JP5373755B2 - Index calculation system, index calculation method, index calculation program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To calculate various indices concerning financial instruments markets very frequently. <P>SOLUTION: The index calculation system 100 is constituted by: an adopted price determination unit 110 that receives telegram data containing buy and sell orders of financial instruments transmitted by a system 10 of a financial instruments market via a communication unit 107, refers the telegram data to a first table 125 of a storage unit 101, determines that a price contained in the telegram data with the highest adoption priority should be an adopted price, refers stock information indicated by the telegram data to a second table 126, and identifies an index to be calculated; and an index calculation unit 111 that calculates the total amount of current prices for the identified index by applying the adopted price to a prescribed formula that corresponds to the index and is established for the index calculation system itself, and calculates the index by applying the total amount of current prices for the index to the prescribed formula established for the system itself. <P>COPYRIGHT: (C)2012,JPO&amp;INPIT

Description

  The present invention relates to an index calculation system, an index calculation method, and an index calculation program. Specifically, the present invention relates to a technique for frequently calculating various indexes in a financial product market. Note that the financial product market in the present invention refers to that defined by the Financial Product Transaction Law.

  Various indices, etc. announced in the financial products market were strong as reference values for judging market conditions. However, in recent years, with the spread of so-called algorithmic trading, automatic trading using this index is becoming active. Several methods have been proposed for determining indices that represent such market conditions.

  For example, in an index determination method for determining an index based on price information of a plurality of transaction objects, a transaction object of a transaction object group to which a predetermined number of transaction objects belong is selected as a transaction object having a first attribute and a transaction object having a second attribute. Then, select a transaction object with a third attribute different from the second attribute, set a transaction object for calculation with a fourth attribute whose price information fluctuates in conjunction with a change in price information of the transaction object with the third attribute, and set An index determination method characterized by determining an index based on the calculated price information of the fourth transaction object and the price information of the first attribute transaction object (for example, see Patent Document 1) is proposed. ing.

Japanese Patent Laid-Open No. 2001-24962

  In the algorithm trading of Patent Document 1 described above, the computer automatically places a buy / sell order for a financial product represented by stocks in accordance with the market price or trading volume of the financial product represented by stock price, so the order processing is fast, The interval between message transmissions is also shorter than before, for example, in milliseconds. Of course, with the increase in the speed and frequency of such orders, the need for promptly providing an index as a judgment material at the time of ordering increases.

  However, in the processing system on the index provider side (market side), processing is still performed in units of seconds, and the difference in processing speed with the investor side is large. From the perspective of investors, it can be said that the granularity of the index that should be used as a basis for investment decisions is coarse.

  Therefore, an object of the present invention is to provide a technique that can calculate various indices of a financial product market with high frequency.

An index calculation system of the present invention that solves the above problems includes a communication unit that communicates with other devices via a network,
Received from the financial product market system, the electronic data of the financial product buy / sell order is received via the communication unit, and the telegram data is used for each price type in the buy / sell order of the financial product, Among the prices included in the message data, the one with the highest adoption priority is determined as the adoption price. To identify an index to be calculated, and to adopt an adoption price determination unit for notifying information of the identified index to be calculated, and applying the adoption price to a predetermined formula corresponding to the identified index calculated basic numbers, the predetermined equation, the process to calculate the index by applying the basic numerical for the exponent, the exponent calculation unit for parallel execution in a separate thread for each sign species related index each to the same index, the Wait until the calculated values of all indices indicated by the information notified from the price determination unit can be acquired from each thread, obtain the calculated values of all indexes from each thread, and then acquire the data of all the indexes acquired And a merge processing unit that blocks the messages into one message and distributes the message to an external device via the communication unit . Note that the employment priority may be set in a program or stored in a table. In addition, it is preferable to use a value calculated from the market capitalization and other adopted prices as the basic index value.

