JP5624416B2 - CFD hedge processing system, method thereof, and program - Google Patents

Description

  The present invention relates to a CFD hedging system and method, and a program, and a cover trader that performs a cover transaction for a CFD provider with a CFD provider for individual customers who provides CFD to customers. Available as a system.

  CFD (Contract For Difference) is a financial product provided by a CFD provider (for example, a securities company that operates for individual customers) that guarantees that it will be linked to changes in the value of the underlying asset. It is a financial product that generates profits and losses by investing in a relative transaction without going through the market, and settles the difference between the purchase price and the sale price of CFD without delivering the actual product. Since the CFD provider has a risk of holding it by providing CFD to the customer, in order to avoid this, usually with a cover provider (for example, a securities company that conducts business for companies). We are doing cover transactions.

  In general, in foreign countries, particularly in Europe and the United States, a cover trader has a one-to-one correspondence with a CFD brand customer order received by a CFD provider (an order for a quote provided by a cover trader) (for example, By trading the hedged underlying asset products (for example, stocks, etc.) corresponding to the underlying assets to which CFD (stock CFD, etc.) is linked on the market (exchange), the holding risk (market risk) associated with price fluctuations can be avoided. As a cover trader, the company will secure profits from the market spread, which is the difference between the trading price of the underlying asset and the trading price in the market for the underlying asset product.

  For example, more specifically, as shown in FIG. 12, the customer sends a CFD provider to α company stock CFD (CFD linked to price fluctuation of α company stock), 1,000 shares (α company stock 1 Suppose that a CFD of a quantity equivalent to 1,000 shares is sold at 99 yen (or bought at 102 yen). Then, the CFD provider buys α company CFD and 1,000 shares for 99 yen (or sells for 102 yen) to the customer. At this time, since the CFD provider has a risk of possessing CFD, it sells α company shares CFD and 1,000 shares to cover companies for 99 yen (or buy for 102 yen). On the other hand, the cover trader buys α share CFD and 1,000 shares for CNY provider at 99 yen (sell at 102 yen). Therefore, the CFD provider is equivalent to only sending the customer's order to the cover supplier. Then, the cover trader sells α shares and 1,000 shares, which are the underlying asset products to be hedged, to the market (exchange) at 100 yen (or hedge buying at 101 yen). In other words, the cover trader sells the hedge at 100 yen, which is 1 yen higher than the price of 99 yen he / she bought (or buys the hedge at 101 yen which is 1 yen lower than 102 yen he / she sold).

  Here, as shown in FIG. 12, it is assumed that the market price of the α company stock has fallen. The customer buys and sells 1,000 CFDs of the α company stock CFD to the CFD provider in order to settle profits by closing orders that are for sale. Then, the CFD provider sells α company CFD and 1,000 shares to customers for 52 yen. At this time, the CFD provider buys α company stock CFD, 1,000 shares from the cover trader for 52 yen. On the other hand, the cover trader sells α company shares CFD and 1,000 shares to CFD providers for 52 yen. The cover trader then buys α shares and 1,000 shares, which are the underlying asset products to be hedged, at 51 yen to the market (exchange). In other words, the cover trader buys hedges at 51 yen, which is 1 yen cheaper than the 52 yen sold. Therefore, the customer can obtain a profit of 99 yen-52 yen = 47 yen per share by the trading difference of the α company stock CFD. On the other hand, the cover trader suffers a loss of 99 yen -52 yen = 47 yen per share due to the difference in trading of the α company shares CFD, but the share of the α company shares that are the hedged underlying asset products Since a profit of 100 yen-51 yen = 49 yen is obtained, a total profit of 49 yen-47 yen = 2 yen per share is obtained.

  Further, as shown in FIG. 12, it is assumed that the market price of the α company stock has risen. The customer sells and sells α company shares CFD, 1,000 shares for 149 yen to the CFD provider in order to settle the order that has been bought. Then, the CFD provider buys α company stock CFD and 1,000 shares for 149 yen to the customer. At this time, the CFD provider sells α company stock CFD, 1,000 shares to the cover trader for 149 yen. On the other hand, a cover trader buys α company shares CFD and 1,000 shares at a cost of 149 yen against CFD providers. Then, the cover trader sells α shares and 1,000 shares of the underlying asset product to be hedged to the market (exchange) at 150 yen. In other words, the cover trader sells a hedge at 150 yen, which is 1 yen higher than the 149 yen he bought. Accordingly, the customer can obtain a profit of 149 yen-102 yen = 47 yen per share by the trading difference of the α company stock CFD. On the other hand, the cover trader suffers a loss of 149 yen-102 yen = 47 yen per share due to the trading difference of the α company share CFD, but the share of the α company share which is the hedged underlying asset product is 1 share Since a profit of 150 yen-101 yen = 49 yen is obtained, a total profit of 49 yen-47 yen = 2 yen per share is obtained.

  In addition, although this invention is a technique regarding the hedging of a cover contractor, as a different thing, there are many literatures about using CFD for a hedge on the customer side (refer nonpatent literature 1).

Himawari Securities Co., Ltd., “Utilized for Hedging”, [online], Himawari Securities website, [Search August 15, 2010], Internet <URL: http://sec.himawari-group.co.jp/cfd/ knowledge / hedge / ＞

  However, in the one-to-one hedge processing of the conventional CFD issue and the underlying asset product to be hedged as described above, since CFD is a difference settlement, the number of orders tends to be larger than usual. In addition, since orders for buying and selling to the market (exchange) of the underlying asset product to be hedged increase, the commission (payment fee) paid by the cover trader to the exchange increases and the cost burden increases.

  For this reason, by effectively analyzing the liquidity and controlling the timing of hedge orders to exchanges, the number of orders and quantity of hedge orders can be reduced while minimizing the risks held by cover contractors, It is desirable to reduce the execution cost (place fee) when placing an order with an exchange and, at the same time, reduce the impact on the market (exchange).

  In the conventional one-to-one hedging process, the selling hedge order and the buying hedge order may be repeated depending on the trend of CFD trading by the customer. If a hedging order for a purchase is made, the cover trader loses by the amount obtained by multiplying the difference between the selling price (cheap) and the buying price (high) by the unit price. Therefore, if it is possible to prevent the selling hedging order and the buying hedging order from being performed when the selling order and the buying order of the CFD by the customer are well matched (netting), such a cover trader is caused. Loss can be suppressed (equivalent trading / netting effect).

  Furthermore, if the underlying asset product to be hedged is a stock, the cover trader will need to hold sufficient physical stocks in order to comply with short selling regulations. Since there is a risk of holding it (market risk), it is also necessary to control the amount of cash stock held to an appropriate amount.

  The purpose of the present invention is to appropriately control the number of orders and quantity of hedge orders while minimizing the risk held by the cover contractor, to reduce the amount of money paid by the cover contractor, and to repeatedly sell and buy hedge orders. The present invention provides a CFD hedging processing system, a method thereof, and a program capable of suppressing the loss of a cover contractor generated by the company.

  The present invention relates to a cover trader who performs a cover transaction for a CFD provider with a CFD provider connected to a CFD provider system for individual customers who provide CFD to customers via a communication line. A computer-configured CFD hedging processing system including an order including a CFD trading quantity by a CFD provider transmitted from a CFD provider system via a communication line in response to a CFD trading order by a customer. CFD order acceptance processing means for executing data reception processing, and CFD order data received by the CFD order acceptance processing means by the cover trader when contracted by the cover trader, the CFD contract data is transferred to the communication line. CFD contract transmission processing means for executing processing for transmission to the system of the CFD provider via the CFD provider, and the CFD For the orders for which the contract data is transmitted by the fixed transmission processing means, the CFD provider obtains the CFD purchase quantity by the cover trader, which the cover trader has contracted for the quantity of the order data sold by the CFD provider. The CFD quantity or amount balance of the cover trader, which is obtained by subtracting the CFD sale quantity by the cover trader that the cover trader has executed to sell against the quantity of the CFD buy order data by, is associated with the CFD brand identification information. The CFD position storage means to store and the balance of the quantity or amount of the hedged underlying asset product of the cover trader, which is obtained by subtracting the selling quantity from the buying quantity of the hedged underlying asset product ordered or contracted by the cover trader in the market. A hedge position storage means for storing in association with the stock identification information of the underlying asset product to be hedged; Parameter storage means for storing a threshold value determined as a quantity or amount of money that can accept a risk in association with the brand identification information of the hedged underlying asset product or CFD brand identification information corresponding thereto, and CFD position storage means Of the cover contractor's hedged underlying asset product stored in the hedge position storage means in association with the balance identification of the cover contractor's CFD and the brand identification information of the hedged underlying asset product corresponding to the brand identification information of this CFD. The total balance with the balance is calculated, and whether or not the required amount of hedge or the equivalent amount indicated as the absolute value of the change from the initial state on the day of processing for this total balance has exceeded the threshold stored in the parameter storage means Or whether the hedging condition is met or not, whether the hedging condition is met or not. If the amount of change from the initial state on the day of processing for the total balance is a positive value, it is decided to place an order to sell the hedged underlying asset product in the market with at least a part of the required amount of hedge as the selling quantity, If the change from the initial state on the day of processing for the total balance is a negative value, a hedge that executes a process to determine that a purchase order for the underlying asset product to be hedged will be placed in the market with at least a part of the required amount of hedge as the purchase quantity In accordance with the judgment result of the control processing means and the hedge control processing means, at least a part of the hedging required quantity is set as the selling quantity or buying quantity, and the order data of the selling order or buying order of the underlying asset product to be hedged is connected to the market system Hedging order transmission processing means for executing processing to be transmitted via the market system and communication times from the market system. Is characterized in that a hedge contract acceptance process means for executing a process of receiving the contract data of the hedged underlying item transmitted via the.

  Here, the “total balance” may be the sum of the quantity balance of the CFD and the quantity balance of the underlying asset product to be hedged. You may total the amount balance of the target underlying asset product (the market value amount obtained by converting the quantity balance of the hedged underlying asset product by the market price unit).

  In this case, when the quantity balances are summed as in the former case, if the underlying assets of the CFD and the underlying asset product to be hedged are the same, the quantity balances can be summed as they are. , The ratio of the quantity of CFD and hedged underlying asset product determined to establish the hedge according to the product type of the CFD and the underlying asset product to be hedged (the customer's single CFD order as before) Assuming that a one-to-one hedging is performed for a hedge order, the ratio of the trading volume of CFD and the trading volume of the underlying asset product to be hedged is used. Then, after converting the quantity of either one, total.

  For example, if the underlying asset is a stock CFD, the hedged underlying asset product can be a stock of the same name as the underlying asset. In this case, the quantity balance of the stock CFD and the hedged underlying asset product If the quantity balance is expressed in the same unit (for example, how many shares are both), the quantity balance of the stock CFD and the quantity balance of the underlying asset product to be hedged may be added together.

  Also, if the underlying asset is a stock index futures CFD and the hedged underlying asset product is a stock index future with the same name as the underlying asset, the quantity balance of the stock index futures CFD and the hedged underlying asset If the quantity balance of the product is expressed in the same unit (for example, how many units are both), the quantity balance of the stock price index future CFD and the quantity balance of the underlying asset product to be hedged may be added together.

