JP5586971B2 - VWAP trading market system and VWAP trading method - Google Patents

Description

  The present invention relates to a volume weighted average price (VWAP) trading market system and a VWAP trading method.

  There is a high need to conduct securities transactions at volume-weighted average prices (VWAP). This is because it is possible to eliminate the influence on the market price due to large-scale transactions of institutional investors, and eliminate the risks of high-priced / low-priced selling of general investors by VWAP transactions.

  Currently, many securities companies conduct VWAP transactions, but these are relative transactions (securities companies vs. customers) based on VWAP values at the end of the auction trading market (front, back and full day). . Such a transaction is called a closing price VWAP method.

Japanese National Patent Publication No. 11-504455

  However, the above closing price VWAP method has the following problems.

  First, as an issue on the demand side (institutional investors / general investors), order entry is permitted only before the start of the venue, and there is a lack of convenience. This means that if you can participate in VWAP trading if there is a gap between the price in the auction trading market and VWAP, you can easily make a transaction that links the price difference at the end of the event that can be easily predicted to profit. Because it becomes.

  On the other hand, when a brokerage firm receives a large order specifying a VWAP value from an investor as an issue on the supply side (the brokerage firm / auction trading market), the brokerage firm will close the trading at the specified VWAP price. In order to realize the above, there has been a case where a large amount of small orders aimed at following the VWAP, which is not the purpose of price formation, are ordered and executed in the auction transaction market. This ordering is performed by an ordering system that implements complex algorithm trading at many securities companies (manually performing these operations manually), and the securities company manages the system. And expensive costs to maintain. In addition, such a large amount of small orders placed a large load on the system in the auction transaction market, and had a great influence on orders for the purpose of price formation in the auction transaction market.

  The present invention seeks to provide a VWAP transaction market system and a VWAP transaction method for realizing a new VWAP-based transaction that solves the above problems.

The VWAP trading market system as one aspect of the present invention is:
An order information database that stores order data specifying trading participant identification information, financial product brands, order quantities, and trading categories;
An auction market reporting interface for receiving market price information describing a brand, contract price and quantity of a financial product contracted in the auction transaction market from an auction transaction market system for managing financial product transactions in the auction transaction market;
A price information database for storing the market price information received by the auction market price reporting interface;
Every time the market price information is received, a volume weighted average price of a financial product of a brand described in the received market price information is calculated based on the price information database,
The volume-weighted average price calculated this time is smaller than the contract price described in the received market price information, and the volume-weighted average price calculated last time is larger than the contract price described in the previously received market price information. The price relationship, and the volume-weighted average price calculated this time is larger than the contract price described in the received market price information, and the volume-weighted average price calculated last time is described in the previously received price information. A price information management unit that determines whether one of the second price relationships smaller than the contract price is established;
In the order information database, execution processing of order data specifying a brand for which the first price relation or the second price relation is established is executed, and the transaction price of the executed order data is used as the received market price information. An order information management unit for setting the same price as the contract price described;
Is provided.

The VWAP trading market system as one aspect of the present invention is:
An order information database that stores order data specifying trading participant identification information, financial product brands, order quantities, and trading categories;
An auction market reporting interface for receiving market price information describing a brand, contract price and quantity of a financial product contracted in the auction transaction market from an auction transaction market system for managing financial product transactions in the auction transaction market;
A price information database for storing the market price information received by the auction market price reporting interface;
The volume-weighted average price of the financial product of the brand described in the received market price information is calculated based on the price information database, and the calculated volume-weighted average price and the contract price described in the received market price information A price information management unit for determining whether or not the magnitude of the difference is equal to or less than a threshold;
When it is determined that the magnitude of the difference is less than or equal to a threshold, the order information specifying the brand described in the received market price information is specified in the order information database, and execution of the specified order data is executed. An order information management unit for setting the transaction price of the contracted order data to the same price as the contract price described in the received market price information;
Is provided.

The VWAP transaction method as one aspect of the present invention is:
A VWAP transaction method executed by a computer,
A receiving step of receiving, from an auction transaction market system that manages transactions of financial products in the auction transaction market, market information describing a brand, contract price, and quantity of the financial product contracted in the auction transaction market;
A storage step of storing the market price information received in the receiving step in a price information database;
Every time the market price information is received, a volume weighted average price of a financial product of a brand described in the received market price information is calculated based on the price information database,
The volume-weighted average price calculated this time is smaller than the contract price described in the received market price information, and the volume-weighted average price calculated last time is larger than the contract price described in the previously received market price information. The price relationship, and the volume-weighted average price calculated this time is larger than the contract price described in the received market price information, and the volume-weighted average price calculated last time is described in the previously received price information. A price information management step for determining whether one of the second price relationships smaller than the contract price is established;
Accessing an order information database storing order data specifying trading participant identification information, financial product brand, order quantity, and trading category, and the brand for which the first or second price relationship is established. Order information management step of identifying specified order data, executing contract processing of the specified order data, and setting the transaction price of the contracted order data to the same price as the contract price described in the received market price information When,
Is provided.

The VWAP transaction method as one aspect of the present invention is:
A VWAP transaction method executed by a computer,
A receiving step of receiving, from an auction transaction market system that manages transactions of financial products in the auction transaction market, market information describing a brand, contract price, and quantity of the financial product contracted in the auction transaction market;
A storage step of storing the market price information received in the receiving step in a price information database;
The volume-weighted average price of the financial product of the brand described in the received market price information is calculated based on the price information database, and the calculated volume-weighted average price and the contract price described in the received market price information A price information management step for determining whether or not the magnitude of the difference is equal to or less than a threshold;
When it is determined that the magnitude of the difference is equal to or less than a threshold value, an access is made to an order information database that stores order data specifying trading participant identification information, brands of financial products, order quantities, and trading categories. The order data specifying the brand described in the received market price information is specified, the contract processing of the specified order data is executed, and the transaction price of the contracted order data is described in the received market price information. Order information management step to set the same price as the contract price,
Is provided.

  According to the present invention, it is possible to provide a new VWAP-based transaction method that solves the problems of the conventional closing price VWAP method.

The block diagram which shows the VWAP transaction market system as one Embodiment of this invention. The figure which shows an example of an order information database. The figure which shows the criteria of whether order data can be received. The figure which shows an example of a price information database. The figure which shows the table of the contract price in the auction transaction market, and the history of VWAP. The figure which shows an example of CP board. The figure which shows the example by which the CP board of FIG. 6 was updated. The figure which shows the example by which the CP board of FIG. 7 was updated. The figure which shows the example by which the CP board of FIG. 8 was updated. The figure for demonstrating a cross determination process. It is a flowchart which shows an example of the flow of an order data reception process as operation | movement of the VWAP transaction market system of FIG. It is a flowchart which shows an example of the flow of a crosspoint transaction process as operation | movement of the VWAP transaction market system of FIG. The figure which shows the example of the screen for crosspoint transactions displayed on a customer terminal. The figure which shows the example of the screen for detailed setting of the crosspoint transaction displayed on a customer terminal. The figure which shows an example of the order information database which concerns on 2nd Embodiment. Explanatory drawing of the contract process which concerns on 2nd Embodiment. Explanatory drawing of the contract process which concerns on 2nd Embodiment.

