JP5876802B2 - Portfolio optimization ordering system - Google Patents

Description

  The present invention automatically creates and places an order for purchase or sale for a portfolio composed of financial products such as stocks and investment trusts based on pre-specified transaction constraints, and constructs a portfolio. It is about the system for.

  In recent years, transactions of financial products on the Internet have become common, and anyone can easily purchase financial products if the customer has sufficient knowledge and appropriately selects order conditions. The number of financial products handled is also increasing, and there are many securities companies that handle existing financial products such as stock and investment trusts.

  In addition, it is well known that many of these financial products are high-risk, and investors generally do not purchase only a single product, but form a portfolio that combines multiple products. Research has progressed on portfolio composition methods, and various portfolio construction methods have been proposed. A method of determining the composition ratio of these portfolios based on the investor's investment policy has also been proposed (for example, Patent Document 1).

  Patent Document 1 describes a method for simply constructing a portfolio by giving appropriate advice to each investor. In the method of Patent Document 1, it is automatically determined how the assets divided into asset classification groups are invested and how much the assets invested in the asset class are allocated to. Yes.

JP 2003-223555 A

  In Patent Document 1, although it is automated as a method of constructing an initial portfolio from a certain amount of cash, there is no discussion of recombination from a portfolio already financialized into a certain portfolio, or capital increase / decrease in the same portfolio. . When this is done with the technology of Patent Document 1, it is necessary to sell all the financial products in the already established portfolio and repurchase stocks according to the new portfolio based on the newly increased or reduced capital. Yes, it takes time to complete.

  In addition, in the known technology, how to allocate assets such as stocks and investment trusts is described in detail. However, for example, the order in which those products are ordered is not presented as an automated mechanism. In order to manage the portfolio, it is necessary to create, place and execute orders for a large number of issues. Therefore, if these processes are performed manually, a great deal of labor is required. In particular, an investor who is unfamiliar with investment can create an order for stock / investment trust and finance cash even if the target portfolio composition ratio can be selected according to the method described in Patent Document 1. It is difficult to commercialize and complete a portfolio. The effort is even greater when recombining a portfolio that has just started to another portfolio. As a result, the assets under management cannot be properly allocated, and cannot be managed according to the portfolio allocation ratio set in advance.

  In order to solve the above-mentioned problems, the present invention is a method for automatically buying and selling financial products when receiving a policy of construction / recombination, capital increase / reduction of capital from a predetermined portfolio of financial products. Provide technology to automatically create and place orders.

  In order to solve the above problems, according to an embodiment of the present invention, portfolio information including allocation information for a plurality of financial products set in advance, allocation information for a plurality of financial products currently in operation, and current funds Storage means for storing in-operation portfolio information including at least one of the information, and instructing information for the in-operation portfolio information and operation instruction information including at least one of information on funds for capital increase or decrease, and the portfolio information Analyzing the operating portfolio information and the operating instruction information, and setting target portfolio information including allocation information of a plurality of target financial products, and the plurality of the plurality based on the target portfolio information Automatically create a sell or buy order for the financial product and issue the created sell or buy order. Portfolio optimization ordering system comprising: a order placement means, the for is provided.

  For portfolio analysis, it is assumed that multiple portfolios that investors can select are registered in the portfolio information. This portfolio can be specified in detail, such as an entire portfolio for each asset class, and a portfolio in which specific issues are linked to the asset class.

  Order creation / ordering is performed based on predetermined rules. This rule is stored as changeable data and can be specified in advance according to the situation. In addition, in order to optimize the allocation ratio of the portfolio, a mechanism such as use of shares less than one unit of stock, or order designation of investment trust amount may be used. In addition, in order to build a portfolio, the remaining capacity on the basis of execution / delivery is simulated in the future every time the execution result of an order is received, and the next order is placed as soon as the capacity becomes available to place an order. It may be.

  According to the present invention, it is possible to automatically create and place an order based on a portfolio operation instruction input from a terminal, and to operate in a state close to the instructed portfolio.

  Further features related to the present invention will become apparent from the description of the present specification and the accompanying drawings. Further, problems, configurations, and effects other than those described above will be clarified by the following description of embodiments.