  On the other hand, if the underlying asset is a stock index future CFD, the hedged underlying asset product can be all stocks that make up the stock index. Since it is meaningless to add the balance and the quantity balance of the underlying asset product to be hedged as they are, conversion is necessary. For example, with the conventional one-to-one hedging concept, if it is necessary to place a hedge order for all stocks that make up the stock index, Y shares, for X stocks of stock index futures CFDs, hedge is performed. The quantity ratio at that time is X: Y, so for example, the quantity balance of the stock index futures CFD (quantity balance expressed in units of several) is converted to the number of shares by multiplying by Y / X, and then the hedged underlying asset It can be summed with the quantity balance of the product (quantity balance expressed in units of how many shares; provided here, the number of shares common to all stocks constituting the stock price index). When performing hedging, it is necessary to calculate the order quantity (sell quantity or buy quantity) of the underlying asset product to be hedged. Thus, the quantity balance of the stock index futures CFD is expressed in units of the underlying asset product (number of shares). ) Is more convenient for subsequent calculation processing. If the quantity balances of both cannot be summed as they are as in this example, the quantity balances of both may be summed in the state converted into the amount balance using the market price unit price.

  The “threshold value” may be determined by either quantity or amount, but when “total balance” is indicated by quantity balance and “threshold value” is determined by amount, “threshold value” is set. Convert to volume using the market price of the hedged underlying asset product and determine the success or failure of the “Hedge Implementation Conditions” on a volume basis, or convert the “total balance” to the amount using the market price unit of the hedged underlying asset product After conversion, the success or failure of the “hedge implementation conditions” can be determined on an amount basis. Conversely, if the “total balance” is indicated by an amount balance and the “threshold value” is determined by the quantity, the “threshold value” is converted into an amount using the market price unit price of the underlying asset being hedged, To determine the success or failure of the “hedge implementation condition” or convert the “total balance” into a quantity using the market price of the underlying asset product to be hedged and determine the success or failure of the “hedge execution condition” on a volume basis .

  In addition, if the success or failure of the “hedge implementation conditions” is determined on a volume basis, the “total balance” indicated by the quantity is used to calculate the order quantity (sell quantity or buy quantity) of the underlying asset product to be hedged. If the success or failure of the “hedging conditions” is determined on an amount basis, the “total balance” indicated by the amount is used to determine the order amount (sell amount or purchase amount) of the underlying asset product to be hedged. Amount) is determined, and this amount is converted into a quantity using the market unit price of the hedged underlying asset product, and the order quantity (sell quantity or buy quantity) is determined.

  In such a CFD hedge processing system of the present invention, a combined position of the CFD position and the hedge position is constructed by calculating the total balance of the balance of the CFD and the balance of the underlying asset product to be hedged corresponding thereto. The hedge is executed when the change from the initial state on the day of processing for the balance of the combined position reaches a threshold value.

  For this reason, as long as the threshold is not reached, hedging is not performed, that is, risk up to the threshold is allowed and risk management is performed with a wide range. Compared to a one-to-one hedge process where a hedge order is placed once, it is possible to reduce the number and order quantity of hedge orders in the market, thereby minimizing the risk of holding the cover contractor. In this way, it is possible to appropriately control the number of orders and quantity of hedge orders, reduce the amount of money paid by the cover contractor, and reduce the market impact.

  Since the hedge is not executed until the threshold value is reached, when the CFD sell order and the buy order by the customer are well matched (netting), the sell hedge order and the buy hedge order should not be performed. It becomes possible to. Therefore, it is possible to suppress the loss caused by the difference between the selling price (cheap) and the buying price (high), which occurs in the cover trader due to the repetition of selling hedge orders and buying hedge orders (equivalent trading / netting). effect).

  In addition, by managing the balance of combination positions that combine different balance management systems, the timing of hedge execution and the order quantity of hedge orders are controlled, so that multiple factors that change the required amount of hedges are integrated and managed. This makes it possible to control the hedge balance more stably. For example, while a hedge sale is being made to reduce the balance of a combination position, there is a case where a customer buys CFD, and the hedge trader sells CFD against this, so the balance of the combination position may decrease. Then, since it is not necessary to sell hedges by that amount, it is possible to reduce the number of orders and quantity of hedges by managing the balance of combination positions that change due to multiple factors that occur simultaneously. It becomes. This also makes it possible to reduce the amount of money paid by the cover trader, and it is also possible to reduce the chances of short selling and avoid the risk of short selling that would violate the law.

  In addition, by managing the balance of the combined positions that combine different balance management systems, the timing of hedge execution and the order quantity of hedge orders are controlled, so the product type of the CFD and the product type of the underlying asset product to be hedged Diversification of correspondence can be easily realized. That is, rather than hedging stock CFDs with stocks or hedging stock index futures CFDs with stock index futures, for example, stock buys and sells stocks against stock index futures CFDs. This makes it possible to easily perform hedge control, and the above-described purpose is achieved.

  Further, in the CFD hedge processing system described above, the parameter storage means is determined as a quantity or amount to be retained in the cover contractor without performing the hedging, in addition to the threshold value, and the hedge required quantity or its equivalent amount, Alternatively, the reserve value determined as a ratio to the threshold value for calculating these quantities or amounts is also stored in association with the brand identification information of the hedged underlying asset product or the brand identification information of the corresponding CFD, The hedge control processing means hedges the quantity or amount obtained by subtracting the retained value stored in the parameter storage means from the absolute value of the change from the initial state of the processing day for the total balance when the hedge execution conditions are satisfied. Processing to determine the sales quantity or amount or purchase quantity or amount of the target underlying asset product Desirably it is configured to run.

  In this way, when hedging is performed up to the reserve value, the order quantity of the hedge can be reduced compared to when hedging is performed until the amount of change from the initial state of the total balance reaches zero. As a result, it is possible to further reduce the chances of short selling and avoid the risk of short selling that would violate the law.

  In addition, even if the hedge is not actively implemented until the amount of change from the initial state on the processing day for the total balance becomes zero, the customer's CFD order is placed after that, so Since the amount of change from 1 can approach zero, it is possible to return the balance of the combined position to the optimum state while suppressing the order quantity of the hedge. For example, after selling hedges until the amount of change (plus value) from the initial state on the processing day for the total balance reaches the reserve value, the customer buys CFD, and the hedger sells CFD to this Thus, the total balance may decrease, and the amount of change of the total balance from the initial state on the processing day may approach zero. In addition, after buying the hedge until the absolute value of the amount of change (minus value) from the initial state on the day of processing of the total balance reaches the reserve value, the customer sells CFD, and the hedge dealer responds to this by CFD. The total balance increases and the amount of change of the total balance from the initial state on the processing day may approach zero.

  Furthermore, in the CFD hedge processing system described above, the parameter storage means is defined as the upper limit quantity of the sell quantity or the buy quantity in one order of the sell order or the buy order of the underlying asset product to be hedged in addition to the threshold value and the reserve value. The hedge upper limit quantity is also stored in association with the brand identification information of the hedged underlying asset product or the corresponding CFD brand identification information, and the hedge control processing means In order to divide the buy order into the market in multiple times, within the range of the maximum hedging quantity stored in the parameter storage means, the hedged item in the sell order of the underlying asset product to be hedged or a single purchase order Determine the sell or buy quantity of the underlying asset product, and the absolute value of the change from the initial state on the day of processing for the total balance Until reserve value stored in the parameter storage means, when the orders previously ordered stipulate, desirably it is configured to repeat the process of determining the order of the next order.

  As described above, when the hedge is divided into a plurality of times within the range of the upper limit of the hedge, the market impact can be further suppressed. In addition, there is a CFD order by the customer while the hedge order is repeated in multiple times, and the absolute value of the amount of change of the total balance from the initial state on the processing day may approach the retained value. Therefore, it is not necessary to place an order for hedges, and it is possible to reduce the order quantity of hedges. It is possible to prevent the risk of short selling.

  In the CFD hedging processing system described above, the parameter storage means not only sets the threshold value and the reserve value, but also the short selling allowance value determined as the limit quantity or the limit amount that is permitted to be sold as a short sale restriction target. The hedge control processing means is configured to store in association with the brand identification information of the product or the corresponding CFD brand identification information after the hedge processing of the underlying asset product of the cover contractor stored in the hedge position storage means. The absolute value of the negative value of the balance of the balance is configured to execute the process of determining the selling quantity or amount of the underlying asset product to be hedged within a range that does not exceed the short selling allowable value stored in the parameter storage means. desirable.

  In this way, when the selling quantity or amount of the hedged underlying asset product is determined within a range that does not exceed the short selling allowable value, it becomes possible to reliably comply with short selling regulations. In other words, if the hedge quantity or amount is determined only by hedging control (control of the balance of the combined position) until the amount of change from the initial state on the day of processing of the total balance reaches the reserve value, the hedge will be hedged by short selling regulations. However, if the balance of the hedge position is controlled as well as the balance of the combined position, the underlying asset to be hedged without causing such inconvenience. It becomes possible to determine the quantity or amount of goods sold.

  Further, in the case where the selling quantity or the amount of the underlying asset product to be hedged is determined within the range not exceeding the short selling allowable value as described above, the hedge position storage means is the order data of the buy order by the hedge order transmission processing means. Selling the hedged underlying asset product that is updated when the order data of the sell order is sent to the market system by the hedge order transmission processing means from the purchase quantity of the hedged underlying asset product that is updated when The first balance of the hedged underlying asset product quantity or amount of the cover contractor reduced in quantity, and the hedged underlying asset that is updated when contract data for buy orders is received from the market system by the hedge contract acceptance processing means When the purchase order data is sent to the market system from the purchase quantity of the product by the hedge order transmission processing means, it is updated. A second balance of the quantity or amount of the hedged underlying asset product of the cover contractor reduced by the sales volume of the hedged underlying asset product to be stored in association with the stock identification information of the hedged underlying asset product, The hedge control processing means is stored in the hedge position storage means in association with the CFD balance of the cover trader stored in the CFD position storage means and the brand identification information of the underlying asset product corresponding to the CFD brand identification information. Hedging requirement indicated as the absolute value of the change from the initial state on the day of processing for the total balance using the first balance of the hedged underlying asset product Whether the quantity or equivalent amount exceeds the threshold stored in the parameter storage means, or whether it exceeds the threshold If the change condition from the initial state on the day of processing for the total balance using the first balance is a positive value when the hedge execution condition is satisfied and the hedge execution condition is satisfied, the CFD position storage means The number of the cover company's hedged underlying asset product stored in the hedge position storage means in association with the stored cover trader's CFD balance and the brand identification information of the hedged underlying asset product corresponding to the brand identification information of this CFD. 2 is calculated by subtracting the reserve value stored in the parameter storage means from the absolute value of the change from the initial state on the processing day for the total balance using the second balance. The amount is determined as the sale quantity or amount of the underlying asset product to be hedged and the absolute value of the negative value of the second balance after the hedge processing of the underlying asset product to be hedged Determines the selling quantity or amount of the hedged underlying asset product within a range that does not exceed the short selling allowable value stored in the parameter storage means, and when the hedge execution condition is satisfied, the total balance using the first balance If the change from the initial state on the processing day is negative, the reserved value stored in the parameter storage means from the absolute value of the change from the initial state on the processing day for the total balance using the first balance It is desirable that the processing for determining the quantity or amount obtained by subtracting as the purchase quantity or amount of the hedged underlying asset product is executed.