(First embodiment)
First, an outline of the present embodiment will be described. In this embodiment, a new VWAP transaction market system is provided, which is different from the auction transaction market in which financial products are bought and sold by the auction method, and the transaction of financial products by a new method independent of the auction transaction market is performed in the system. Realize. More specifically, in this system, a purchase order for a financial product based on this method is received from each trading participant in advance, and each time the financial product of that stock is executed in the auction trading market, The market information describing the details is received from the auction transaction market system and the VWAP of the financial product is calculated. The magnitude relationship between the calculated VWAP and the contract price (latest contract price) in the auction transaction market of the financial product is the same as the contract price when the financial product of the stock was contracted immediately before that and the VWAP calculated at that time. Inspect whether the magnitude relationship has been reversed (cross between price and VWAP occurs). When the occurrence of the cross is detected, it is considered that the VWAP and the auction transaction market price coincide with each other, and the contract processing (matching processing) of the purchase order of the customer who designates the financial product of the brand is performed. At this time, the transaction price of the executed order is not the VWAP but the same price as the latest contract price in the auction transaction market. In this embodiment, a new VWAP-based transaction method (cross point transaction) that is independent from the conventional auction transaction is provided.

  Hereinafter, in the present embodiment, explanation will be given by taking stock as a financial product and a securities company as a trading participant. However, the present invention is not limited to stocks as long as they are listed products (stocks, bonds, exchange rates, interest rates, products, and derivative products (futures / options)) that are traded by an auction matching method. Widely applicable to other types of financial products. Also, trading participants are not limited to securities companies, and include, for example, banks if they are bonds.

  Hereinafter, this embodiment will be described with reference to the drawings.

  FIG. 1 is a block diagram showing a VWAP trading market system 14 as a first embodiment of the present invention.

  The order / contract IF 101 of the VWAP trading market system 14 includes a securities company system (transaction participant system) 12 and a first dedicated line provided on each securities company (transaction participant: a corporation having a trading qualification for financial products). Connected through. In addition, the VWAP market information IF103 of the VWAP trading market system is a system (market price information acquiring system) of a person who obtains market price information (quote information / contract information) of the VWAP trading market (information acquirer: qualification is not limited), The connection is made via a second dedicated line different from the first dedicated line. The market price information acquirer system includes a securities company system 12, a system 21 of many information vendors, and a system 22 of a general company. For the VWAP trading market system 14, trading participants and market price information acquirers are participating members based on applications to the VWP trading market, and the VWAP trading market system 14 uses the first and second leased lines in order to allow only members to communicate. Exchanges information with securities company systems and market information acquirer systems.

  The auction market report IF 102 of the VWAP transaction market system 14 is connected to the auction transaction market system 13 provided on the auction transaction market side via a third dedicated line. The VWAP transaction market system 14 is a member of the auction transaction market price information acquisition member, and acquires the auction transaction market price information from the auction transaction market system 13 as a member.

  The securities company system 12 is connected to a customer terminal 11 provided on the customer (institutional / general investor) side via a communication network. The securities company system 12 receives a request for an order from the customer of the securities company via the customer terminal 11 to the VWAP transaction market. The communication network may be a wide area network such as the Internet or a wireless communication network. A part of the wide area network may include a wireless network such as a mobile phone. In the case of a wide area network, communication may be performed by forming a secure communication path using authentication and encryption.

[Customer terminal]
The customer terminal 11 is a terminal having a communication function such as a general-purpose computer such as a personal computer, a mobile terminal such as a mobile phone or a game machine, or a facsimile.

  The customer terminal 11 creates a cross-point transaction order request in the VWPA transaction market based on the operator's input, and transmits it to the connected securities company system 12. The customer terminal 11 is connected only to the securities company system 12 and is not directly related to the VWAP transaction market system 14.

  The customer terminal 11 stores data of various items such as a customer ID, a password, a stock ID to be ordered, a stock trading category (“sell” or “buy”), an order quantity, a field category, and an execution condition of a contract processing. Accept input and accept expiry date as an option. The customer terminal 11 creates an order request for the cross point transaction based on these inputs. Data is input through an input interface such as a keyboard or a mouse.

  FIG. 13 shows an example of an input screen on the customer terminal 11.

  The customer terminal 11 displays, for example, a cross-point transaction form provided from the connected securities company system 12 on the screen. The operator inputs necessary data in the field of each item in the form.

  The input may be a selection by a radio button, a check box or a pull-down box, or a direct input by text.

  The customer ID is an ID for identifying a customer at a securities company. The customer ID may be stored in a database inside the securities company system, and the customer ID may be automatically read out from the database and input to the form.

  Here, the field classification includes “front field” (for example, 9:00:00 to 11:00), “back field” (for example, 12:30 to 15:00) and “all day field” (for example, 9:00:00 to 11:00 and 12:30 to 15:00). Each field corresponds to a field in the auction trading market.

  The unit of order quantity (unit of buying and selling) is determined in advance for each brand, and is input according to that unit.

  The execution condition is a condition for executing an order execution process in the VWAP exchange market system 14 and is selected from “success”, “up cross (UC)”, and “down cross (DC)”. Details of each item will be described later. “Success” corresponds to the first execution condition of the present invention, “Up Cross (UC)” corresponds to the second execution condition of the present invention, and “Down Cross (DC)” corresponds to the third execution condition of the present invention.

  The expiry date represents the expiry date of an order placed from the securities company system 12 to the VWAP transaction market in response to an order request created at the customer terminal 11. If there is no input, the order is valid only on that day in the VWAP transaction market. Suppose there is.

  Since the transaction price in the VWAP transaction market is automatically determined by the VWAP transaction market system 14, the customer terminal 11 does not specify (input) the transaction price. The detailed setting button in FIG. 13 will be described later.

  The customer terminal 11 generates an order request including the data of each item input by the operator, and transmits the generated order request to the securities company system 12. The customer terminal 11 stores the transmitted order request in an internal storage device.

  The customer terminal 11 may accept cancellation of the transmitted order request. For example, the customer terminal 11 displays a list of transmitted order requests on the screen and accepts designation of an order request to be canceled from the user. The customer terminal 11 transmits an order request cancellation request designated by the user to the securities company system 12.

[Securities company system]
The securities company system 12 in FIG. 1 receives an order request from the connected customer terminal 11, creates order data for cross-point transactions in the VWAP transaction market based on the order requests, and transmits the data to the VWAP transaction market system 14. To do. The securities company system 12 can also create order data of the trading participants themselves and transmit them to the VWAP trading market system 14. The securities company system 12 participates in the VWAP trading market with the qualifications of trading participants, and inputs and executes orders with the order / contract IF 101 of the VWAP trading market system 14. Trading participants such as securities companies have membership for VWAP transactions, have a membership code (member ID), and the membership code is stored in the securities company system 12 in advance.

  When receiving the order request from the customer terminal 11, the securities company system 12 performs customer authentication based on the customer ID and password included in the order request. The securities company system 12 has a database that holds a customer ID, a customer name, and a password for each customer, and the same customer ID that is included in the order request is registered in the database and is included in the order request. If the registered password matches that registered in the database in association with the customer ID, it is determined that the order request is from a legitimate customer, and acceptance of the order request is permitted. If the customer ID is not registered or the passwords do not match, it is determined that the order request is not from a legitimate customer, and acceptance of the order request is not permitted. In this case, the securities company system 12 may return an error message to the customer terminal 11.

  When the securities company system 12 permits the acceptance of the order request, it sets an order number for the order request, and a unique member order number consisting of self / consignment category, department ID / customer ID, the order number, etc. Is generated. Then, the stock brand, order quantity, trading category, field category, execution condition and expiration date included in the order request are extracted, and the extracted data, the member order number, and the member code (member ID) Order data including The securities company system 12 transmits the created order data to the VWAP trading market system 14 in the message format defined by the order / contract IF of the VWAP trading market system, and stores the created order data in the internal storage. Store in the device. The storage device may be any storage device such as a hard disk or a memory device. At least one of the member order number and the member code (member ID) corresponds to the transaction participant identification information of the present invention.