It is a figure which shows schematic structure of the portfolio optimization order placement system which concerns on one embodiment of this invention. It is the flowchart explaining the outline processing content of the portfolio optimization ordering system which concerns on one embodiment of this invention. It is a flowchart which shows the process of a portfolio analysis part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 1st process (estimate preparation before tax and commission consideration) of the first order information preparation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 2nd process (estimate preparation after tax and commission consideration) of the first order information preparation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 1st process (Determination of a sales system (all sale or partial sale)) of the selling order automatic creation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 2nd process (determine target sale amount of a brand unit) of the sales order automatic creation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 3rd process (order creation) of the sales order automatic creation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 1st process (determination of a purchase method (determination of brand replacement in a detailed portfolio)) of a purchase order automatic creation part among the portfolio optimization order placement systems concerning one embodiment of the present invention. . FIG. 7 is a flowchart showing a second process (determination of purchase method (determination of purchase / order creation determination in detail)) of the purchase order automatic creation unit in the portfolio optimization order placement system according to the embodiment of the present invention. is there. It is a flowchart which shows the 3rd process (target purchase amount determination of a brand unit) of the purchase order automatic creation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 4th process (order creation) of the purchase order automatic creation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the process of a sales order ordering part among the portfolio optimization order ordering systems which concern on one embodiment of this invention. It is a flowchart which shows the process of a purchase order recalculation part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 1st process (whole outline | summary) of the purchase order ordering part among the portfolio optimization order ordering systems which concern on one embodiment of this invention. It is a flowchart which shows the 2nd process (stock * REIT * ETF order) of a purchase order ordering part among the portfolio optimization order ordering systems which concern on one embodiment of this invention. It is a flowchart which shows the 1st process (whole outline | summary) of a portfolio completion determination part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a flowchart which shows the 2nd process (order impossible cancellation of order placement) of a portfolio completion determination part among the portfolio optimization order placement systems which concern on one embodiment of this invention. It is a figure which shows an example of the data structure of an operation instruction. It is a figure which shows an example of the data structure of the portfolio in operation. It is a figure which shows an example of the data structure of portfolio information (whole). It is a figure which shows an example of the data structure of portfolio information (detail). It is a figure which shows an example of the data structure of portfolio information (overall target). It is a figure which shows an example of the data structure of account information. It is a figure which shows an example of the data structure of balance information (whole). It is a figure which shows an example of the data structure of balance information (brand). It is a figure which shows an example of the data structure of brand information. It is a figure which shows an example of the data structure of commission information. It is a figure which shows an example of the data structure of tax rate information. It is a figure which shows an example of the data structure of automatic creation auxiliary information. It is a figure which shows an example of the data structure of order information (stock, REIT, ETF). It is a figure which shows an example of the data structure of order information (investment trust). It is a figure which shows an example of the data structure of warning information. It is a figure which shows an example of the data structure of contract information (stock | REIT * ETF). It is a figure which shows an example of the data structure of contract information (investment trust).

  Hereinafter, an embodiment for implementing a portfolio optimization ordering system of the present invention will be described in detail with reference to the accompanying drawings.

<Configuration of portfolio optimization ordering system>
FIG. 1 is a diagram showing a schematic configuration of a portfolio optimization ordering system according to the present embodiment.
As shown in FIG. 1, the portfolio optimized ordering system 100 is connected to a terminal 140 via a network 130. The portfolio optimization ordering system 100 is also connected to the contract system 120 via the network 130. The portfolio optimization order placement system 100 receives input information from the terminal 140 used by the user, creates an order for optimizing the portfolio according to the input information, and sends the created order to the execution system 120. To order. The contract system 120 is a contract system provided by a general online system for securities.

  The portfolio optimization ordering system 100 includes an information processing apparatus such as a workstation or a personal computer. The portfolio optimization ordering system 100 includes a central processing unit, an auxiliary storage device, a main storage device, and an input / output device. For example, the central processing unit is configured by a processor (or a calculation unit) such as a CPU (Central Processing Unit). For example, the auxiliary storage device is a hard disk, the main storage device is a memory, and the input / output devices are a keyboard, a pointing device (such as a mouse), and a display.