Also, the index calculation method of the present invention includes a communication unit that transmits electronic data of financial product buying and selling orders transmitted from a financial product market system by a computer system having a communication unit that communicates with other devices via a network. Using the adoption priority for each price type in the purchase order of the financial product, the highest adoption priority among the prices included in each message data is determined as the adoption price, The index to be calculated is identified by using the correspondence relationship between the brand for which the brand information indicated by each message data is set in advance and the index for which the data of the corresponding brand is used for calculation, and the information on the identified index to be calculated a process to be notified, to a predetermined type corresponding to the specified index, the adopted price by applying to calculate the index for basic factors, the predetermined equation, to calculate the index by applying the basic numerical for the exponent Processing, and processing for parallel execution in a separate thread for each sign species related index each to the same exponent, from each thread waits until it can acquire Calculation value of all index indicating the information that is notified, of the total index After obtaining the calculated values, the calculated values of all the indexes are blocked and combined into one message, and the message is distributed to an external device through the communication unit .

Also, the index calculation program of the present invention is a communication unit for transmitting electronic data of financial product trading orders transmitted from a financial product market system to a computer system having a communication unit that communicates with other devices via a network. Using the adoption priority for each price type in the purchase order of the financial product, the highest adoption priority among the prices included in each message data is determined as the adoption price, The index to be calculated is identified by using the correspondence relationship between the brand for which the brand information indicated by each message data is set in advance and the index for which the data of the corresponding brand is used for calculation, and the information on the identified index to be calculated a process to be notified, to a predetermined type corresponding to the specified index, the adopted price by applying to calculate the index for basic factors, the predetermined equation, the index by applying the basic numerical for the exponent The processing constant to, waiting processing for parallel execution in a separate thread for each sign species related index each to the same index, from said each thread, to be obtained for calculating the full index indicating the information that is notified, the total After obtaining the calculated values of the indexes, the calculated values of all the indexes are blocked, combined into one message, and the message is distributed to an external device via the communication unit .

Further, the present invention includes the following aspects.
The priority of the recruitment price is set in advance in the program and used. This program is for operating the above-described index calculation system (or computer system), or for causing the index calculation system (computer system) to execute each process of the index calculation method.
In addition, the adoption price may be determined using the first table describing the adoption priority for each price type in the purchase and sale order of the financial product.
Furthermore, it is also included in the present invention to specify the process to be calculated using the second table describing the correspondence relationship between the brand and the index for which the data of the brand is used for calculation. Furthermore, it is also an aspect of the present invention to store these first and second tables in a storage unit included in an index calculation system (computer system).
Furthermore, it is preferable to use a value calculated from the market capitalization and other adopted prices as the basic index value. In the specification of the present application, what uses the market capitalization as the basic index value is expressed as the index capitalization.

  According to the present invention, various indices of the financial product market can be calculated with high frequency.

It is a network block diagram including the index calculation system of this embodiment. It is a figure which shows the hardware constitutions of the index | exponent calculation system of this embodiment. It is a figure which shows the example of a table which the index calculation system of this embodiment utilizes. It is a flowchart which shows the process sequence example of the index | exponent calculation method of this embodiment. It is a figure which shows the conceptual example of the index | exponent calculation method of this embodiment.

--- System configuration ---
Embodiments of the present invention will be described below in detail with reference to the drawings. FIG. 1 is a network configuration diagram including the index calculation system of the present embodiment. An index calculation system 100 (hereinafter, system 100) shown in FIG. 1 is a computer system that frequently calculates various indices of a financial product market. Therefore, as shown in FIG. 1, the system 100 is assumed to be connected to the financial product market system 10 and the user systems 20 such as securities companies through the network 140. The system 100 may be a server device group that is a single server device or a collection of servers each sharing a function. The financial product market system 10 distributes the electronic data of the financial product buy / sell order received from the market participant's terminal to the system 100 via the network 140. On the other hand, in the case of the conventional system, every time a message is received, the processing from the calculation of the market capitalization for the index to the calculation of the index is processed serially. In the first place it is not possible.

  Since the system 100 is a computer system, as shown in FIG. 2, a storage unit 101 such as a hard disk drive storing the program 102, a calculation unit 104 that reads the program 102 from the storage unit 101 into the memory 103 and executes it, and the like. A communication unit 107 such as a NIC (Network Interface card) that communicates with the apparatus via the network 140 is provided. Functions that should be provided as an index calculation system are implemented by the calculation unit 104 executing the program 102. Further, it is assumed that the system 100 includes a first table 125 and a second table 126 in the storage unit 101. The structure of these tables will be described later.