  The securities company system 12 may also accept an order request from the customer terminal 11 to the auction transaction market. In this case, in response to an order request from the customer terminal 11, the securities company system 12 orders data to the auction transaction market (order number, brand, quantity, field classification, transaction method (marketing / limit price, etc. generated by a predetermined method). )) Is generated and transmitted to the auction transaction market system 13. The securities company system 12 receives from the auction transaction market system 13 that has transmitted the order data, response data including whether or not the order has been executed and the details of the execution when the order has been executed, and the customer terminal 11 that made the order request. Is notified of the contents of the response data. Further, the securities company system 12 may receive market price information (a quote price, a contract price, a trading volume, etc. for each brand) in the auction transaction market, and transmit the received market price information to the connected customer terminal 11.

  The above-mentioned market price information acquisition system (the securities company system 12, the information vendor system 21, and the general company system 22) participates in the VWAP transaction market with the qualification of the information acquisition participant, and from the VWAP market report IF103 of the VWAP transaction market. Acquire market price information (contract information / indication information) to be described in detail later.

[Auction trading market system]
The auction transaction market system 13 in FIG. 1 is a representative auction transaction market for brands that are provided for each auction transaction market and are traded in the VWAP transaction market. When there are a plurality of auction transaction markets, the VWAP transaction market selects a target auction transaction market. The auction transaction market system 13 manages stock transactions in the corresponding auction transaction market for each transaction date and place (front and back). For example, it manages and stores detailed information on bid orders (limit orders, market orders, etc.), quotation information, contract details of contracted stocks (information on brands, contract prices, and trading volume (number of shares)), and the like. The auction transaction market system 13 performs a trade order contract processing (matching) by an auction method to execute a trade order.

  The auction transaction market system 13 includes, for each execution of stock contracts in the auction transaction market, the field classification, the brands of the contracts executed, the contract price, the contract amount (volume), the contract time, and the identification information of the auction market. The market price information is transmitted to the VWAP trading market system 14.

[VWAP trading market system]
1 includes an order / contract IF 101 (Interface), an auction market news IF 102, a VWAP market news IF 103, an order information database 104, a price information database 105, an order information management unit 106, and a price information management unit. 107, a field management unit 108, and a storage unit 109. Each function of the order information management unit 106, the price information management unit 107, and the place management unit 108 is realized by causing a computer processor to execute a computer program, for example. Therefore, the VWAP transaction market system 14 executes the computer program. And a volatile or non-volatile memory device that develops the computer program and uses it as a temporary storage area.

  The storage unit 109 stores names and IDs of a plurality of brands handled in the VWAP trading market and IDs (identification information) of the auction trading market to be referred to for each brand. The brands handled in this VWAP trading market are not all brands traded in the auction trading market, but brands selected from the brands are set in the storage unit 109 in advance.

  The field management unit 108 manages the transaction date and field (time) in this VWAP transaction market for each auction transaction market. The trading date and place matches the corresponding auction trading market. The field management unit 108 outputs a cross-point transaction processing start signal to the price information management unit 107 and the order information management unit 106 each time a field (front or back market) is started in the corresponding auction transaction market. When the market ends, a cross-point transaction process end signal is output to the price information management unit 107 and the order information management unit 106.

  For example, the field management unit 108 stores in advance a list describing the transaction date and field for each auction transaction market, and manages the start and end of the cross-point transaction process based on this list and the system timer. Alternatively, the field management unit 108 can receive data indicating the start and end of the field from the auction transaction market system 13 and manage the start and end of the cross-point transaction process in response to the reception of this data.

  The order / contract IF 101 receives cross-point order data (member order number, member ID, stock brand, order quantity, trading category, execution condition, field category, expiration date) from the securities company system 12. The order data is sent only from the securities company system 12.

  The order information management unit (board information management unit) 106 checks whether or not the order data received by the order / contract IF 101 is acceptable, and if so, assigns a unique VWAP order number to the order data. Thus, the order data is stored in the order information database 104 together with the date and time when the order data was received (acceptance date and time). On the other hand, the order information management unit 106 returns an error message to the securities company system 12 when the order data cannot be accepted. An example of the order information database 104 is shown in FIG.

  Here, whether or not order data can be accepted is determined based on the order determination criteria shown in FIG. Specifically, it is assumed that the order data for the front stage can be accepted from a predetermined time (for example, one hour before) the witness start time of the front stage until the end of the front stage, and cannot be accepted after the end of the front stage. In addition, it is assumed that the order data for the subsequent listing can be accepted at any time from a predetermined time (for example, one hour before) the start time of the listing to the end of the listing, and cannot be accepted after the completion of the listing. Order data for all days can be accepted at any time from a predetermined time (for example, one hour before) the start of the pre-announcement session to the end of the post exchange, and cannot be accepted after the end of the post exhibition.

  The order information management unit 106 creates a CP board (cross point board) for each brand based on the order information database 104. The order information management unit 106 updates the corresponding CP board each time new order data is received.

  The order information management unit 106 first categorizes the order data in the order information database 104 by brand in order to create a CP board, and further classifies the sorted order data into “sell” and “buy” items according to the sales category. Divide into things. “Sell” order data represents a sell order, and “buy” order data represents a buy order. The selling order and the buying order divided in this way are classified into a front / all day group and a back group according to the field division, and are arranged on the selling board and the buying board, respectively. Orders are arranged according to the reception date and time on the selling board and the buying board.

  FIG. 6 shows an example of the CP plate. This CP board is made for a certain trading day and a certain brand. The order number shown is the VWAP order number.

  There is one market selling order (order with horizontal hyphen execution), two up-cross (UC) selling orders, and one down-cross selling order on the selling board side for both the front and full days. . The higher priority is given to the reception date and time earlier, and they are arranged from right to left in descending order of priority.

  On the buying plate side, there are two market buy orders, two up cross buy orders, and one down cross buy order. The higher priority is given to the reception date and time from the earliest, and they are arranged from left to right in descending order of priority.

  An order in which the quantity cell is hatched is an all-day sell or buy order, and an order in which the quantity cell is not hatched is a previous sell or buy order. Details of the execution conditions (government, upcross, downcross) will be described later.

  On the other hand, with regard to the listing, there is one market selling order, one up-cross selling order, and one down-cross selling order on the selling board side, each of which has a high priority in the order of reception date and time. Are arranged from right to left.

  In addition, there are two market buy orders, one up cross buy order, and one down cross buy order on the buying plate side. They are lined up to the right.

  In the example of FIG. 6, it seems that up to five orders can be entered for both the selling and buying boards, but the number of inputs is not limited.

  The auction market news IF 102 receives the market price information describing the contract details of the stock contracted in the auction transaction market. The market price information includes, for example, an auction transaction market ID, a contracted brand, a contract price, a quantity (volume), a field classification, and a contract time. More specifically, the VWAP trading market system 14 acquires the market price information reported in the auction trading market using the market price reporting IF provided by the auction trading market system in the qualification of the information acquisition member of the auction trading market.

  The price information management unit 107 stores the market price information received by the auction market price report IF 102 in the price information database 105. An example of the price information database 105 is shown in FIG.

  Note that the market price information of the brand received from the auction trading market different from that specified in the VWAP trading market may be deleted without being stored in the price information database 105.

  Each time the market price information is received from the auction transaction market system 13, the price information management unit 107 sets the VWAP (volume-weighted average price) of the stock indicated in the market price information to the current position (previous market or back market). To calculate.

Here, VWAP is a weighted average price of the volume of traded financial products (stocks in this example), and can be said to be the average transaction price in the auction trading market. Specifically, VWAP is calculated by the following formula.