  In this way, when managing the balance of the hedged underlying asset product by distinguishing between the order of the hedge order and the execution time, it is possible to sell the hedged underlying asset product within a range that does not exceed the short selling allowance. When determining the quantity or amount, it is possible to make a determination by using the balance on the safe side, and it is possible to more reliably comply with the short selling regulations.

  Further, in the CFD hedge processing system described above, market information acquisition processing means for executing processing for acquiring market price information of the underlying asset product to be hedged from the market system or other market price information providing system via a communication line, and a hedge position storage The CFD quotation quantity is calculated using the balance of the hedged underlying asset product of the cover trader stored in the means and the short selling allowance stored in the parameter storage means, and the hedged target price acquired by the market price information acquisition processing means is calculated. It is desirable to have a configuration including CFD quotation presenting processing means for executing processing for calculating CFD quotations using the market price information of asset commodities.

  In this way, in the case of a configuration equipped with CFD quotation presentation processing means, the amount that can be hedged is calculated and determined by adding the short selling allowance to the holding balance of the hedged underlying asset product, With this quantity as the upper limit, it is possible to present the CFD bid quantity (buy price) by the cover trader, so that it is possible to present more appropriate quotations.

  The above-described CFD hedge processing system preferably includes a parameter setting processing unit that receives input settings of a threshold value and a reserve value from a terminal device and stores them in the parameter storage unit.

  In the case of the configuration including the parameter setting processing means as described above, it is possible to easily change the setting of the threshold value and the reserved value. For example, by setting the threshold value and the reserved value to zero, It is also possible to realize a system that performs one-to-one hedge processing. For this reason, since it is not necessary to have a plurality of algorithms in one system, a system with excellent maintainability can be realized.

  Moreover, the following CFD hedge processing method of this invention is mentioned as a CFD hedge processing method implement | achieved by the CFD hedge processing system of this invention described above.

  That is, the present invention performs a cover transaction for a CFD provider with the CFD provider connected to a system of a CFD provider for individual customers who provides CFD to a customer via a communication line. A CFD hedge processing method executed by a CFD hedge processing system configured by a computer of a cover supplier, wherein a CFD order reception processing means is a communication line corresponding to a CFD trade order by a customer from a CFD provider system. The CFD provider transmits the order data including the CFD trading quantity transmitted via the CFD, and the CFD contract transmission processing means receives the CFD order data received by the CFD order reception processing means. If the cover contract is executed by the cover contractor, the CFD contract data of the CFD provider is transmitted via the communication line. The cover trader that the cover trader bought and executed for the quantity of the order data sold by the CFD provider with respect to the order for which the trade data was transmitted by the CFD trade transmission processing means. The amount of CFD or the amount of the CFD of the cover trader, which is obtained by subtracting the quantity of CFD sold by the cover trader from the quantity of CFD buy by the CFD provider and the volume of the CFD buy order data by the CFD provider. The balance is stored in the CFD position storage means in association with the CFD brand identification information, and the cover contractor's hedge target is obtained by subtracting the sales quantity from the purchase quantity of the hedged underlying asset product that the cover contractor has placed in the market or executed in the market. Associate the balance of the quantity or amount of the underlying asset product with the product identification information of the hedged underlying asset product Parameter storage means that associates a threshold value defined as a quantity or amount of money that can be stored in the hedge position storage means and tolerates risk with the brand identification information of the underlying asset product to be hedged or the corresponding brand identification information of the CFD And the hedge control processing means stores the hedge position in association with the CFD balance of the cover trader stored in the CFD position storage means and the brand identification information of the underlying asset product corresponding to the CFD brand identification information. The total balance with the balance of the hedged underlying asset product stored in the means is calculated, and the required amount of hedge or its equivalent amount shown as the absolute value of the change from the initial state on the day of processing for this total balance is calculated. , Whether the threshold stored in the parameter storage means has been exceeded, or more than the threshold If the hedging conditions are met, and if the hedging conditions are met, if the change in the total balance from the initial state on the day of processing is a positive value, at least a part of the required amount of hedging If it is decided to place an order to sell the underlying asset product to be hedged as a sale quantity, and the change from the initial state on the day of processing of the total balance is a negative value, hedging at least a part of the hedged quantity as a purchase quantity Executes a process to determine that a purchase order for the underlying asset product is to be placed on the market, and the hedge order transmission processing means hedges at least a part of the hedging required quantity as the sales quantity or the buying quantity according to the judgment result by the hedge control processing means. A process for sending the order data of sell orders or buy orders for the underlying product to the market system via a communication line. Is executed, the hedge contract acceptance process means, characterized in that to execute a process of receiving the contract data of the hedged underlying item which is transmitted via the communication line from the market system.

  In such a CFD hedge processing method of the present invention, the actions and effects obtained by the above-described CFD hedge processing system of the present invention can be obtained as they are, thereby achieving the object.

  Furthermore, the program of the present invention is for causing a computer to function as the CFD hedge processing system described above.

  The above-mentioned program or a part thereof is, for example, a magneto-optical disk (MO), a read-only memory (CD-ROM) using a compact disk (CD), a CD recordable (CD-R), a CD rewritable (CD -RW), read-only memory (DVD-ROM) using digital versatile disk (DVD), random access memory (DVD-RAM) using DVD, flexible disk (FD), magnetic tape, hard disk, It can be recorded on storage media such as read-only memory (ROM), electrically erasable and rewritable read-only memory (EEPROM), flash memory, and random access memory (RAM) for storage and distribution. And, for example, a local area network (LA ), A metropolitan area network (MAN), a wide area network (WAN), a wired network such as the Internet, an intranet, or an extranet, or a wireless communication network, or a combination thereof. It is also possible to carry it on a carrier wave. Furthermore, the above program may be a part of another program, or may be recorded on a recording medium together with a separate program.

  As described above, according to the present invention, a combined position of the CFD position and the hedge position is constructed by calculating the total balance of the balance of the CFD and the balance of the hedged underlying asset product corresponding thereto. Because the hedge is executed when the change from the initial state on the day of processing for the balance of this combined position reaches the threshold, the number of orders and the order quantity of the hedge order can be reduced while minimizing the risk held by the cover contractor. It has the effect of being able to control properly, reducing the amount of money paid by the cover contractor, and reducing the market impact.

1 is an overall configuration diagram of a CFD trading system including a CFD hedge processing system according to an embodiment of the present invention. The block diagram of the CFD store board memory | storage means of the said embodiment. The block diagram of the CFD position memory | storage means of the said embodiment. The block diagram of the hedge position memory | storage means of the said embodiment. The figure which shows the example of calculation of the combination position of the said embodiment. The block diagram of the parameter memory | storage means of the said embodiment. The figure of the flowchart which shows the flow of the hedge process by the CFD hedge process system of the said embodiment. Explanatory drawing of the judgment process of whether the hedge of the said embodiment is implemented. Explanatory drawing of the determination process of the hedge quantity of the said embodiment. The figure which shows the example of transition of the hedge position of the said embodiment. The figure which shows the example of transition of the combination position of the said embodiment. Explanatory drawing of the conventional hedge process.

  An embodiment of the present invention will be described below with reference to the drawings. FIG. 1 shows an overall configuration of a CFD trading system 10 including a CFD hedge processing system 20 of the present embodiment. FIG. 2 shows an example of the configuration of the CFD in-store storage unit 40, FIG. 3 shows an example of the configuration of the CFD position storage unit 41, and FIG. 4 shows the configuration of the hedge position storage unit 42. An example is shown, FIG. 5 shows an example of calculating the combination position, and FIG. 6 shows an example of the configuration of the parameter storage means 43. FIG. 7 is a flowchart showing the flow of the hedging process performed by the CFD hedging processing system 20, FIG. 8 is an explanatory diagram of a process for determining whether or not to implement the hedging, and FIG. It is explanatory drawing of a determination process, FIG. 10 shows the example of transition of a hedge position, FIG. 11 shows the example of transition of a combination position.

  In FIG. 1, a CFD trading system 10 is configured such that a CFD provider for individual customers who provides CFD to a customer conducts a cover transaction with a cover supplier in order to avoid the risk of possessing CFD. This is a system for hedging in the market against CFDs received from CFD providers in cover transactions. The CFD provider is, for example, a financial institution such as a securities company that conducts sales (retail) for individual customers, and the cover company is, for example, a financial institution such as a securities company that conducts business (wholesale) for companies. However, these are not limited to financial institutions, and may be companies such as trading companies.

  Here, the CFD is a financial product that is provided by guaranteeing that the CFD provider is linked to changes in the value of the underlying asset. Depending on the product type of the CFD, the CFD and the underlying asset (not the financial product, The relationship between the underlying asset product to be hedged (the financial product used for hedging) and the like are as follows. For example, in the case of a stock CFD (for example, α company CFD), the underlying asset is a stock (for example, α company share), but the hedged underlying asset product is a stock of the same name (for example, α company share). can do. In the case of a stock index future CFD (for example, Nikkei 225 index future CFD), the underlying asset is a stock index future (for example, Nikkei 225 index future), but the underlying asset product to be hedged is a stock index future of the same name. (For example, Nikkei 225 index futures), or all brands constituting the stock price index (for example, all Nikkei 225 brands). Further, in the case of a stock index CFD (for example, the Nikkei 225 index CFD), the underlying asset is a stock index that is not a financial product (for example, the Nikkei 225 index). Nikkei 225 index futures) or all stocks constituting the stock price index (for example, all Nikkei 225 stocks). In the present embodiment, as an example, the case of a stock CFD (when the underlying asset and the hedged underlying asset product are stocks of the same name) will be described. However, the present invention is also applicable to a CFD of a type other than the stock CFD. can do.

  In FIG. 1, the CFD trading system 10 includes a CFD hedge processing system 20 operated and managed by a cover contractor, and a CFD provider system 50 connected to the CFD hedge processing system 20 via a communication line 1. A market system 60 is connected to the CFD hedge processing system 20 via the communication line 2, and a terminal device 70 operated by a person in charge of a cover trader (for example, a dealer) is connected via the communication line 3. Yes. Further, a terminal device 80 operated by a customer or an input agent thereof (for example, a salesperson or an operator of the CFD provider) is connected to the CFD provider system 50 via the communication line 4.

  Here, the communication line 1 that connects the CFD hedge processing system 20 and the CFD provider system 50 may be a dedicated line, for example, a network such as an extranet. The communication line 2 connecting the CFD hedge processing system 20 and the market system 60 is usually a dedicated line, but may be a network. Further, the communication line 3 that connects the CFD hedge processing system 20 and the terminal device 70 is a network such as a LAN or an intranet, for example, and the communication line 4 that connects the CFD provider system 50 and the terminal device 80 is, for example, A network such as the Internet or an intranet.