  Next, functional units realized by the calculation unit 104 of the system 100 executing the program 102 will be described. The system 100 receives electronic data of financial product buying and selling orders transmitted from the financial product market system 10 via the communication unit 107, and collates the electronic data with the first table 125 of the storage unit 101. In addition, the price included in each message data is determined to be the one with the highest priority for adoption, the brand information indicated by each message data is checked against the second table 126, and the index to be calculated is determined. The unit 110 is provided. In this example, data is stored in the first table, but it may be held in the program 102 itself.

  Further, the system 100 calculates the market capitalization for the index by applying the adopted price to the predetermined formula corresponding to the specified index, and applies the market capitalization for the index to the predetermined formula corresponding to the specified index. An index calculation unit 111 that calculates the index is provided. The adopted price determination unit 110 may execute the process in a different process from the index calculation unit 111 or the same process. When executed in a separate process, the functional units 110 to 112 may perform a cooperative operation by exchanging data necessary for inter-process communication, for example. Further, when executing in the same process, the threads may be operated separately. Existing technologies can be used to handle these processes and threads.

  As described above, if the processing for determining the adoption price from the telegram data is performed independently of the processing such as index calculation, even if there is a huge number of telegram data distributed frequently, This determination process can be performed at high speed (because the load is small). Since the index calculation can be performed based on the adopted price obtained by the processing in this way, the efficiency of the entire process is improved, and the index calculation at a high frequency becomes possible.

  In addition, as a predetermined formula used for calculating the market capitalization for the index, for example, “market capitalization for the index at the previous calculation” − (“adopted price at the previous calculation” × “number of shares”) + (“adopted current price”) “ד Number of shares ”)). Of course, these mathematical formulas are prepared in advance in the storage unit 101 to the memory 103 of the system 100. Further, it is assumed that the data relating to the previous calculation time as a value to be substituted into the mathematical formula can be held and used by the system 100 in the memory 103 or the storage unit 101 or the like for each index capitalization calculation. The predetermined formula used for calculating the index is, for example, a formula of “market capitalization” ÷ (“reference market capitalization” ÷ multiple / 100). Similar to the index capitalization, these mathematical formulas are prepared in advance in the storage unit 101 through the memory 103 of the system 100. Further, it is assumed that the data relating to the previous calculation time as a value to be substituted into the mathematical formula can be stored and used in the memory 103 or the storage unit 101 by the system 100 for each index calculation. In addition, in the formula of “Market capitalization” ÷ (“Base market capitalization” ÷ Multiplier ÷ 100), the term “(Base market capitalization” ÷ Multiplier ÷ 100) is calculated once a day. Can be used fixedly on the corresponding day, so that the system side can reduce the calculation steps and is more efficient.

  Further, it is preferable that the index calculation unit 111 executes the calculation of the market capitalization for the index and the index in parallel in different threads for each index or for each of the airframes related to the same index. If such processing is performed, the number of indices calculated in one thread is one, and there is no situation of waiting for exclusion such that the next processing cannot be started without waiting for the processing value for other brands as in serial processing. It will be.

  The index is calculated by adopting the contract price of the constituent stock of the index, called the best selling price among the types of signs, and calculated by adopting the “best selling price” of the constituent stock of the index. This is called the best buy price among the types of things and signs, and is calculated by adopting the “best buy price” of the constituents of the corresponding index.

  Further, the system 100 acquires index calculation values from the respective threads, merges them into one message, and merges the message data to an external device such as the user system 20 via the communication unit 107. It is preferable that the processing unit 112 is provided. Since the index value is calculated for each thread, it is necessary to distribute the same type or related index in one message. Due to the presence of the merge processing unit 112, it is possible to collect values for the plurality of indices and distribute them to the user system 20 side.

  In this case, it is more preferable that the adoption price determination unit 110 notifies the merge processing unit 112 of the specified index information to be calculated. When such notification is made, the merge processing unit 112 waits until the calculated values of all indexes indicated by the notification can be obtained from each thread, that is, pools the calculated values obtained from each thread in the memory 103 or the like. If the calculated values are obtained for all the indexes specified by the notification, the data of the corresponding multiple indexes are collected into one message, and the message is distributed to the external device such as the user system 20 via the communication unit 107. It becomes.