VWAP = {Σ (contract price × number of shares)} / {Σ number of shares} (1)

For example, for a certain issue, the trend of execution in the auction market is (contract price, number of shares) = (100,5000), (99,3000), (101,2000), (102,1000), (103,1000) , (102,1000)
VWAP
= (100 * 5000 + 99 * 3000 + 101 * 2000 + 102 * 1000 + 103 * 1000 + 102 * 1000) / (5000 + 3000 + 2000 + 1000 + 1000 + 1000) = 10.4615
Is calculated.

  The price information management unit 107 records the history of the calculated VWAP and the contract price included in the current market price information (market price information used for the calculation of the VWAP) in the storage unit 109 as a history table. The history table is prepared for each brand and for each place. The contract time described in the market price information may be added to the history table. FIG. 5 shows an example of the history table (October 1, 20XX, issue A / previous listing). For later reference, values such as T0 and T1 are entered in the execution time field.

  Each time the VWAP is calculated, the price information management unit 107 determines whether or not to execute the contract processing for the brand for which the VWAP is calculated based on the history table (cross determination processing).

  In this cross determination process, it is determined whether one of up-cross (first price relationship) and down-cross (second price relationship) is established for VWAP and the contract price, and either one is established. If it is, “no cross” is determined, and if none is established, “no cross” is determined. When it is determined that there is a cross, it is decided to execute the contract processing for the stock.

  Here, “up cross” means that the currently calculated VWAP (that is, the latest VWAP) is smaller than the contract price described in the market price information received this time and the previously calculated VWAP (that is, one before the latest VWAP). VWAP calculated in (1) is larger than the contract price described in the previously received market price information (first price relationship).

  “Downcross” means that the currently calculated VWAP is larger than the contract price described in the currently received market price information and the previously calculated VWAP is smaller than the contract price described in the previously received market price information (No. 1). 2 price relationship).

  Due to the establishment of the up cross or down cross, it can be considered that the VWAP matches the auction transaction market price.

  The details of the cross determination process will be described below with reference to FIG.

  FIG. 10 shows a contract price transition graph (solid line) and a VWAP transition graph (broken line). These transition graphs are based on the history table in FIG. 5 (stock A, October 1, 20XX). T0, T1, T2,... Tm + 1 on the horizontal axis in the figure correspond to the contract times in the history table of FIG.

  As shown in the figure, after a place (front or back) is started in the auction transaction market, a contract is first generated at time T0, and the contract price at this time becomes the initial price. The VWAP at time T0 is the same as this initial value. Thereafter, contracts occur at times T1, T2, T3,..., And VWAP is calculated each time.

  Here, VWAP at time Tn + 2 is smaller than the contract price at time Tn + 2, and VWAP at time Tn + 1 immediately before time Tn + 2 is greater than the contract price at time Tn + 1. That is, a line segment connecting (time Tn + 2, VWAP) and (time Tn + 1, VWAP) and a line segment connecting (time Tn + 2, contract price) and (time Tn + 1, contract price) intersect in the coordinate system of the figure. And this intersection occurs when the contract price rises. Such a state where the line segments intersect when the contract price rises corresponds to an upcross. In addition, the intersection of the line segment which crosses is called a cross point (here cross point CP1) for convenience.

  An up cross is similarly established between time Tn + 6 and time Tn + 5, and an up cross is similarly established between time Tm + 1 and time Tm. A cross point CP3 exists between time Tn + 6 and time Tn + 5, and a cross point CP5 exists between time m + 1 and time m.

  No contract occurs after time Tm + 1, the contract price at time Tm + 1 becomes the closing price, and VWAP at time Tm + 1 becomes the VWAP closing price.

  On the other hand, VWAP at time Tn + 4 is larger than the contract price at time Tn + 4, and VWAP at time Tn + 3 is smaller than the contract price at time Tn + 3. That is, a line segment connecting (time Tn + 4, VWAP) and a line segment connecting (time Tn + 4, contract price) and (time Tn + 3, contract price) intersect in the coordinate system of the figure. And this intersection occurs when the contract price falls. The state where the line segments intersect when the contract price falls is equivalent to the down cross. Here, a cross point CP2 exists as an intersection of the line segments.

  Similarly, a down cross is established between time Tn + 8 and time Tn + 7, and a cross point CP4 exists between time Tn + 8 and time Tn + 7.

  The price information management unit 107 determines whether or not a cross (up cross or down cross) has occurred each time a VWAP is newly calculated as described above. As shown in the figure, there is no cross between Tn + 2 to Tn + 3, Tn + 4 to Tn + 5, Tn + 6 to Tn + 7, and Tn + 8 to Tn + 9. Further, it is assumed that there is no cross between time T0 and Tn + 1 and between Tn + 9 and Tm.

  From the definition of up cross and down cross, up cross and down cross appear alternately. In the example of FIG. 10, up cross → down cross → up cross → down cross → up cross.

  When the price information management unit 107 determines the presence of a cross (when either an up cross or a down cross is established), the price information management unit 107 receives contract processing instruction data for instructing execution of a contract processing for a stock determined to have a cross. The data is sent to the management unit 106. At this time, the contract processing instruction data includes the designation of the same price as the contract price described in the received market price information as the transaction price of the stock, and the type of cross that occurred (up cross or down cross) And the field division (current field division).

  For example, when the establishment of an up cross is determined at time Tn + 2, the same price as the contract price of the auction transaction market at Tn + 2 is designated as the transaction price (contract price) of the VWAP transaction market. When the establishment of the down cross is determined at time Tn + 4, the same price as the contract price in the auction transaction market at Tn + 4 is designated as the transaction price in the VWAP transaction market.

  On the other hand, when the price information management unit 107 determines that there is no cross, the price information management unit 107 determines not to execute the contract processing for the brand.

  Here, the transaction price in the VWAP trading market is the same price as the contract price (latest contract price) described in the received market price information this time. This is to prevent arbitrage transactions that seek to obtain the profit of the difference between VWAP and the contract price by selling the stock in the auction market after the contract (buy). Therefore, VWAP can be adopted as a transaction price in the VWAP transaction market if such arbitrage transaction is allowed.

  In the present embodiment, since the contract processing is performed only when it is determined that there is a cross, the contract processing is never performed if no cross occurs in the field. However, since the price generally moves in a direction to reduce it when the deviation from VWAP increases, it is considered that a cross will occur in most cases.

  The order information management unit 106 specifies a CP board (see FIG. 6) corresponding to the brand and the place classification included in the execution processing instruction data from the price information management unit 107, and executes the execution processing based on the specified CP board. .

  In more detail, the order information management unit 106 determines whether each of the specified CP board includes a sell order and a buy order having an execution condition that matches the cross type (up cross or down cross) included in the contract processing instruction data. Match according to priority.

  As described above, there are “execution”, “up cross”, and “down cross” in the execution conditions.

  Execution condition “execution” means execution of execution when any one of up-cross and down-cross is established, and execution condition “up-cross” indicates execution only when up-cross is established. The execution condition “down cross” means that the execution of the contract is executed only when the down cross is established (in the establishment of the up cross, the execution is not executed). Do not execute contract processing).

  Hereinafter, an example of execution of contract processing will be shown using the example of the table of FIG. Here, it is assumed that the cross type included in the contract processing instruction data from the price information management unit 107 is “up cross” and the field classification is “previous field”. That is, a case is assumed in which an up cross is established at the front stage. Therefore, the CP board of the foreground trade + all-day trade shown in the upper part of FIG. 6 is used.

  Since the cross type is “up cross”, the target of the contract processing is sell orders and buy orders whose execution conditions are “marketing” and “up cross”.