  The portfolio optimization order placing system 100 includes a portfolio analyzing unit 101, an initial order information creating unit (estimated creating) 102, a sell order placing unit 103, a buy order recalculating unit 104, a buy order placing unit 105, and a portfolio. And a completion determination unit 106. In this embodiment, each of the processing units 101 to 106 may be realized as a function of a program executed on a computer. That is, each processing unit 101 to 106 may be stored in a memory as a program code, and each processing unit may be realized by the CPU executing each program code.

  The portfolio optimization ordering system 100 also includes an operation instruction 107, an active portfolio 108, portfolio information 109, account information 110, balance information 111, brand information 112, fee information 113, and tax rate information 114. Automatic creation auxiliary information 115, order information 116, warning information 117, and contract information 119. Such information is stored in the hard disk as, for example, a database. With respect to the operation instruction 107, input information from the terminal 140 is received by a reception unit (not shown) of the portfolio optimization ordering system 100, and the input information is stored in the operation instruction 107 by the reception unit.

  Hereinafter, the processing units 101 to 106 of the portfolio optimization ordering system 100 will be described. The portfolio analysis unit 101 acquires instruction information from an operation instruction 107 in which an instruction for investor portfolio reorganization or an instruction for capital increase / reduction is stored. Further, the portfolio analysis unit 101 obtains the account information 110 and determines whether the investor's account status can be traded. Then, the portfolio analysis unit 101 extracts the current market price evaluation value from the currently applied portfolio 108 to obtain the portfolio information 109. The basic process for automatic order creation is performed.

  The initial order information creation unit (approximate order creation) 102 obtains the difference between the target amount and the market value evaluation value of the portfolio in operation stored in the premise process from the portfolio information 109, and the current holding amount is the target. An order is temporarily created as a sell order when the numerical value is exceeded and as a buy order when the numerical value is below the target numerical value. At this time, the initial order information creation unit (approximate order creation) 102 records the approximate tax and fee. In addition, the first order information creation unit (estimated order creation) 102 corrects the target amount using the approximate tax / fee, performs the same process again, creates a sell order / buy order, and orders. Stored in information 116. Further, the initial order information creation unit (approximate order creation) 102 stores the warning information 117 in the warning information 117 as a result of automatically creating the selling / buying order. For the processing described above, the initial order information creation unit (approximate order creation) 102 includes a sell order automatic creation unit and a purchase order automatic creation unit. The specific processing contents of the sell order automatic creation unit and the purchase order automatic creation unit will be described later.

  The sales order placement unit 103 extracts a sales order from the order information 116 and places an order as the order data 118 with respect to the contract system 120. The order data 118 is ordered on the market using a general securities online system. The sales order placing unit 103 receives the result of the contract executed by the market contract system 120 as the contract information 119.

  The purchase order recalculation unit 104 extracts the contract result (for the already ordered order) from the contract information 119 and records it in the balance information 111. At this time, the buy order recalculation unit 104 compares the amount calculated and ordered with the contracted amount, corrects the target amount according to the planned amount, recreates the purchase order, and orders information 116.

  The purchase order placing unit 105 obtains a reserve capacity from the balance information 111, obtains unordered purchase orders in order of priority, and sequentially places orders determined to have sufficient reserve capacity as the order data 118. . Further, the portfolio completion determination unit 106 extracts the contract result from the contract information 119 and records it in the balance information 111. At this time, the portfolio completion determination unit 106 determines that the portfolio is complete if all orders placed in the order information 116 are in a contracted state, and updates the operation instruction 107 and the active portfolio 108 as completion of portfolio construction.

<Configuration of various information>
Hereinafter, the various information shown in FIG. 1 will be described in detail with reference to FIGS. In the following description, the information of the present invention will be described using a “table” structure. However, the information does not necessarily have to be represented by a table data structure, such as a data structure such as a list, DB, or queue. It may be expressed in other than. Therefore, “table”, “list”, “DB”, “queue”, etc. may be simply referred to as “information” to indicate that they do not depend on the data structure.