--- Data structure example ---
Next, an example of the data structure of the table used by the system 100 of this embodiment will be described. FIG. 3 is a diagram illustrating an example of a table used by the index calculation system according to the present embodiment. The system 100 includes a first table 125 and a second table 126 in a nonvolatile storage device such as a hard disk drive that is provided by itself or that can be used via a network. The first table 125 is a table describing the adoption priority (for example, highest, high, medium, low, lowest) for each price type, such as contract price, buy price, sell price, etc., in a financial product buying and selling order. The second table 126 is a table describing the correspondence relationship between the brand and the index used for calculation of the data of the brand. In this example, a table is used, but it may be set in the program 102.

--- Processing procedure example ---
Hereinafter, the actual procedure of the index calculation method in the present embodiment will be described with reference to the drawings. Various operations corresponding to the index calculation method described below are realized by a program that is read into the memory of the system 100 and executed. And this program is comprised from the code | cord | chord for performing the various operation | movement demonstrated below.

  FIG. 4 is a flowchart showing a processing procedure example of the index calculation method in the present embodiment, and FIG. 5 is a diagram showing a conceptual example of the index calculation method in the present embodiment. In this case, first, the adoption price determination unit 110 of the system 100 receives the telegram data of the financial product trading order transmitted from the financial product market system 10 via the communication unit 107 (s100).

  The adopted price determination unit 110 collates the message data received in step s100 with the first table 125 of the storage unit 101, and adopts the one with the highest adoption priority among the prices included in each message data. The price is determined (s101). For example, when the received message data includes two types of price data, “contract price” and “special price”, the value of “special price” having a higher adoption priority is checked against the first table 125. Is determined as the adoption price.

  Further, the adoption price determining unit 110 collates the brand information indicated by each message data with the second table 126 and specifies the index to be calculated (s102). For example, in the case of message data relating to “brand ABC”, the second table 126 specifies two types of indices, “index A buy price” and “index A sell price”.

  The adopted price determining unit 110 notifies the merge processing unit 112 of the index information to be calculated, which is specified in the step s102 (s103). On the other hand, the merge processing unit 112 receives this notification and starts a state of waiting for a calculated value related to the corresponding index from each thread of the index calculation unit 111 (s104). When the notification regarding such an index is made, the merge processing unit 112 waits until the calculated values of all the indexes indicated by the notification can be acquired from each thread.

  On the other hand, the index calculation unit 111 of the system 100 acquires the information (adopted price) of the specified index from the adopted price determining unit 110 (for example, by inter-process communication), and uses a predetermined formula corresponding to the corresponding index. An index market capitalization is calculated by applying the adopted price (also obtained from the adopted price determining unit 110 via inter-process communication) (s105). The adopted price determining unit 110 may determine a plurality of adopted prices. In this case, the index calculating unit 111 that acquires the price is specified for each adopted price to be determined.

  Further, the index calculation unit 111 obtains information from the adoption price determination unit 110 and calculates the index by applying the market capitalization for the index calculated in step s105 to the predetermined formula set in itself (s106). . The adopted price determination unit 110 executes processing in a separate process from the index calculation unit 111.

  As a predetermined formula used for calculating the market capitalization for the index in the above step s105, for example, “market capitalization for the index at the previous calculation” − (“adopted price at the previous calculation” × “number of shares”) + (“this time Adoption price “ד Number of shares ”)). Of course, such mathematical formulas are prepared in advance in the storage unit 101 to the memory 103 of the system 100, and can be called up and used by the system 100 as necessary. Further, it is assumed that the data relating to the previous calculation time as a value to be substituted into the mathematical formula can be held and used by the system 100 in the memory 103 or the storage unit 101 or the like for each index capitalization calculation. The predetermined formula used for calculating the index is, for example, a formula of “market capitalization” ÷ (“reference market capitalization” ÷ multiple / 100). Similar to the index capitalization, these mathematical formulas are prepared in advance in the storage unit 101 through the memory 103 of the system 100. Further, it is assumed that the data relating to the previous calculation time as a value to be substituted into the mathematical formula can be stored and used in the memory 103 or the storage unit 101 by the system 100 for each index calculation. In addition, in the formula of “Market capitalization” ÷ (“Base market capitalization” ÷ Multiplier ÷ 100), the term “(Base market capitalization” ÷ Multiplier ÷ 100) is calculated once a day. Can be used fixedly on the corresponding day, so the system side can reduce the calculation steps and is more efficient.