  First, regarding the “marketing” and “up cross” selling orders and buying orders in the table of the front-end trading + all-day trading in FIG. 6, the total number of selling orders is 125 (= 20 + 50 + 55), and the total number of buying orders is 120. (= 25 + 20 + 30 + 45). Thus, the buy order is all filled, while the sell order is short of 125-120 = 5 quantities.

  Specifically, first, the sell order quantity 20 of the order number 1 matches 20 of the buy order quantity 25 of the order number 3, and then 5 of the sell order quantity 50 of the order number 4. The remaining quantity 5 of order number 3 matches, then 20 of the remaining quantity 45 of the sell order of order number 4 matches the quantity 20 of the buy order of order number 5 and then the order number The remaining quantity 25 of the sell order 4 matches 25 of the buy order quantity 30 of the order number 6 and then 5 of the sell order quantity 55 of the order number 10 and the order number 6 The remaining quantity 5 of the buy order matches, then 45 of the remaining quantity 50 of the sell order with order number 10 matches the quantity 45 of the buy order with order number 7 and finally the order The number 10 sell order remains for a quantity of 5.

  That is, among the selling orders of “marketing” and “up cross”, for the selling order of order number 10 having the lowest priority (the latest reception date and time), the order for 50 of the quantity 55 is executed. However, the remaining order of quantity 5 remains unfilled. As a result, the table is updated as shown in FIG. In other words, the sell orders with order numbers 1 and 4 and the buy orders with order numbers 3, 5, 6, and 7 are filled and disappear from the CP board, and the unfilled quantity 5 remains for the sell order with order number 10. Also, the down cross order number 8 sell order and order number 2 buy order remain unaffected. These remaining sell orders and buy orders are rearranged again according to the reception date and time.

  Assume that the order data specifying the previous place is received from the securities company system 12 in the state of the CP plate in FIG. In this case, the order information management unit 106 updates the CP board based on the order data. For example, when the execution condition of the order data is “up cross”, the trading category is “buy”, the field category is “previous”, and the quantity is “10”, the CP board is updated as shown in FIG. 18). The newly added buy order is subject to a contract process when the next up cross is established. As described above, in the present embodiment, it is possible to place a cross-point order in real time even during a venue in the auction transaction market.

  The order information management unit 106 invalidates the orders for the orders (sell orders and buy orders) that have been designated at the previous stage, which could not be executed at the previous stage, or for the remaining part of the order. On the other hand, for orders specifying all days, those that could not be executed at the previous stage or those remaining are carried over and remain on the same board ("front + all days"). In addition, the date and time of accepting orders carried over will maintain the same value as the previous event.

  For example, if the pre-sale ends in the table state of FIG. 8, the CP plate is updated as shown in FIG. A sell order with order number 10 designating "success" is carried over to the market. On the other hand, the sell order with the order number 8 designating “previous” and the buy orders with the order numbers 2 and 18 designating “precursor” expire without being carried over.

  If an expiration date is specified in the order data, the uncommitted portion (remaining portion) is carried forward to the expiration date at the maximum, and the order expires only when there is an uncommitted portion even when the expiration date expires. .

  Here, after the start of the listing, the contract processing is carried out separately for the front board + the all-day board and the back board, and the cross determination process in the price information management unit 107 is performed for the all-day market and the latter. Done separately. For all days, VWAP is calculated by stacking from the first day of the initial (previous) (that is, the last VWAP of the previous field is sequentially updated with the market price information acquired at the back), and cross determination is performed. For the latter, the VWAP is calculated using only the contract information acquired after the start of the latter, and the cross determination process is performed. Therefore, the VWAP value is completely different between the all-day field and the back field. All day orders accepted after the end of the show will be put on the board for the front + all days.

  The order / contract IF 101 transmits a contract notification or revocation notification as response data to the order data received from the securities company system 12 to the securities company system 12 (transaction participant).

  That is, a contract notice is transmitted for order data that has been executed (including a case in which a part of the order is executed), and an expiration notice is transmitted for order data that has not been executed at all. A carry-over notification may be transmitted for orders carried over after the next day due to designation of the expiration date.

  The notice of execution includes, for example, an identifier for identifying that the order has been executed, a member order number, a member ID, a brand, an order quantity, a contract amount, a contract price, a trading section, and a field section. In the case where the execution is divided into a plurality of times, the notification of the execution is transmitted for each execution.

  The expiration notice includes, for example, an identifier for identifying that the order has expired, a member order number, a member ID, a stock name, an order quantity, a trading category, and a field category.

  Here, when the CP board is updated (update based on the reception of the order data or update based on the contract processing), the order information management unit 106 generates quotation information based on the updated table. The VWAP quote news IF 103 transmits the generated quotation information to the securities company system 12, the information vendor system 21, and the general company system 22.

  The quotation information includes, for example, information on the total order quantity by location (front listing, listing, all days), execution conditions (marketing, upcross, downcross) and trading by after updating the table. Further, the quotation information may include the number of orders for each sale. Other information may also be included.

  Further, every time an order is executed, the order information management unit 106 generates execution information including a traded brand, a transaction price (contract price), and a contract amount. The contract information does not include the member order number or member ID. The VWAP market news IF 103 transmits the contract information to the securities company system 12, the information vendor system 21, and the general company system 22.

  The securities company system 12 transmits the contract notification or revocation notification received from the VWAP trading market system 14 to the customer terminal 11 that has made the corresponding order request.

  The customer terminal 11 outputs (for example, displays on the screen) a contract notification or a revocation notification from the securities company system 12. As a result, the customer can acquire or sell the stock of the desired brand, and can know the fixed amount and the transaction price when the stock can be acquired or sold.

  Further, the securities company system 12 displays the quotation information and the contract information received from the VWAP trading market system 14 on its own display device, and transmits it to all connected customer terminals 11. Further, the customer terminal 11, the information vendor system 21 and the general company system 22 output (for example, display on the screen) the received quotation information and contract information. Thereby, the market price information acquirer and the customer can know the trend of the brands handled in the VWAP trading market.

  The settlement of traded stocks and money is carried out by a settlement system of a securities company, and the VWAP transaction market system itself is not directly involved in it. In the case of stocks, the bank account is managed mainly by the Securities Custody Transfer Organization, which provides instructions for settlement between the securities company settlement system and the Securities Custody Transfer Organization. The name is rewritten, and money is transferred between the securities company settlement system and the trust bank account.

  Hereinafter, the operation flow of the VWAP transaction market system 14 will be described with reference to FIGS. 11 and 12.

  FIG. 11 is a flowchart showing an example of a flow of order data reception processing in the VWAP transaction market system 14.

  In step S101, the order / contract IF 101 checks whether or not the order data of the cross point transaction is received from the securities company system 12.

  When the order data is received (YES in S101), the order information management unit 106 checks whether the order data can be accepted (step S102). That is, there is no mistake in the order data contents (brand, execution conditions, quantity, etc.) (that is, the brand, execution conditions, quantity, etc. are values that can be specified), and the order data reception date and time meets the criteria shown in FIG. Inspect whether or not.

  When the order is acceptable (YES in S102), a unique order number is set for the order data, and the order data, the order number, and the reception date and time are stored in the order information database 104 (S103). As the reception date and time of the order data, for example, the reception date and time of the order data can be used.

  On the other hand, when the order information management unit 106 cannot accept the order data (NO in S102), the order information management unit 106 returns an error message to the securities company system 12 (S104), and returns to Step S101.

  In step S105, the order information management unit 106 creates or updates a CP board corresponding to the order data.