  The CFD hedge processing system 20 includes one or more computers, and includes a CFD order reception processing means 21, a CFD in-store board processing means 22, a CFD contract transmission processing means 23, a market price information acquisition processing means 24, Hedge control processing means 25, hedge order transmission processing means 26, hedge contract acceptance processing means 27, parameter setting processing means 28, CFD quotation presentation processing means 29, CFD store board storage means 40, and CFD position storage means 41, a hedge position storage means 42, and a parameter storage means 43.

  The CFD order reception processing means 21 receives CFD order data (order identification information, customer) sent from the CFD provider system 50 via the communication line 1 in response to a CFD trade order by the customer. (Including identification information, CFD brand identification information, order quantity, trade classification, limit price).) And stores the information in the CFD order table 40A (see FIG. 2) of the CFD store board storage means 40. . Note that the customer identification information included in the order data is not used in the cover transaction, so transmission may be omitted.

  The CFD in-store board processing means 22 includes uncommitted CFD order data stored in the CFD order table 40A (see FIG. 2) of the CFD in-store board storage means 40 and the CFD indication table 40B (see FIG. 2) of the CFD in-store board storage means 40. 2) for each CFD brand by using the bid information (buy price and bid price) and offer information (sell price and bid price) stored by the cover trader stored in Comparing CFD order data of uncommitted purchases from CFD providers with offer information (offer price and price) from cover providers for the same CFD stock, and from CFD providers By comparing the CFD order data of unsold sale with bid information (bid price and bid price) by the cover trader, CF The CFD execution transmission processing means 23 executes the order, and information about the executed CFD order is CFD execution data (including order identification information, customer identification information, CFD brand identification information, contract quantity, trading category, contract price). And the status stored in the CFD order table 40A (see FIG. 2) for the executed CFD order data is updated from “uncommitted” to “contracted”.

  Although not shown, bid information (buy price and bid price) and offer information (selling price) by the cover trader stored in the CFD price table 40B (see FIG. 2) of the CFD store board storage means 40 are shown. 2, or in addition to these, information on the CFD store board as shown in FIG. 2 is transmitted to the CFD provider system 50 via the communication line 1 by the CFD store board processing means 22, and The information is transmitted from the CFD provider system 50 to the terminal device 80 via the communication line 4.

  In addition, in the example of the α company stock CFD in-store board shown in FIG. 2, the market price is 101 yen or 100 yen, and both the sales price and the buy price between customers exist. Can not be traded between customers, so this can happen. This α company stock CFD store board shows the purchase of the customer (CFD provider) and the offer (sale) of the cover company in the right column, and the sales of the customer (CFD provider) in the left column. , And cover trader bid (buy).

  The CFD contract transmission processing means 23 receives the CFD contract data from the CFD in-store board processing means 22, transmits the received CFD contract data to the CFD provider system 50 via the communication line 1, and uses the CFD contract data. A process of updating the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 and further sending a trigger signal (a signal for starting a judgment process of hedge execution) to the hedge control processing means 25 according to the CFD contract. Is to execute.

  At this time, if the trading classification of the received CFD contract data is “sell”, the CFD contract transmission processing means 23 is a case where the cover trader buys and the sell order of the customer (CFD provider) is filled. The contracted amount of the CFD contract data is added to the quantity (the quantity balance of the CFD position of the cover trader) C stored in the CFD position table 41A (see FIG. 3) for the contracted CFD brand, When the trading category is “buy”, since the cover trader sells and the customer (CFD provider) fills a buy order, the CFD position table 41A is used for the CFD stock for the contracted amount of CFD contract data. Update processing is performed to subtract from the quantity stored in (the quantity balance of the CFD position of the cover trader) C. Further, the CFD execution transmission processing unit 23 calculates the updated market price of the quantity C by multiplying the updated quantity C by the market price unit price, and updates the market price of the quantity C.

  The market price information acquisition processing means 24 acquires market price information (market price unit price, board information, volume, etc. for each brand) from the market system 60 via the communication line 2, and each hedged underlying asset product. The market price information storage means (not shown) is stored in association with the brand identification information (brand code), the market price unit price of the CFD position table 41A (see FIG. 3) of the CFD position storage means 41, and the hedge position of the hedge position storage means 42 The processing for updating the market unit price in the table 42B (see FIG. 4) is executed.

  The market information acquisition processing means 24 is a market information providing system other than the market system 60, for example, a system of an information vendor that is a secondary information source that provides market information acquired from the market system 60 that is a primary information source. The market price information may be obtained from

  The hedge control processing means 25 stores the CFD quantity balance of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 (in this embodiment, the money balance is described as a reference value). ) And the hedged item of the cover contractor stored in the hedge position table 42B (see FIG. 4) of the hedge position storage unit 42 in association with the branded identification information of the hedged underlying asset product corresponding to the branded identification information of the CFD. FIG. 5 is calculated by calculating the total balance (in this embodiment, the quantity-based total value) with the quantity balance of the asset product (in this embodiment, the amount balance is described as a reference value). The calculation position of the combined position of the CFD position and the hedging position as shown in is formed, and the processing day for this total balance The required amount of hedge or its equivalent amount (ascertained on the basis of the quantity in this embodiment) indicated as the absolute value of the change from the period is the threshold value At stored in the parameter storage means 43 (see FIG. 6). Judgment of success / failure of hedging conditions such as whether or not the threshold value At (Threshold or Trigger) converted to quantity base has been exceeded, or whether or not the threshold value At is exceeded. If the change from the initial state on the day of processing is a positive value, it is determined that at least a part of the hedging required quantity will be sold and the selling order of the underlying asset product to be hedged will be placed on the market, and the total balance will be processed at the beginning of the day If the change from the state is a negative value, the purchase order for the underlying asset product to be hedged is placed on the market with at least a part of the required hedging quantity as the buying quantity. And it executes a process of determining the that.

  The correspondence relationship between the CFD brand identification information (brand code) and the brand identification information (brand code) of the hedged underlying asset product (see FIG. 5) is stored in a brand identification information correspondence storage means (not shown). . This correspondence is one-to-one because stock CFD is handled in this embodiment. For example, the underlying asset product to be hedged is not Nikkei 225 index futures but Nikkei 225 index futures CFDs. When all the 225 brands are used, the number of brands is 225. Therefore, it is preferable to provide one brand identification information for collectively identifying all Nikkei 225 brands. In this case, the hedge position to be stored in the hedge position storage means 42 (see FIG. 4) is the quantity balance indicating all the Nikkei 225 issues together (for example, when holding all the Nikkei 225 issues in Y stock each) The amount balance of the asset product can be managed as Y shares).

  Specifically, the hedge control processing means 25 first calculates a combination position. At this time, the hedge control processing means 25 includes the CFD quantity balance (quantity C in FIG. 3) of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 and the hedge position storage means. 42. Total balance (first figure H1 (at the time of order) in FIG. 4) and total balance (FIG. 4) of the hedging underlying asset product of the cover trader stored in the 42 hedge position table 42B (see FIG. 4) The first quantity A1 in 5 (at the time of ordering) is calculated. Here, the first quantity balance of the hedged underlying asset product (the first quantity H1 in FIG. 4 (at the time of order)) updates the purchase quantity of the hedged underlying asset product at the time of ordering, and the selling quantity is also at the time of ordering. It is a numerical value calculated by updating.

  Further, the hedge control processing means 25 includes the CFD quantity balance (quantity C in FIG. 3) of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41, and the hedge position storage means 42. The total balance (the second quantity H2 (contract time) in FIG. 4) and the total balance (FIG. 5) of the underlying asset product to be hedged, which is stored in the hedge position table 42B (see FIG. 4) The second quantity A2 (contract time) is calculated. Here, the second quantity balance of the underlying asset product to be hedged (the second quantity H2 in FIG. 4 (contract time)) is updated when the purchase amount of the underlying asset product is hedged and the selling amount is It is a numerical value calculated by updating.

  Further, the hedge control processing means 25 includes an initial quantity Cs on the processing day of the CFD quantity balance of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41, and the hedge position storage means 42. The initial quantity As of the processing day of the total balance (quantity base) that is the sum of the initial quantity Hs of the processing company's quantity balance of the hedged underlying asset product stored in the hedge position table 42B (see FIG. 4). 5) is calculated. In addition, the numerical values of these initial states are numerical values that have been agreed and confirmed by the opening of the processing day (by the previous day). Then, the hedge control processing means 25 calculates changes (A1-As), (A2-As) from the initial state on the processing day for the total balances A1, A2.

  Next, the hedge control processing means 25 obtains a threshold value At (Threshold or Trigger) associated with the brand identification information of the hedged underlying asset product and stored in the parameter storage means 43 (see FIG. 6), which is not shown. The threshold value At designated on the monetary basis is converted to the quantity basis using the market price unit price (the most recent middle price) included in the market price information of the brand stored in the market price information storage means. The hedge control processing means 25 then calculates the hedge required quantity (| A1−) indicated as an absolute value of the change from the initial state As on the processing day for the total balance A1 (total balance when the first balance H1 is used). It is determined whether or not the hedge execution condition is satisfied whether As |) exceeds the converted threshold value At or whether or not the threshold value At is exceeded.

  Further, when the hedge control processing means 25 determines that the hedge execution condition is satisfied, the hedge control processing means 25 acquires the reserved value Af (Allowance or Floor) stored in the parameter storage means 43 (see FIG. 6) and converts it into a quantity base. A quantity-based reservation value Af is calculated by multiplying the subsequent threshold value At by a reservation value Af specified at a ratio to the threshold value At. The calculation process of the quantity-based reserved value Af may be performed at the time of the conversion process of the threshold value At to the quantity base.

  When the hedge control processing unit 25 determines that the hedge execution condition is satisfied, the change from the initial state As on the processing day regarding the total balance A1 (total balance when the first balance H1 is used) ( If A1-As) is a positive value, it is determined that hedge selling is performed, and the absolute value of the change from the initial state As on the processing day for the total balance A2 (total balance when the second balance H2 is used) The quantity (| A2-As | -Af) obtained by subtracting the reservation value Af based on the quantity from (| A2-As |) is determined as the selling quantity of the underlying asset product to be hedged. However, if the hedge control processing means 25 determines that the hedge sale is performed, as shown in FIG. 10, the absolute value of the negative value of the second balance H2 after the hedge processing of the underlying asset product to be hedged is The selling quantity of the hedged underlying asset product is determined within a range not exceeding the short selling allowable value Hm (Available Margin Position) stored in the parameter storage means 43 (see FIG. 6). The shaded portion in FIG. 10 indicates values that the second balance H2 cannot take. In other words, if the second balance H2 of the underlying asset product to be hedged at the present time (the time of determination of success / failure of the hedge implementation condition) is a positive value, (H2 + Hm) is the negative value with the maximum quantity sold. In this case, (Hm− | H2 |) = (H2 + Hm) (which is the same formula after all) is set as the maximum quantity sold. Therefore, when (| A2-As | -Af) exceeds (H2 + Hm), only (H2 + Hm) can be sold by hedge.