  As described above, if the processing for determining the adoption price from the telegram data is performed independently of the processing such as index calculation, even if there is a huge number of telegram data distributed frequently, This determination process can be performed at high speed (because the load is small). Since the index calculation can be performed based on the adopted price obtained by the processing in this way, the efficiency of the entire process is improved, and the index calculation at a high frequency becomes possible.

  In this embodiment, the index market capitalization is used as an example of the index basic value, but a value calculated by another calculation method using the adopted price may be used. This includes values calculated using the deemed face value.

  Here, as shown in the conceptual example of FIG. 5, the index calculation unit 111 performs the index capitalization and index calculation processing in steps s105 and s106 in a separate thread for each index or for each trait type related to the same index. It is more preferable to execute in parallel. If such processing is performed, the number of indices calculated in one thread is one, and there is no situation of waiting for exclusion such that the next processing cannot be started without waiting for the processing value for other brands as in serial processing. It will be.

  The index is calculated by adopting the contract price of the constituent stock of the index, called the best selling price among the types of signs, and calculated by adopting the “best selling price” of the constituent stock of the index. This is called the best buy price among the types of things and signs, and is calculated by adopting the “best buy price” of the constituents of the corresponding index.

  Subsequently, the merge processing unit 112 of the system 100 collects index calculation values from the threads and merges them into one message (s107), and the data of the message is transmitted to the user via the communication unit 107. Distribution to an external device such as the system 20 (s108). Since the index value is calculated for each thread, it is necessary to distribute the same type or related index in one message. Due to the presence of the merge processing unit 112, it is possible to collect values for the plurality of indices and distribute them to the user system 20 side.

  However, in step s103, the merge processing unit 112 is notified of the index information to be calculated from the adopted price determining unit 110. Therefore, the merge processing unit 112 waits until the calculated values of all indices indicated by the notification can be acquired from each thread, that is, the calculated values obtained from each thread are pooled in the memory 103 or the like, and the notification is When the calculated values are obtained for all the specified indexes, the data of the corresponding plurality of indexes are collected into one message, and the message is distributed to the external device such as the user system 20 via the communication unit 107. For example, when the notification from the adoption price determination unit 110 relates to two types of indexes such as “index A selling price, index A buying price”, the merge processing unit 112 relates to these two types of indexes. The system waits until the calculated value is obtained from the thread, and when any calculated value can be acquired, it is distributed to the user system 20 together with the telegram data as an indicative price related to “index A”. Even on the user system 20 side, which handles the processing of trading orders for financial products, the index information is not distributed in the May rain type, but related calculation values for a certain index can be acquired together and used as trading judgment data. For this reason, the efficiency of the ordering process is also improved.

  Regardless of whether there is a change in the adoption price for a particular issue, if the index calculation is executed only when the adoption price fluctuates, rather than calculating the index, wasteful processing on the system side can be suppressed. As a result, it is possible to improve the efficiency of resources and processing time for the corresponding processing. In this case, for example, the adoption price determination unit 110 stores a log of the adoption price related to the corresponding brand in the storage unit 101 every time the adoption price is determined. It should be noted that the adopted price log may be stored in the memory 103 and read out. And when the electronic data of the financial product buying and selling order regarding the relevant issue is newly received from the financial product market system 10, the value of the adoption price previously determined for the relevant issue is read from the storage unit 101, and this value is determined this time. Compare the hiring price. By this comparison, it is determined whether or not the adoption price of the corresponding issue has changed from the previous time, and only when there is a change in the adoption price, the adoption price determination unit 110 performs the subsequent calculation of the market capitalization and the index for the index. An instruction to start processing is sent to the index calculation unit 111 so as to perform the processing.

  Although the best mode for carrying out the present invention has been specifically described above, the present invention is not limited to this, and various modifications can be made without departing from the scope of the invention.

  According to this embodiment, it is possible to calculate various indices of the financial product market with high frequency. For example, at present, it is possible to provide index information provided in units of milliseconds and in regular units (eg, intervals of 15 seconds) in milliseconds. This means that an index calculation that is almost linked to trading is performed. From the investor side, it can be said that the real-time property of transaction judgment is improved.