  In step S <b> 106, the order information management unit 106 transmits to the securities company system 12, the information vendor system 21, and the general enterprise system 22 via the VWAP market news IF, the indicative information indicating the change in the board status due to the update of the CP board. . Thereafter, the process returns to step S101. Note that the order information management unit 106 also updates the CP board and transmits the market price information in the same manner as in steps S105 and S106 even when an order cancellation is received from the securities company system 12.

  FIG. 12 is a flowchart showing an example of the flow of cross-point transaction processing in the VWAP transaction market system of FIG.

  In step S201, the venue management unit 108 determines the start of the venue (previous or back market) when a predetermined time comes, and sends a start signal indicating the start of the venue to the order information management unit 106 and the price information management unit 107. Notice.

  In step S202, for example, at regular time intervals, the price information management unit 107 checks whether or not the market price information is received by the auction market news report IF102. The auction market news IF 102, for example, buffers the received market price information, and when receiving an inquiry from the price information management unit 107, outputs all buffered market price information to the price information management unit 107.

  When the market price information is received by the auction market news IF 102 (YES), the price information management unit 107 stores the market price information in the price information database 105 and calculates VWAP (S203). On the other hand, when the market price information has not been received (NO), the process proceeds to step S209 for determining whether or not the market has ended.

  In step S204, the price information management unit 107, based on the contract price of the auction transaction market included in the VWAP and the market price information, the previously calculated VWAP and the contract price of the auction transaction market at that time, Cross determination processing is performed.

  When it is determined by the cross determination process that there is a cross, the price information management unit 107 sends execution processing instruction data to the order information management unit 106 (S205).

  When it is determined that there is no cross, the price information management unit 107 decides not to execute the contract processing (S206), and proceeds to step S209.

  In step S207, the order information management unit 106 identifies the corresponding CP board in accordance with the contract processing instruction data from the price information management unit 107, and executes the contract processing.

  In step S208, the order information management unit 106 generates a contract notification for the contracted order data, and transmits the generated contract notification via the order / contract IF 101 to the securities company system that transmitted the order data. In addition, the order information management unit 106 transmits the contract information including the contract details of the contracted stock and the quotation information including the information of the CP board updated by the contract processing to the securities company system 12 through the VWAP market news IF 103, the information The data is transmitted to the vendor system 21 and the general company system 22.

  In step S209, the field management unit 108 checks whether or not the current field has ended.

  When the place management unit 108 determines the end of the place (YES in S209), the order information management unit 106 and the price information management unit 107 are notified of an end signal indicating the end of the place (S210), and the place is still over. If not, the process returns to step S202.

  In step S211, when the order information management unit 106 and the price information management unit 107 receive notification of end data from the place management unit 108, the order information management unit 106 and the price information management unit 107 each determine the end of the process. At this time, the order information management unit 106 transmits, via the order / contract IF 101, an expiration notice of the order that has not been executed until the end, to the securities company system 12 that has placed the order.

  In the above embodiment, the transaction price in the VWAP transaction market is matched with the auction transaction market price, but this assumes that the difference between the two prices does not usually increase. However, as an exception, the possibility that these price differences will increase cannot be denied. Therefore, in the price information management unit 107, when the difference between the currently calculated VWAP and the contract price described in the currently received market price information is equal to or greater than a predetermined threshold, the contract processing is performed even if the up cross or the down cross is achieved. You may decide not to do. In this case, the price information management unit 107 does not send the contract processing instruction data to the order information management unit 106 even if the up cross or the down cross is achieved.

  In the above embodiment, “up cross” is set to “the calculated VWAP is smaller than the contract price of the currently received market price information and the previously calculated VWAP is greater than the contract price described in the previously received market price information. The VWAP calculated this time matches the contract price described in the market price information received this time may be included in the up cross. In other words, “up cross” means that “the calculated VWAP is less than or equal to the contract price described in the currently received market price information and the previously calculated VWAP is less than the contract price described in the previously received market price information. It may be defined as meaning "large".

  In addition, “down cross” indicates that “VWAP calculated this time is larger than the contract price described in the received market price information and the previously calculated VWAP is smaller than the contract price described in the previously received market price information. However, a case where the VWAP calculated this time matches the contract price described in the currently received market price information may be included in the up-cross. In other words, “down cross” is expressed as follows: “VWAP calculated this time is greater than or equal to the contract price described in the market information received this time, and VWAP calculated last time is greater than the contract price described in the market information received last time. It may be defined as meaning "small".

  In addition, there is a possibility that the VWAP calculated this time matches the contract price described in the market information received this time and the VWAP calculated last time matches the contract price described in the market information received last time. When such a case occurs, it may be treated that both an up cross and a down cross have occurred.

  As described above, according to this embodiment, it is possible to participate in the cross-point transaction in the VWAP transaction market not only before the start of the field in the auction transaction market but also in the field, and to provide a new transaction market that is highly convenient for the customer. Become.

  Further, the transaction price according to the present embodiment matches the price in the auction transaction market, and therefore, no valuation profit / loss at that time occurs, and the price is close to the VWAP value. Moreover, since the selling price in the VWAP trading market matches the price in the auction trading market, it does not affect the price formation in the auction trading market. Therefore, the VWAP trading market can be clearly separated from the auction trading market for the purpose of price formation, and thus a normal securities trading market can be formed.

  In addition, the cross-point transaction according to the present embodiment is not a relative transaction (a brokerage transaction with a customer) but a transaction transaction with a customer, so that there is an advantage that a labor is not required and time is reduced.

  In this way, the VWAP trading market has realized a new VWAP-based trading method that has solved the problems of the conventional VWAP closing price trading. By using it instead of the conventional VWAP closing price trading, brokerage firms have been conducting It is no longer necessary to place a large amount of small orders for VWAP tracking in the auction trading market, thereby eliminating the need for managing and maintaining a complex algorithm trade ordering system and reducing costs. On the other hand, in the auction trading market, such a large amount of small orders is reduced, and the system load can be greatly reduced.

  In addition, it is also possible to form a VWAP transaction market in a wider range by combining the transaction method of this embodiment with the VWAP closing price transaction method.

(Second Embodiment)
In the second embodiment, the customer terminal 11 is configured to be able to specify a plurality of order quantities.

  For example, by pressing the “detail setting button” on the screen of FIG. 13 on the customer terminal 11 to display the detail setting form of FIG. 14 and selecting “multiple designation” on the form, a plurality of order quantities can be performed. Decide and enter a quantity of 0 or more in each of the input fields CP1 to CP3. In this example, a maximum of 3 quantities can be specified, but a quantity of 4 or more may be specified. The quantity entered in the input field represents an order reservation for a plurality of cross points in the future, and is subject to the contract processing in order from CP1.

  The customer terminal generates an order request and transmits it to the securities company system 12 as in the above-described embodiment. At this time, the order request includes a plurality of quantities input in the input fields CP1 to CP3.

  The securities company system 12 stores the contents of the order request received from the customer terminal in the internal database, and generates the order data of the cross point transaction and transmits it to the VWAP transaction market system 14 in the same manner as the above-described embodiment. To do. At this time, the order data includes a plurality of order quantities included in the order request.

  The order information management unit 106 of the VWAP trading market system 14 stores the order data together with the VWAP order number and the reception date and time in the order information database 104, and generates or updates the CP board as in the first embodiment described above. To do. In the first embodiment, one CP board is generated according to the brand, but in the second embodiment, CP boards are generated by the number of order quantities that can be specified. For example, in the example of FIG. 14, three CP plates 1 to 3 are generated corresponding to the input fields CP1 to CP3.

  For example, when the order information database is FIG. 15, the CP board is as shown in FIG.

  However, in the example of the CP plate in FIG. 16A, for the sake of simplicity of explanation, only a buy order is shown, and a sell order notation is omitted.

