伝える、マウス、マイクロフォン、キーボード、押ボタン、および、タッチスクリーンから成るユーザ・デバイスと作用的に通信する、請求項5記載の証券取引処理の演算デバイス。
Applications Claiming Priority (3)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
US11/009,194 US8140423B2 (en) | 2004-12-10 | 2004-12-10 | Controlling an order slicer for trading a financial instrument |
US11/009,194 | 2004-12-10 | ||
PCT/US2005/042735 WO2006065494A2 (en) | 2004-12-10 | 2005-11-23 | Controlling an order slicer for trading a financial instrument |
Publications (2)
Publication Number | Publication Date |
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JP2008523501A JP2008523501A (ja) | 2008-07-03 |
JP4929184B2 true JP4929184B2 (ja) | 2012-05-09 |
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Application Number | Title | Priority Date | Filing Date |
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JP2007545508A Active JP4929184B2 (ja) | 2004-12-10 | 2005-11-23 | 証券取引注文スライサのコンピュータ装置および演算デバイス |
Country Status (7)
Country | Link |
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US (3) | US8140423B2 (ja) |
EP (2) | EP2428929A1 (ja) |
JP (1) | JP4929184B2 (ja) |
CN (1) | CN101120371A (ja) |
AU (1) | AU2005316891B2 (ja) |
CA (1) | CA2590069C (ja) |
WO (1) | WO2006065494A2 (ja) |
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JPH06236383A (ja) * | 1993-02-10 | 1994-08-23 | Hitachi Ltd | ポジション最適化方式及びシステム |
JP2004531828A (ja) * | 2001-06-20 | 2004-10-14 | モルガン・スタンレー | ガンマ取引ツール |
JP2006516166A (ja) * | 2002-09-09 | 2006-06-22 | バーラ インク | ネットワーク・ベースのポートフォリオ管理およびリスク分析のための方法および装置 |
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EP2428929A1 (en) | 2012-03-14 |
US20120197778A1 (en) | 2012-08-02 |
WO2006065494A3 (en) | 2007-01-18 |
AU2005316891A1 (en) | 2006-06-22 |
US8140423B2 (en) | 2012-03-20 |
EP1839252A2 (en) | 2007-10-03 |
US8290855B2 (en) | 2012-10-16 |
JP2008523501A (ja) | 2008-07-03 |
US20060129473A1 (en) | 2006-06-15 |
CA2590069A1 (en) | 2006-06-22 |
EP1839252A4 (en) | 2009-07-22 |
WO2006065494A2 (en) | 2006-06-22 |
US8392319B2 (en) | 2013-03-05 |
AU2005316891B2 (en) | 2011-10-27 |
CN101120371A (zh) | 2008-02-06 |
US20120179629A1 (en) | 2012-07-12 |
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