  At least the following will be clarified by the description of the present specification. That is, the index calculation unit executes the calculation process of the market capitalization and index for the index in parallel in different threads for each index or for each type of index related to the same index, and obtains the calculated index value from each thread. Then, it is possible to provide a merge processing unit that collects a single message and distributes the message to an external device via the communication unit.

  In addition, the adoption price determination unit notifies the merge processing unit of the specified index information to be calculated until the merge processing unit can obtain the calculated values of all indexes indicated by the notification from each thread. It is possible to wait, collect the data of the corresponding multiple indexes into one message, and distribute the message to an external device via the communication unit.

DESCRIPTION OF SYMBOLS 10 Financial product market system 20 User system 100 Index calculation system 101 Memory | storage part 102 Program 103 Memory 104 CPU (arithmetic part)
107 Communication Unit 110 Adoption Price Determination Unit 111 Index Calculation Unit 112 Merge Processing Unit 125 First Table 126 Second Table 140 Network

Claims (6)

A communication unit that communicates with other devices via a network;
Received from the financial product market system, the electronic data of the financial product buy / sell order is received via the communication unit, and the telegram data is used for each price type in the buy / sell order of the financial product, Among the prices included in the message data, the one with the highest adoption priority is determined as the adoption price. An adoption price determination unit that identifies an index to be calculated and notifies information on the identified index to be calculated ;
A process for calculating an index basic value by applying the adopted price to the predetermined formula corresponding to the specified index, and calculating the index by applying the basic index value to the predetermined formula is performed for each index or An index calculation unit that executes in parallel in different threads for each type of trait regarding the same index ;
Wait until the calculated values of all indices indicated by the information notified from the recruitment price determination unit can be obtained from each thread, and after obtaining the calculated values of all indices from each thread, A merge processing unit that blocks data and collects it into one message, and distributes the message to an external device via the communication unit;
Index calculation system comprising: a.   The said adoption price determination part performs a process according to a computer program, and determines the said adoption price using the employment priority for every said price kind preset to the said program. Index calculation system. A computer system having a communication unit that communicates with other devices via a network,
Received from the financial product market system, the electronic data of the financial product buy / sell order is received via the communication unit, and the telegram data is used for each price type in the buy / sell order of the financial product, Among the prices included in the message data, the one with the highest adoption priority is determined as the adoption price, and the correspondence relationship between the brand for which the brand information indicated by each message data is set in advance and the index used for the calculation of the data for that brand A process for specifying an index to be calculated and notifying information on the specified index to be calculated ;
A process for calculating an index basic value by applying the adopted price to the predetermined formula corresponding to the specified index, and calculating the index by applying the basic index value to the predetermined formula is performed for each index or Processing that is executed in parallel in a separate thread for each type of breed related to the same index,
From each thread, wait until the calculated values of all indexes indicated by the notified information can be acquired, and after acquiring the calculated values of all indexes, block the calculated values of all indexes and combine them into one message. Processing for delivering the electronic message to an external device via the communication unit;
The index calculation method characterized by performing. The computer system executes each process according to a computer program,
4. The index calculation method according to claim 3 , wherein the adoption price is determined by using an employment priority for each price type preset in the computer program. In a computer system having a communication unit that communicates with other devices via a network,
Received from the financial product market system, the electronic data of the financial product buy / sell order is received via the communication unit, and the telegram data is used for each price type in the buy / sell order of the financial product, Among the prices included in the message data, the one with the highest adoption priority is determined as the adoption price. A process for specifying an index to be calculated and notifying information on the specified index to be calculated ;
A process for calculating an index basic value by applying the adopted price to the predetermined formula corresponding to the specified index, and calculating the index by applying the basic index value to the predetermined formula is performed for each index or Processing that is executed in parallel in a separate thread for each type of breed related to the same index ,
From each thread, wait until the calculated values of all indexes indicated by the notified information can be acquired, and after acquiring the calculated values of all indexes, block the calculated values of all indexes and combine them into one message. Processing for delivering the electronic message to an external device via the communication unit;
An index calculation program characterized in that The index calculation program according to claim 5 , wherein the adoption price is determined using an adoption priority for each price type preset in the index calculation program.

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