  In the example of FIG. 15, only the VWAP order number (abbreviated as the order number in FIG. 15), the reception time, the trading category, the execution condition, and the quantity are displayed for the sake of simplicity. The display of the member order number, member ID, place classification, etc. is omitted.

  In FIG. 15, a maximum of three quantities are specified, and the one located on the left corresponds to the earlier cross point that satisfies the execution condition. For example, the quantity (10, 15, 20) of the order number 1 corresponds to the cross point that satisfies the execution condition that is first achieved and the cross that satisfies the execution condition that the quantity 15 is achieved next. The point, the quantity 20, further corresponds to the cross point that satisfies the above-mentioned execution condition that is achieved next. In the customer terminal, the quantity 10 is input in the input field CP1, the quantity 15 is input in the input field CP2, and the quantity 20 is input in the input field CP3. Further, the quantity (20, 30) of order number 3 is obtained by inputting the quantities 20, 30 in the input fields CP1, CP2 and 0 (or null) in CP3 at the customer terminal.

  As can be understood from FIG. 15 and FIG. 16 (A), the order of the quantity entered in the input field CP1 out of the maximum three designated quantities is the same as the quantity entered in the CP board 1 and the input field CP2. The order is added to the CP board 2 and the order of the quantity entered in the input field CP3 is added to the CP board 3. Similarly, in the case of a sell order, it is added to the CP plates 1 to 3 (not shown).

  The contract processing in the order information management unit 106 when the contract processing instruction data is input from the price information management unit 107 is performed as follows.

Here, as an example, an up-cross is achieved at 9:15 at the venue, and at that time, three selling orders are placed on the CP board 1 [order number 2, quantity: 40, execution condition: execution],
[Order number 4, Quantity: 30, Execution conditions: Up cross]
[Order No. 7, Quantity: 10, Execution conditions: Successful conduct]
Is present (see FIG. 15). The total number of market orders is 50, and the total number of upcross orders is 30.

  In the contract processing according to the present embodiment, matching between a buy order and a sell order is performed based on the CP plate 1, and the CP plates 2 and 3 are used as data for updating the CP plates 1 and 2 after the contract processing, respectively. .

  Since up-crossing has been achieved as described above, on the CP board 1, a selling order and a buying order having an execution condition of “marketing” or “up-crossing” are matched. Here, the above three selling orders with order numbers 2, 4, and 7 are matched with the buying orders with order numbers 1, 3, 6, and 8 in FIG.

  As in the first embodiment, the contract processing is performed in accordance with the priority order of the reception time. As a result, as shown in FIG. The buy order of number 8 is filled only for quantity 20, and the remaining quantity 5 is unfilled (in-house). All three selling orders are filled. Orders with an execution condition of down cross are not eligible for execution.

  After completion of the contract processing, the CP plate 1 is updated based on the CP plate 2. Hereinafter, although the update process of CP board 1 with respect to a purchase order is demonstrated, it is performed similarly also in the case of a sell order.

(Step A) First, an order with the same order number for an order in which the remaining number is generated in the CP board 1 and an order that has been subject to a contract process but has not been executed at all (no contract has been executed) are CP boards. 2 is inspected. When such an order exists, the order quantity on the CP board 2 is added to the board of the same order number on the CP board 1 and the order is deleted from the CP board 2.

  In the example of FIGS. 16A and 17, the order quantity 35 of the order number 8 on the CP board 2 is added to the order of the same number on the CP board 1 (remaining quantity 5) as shown in FIG. 16B. Updated to 40. At this time, the order with the order number 8 on the CP plate 2 is deleted.

(Step B) Next, in the CP board 2, it is inspected whether or not there is an order that is the same as the executed execution condition or in the market, and if it exists, such order is moved to the CP board 1 that is one level higher. (shift. Similarly, in the CP board 3, it is checked whether or not the same order as the executed execution condition exists, and if it exists, such an order is moved (shifted) to the CP board 2 one level higher. In general, when there are N CP plates (N is an integer of 2 or more), the CP plate M is placed on the CP plate M (M is an integer of 2 or more and N or less). Move (shift) to M-1. Orders that are not subject to execution on the CP board 1 are left on the CP board 1 as they are.

  In the example of FIGS. 16A and 17, the orders of order numbers 1, 3, and 6 on the CP plate 2 are moved to the CP plate 1 as shown in FIG. The order with the order number 6 has a down-cross execution condition and is different from the executed execution condition (up-cross or execution). Further, orders of order numbers 1, 6, and 8 on the CP plate 3 are moved to the CP plate 2 as shown in FIG.

(Step C) Finally, the orders on the CP plates 1 and 2 are sorted (arranged) according to the reception time. The sorting of each order may be performed simultaneously with the process of step A or B.

  When new order data is received in the state of the CP plates 1 to 3 in FIG. 16B, the orders (buy orders or sell orders) of the respective quantities specified in the order data are the CP plates 1 to 1. Added to the end of 3 (ie with the lowest priority).

  For example, when a buy order of quantity (10, 20, 30) is entered, a buy order of quantity 10 at the end of CP board 1, a buy order of quantity 20 at the end of CP board 2, and the end of CP board 3 A buy order of quantity 30 is added to the tail. Alternatively, when a purchase order for a quantity (40, 50) is entered, a purchase order for a quantity of 40 is added to the end of the CP board 1 and a purchase order for a quantity of 50 is added to the end of the CP board 2. Alternatively, when a purchase order for a quantity (60) is entered, a purchase order for a quantity of 60 is added to the end of the CP board 1.

  Here, at the time of the trade order processing based on the CP board 1, it is also possible to introduce a maximum contract constant and perform matching by subdividing the quantity by the maximum contract constant.

  For example, one buy order data (order number: 11, quantity: 100, 100, 100, execution condition: up cross) and two sell order data (order number: 12, quantity: 100, 100, 100, execution) (Condition: Up Cross) and (Order Number: 13, Quantity: 5, 0, 0, Execution Condition: Up Cross).

Specifically, the CP board 1 has a buy order (order number: 11, quantity: 100, execution condition: up cross),
Sell order (order number: 12, quantity: 100, execution condition: up cross),
There is a sell order (order number: 13, quantity: 5, execution condition: up cross)
For CP2 board, buy order (order number: 11, quantity: 100, execution condition: up cross),
There is a sell order (order number: 12, quantity: 100, execution condition: up cross),
CP3 board has a buy order (order number: 11, quantity: 100, execution condition: up cross),
It is assumed that there is a sell order (order number: 12, quantity 100, execution condition: up cross).

  However, it is assumed that the order for sale with order number 12 has an earlier reception time than the order for sale with order number 13. Further, it is assumed that there are no orders other than these for the CP plates 1 to 3 and no new orders are generated.

  In this case, according to the processing described so far, because of time priority, the purchase order of the order number 11 existing on the CP plates 1 to 3 and the sell order of the order number 12 are achieved by achieving three times of up-crossing. All orders are executed, but the selling order of order number 13 does not execute any quantity.

  Therefore, in the second embodiment, a maximum contract constant is introduced, and matching is performed within the range of the maximum contract constant, so that an order of order number 13 is also given a contract opportunity. The maximum contract constant is predetermined as an integer multiple of the brand trading unit. Hereinafter, an example of processing when the maximum contract constant of the corresponding brand is set to 50 is shown.