  On the other hand, when the hedge control processing means 25 determines that the hedge execution condition is satisfied, the change amount from the initial state As on the processing day regarding the total balance A1 (total balance when the first balance H1 is used) ( If A1-As) is a negative value, it is determined that hedge buying is performed, and the absolute value of the change from the initial state As on the processing day for the total balance A1 (the total balance when the first balance H1 is used) The quantity (| A1-As | -Af) obtained by subtracting the reservation value Af based on the quantity from (| A1-As |) is determined as the purchase quantity of the hedged underlying asset product.

  Further, the hedge control processing means 25 divides the sell order or the buy order of the underlying asset product to be hedged into a plurality of times and places it on the market in order to place the hedge upper limit quantity Hu stored in the parameter storage means 43 (see FIG. 6). (Upperbound) and within the range of the number of unit shares U stored in the parameter storage means 43, sell the hedged underlying asset product in a single order of selling or buying the hedged underlying asset product. Determine quantity or buy quantity. This is an improvement on the idea of Iceburg. Then, in the case of hedge selling, the hedge control processing means 25, until the absolute value (| A2-As |) of the change from the initial state As on the processing day for the total balance A2 becomes the retained value Af, In the case of hedge buying, if the previous order is executed until the absolute value (| A1-As |) of the change from the initial state As on the processing day for the total balance A1 becomes the reservation value Af, The process of determining the order of the order is repeated (see FIG. 10).

  Further, when the hedge control processing means 25 places the hedge order as a limit order, the hedge sell limit price is included in the price information of the hedged underlying asset product acquired by the market price information acquisition processing means 24 ( Based on market information (market system 60's market price) included in the market price information of the hedged underlying asset product acquired by the market price information acquisition processing means 24. decide. The hedge order may be placed as a market order.

  The hedge order transmission processing means 26, according to the judgment result by the hedge control processing means 25, is the order data of the sell order or the buy order of the hedged underlying asset product (order identification information of the hedge order, brand identification information of the hedged underlying asset product, And the order data thus created is transmitted to the market system 60 via the communication line 2 and hedge selling is performed. In the case of the above, the first quantity balance (the first quantity H1 in FIG. 4 (order 1) in FIG. 4 is stored in the hedge position table 42B of the hedge position storage means 42 (see FIG. 4). )) And the second quantity balance (second quantity H2 in FIG. 4 (contract time)), the sales quantity is subtracted. On the other hand, in the case of hedge buying, the updating process is executed to add the buying quantity to the first quantity balance (the first quantity H1 in FIG. 4 (at the time of order)). is there. In the case of hedge buying, the second quantity balance (second quantity H2 in FIG. 4 (contract time)) is renewed at the time of execution, so it is not renewed at the time of this order.

  The hedge contract acceptance processing means 27 executes contract data of the hedged underlying asset product (order identification information of the hedge order, brand identification information of the hedged underlying asset product, contract amount) transmitted from the market system 60 via the communication line 2. ), The status stored in the hedge order table 42A (see FIG. 4) for the executed hedge order is updated from “Uncommitted” to “Promise” and hedged. In the case of buying, the second quantity balance (the second quantity H2 in FIG. 4 (the second quantity H2 in FIG. 4) of the hedged underlying asset product of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42. Execute the renewal process to add the quantity purchased, and further, trigger signal associated with the hedge contract (to start the judgment process of the hedge execution) The No.), and executes a process to send the hedge control processing unit 25. In the case of hedge selling, the first quantity balance (the first quantity H1 in FIG. 4 (when ordering)) and the second quantity balance (the second quantity H2 in FIG. 4 (contract time)) Since all are updated at the time of ordering, they are not updated at this contract time. Further, in the case of hedge buying, the first quantity balance (first quantity H1 in FIG. 4 (at the time of ordering)) is updated at the time of ordering, so it is not updated at this contract time.

  The parameter setting processing means 28 is a parameter (threshold At, retained value Af, hedging upper limit quantity Hu, short selling allowable value) via the communication line 3 from the terminal device 70 operated by a person in charge of the cover trader (for example, a dealer). Hm, unit number U) is received, and a process of storing the parameter setting unit 43 (see FIG. 6) in association with the brand identification information of the hedged underlying asset product is executed.

  The CFD quotation presentation processing means 29 stores the second quantity balance (the second quantity in FIG. 4) of the hedged underlying asset product of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42. H2 (contract time)) and the short selling allowable value Hm stored in the parameter storage means 43 (see FIG. 6), the CFD quotation quantity is calculated, and the market price that is acquired by the market price information acquisition processing means 24 and is not shown. The CFD quotation is calculated using the market price information of the hedged underlying asset product stored in the information storage means, and the calculated CFD quotation information (the quotation quantity and the quotation price) is associated with the CFD brand identification information. Processing to be stored in the CFD quotation table 40B (see FIG. 2) of the in-store plate storage means 40 is executed.

  Specifically, the CFD quotation presentation processing unit 29 stores the second quantity balance (in FIG. 4) of the underlying asset product to be hedged by the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage unit 42. When the second quantity H2 (contract time) is a positive value, the total quantity (H2 + Hm) of the second quantity balance H2 and the short selling allowable value Hm is a quantity that can be sold by the hedge. Since CFDs of the same quantity as this quantity can be bought up, the bid quantity (buy price) of the cover trader is presented with this quantity as the upper limit. When the second quantity balance H2 is a negative value, the quantity (Hm− | H2 |) = (H2 + Hm) obtained by subtracting the absolute value of the second quantity balance H2 from the short selling allowable value Hm (the same formula is eventually obtained) )) Is the quantity that can be sold by hedge, the bid quantity (buy price) of the cover trader is presented with this quantity as the upper limit. On the other hand, if there is a sell price of the underlying asset product to be hedged in the market, it is possible to buy the hedge and therefore sell the CFD. Therefore, the offer quantity (the sell volume) of the cover trader is arbitrarily determined. May be.

  Further, the CFD quotation presentation processing means 29 refers to the market price information (board information) of the hedged underlying asset product acquired by the market price information acquisition processing means 24 and stored in the market price information storage means not shown in FIG. As explained in the conventional example shown, for example, an offer price (offer price) that is 1 yen higher than the lowest price of the hedged underlying asset product in the market is presented, and the purchase of the hedged underlying asset product in the market is presented. It is possible to present a bid price (buy price) that is 1 yen lower than the highest price.

  As shown in FIG. 2, the CFD in-store board storage means 40 includes a CFD order table 40A and a CFD quotation table 40B. CFD order table 40A supports CFD order order identification information, customer identification information (account number, etc.), CFD brand identification information (brand code, etc.), quantity, trading category, limit, status indicating order processing status, etc. Attached and memorized. The CFD quotation table 40B stores CFD brand identification information (brand code, etc.), bid information (buy price and bid price) by a cover trader, and offer information (sell price and bid price) in association with each other. It is. The CFD in-store board as shown in FIG. 2 may be stored in a CFD in-house board table (not shown), or each time the CFD in-store board processing means 22 performs processing to execute a CFD order, May be. However, when not only the bid information and offer information but also board information is presented to the customer and the CFD provider, it is preferably stored in the board table in the CFD store.

  As shown in FIG. 3, the CFD position storage means 41 includes a CFD position table 41A. The CFD position table 41A includes CFD brand identification information (brand code, etc.), initial quantity Cs of the day (initial state of the day of processing for CFD quantity balance C), quantity C (quantity balance C of CFD), market price unit price, The market price of quantity C (quantity C × market price unit price) is associated and stored.

  As shown in FIG. 4, the hedge position storage means 42 includes a hedge order table 42A and a hedge position table 42B. The hedge order table 42A stores the order identification information of the hedge order, the brand identification information (brand code, etc.) of the hedged underlying asset product, the quantity, the trading category, the limit, the status indicating the order processing status, and the like in association with each other. It is. The hedge position table 42B includes brand identification information (stock code, etc.) of the hedged underlying asset product, an initial quantity Hs on the day (initial state on the processing day for the quantity balance of the hedged underlying asset product), a first quantity H1 ( This is the quantity balance of the hedged underlying asset product, but the quantity purchased when the purchase quantity is updated at the time of purchase and the selling quantity is also updated at the time of order), the second quantity H2 (the quantity balance of the hedged underlying asset product) The purchase quantity is updated at the time of execution, and the sales quantity is the quantity balance when updated at the time of order), the market price, the market price of the first quantity H1 (first quantity H1 × market price), and the market price of the second quantity H2. (Second quantity H2 × market price unit price) is stored in association with each other. Note that the second quantity H2 is always the same as the first quantity H1 or the first quantity H2 because the purchase quantity (the quantity to be added to the balance) is updated at the time of execution. The quantity is smaller than the quantity H1.

  As shown in FIG. 6, the parameter storage unit 43 includes the brand identification information (brand code, etc.), the threshold value At (Threshold or Trigger), the reserve value Af (Allowance or Floor), the hedge upper limit quantity Hu ( Upperbound), short selling allowable value Hm (Available Margin Position), and unit stock number U are stored in association with each other.

  In the above, each of the processing means 21 to 29 includes a central processing unit (CPU) provided in the computer main body constituting the CFD hedge processing system 20, and one or a plurality of programs that define the operation procedure of the CPU. Is realized.

  Each storage means 40 to 43 is preferably realized by, for example, a hard disk or the like, but ROM, EEPROM, flash memory, RAM, MO, CD, as long as there is no problem in storage capacity, access speed, etc. -ROM, CD-R, CD-RW, DVD-ROM, DVD-RAM, FD, magnetic tape, or a combination thereof may be employed.

  Further, the CFD hedge processing system 20 is not limited to one realized by one computer or one CPU, and may be realized by performing distributed processing with a plurality of computers or a plurality of CPUs. .

  The CFD provider system 50 for individual customers is configured by one or a plurality of computers, and is input from the terminal device 80 by a customer or an input agent thereof (for example, a sales representative or an operator of the CFD provider). The CFD order data transmitted via the communication line 4 is received, and the CFD order data having the same content as the received CFD order data is transmitted to the CFD hedge processing system 20 via the communication line 1, and the CFD hedge processing system. 20 that receives CFD contract data transmitted from the communication line 1 through the communication line 1 and transmits CFD contract data having the same contents as the received CFD contract data to the terminal device 4 through the communication line 4 It is.

  The market system 60 is a trading system for financial products configured by a computer, such as a stock exchange system or a private trading system (PTS).

  The terminal devices 70 and 80 are configured by a computer, and include input means such as a mouse and a keyboard, display means such as a liquid crystal display and a CRT display, and a printing device. These terminal devices 70 and 80 may be portable devices such as a mobile phone and a personal digital assistant (PDA), for example.

  In the present embodiment as described above, the hedge processing by the CFD hedge processing system 20 is performed as follows.

  First, the outline of the hedging process will be described with reference to the example of the transition of the combination position shown in FIG. In the present embodiment, since the threshold value At is designated on a monetary basis, the vertical axis in FIG. 11 is shown on a monetary basis. When the transition of FIG. 11 is outlined, from P1 point to P2 point, the customer (CFD provider) sells CFD (sells or sells), while the cover supplier buys CFD and covers it. The CFD balance of the merchant increases, and therefore the balance A of the combined position (the total balance of the CFD and the hedged underlying asset product, which is the total balance using the first balance H1 of the hedged underlying asset product A1 and the total balance A2 using the second balance H2 are used as a symbol for collectively explaining).

  From P2 point to P3 point, the customer (CFD provider) buys CFD (buy or buy), whereas the cover trader sells CFD, the CFD balance of the cover trader decreases, Accordingly, the balance A of the combination position decreases. The points P3 to P4 are the same as the points P1 to P2.

  At P4, the market price of the absolute value | A1-As | of the change from the initial state As on the processing day for the balance A1 of the combination position (total balance A1 using the first balance H1) exceeds the threshold value At. Therefore, since the hedge execution conditions are satisfied and the change (A1-As) is a positive value, it is determined that the hedge sale is performed.

  From P4 to P5, the cover trader sells the hedged underlying asset product (hedge sale), the balance of the hedged underlying asset product decreases, and accordingly the balance A of the combined position decreases. In addition, the transition from P4 to P5 indicates that the customer (CFD provider) buys CFD (buy or buy), and the cover trader sells CFD. It also includes the case where the CFD balance decreases and therefore the balance A of the combined position decreases. The hedge sale is performed by changing the absolute value | A2-As | from the initial state As for the balance A2 (total balance A2 using the second balance H2) of the combined position to the retained value Af. Do it only until it reaches. In this embodiment, the total balance A1 is used when determining the success or failure of the hedge execution conditions (when determining whether or not the threshold value At is exceeded). The total balance A2 is used instead of the balance A1. Here, the total balance A2 (when the purchased quantity is reflected in the balance at the time of execution, not at the time of order) is used in the case of hedge selling, because there is a short sale restriction, so that this restriction can be observed more reliably. This is because the safe side is used and the balance is counted less.

  From P5 points to P6 points, the customer (CFD provider) buys CFD (buy or fill), whereas the cover trader sells CFD, the CFD balance of the cover trader decreases, Accordingly, the balance A of the combination position decreases. The points P5 to P6 are the same as the points P2 to P3. Hedge sales are not performed from P5 to P6.

  At P6, the market price of the absolute value | A1-As | of the change from the initial state As on the processing day for the balance A1 (total balance A1 using the first balance H1) of the combination position exceeds the threshold value At Therefore, since the hedge execution conditions are satisfied and the change (A1-As) is a negative value, it is determined that the hedge purchase is made.

  From P6 to P7, the cover trader buys the hedged underlying asset product (hedge buying), the balance of the hedged underlying asset product increases, and thus the balance A of the combined position increases. The transition from P6 points to P7 points is that the customer (CFD provider) sells CFD (sells or sells) and the cover supplier buys CFD. It also includes the case where the CFD balance increases and therefore the balance A of the combined position increases. For hedge buying, the market price of the absolute value | A1-As | of the change from the initial state As on the processing day for the balance A1 of the combined position (the total balance A1 using the first balance H1) becomes the retained value Af. Do it only until it reaches. In this embodiment, as described above from the points P4 to P5, when determining the hedge selling quantity, the total balance A2 is used instead of the total balance A1, but the hedge buying quantity is determined. When doing so, the total balance A1 is used. Here, the total balance A1 (when the purchased quantity is reflected in the balance at the time of order, not at the time of execution) is used because it is unsuccessful even though the purchase order for the underlying asset product to be hedged has already been placed. This is to prevent a situation where a purchase order is placed twice without being reflected.

  In the outline description of the transition example of the combination position using FIG. 11 described above, the balance transition between the points is represented by one event for convenience of explanation, but actually, in FIG. Such a balance transition is formed by combining a large number of events. For example, the time zone explaining that the balance transition is due to the purchase of a CFD by a customer (a CFD provider) is actually There are a large number of CFD purchases and a large number of CFD sales, and it can be considered that these are offset and CFD purchases remain. Then, depending on the time of day, it may be considered that a balance transition is formed by adding an event of hedge selling or hedge buying to a number of CFD purchases and a number of CFD sales.

  Next, the flow of the hedge process shown in FIG. 7 will be described in detail. In FIG. 7, the hedge processing by the CFD hedge processing system 20 is started (step S1), the trigger control processing means 25 triggers the update of the market price information from the market price information acquisition processing means 24, the CFD contract transmission processing means 23 Either a trigger signal associated with a CFD contract from, or a trigger signal associated with a hedge contract from the hedge contract acceptance processing means 27 (step S2). Each of these trigger signals is for starting a process for determining whether or not to implement a hedge order.

  Subsequently, the quantity balance of the CFD of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 by the hedge control processing means 25 (in this embodiment, the amount balance is described as a reference value). Of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42 in association with the brand identification information of the underlying asset commodity to be hedged corresponding to the brand identification information of the CFD. By calculating the total balance (in this embodiment, the quantity-based total value) with the quantity balance of the underlying asset product to be hedged (in this embodiment, the amount balance is described as a reference value) Then, a combined position of the CFD position and the hedge position as shown in FIG. 5 is calculated and formed (step S3).

  For example, for the α company stock CFD, the CFD quantity balance (quantity C in FIG. 3) of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 is Δ40 CFD (Δ4, 000 shares) and the first quantity balance of the hedged underlying asset product of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42 for the α company stock (see FIG. 4). 4 is 3,000 shares, so the total balance (first quantity A1 (in order) in FIG. 5) is 4,000 shares +3 1,000 shares = Δ1,000 shares.

  For the α company stock CFD, the CFD quantity balance (quantity C in FIG. 3) of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 is Δ40 CFD (Δ4 000 shares), and the second quantity balance of the hedged underlying asset product of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42 for the α company stock (see FIG. 4 is 2,500 shares, so the total balance (second quantity A2 (contract time) in FIG. 5) is 4,000 shares +2 , 500 shares = Δ1,500 shares.

  Further, for the α company stock CFD, the initial quantity Cs on the processing day of the CFD quantity balance of the cover trader stored in the CFD position table 41A (see FIG. 3) of the CFD position storage means 41 is Δ30 CFD (Δ3,000 In addition, for the α stock, the initial quantity on the day of processing of the quantity balance of the hedged underlying asset product of the cover trader stored in the hedge position table 42B (see FIG. 4) of the hedge position storage means 42 Since Hs is 3,500 shares, the initial quantity As (see FIG. 5) on the day of processing of the total balance (quantity basis) is calculated as Δ3,000 shares + 3500 shares = 500 shares.

  Then, the hedge control processing means 25 calculates the changes (A1-As), (A2-As) from the initial state As on the processing day for the total balances A1, A2. In the example of FIG. 5, it is calculated as A1-As = Δ1,000 shares-500 shares = Δ1,500 shares, and calculated as A2-As = Δ1,500 shares-500 shares = Δ2,000 shares. .

  Then, the hedge control processing means 25 obtains a threshold value At (Threshold or Trigger) associated with the brand identification information of the hedged underlying asset product and stored in the parameter storage means 43 (see FIG. 6). The threshold value At designated on the amount basis is converted into the quantity basis using the market price unit price (the most recent intermediate value) included in the market price information of the brand stored in the information storage means (step S4).

  For example, as shown in FIG. 8, the amount-based threshold value At = 400,000 yen is stored in the parameter storage unit 43 (see FIG. 6) for the α company stock, and stored in the market price information storage unit (not shown). Assuming that the market price unit price (the most recent intermediate price) included in the market price information for the stock is 100 yen (/ share), the threshold value At = 400,000 yen ÷ 100 yen / share = Calculated as 4,000 shares.

  Subsequently, the hedge control processing means 25 indicates the hedge required quantity (| A1) indicated as the absolute value of the change from the initial state As on the processing day for the total balance A1 (total balance when the first balance H1 is used). It is determined whether or not the hedge execution condition is satisfied whether -As |) exceeds the converted threshold value At or whether or not the threshold value At is exceeded (step S5).

  For example, as shown in FIG. 8, if | A1-As | = 6,000 shares, it is larger than the threshold value At = 4,000. Therefore, the hedge execution condition is satisfied and the hedge is executed. If As | = 2,000 shares, the threshold value At is smaller than 4,000 shares. Therefore, the hedge execution condition is not satisfied, and the hedge is not executed.

  If it is determined in step S5 that the hedge execution condition has been established, the hedge control processing unit 25 obtains the reserved value Af (Allowance or Floor) stored in the parameter storage unit 43 (see FIG. 6), The quantity-based reservation value Af is calculated by multiplying the threshold value At converted to the quantity base by the reservation value Af specified by the ratio to the threshold value At. For example, if the stored threshold value Af = 40% is stored in the parameter storage means 43 (see FIG. 6) when the converted threshold value At = 4,000 shares is calculated, the quantity-based reserved value Af = It is calculated that 4,000 shares × 40% = 1,600 shares. The calculation process of the reservation value Af may be performed in step S4 described above.

  Subsequently, the hedge control processing means 25 determines that the change (A1-As) from the initial state As on the processing day for the total balance A1 (total balance when the first balance H1 is used) is a positive value. If this is the case (step S6), it is determined that hedge selling will be performed, and the absolute value of the change from the initial state As on the processing day regarding the total balance A2 (total balance when the second balance H2 is used) (| A2− The quantity (| A2-As | -Af) obtained by subtracting the quantity-based reservation value Af from As |) is determined as the selling quantity of the hedged underlying asset product (step S7).

  However, if it is determined that hedge selling is to be performed, the absolute value of the negative value of the second balance H2 after the hedge processing of the underlying asset product to be hedged is determined by the hedge control processing means 25 as the parameter storage means 43 (FIG. 6). The selling quantity of the underlying asset product to be hedged is determined within a range that does not exceed the short selling allowable value Hm (Available Margin Position) stored in the reference) (step S7). In other words, if the second balance H2 of the underlying asset product to be hedged at the present time (the time of determination of success / failure of the hedge implementation condition) is a positive value, (H2 + Hm) is the negative value with the maximum quantity sold. In this case, (Hm− | H2 |) = (H2 + Hm) (which is the same formula after all) is set as the maximum quantity sold. Therefore, when (| A2-As | -Af) exceeds (H2 + Hm), only (H2 + Hm) can be sold by hedge.