  First, when the first up cross is achieved, the quantity 50 of the sell order with the order number 12 matches the quantity 50 of the buy order with the order number 11 on the CP board 1, and then the quantity of the sell order with the order number 13 is 5. And the quantity 5 of the buy order with the order number 11 match, and then the quantity 45 of the sell order with the order number 12 and the quantity 45 of the buy order with the order number 11 match. The quantity 5 of the sell order with order number 12 remains. The remaining selling order of the quantity 5 is added to the quantity 100 of the CP board 2 by the CP board updating process to become the quantity 105, and the buy order existing on the CP board 2 is shifted to the CP board 1. Further, the selling order and the buying order for the CP board 3 are shifted to the CP board 2. Thereafter, the processing is continued in the same manner.

(Third embodiment)
In the first and second embodiments, execution processing is executed when the contract price of the auction transaction market and VWAP cross (when an up cross or a down cross occurs), but in this embodiment, the auction transaction market A case where the execution of the contract processing when the magnitude of the difference between the contract price and the VWAP falls within the threshold is shown.

  In this embodiment, every time the market price information is received from the auction transaction market system 13, the price information management unit 107 compares the contract price of the auction transaction market with the calculated VWAP. When the magnitude of the difference between these prices is within the threshold value, the price information management unit 107 determines execution of the contract processing and outputs the contract processing instruction data to the order information management unit 106.

  Here, when “the difference between the contract price of the auction transaction market and the VWAP is within the threshold value”, it is more detailed, “the difference between the contract price of the auction transaction market and the VWAP is within the threshold value and the contract price is within the threshold value. VWAP or more (or greater than VWAP) ”(third price relationship) and“ the difference between the auction transaction market contract price and VWAP is within a threshold and the contract price is less than VWAP (or less than VWAP ”( The fourth price relationship).

  In the configuration and operation of the present embodiment, the third price relationship corresponds to the up-cross (first price relationship) of the first and second embodiments, and the fourth price relationship is the first and second embodiments. This corresponds to a case where the explanations of the first and second embodiments are read as corresponding to the down cross (second price relationship).

  As described above, according to this embodiment, it is possible to obtain the same effects as those of the above-described first and second embodiments.

11: Customer terminal 12: Securities company system (transaction participant system)
13: Auction transaction market system 14: VWAP transaction market system 101: Order / contract IF
102: Auction market report IF
103: VWAP quotes IF
104: Order information database 105: Price information database 106: Order information management unit 107: Price information management unit 108: Place management unit 109: Storage unit

Claims (8)

An order information database that stores order data specifying trading participant identification information, financial product brands, order quantities, and trading categories;
An auction market reporting interface for receiving market price information describing a brand, contract price and quantity of a financial product contracted in the auction transaction market from an auction transaction market system for managing financial product transactions in the auction transaction market;
A price information database for storing the market price information received by the auction market price reporting interface;
Every time the market price information is received, a volume weighted average price of a financial product of a brand described in the received market price information is calculated based on the price information database,
The volume-weighted average price calculated this time is smaller than the contract price described in the received market price information, and the volume-weighted average price calculated last time is larger than the contract price described in the previously received market price information. The price relationship, and the volume-weighted average price calculated this time is larger than the contract price described in the received market price information, and the volume-weighted average price calculated last time is described in the previously received price information. A price information management unit that determines whether one of the second price relationships smaller than the contract price is established;
When the price information management unit determines that the first price relationship or the second price relationship has been established, the brand in which the first price relationship or the second price relationship is established in the order information database An order information management unit that executes the contract processing of the specified order data, and sets the transaction price of the contracted order data to the same price as the contract price described in the received market price information,
VWAP trading market system. The order data includes a first execution condition for requesting execution of the contract processing when any one of the first and second price relationships is established, and when the first price relationship is established. Requesting execution of the contract processing and the second price relationship is established, the second execution condition not requiring execution of the contract processing, and the execution of the contract processing when the second price relationship is established Including any designation of the third execution condition not requiring execution of the execution of the contract when the first price relationship is established by requesting execution;
The order information management unit executes execution processing of order data specifying the first and second execution conditions when the first price relationship is established, and when the second price relationship is established. Executing the contract processing of the order data specifying the first and third execution conditions,
The VWAP transaction market system according to claim 1. The order data includes designation of order quantities of the first to Nth (N is an integer of 2 or more),
3. The order information management unit according to claim 2, wherein the first to Nth order quantities are subject to execution processing in order each time an execution condition specified by the order data is satisfied. VWAP trading market system An order and execution interface for receiving said order data from a system of trading participants who are eligible to participate in the VWAP trading market,
The order information management unit performs processing for receiving the order data, stores the received order data together with a reception time in the order information database,
The VWAP transaction market system according to any one of claims 1 to 3, wherein the order information management unit preferentially executes a contract processing of the order data as the reception time is earlier. The order information management unit does not execute the contract processing when a difference between the volume-weighted average price calculated this time and the contract price described in the market price information received this time is a predetermined threshold value or more. The VWAP transaction market system according to any one of claims 1 to 4. An order information database that stores order data specifying trading participant identification information, financial product brands, order quantities, and trading categories;
An auction market reporting interface for receiving market price information describing a brand, contract price and quantity of a financial product contracted in the auction transaction market from an auction transaction market system for managing financial product transactions in the auction transaction market;
A price information database for storing the market price information received by the auction market price reporting interface;
The volume-weighted average price of the financial product of the brand described in the received market price information is calculated based on the price information database, and the calculated volume-weighted average price and the contract price described in the received market price information A price information management unit for determining whether or not the magnitude of the difference is equal to or less than a threshold;
When it is determined that the magnitude of the difference is less than or equal to a threshold, the order information specifying the brand described in the received market price information is specified in the order information database, and execution of the specified order data is executed. An order information management unit for setting the transaction price of the contracted order data to the same price as the contract price described in the received market price information;
VWAP trading market system. A VWAP transaction method executed by a computer,
A receiving step of receiving, from an auction transaction market system that manages transactions of financial products in the auction transaction market, market information describing a brand, contract price, and quantity of the financial product contracted in the auction transaction market;
A storage step of storing the market price information received in the receiving step in a price information database;
Every time the market price information is received, a volume weighted average price of a financial product of a brand described in the received market price information is calculated based on the price information database,
The volume-weighted average price calculated this time is smaller than the contract price described in the received market price information, and the volume-weighted average price calculated last time is larger than the contract price described in the previously received market price information. The price relationship, and the volume-weighted average price calculated this time is larger than the contract price described in the received market price information, and the volume-weighted average price calculated last time is described in the previously received price information. A price information management step for determining whether one of the second price relationships smaller than the contract price is established;
When it is determined by the price information management step that the first price relationship or the second price relationship has been established, the transaction participant identification information, the brand of the financial product, the order quantity, and the trading category are: The order information database that stores the specified order data is accessed, the order data specifying the stocks for which the first or second price relationship is established is specified, the execution processing of the specified order data is executed, and the executed order An order information management step for setting the transaction price of the data to the same price as the contract price described in the market price information received this time;
VWAP transaction method with A VWAP transaction method executed by a computer,
A receiving step of receiving, from an auction transaction market system that manages transactions of financial products in the auction transaction market, market information describing a brand, contract price, and quantity of the financial product contracted in the auction transaction market;
A storage step of storing the market price information received in the receiving step in a price information database;
The volume-weighted average price of the financial product of the brand described in the received market price information is calculated based on the price information database, and the calculated volume-weighted average price and the contract price described in the received market price information A price information management step for determining whether or not the magnitude of the difference is equal to or less than a threshold;
When it is determined that the magnitude of the difference is equal to or less than a threshold value, an access is made to an order information database that stores order data specifying trading participant identification information, brands of financial products, order quantities, and trading categories. The order data specifying the brand described in the received market price information is specified, the contract processing of the specified order data is executed, and the transaction price of the contracted order data is described in the received market price information. An order information management step for setting the same price as the contract price, and a VWAP transaction method.

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