  For example, as shown in FIG. 9, when | A2-As | = 5,500 shares and the reserve value Af = 1,600 shares, the hedge selling quantity is | A2-As | -Af = 5,500 shares. Calculated as −1,600 shares = 3,900 shares. At this time, as shown in FIG. 9, if the second balance H2 of the underlying asset product to be hedged is 2,500 shares at the present time (the time of determination of success / failure of the hedge execution condition), 3,900 shares-2 , 500 shares = 1,400 shares are short selling objects, but if the parameter storage means 43 (see FIG. 6) stores the short selling allowable value Hm = 3,000 shares, 1,400 shares for short selling objects. Since the stock is within the range of the short selling allowable value Hm = 3,000 stocks, all of | A2-As | -Af = 3,900 stocks can be used as the hedge selling quantity. However, as shown in FIG. 9, if the second balance H2 of the hedged underlying asset product at the present time (the time of determination of success or failure of the hedge execution condition) is 500 shares, 3,900 shares-500 shares = 3 , 400 shares are short selling target, but 3,400 shares of this short selling target exceeds the range of short selling allowable value Hm = 3,000 shares, so 400 of 3,400 shares are As a result, only 500 shares + 3,000 shares = 3,500 shares out of | A2-As | -Af = 3,900 shares can be used as the hedge selling quantity.

  On the other hand, in step S6, the hedge control processing means 25 causes the change (A1-As) from the initial state As on the processing day regarding the total balance A1 (total balance when using the first balance H1) to be a negative value. If there is, it is determined that hedge buying is performed, and the absolute value (| A1-As of the change from the initial state As on the processing day regarding the total balance A1 (total balance when the first balance H1 is used) |), The quantity (| A1-As | -Af) obtained by subtracting the reserve value Af based on the quantity is determined as the purchase quantity of the underlying asset product to be hedged (step S8).

  For example, as shown in FIG. 9, when | A1-As | = 5,500 shares and the reserve value Af = 1,600 shares, the hedge buying quantity is | A1-As | -Af = 5,500 shares. Calculated as −1,600 shares = 3,900 shares.

  Further, in both steps S7 and S8, the parameter storage means 43 (see FIG. 6) is used by the hedge control processing means 25 in order to place the sell order or the buy order of the underlying asset product to be hedged into a plurality of times. Orders for selling or buying a hedged underlying asset product within a limit of the upper limit Hu (Upperbound) Hu (Upperbound) stored in () and within the range of unit shares U or more stored in the parameter storage means 43 Determine the sell or buy quantity of the underlying asset product at

  For example, as shown in FIG. 9, when the selling quantity or buying quantity of the underlying asset commodity to be hedged is calculated to be 3,900 shares, the parameter storage means 43 (see FIG. 6) stores the hedge upper limit quantity Hu = 1. 000 shares, unit stock number U = 100 shares, if the maximum hedging quantity Hu is used as it is, the hedge selling quantity or buying quantity of the first order is 1,000 shares, Hedge sell quantity or buy quantity for the third order is also 1,000 shares, hedge sell quantity or buy quantity for the third order is also 1,000 shares, and the hedge sell quantity or buy quantity for the fourth order is By setting 900 shares instead of 1,000 shares, the absolute value (| A1-As |, | A2-As |) of the change from the initial state As on the processing day for the total balance A1, A2 Until the reserves value Af, it is possible to repeat the hedge orders. These hedge orders are placed in the next order when the previously placed order is executed.

  Thus, a series of hedging processes by the CFD hedging processing system 20 is completed (step S9). Further, even when it is determined in step S5 that the hedge execution condition is not satisfied, the series of hedge processing is terminated without executing the hedge.

  According to this embodiment, there are the following effects. That is, by calculating the total balance A (A1, A2) of the balance C of the CFD and the balance H (H1, H2) of the underlying underlying asset product corresponding thereto, the combined position of the CFD position and the hedge position Therefore, the balance A1 of the combination position is managed, and the hedge is performed when the absolute value (| A1-As |) of the change from the initial state As on the processing day for the balance A1 of the combination position reaches the threshold value At. It is possible to control the timing of hedge execution.

  For this reason, since the hedge is not executed until the threshold value At is reached, that is, the risk up to the threshold value At is allowed and risk management is performed with a wide range. Compared to a one-to-one hedge process in which hedge orders are placed once, the number of hedge orders placed in the market and the quantity ordered can be reduced, thus minimizing the risks held by cover companies. As it is, the number of orders and quantity of hedge orders can be controlled appropriately, the amount of money paid by the cover trader can be reduced, and the market impact can be reduced.

  Since the hedge is not executed until the threshold value At is reached, if the customer's CFD selling order and buying order are netted well before the threshold value At is reached, the corresponding selling is performed. There is no need to place a hedge order and a buy hedge order. Therefore, it is possible to suppress the loss caused by the difference between the selling price (cheap) and the buying price (high) that occurs in the cover trader due to the repetition of selling hedge orders and buying hedge orders (buying and selling equality / netting effect). .

  In addition, by managing the balance of the combination position that is a combination of different balance management systems, the timing of hedge execution and the order quantity of the hedge order are controlled, so there are multiple factors that change the required amount of hedge (CFD buying, CFD (Several events, hedge buying, and hedge selling events) can be managed in an integrated manner, so that more stable control of the hedge balance can be realized. For example, while a hedge is being sold and the balance A of the combined position is being reduced, the customer buys CFD, and the hedger sells the CFD against this, thereby reducing the balance A of the combined position. If this is the case, there is no need to sell hedges accordingly, so managing the balance A of combination positions that change due to multiple factors occurring in parallel reduces the number of orders and quantity of hedges. be able to. This can also reduce the amount of money paid by the cover trader, reduce the chances of short selling, and avoid the risk of short selling that violates the law.

  In addition, by managing the balance of the combined positions that combine different balance management systems, the timing of hedge execution and the order quantity of hedge orders are controlled, so there is no difference between the product type of the CFD and the product type of the underlying asset product to be hedged. Diversification of correspondence can be easily realized. That is, instead of hedging the stock CFD with stocks or hedging the stock index futures CFD with stock index futures as in this embodiment, for example, the stock index CFD futures CFD is sold against Hedging control such as buying and holding shares can be easily performed.

  Further, since the hedge control processing means 25 is configured to perform the hedge up to the reservation value Af (only to the reservation value Af), the total balance A (A1, A2) from the initial state As on the processing day Compared to hedging until the amount of change reaches zero, the order quantity of the hedge can be reduced, so it is possible to further reduce short selling opportunities and avoid the risk of short selling that would violate the law. it can.

  And even if it does not hedge actively until the amount of change from the initial state As on the processing day for the total balance A (A1, A2) becomes zero, the customer's CFD order is made, Since the amount of change of the balance A (A1, A2) from the initial state As on the processing day may approach zero, the balance A (A1, A2) of the combination position is in an optimum state while suppressing the order quantity of the hedge. Can be returned to. For example, after performing a hedge sale until the amount of change (plus value) from the initial state As for the total balance A2 reaches the reservation value Af, the customer buys CFD, and the hedging agent responds to the CFD. , The total balance A2 may decrease, and the amount of change from the initial state As on the processing day for the total balance A2 may approach zero. In addition, after the hedge purchase until the absolute value of the change amount (minus value) from the initial state As for the total balance A1 reaches the reservation value Af, the customer sells the CFD, and the hedge trader On the other hand, by purchasing CFD, the total balance A1 may increase and the amount of change of the total balance A1 from the initial state As on the processing day may approach zero.

  Furthermore, since the hedge control processing means 25 is configured to perform the hedge in a plurality of times within the range of the hedge upper limit quantity Hu, the market impact can be further suppressed. Further, while the hedge order is repeated in a plurality of times, there is a CFD order by the customer, and the absolute value of the change amount from the initial state As on the processing day for the total balance A (A1, A2) (| A1- As |, | A2-As |) may approach the reserve value Af, and as such, there is no need to place a hedge order accordingly, so the order quantity of the hedge can be reduced, and multiple hedge sales are made. If it is divided into two times, it is possible to reduce the chances of short selling and avoid the risk of short selling that would violate the law.

  The hedge control processing means 25 is configured to determine the selling quantity or amount of the hedged underlying asset product within a range that does not exceed the short selling allowable value Hm, and therefore can reliably comply with the short selling regulations. That is, only by the hedge control (control of balance A2 of the combination position) that the hedge is performed until the absolute value (| A2-As |) of the change amount from the initial state As on the processing day regarding the total balance A2 becomes the retained value Af. When determining the hedging quantity and the hedging amount, there is a possibility that a quantity or amount that cannot be hedged due to restrictions on the quantity available for short sale may occur, but not only the balance A2 of the combined position but also the balance H2 of the hedging position is controlled. As a target, it is possible to determine the sales quantity or amount of the hedged underlying asset product without causing such inconvenience.

  Further, since the CFD hedge processing system 20 is configured to perform the update management of the balances H1 and H2 of the hedged underlying asset products by distinguishing between the order of the hedge order and the contract time, the short selling allowable value Hm is not exceeded. When determining the selling quantity or amount of the hedged underlying asset product, it is possible to make a determination using the safer balance H2 and to comply more securely with the short selling regulations.

  Furthermore, since the CFD hedge processing system 20 includes the CFD quotation presentation processing means 29, the quantity that can be sold by adding the portion of the short selling allowable value Hm to the holding balance H2 of the hedged underlying asset product. Since (H2 + Hm) can be calculated and determined, and the quantity of CFD bids (buy price) by the cover trader can be presented, more appropriate quotation can be presented.

  Since the CFD hedge processing system 20 includes the parameter setting processing means 28, parameters such as the threshold value At and the reserve value Af can be easily changed. For this reason, the system which performs the conventional one-to-one hedge process is also realizable by setting the threshold value At and the reservation value Af to zero, for example. Therefore, since it is not necessary to have a plurality of algorithms in one system, a system with excellent maintainability can be realized.

  Note that the present invention is not limited to the above-described embodiment, and modifications and the like within a scope where the object of the present invention can be achieved are included in the present invention.

  For example, in the above-described embodiment, hedging processing is performed on the order of stock CFD from a customer (CFD provider) with the underlying asset product to be hedged as stock of the same name. The correspondence relationship between the CFD and the hedged underlying asset product is not limited to this. For example, the CFD product type may be a stock price index future CFD (for example, Nikkei 225 index future CFD). The underlying asset product to be hedged can be a stock price index future (for example, Nikkei 225 index future) of the same brand, or all brands constituting the stock price index (for example, all Nikkei 225 brands). Further, the product type of the CFD may be a stock index CFD (for example, Nikkei 225 index CFD), and in this case, the underlying asset product to be hedged may be a stock index future (for example, Nikkei 225 index future) or a stock index. Can be all brands (for example, all Nikkei 225 brands).

  In the above-described embodiment, the threshold value At is specified on a monetary basis. However, the threshold value At may be specified on a quantity basis. The reserved value Af is specified on the basis of the threshold value At. May be.

  As described above, the CFD hedging processing system and method and program of the present invention perform a cover transaction for a CFD provider with a CFD provider for individual customers who provide CFD to the customer. Suitable for use in cover trader systems.

1, 2, 3 Communication line 20 CFD hedge processing system 21 CFD order reception processing means 23 CFD execution transmission processing means 24 Market price information acquisition processing means 25 Hedge control processing means 26 Hedge order transmission processing means 27 Hedge execution acceptance reception processing means 28 Parameter setting Processing means 29 CFD quotation presentation processing means 41 CFD position storage means 42 Hedge position storage means 43 Parameter storage means 50 CFD provider system 60 Market system 70 Terminal device

Claims (9)

By a computer of a cover supplier that performs a cover transaction for the CFD provider with the CFD provider connected to a system of a CFD provider for individual customers that provides CFD to the customer via a communication line. A structured CFD hedging system comprising:
CFD order reception for executing processing for receiving order data including the CFD trading quantity by the CFD provider transmitted from the CFD provider system via a communication line in response to a CFD trading order by a customer Processing means;
When the CFD order data received by the CFD order acceptance processing means is contracted by the cover trader, the CFD trade data is transmitted to the CFD provider system via a communication line. CFD execution transmission processing means to be executed;
For the orders for which the contract data has been transmitted by the CFD contract transmission processing means, the CFD buying quantity of the CFD by the cover trader that the cover trader has agreed to buy for the quantity of the order data sold by the CFD provider. The balance of the CFD quantity or amount of the cover trader obtained by subtracting the sales volume of the CFD by the cover trader, which the cover trader promised to sell with respect to the quantity of the order data for buying the CFD by the CFD provider. CFD position storage means for storing the information in association with the CFD brand identification information;
The balance of the quantity or amount of the hedged underlying asset product of the cover provider, which is obtained by subtracting the selling volume from the purchase quantity of the hedged underlying asset product ordered or promised in the market by the cover trader, Hedging position storage means for storing in association with the brand identification information;
Parameter storage means for storing a threshold value defined as a quantity or amount of money that can tolerate risk in association with the stock identification information of the underlying asset product to be hedged or the corresponding CFD stock identification information;
The cover stored in the hedge position storage means in association with the balance of the CFD of the cover trader stored in the CFD position storage means and the brand identification information of the hedged underlying asset product corresponding to the brand identification information of the CFD The total balance with the balance of the hedged underlying asset product of the trader is calculated, and the necessary amount of hedge or its equivalent amount indicated as the absolute value of the change from the initial state of the processing day for this total balance is stored in the parameter storage means. Whether or not the stored threshold is exceeded, or whether or not the hedge execution condition is satisfied or not is determined. If the hedge execution condition is satisfied, the initial state on the processing day for the total balance If the change from is a positive value, at least a part of the required hedging quantity is sold and the underlying asset to be hedged If the change in the total balance from the initial state on the day of processing is a negative value, at least a part of the required hedging quantity is purchased as the buying quantity, A hedge control processing means for executing a process of determining to place a buy order on the market;
According to the judgment result by the hedge control processing means, at least a part of the required quantity for hedging is sold or bought, and the order data of the hedged underlying asset product is sent to the market system via a communication line. A hedge order transmission processing means for executing processing;
A CFD hedge processing system, comprising: a hedge contract acceptance processing means for executing a process of receiving contract data of the hedged underlying asset product transmitted from the market system via a communication line. The parameter storage means includes
In addition to the threshold value, the amount required for hedging or its equivalent amount is determined as the amount or amount to be retained in the cover trader without performing hedging, or for calculating these amount or amount The reserved value determined as a ratio to the threshold is also stored in association with the brand identification information of the hedged underlying asset product or the corresponding brand identification information of the CFD,
The hedge control processing means includes:
When the hedge execution condition is satisfied, the quantity or amount obtained by subtracting the reserve value stored in the parameter storage means from the absolute value of the change from the initial state on the processing day for the total balance is the hedged target The CFD hedge processing system according to claim 1, wherein the processing is performed to determine a selling quantity or amount of an asset product or a buying quantity or amount. The parameter storage means includes
In addition to the threshold value and the reserve value, the upper limit quantity of the hedged underlying asset product is also the hedge upper limit quantity defined as the upper limit quantity of the sell quantity or the buy quantity of the sell order or buy order of the hedged underlying asset product. It is configured to store in association with the brand identification information or the brand identification information of the corresponding CFD,
The hedge control processing means includes:
In order to place a sell order or a buy order of the hedged underlying asset product in a plurality of times in the market, within the range of the hedging upper limit quantity stored in the parameter storage means, the sell order of the hedged underlying asset product or The selling quantity or buying quantity of the hedged underlying asset product in one purchase order is determined, and the absolute value of the change from the initial state on the day of processing for the total balance is stored in the parameter storage means The CFD hedging processing system according to claim 2, wherein when the previously placed order is executed until the reservation value is reached, the process of determining the order of the next order is repeated. The parameter storage means includes
In addition to the threshold value and the reserve value, the short selling allowance value defined as the limit quantity or limit amount that is allowed to be sold subject to short selling restrictions is also the stock identification information of the underlying asset product to be hedged or the CFD stock corresponding thereto. It is configured to store in association with identification information,
The hedge control processing means includes:
The absolute value of the negative value of the balance after hedge processing of the hedged underlying asset product of the cover trader stored in the hedge position storage means does not exceed the short selling allowable value stored in the parameter storage means, The CFD hedge processing system according to claim 2 or 3, wherein the processing for determining the selling quantity or amount of the underlying asset product to be hedged is executed. The hedge position storage means includes
From the purchase quantity of the underlying asset product to be hedged that is updated when the order data of the buy order is transmitted to the market system by the hedge order transmission processing means, the order data of the sell order is obtained by the hedge order transmission processing means from the market system. The first balance of the quantity or amount of the hedged underlying asset product of the cover contractor reduced by the sales volume of the hedged underlying asset product that is renewed when transmitted to The hedged item that is updated when the order data of the selling order is transmitted to the market system by the hedge order transmission processing means from the purchase quantity of the underlying asset product of the hedged item that is updated when the contract data is received from the market system The second balance of the quantity or amount of the hedged underlying asset product of the cover trader that reduced the sales volume of the underlying asset product Is configured to store in association with hedged underlying stock product identification information,
The hedge control processing means includes:
The cover stored in the hedge position storage means in association with the balance of the CFD of the cover trader stored in the CFD position storage means and the brand identification information of the hedged underlying asset product corresponding to the brand identification information of the CFD Calculate the total balance with the first balance of the underlying asset product to be hedged by the contractor, and the hedge required quantity indicated as the absolute value of the change from the initial state on the day of processing for the total balance using this first balance Alternatively, it is determined whether or not the hedge execution condition is satisfied whether the equivalent amount exceeds the threshold stored in the parameter storage means, or whether the equivalent amount exceeds the threshold.
If the change from the initial state on the day of processing for the total balance using the first balance is a positive value when the hedge execution condition is satisfied, the cover trader's stored in the CFD position storage means The balance of the CFD and the second balance of the hedged underlying asset product of the cover trader stored in the hedge position storage means in association with the branded identification information of the hedged underlying asset product corresponding to the CFD brand identification information And the amount or amount obtained by subtracting the reserve value stored in the parameter storage means from the absolute value of the change from the initial state on the processing day for the total balance using the second balance Is determined as the sales volume or amount of the hedged underlying asset product, and the minority of the second balance after the hedge processing of the hedged underlying asset product is determined. Absolute value of the value is within a range that does not exceed the short sale permissible value stored in the parameter storage means, to determine the selling quantity or amount of the hedged underlying product,
If the change from the initial state on the day of processing for the total balance using the first balance is a negative value when the hedge execution condition is satisfied, processing for the total balance using the first balance A configuration for executing a process of determining a quantity or an amount obtained by subtracting the reserve value stored in the parameter storage means from an absolute value of a change from an initial state on the day as a purchase quantity or an amount of an underlying asset product to be hedged; The CFD hedge processing system according to claim 4, wherein Market price information acquisition processing means for executing processing for acquiring market price information of the hedged underlying asset product via a communication line from the market system or other market price information providing system;
The CFD quotation quantity is calculated using the balance of the hedged underlying asset product of the cover trader stored in the hedge position storage means and the short selling allowable value stored in the parameter storage means, and the market price information acquisition 6. A CFD quotation presentation processing means for executing a process of calculating a CFD quotation using the market price information of the underlying asset product to be hedged acquired by the processing means. 6. The CFD according to claim 4, further comprising: Hedge processing system. The apparatus according to any one of claims 2 to 6, further comprising: parameter setting processing means for receiving input settings of the threshold value and the reserve value from a terminal device and executing processing for storing the input values in the parameter storage means. CFD hedge processing system. By a computer of a cover supplier that performs a cover transaction for the CFD provider with the CFD provider connected to a system of a CFD provider for individual customers that provides CFD to the customer via a communication line. A CFD hedge processing method executed by a configured CFD hedge processing system, comprising:
The CFD order reception processing means receives order data including the CFD trading quantity by the CFD provider transmitted from the CFD provider system via the communication line in response to the CFD trading order by the customer. Execute the process,
When the CFD contract transmission processing means allows the CFD provider to execute CFD order data received by the CFD order reception processing means, the CFD provider transmits the CFD contract data via the communication line. Process to send to the system,
For the orders for which the contract data has been transmitted by the CFD contract transmission processing means, the CFD buying quantity of the CFD by the cover trader that the cover trader has contracted for the quantity of the order data sold by the CFD provider. The balance of the CFD quantity or amount of the cover trader obtained by subtracting the sales volume of the CFD by the cover trader, which the cover trader promised to sell with respect to the quantity of the order data for buying the CFD by the CFD provider. Is stored in the CFD position storage means in association with the CFD brand identification information,
The balance of the quantity or amount of the hedged underlying asset product of the cover provider, which is obtained by subtracting the selling volume from the purchase quantity of the hedged underlying asset product ordered or promised in the market by the cover trader, Store it in the hedge position storage means in association with the brand identification information,
A threshold defined as a quantity or amount of money that can tolerate the risk is stored in the parameter storage means in association with the stock identification information of the hedged underlying asset product or the corresponding CFD stock identification information;
Hedge control processing means is associated with the CFD balance of the cover trader stored in the CFD position storage means and the brand identification information of the underlying asset product to be hedged corresponding to the brand identification information of the CFD, and the hedge position storage means The total balance with the balance of the hedged underlying asset product of the cover contractor stored in the table is calculated, and the required amount of hedge or its equivalent amount indicated as the absolute value of the change from the initial state on the day of processing for this total balance is calculated. Determining whether or not the hedge execution condition is satisfied whether the threshold stored in the parameter storage means has been exceeded or not, and if the hedge execution condition is satisfied, the total balance If the change from the initial state on the day of processing is a positive value, If the amount of change from the initial state on the day of processing for the total balance is a negative value, it is decided that at least a part of the hedge required quantity will be purchased. Execute the process to decide to place a buy order for the hedged underlying asset product on the market,
The hedge order transmission processing means, according to the judgment result by the hedge control processing means, uses at least a part of the required hedge quantity as a sell quantity or a buy quantity, and sells the order data of the hedged underlying asset product to the market system. Execute the process to send through the communication line,
A CFD hedge processing method, wherein the hedge contract acceptance processing means executes a process of receiving contract data of the underlying asset product to be hedged transmitted from the market system via a communication line.   The program for functioning a computer as a CFD hedge processing system in any one of Claims 1-7.

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