  The operation instruction 107 is one in which the system stores instructions from investors. FIG. 19 is a diagram showing an example of the data structure of the operation instruction 107 in FIG. The operation instruction 1900 manages information for instructing a portfolio operation method. The operation instruction 1900 includes an instruction ID 1901 for specifying an instruction, an account ID 1902 for specifying an account to be an operation instruction, a current portfolio ID 1903 for indicating a portfolio currently being operated, and a portfolio ID by an operation instruction. Changed portfolio ID 1904 that indicates the changed portfolio ID when it is necessary to change, increased / decreased capital 1905 that indicates the amount of capital increase / decrease if specified by the investment instructions, and portfolios such as portfolio change / increase / capitalization As a configuration item, an optimization type 1906 indicating an instruction related to the operation and a status 1907 indicating the current state of the operation instruction are included. Situation 1907 includes “Reservation” in the state immediately after receiving the instruction from the terminal, “During change” in the state where portfolio optimization is being performed by the system, ”As a set value.

  The active portfolio 108 stores information on portfolios currently managed by investors. FIG. 20 is a diagram showing an example of the data structure of the active portfolio 108 of FIG. The active portfolio 2000 manages the product classification groups constituting the active portfolio and the allocation information for them. The in-operation portfolio 2000 includes an account ID 2001, a portfolio ID 2002, an asset type 2003, a detailed type 2004, a detailed ID 2005, an operation ratio 2006, a market value evaluation amount 2007, and a status 2008 as configuration items. An account ID 2001 indicates an ID that is an operation instruction target. The portfolio ID 2002 is an ID for specifying a portfolio in operation. The asset type 2003 indicates the classification of the portfolio under operation as a financial product. A detailed type 2004 indicates a detailed classification of the asset type. The detailed ID 2005 is an ID for specifying a brand assigned to a detailed classification group. The management ratio 2006 indicates a ratio “target market price 2007 / (Σ market price estimated price 2007)” of the detailed type 2004 of the target to the total market price (excluding cash) of the account to be managed. The market price evaluation amount 2007 indicates the current market price evaluation amount for the detailed type 2004. A status 2008 indicates an operation status in units of detailed IDs of the portfolio in operation.

  The asset type 2003 has a basic classification of financial products such as “stock”, “ETF”, “REIT”, and “investment trust” handled in the present invention. The detailed classification 2004 is a further classification of the classification of financial products. For example, in the case of domestic stocks, a classification that matches the purpose of portfolio composition, such as a classification based on a publicly available industry classification classification or a market listing classification such as the Tokyo Stock Exchange. specify. The status 2008 has, as setting values, “rebuilding” indicating a state in which portfolio optimization is being executed, and “in operation” indicating a state where the construction has been completed and is actually in operation.

  The portfolio information 109 is information in which brands to be incorporated into a portfolio and target composition ratios are set as information necessary for portfolio recombination. In portfolio information 109, a plurality of portfolios that investors can select are registered. Note that the portfolio information 109 is defined in advance. The portfolio information 109 includes the data structure of the portfolio information (overall) 2100 shown in FIG. 21, the data structure of the portfolio information (detailed) 2200 shown in FIG. 22, and the data structure of the portfolio information (overall target) 2300 shown in FIG. including.

  FIG. 21 is a diagram showing an example of the data structure of portfolio information (whole) 2100. The portfolio information (whole) 2100 manages the basic state of the portfolio registered in advance, and the changed portfolio ID specified by the operation instruction is selected from these. The portfolio information (whole) 2100 indicates a portfolio ID 2101 for specifying a portfolio that manages basic information, an asset type 2102 that indicates the classification of the portfolio that manages basic information as a financial product, and a detailed classification of the asset type The configuration item includes a detailed type 2103, a detailed ID 2104 for specifying a brand allocated to a detailed classification group, and an allocation ratio 2105 for defining a ratio allocated to each detailed type. For example, the allocation ratio is set so that the total allocation ratio 2105 of the same portfolio ID 2101 is 100%.

  FIG. 22 is a diagram showing an example of the data structure of portfolio information (details) 2200. The portfolio information (detail) 2200 manages a specific brand associated with the detailed ID 2104 indicating the detailed allocation classification group defined in the portfolio information (whole) 2100. The portfolio information (details) 2200 indicates a detailed ID 2201 for specifying a brand assigned to a detailed classification group, an asset type 2202 indicating the classification of the detailed ID 2201 as a financial product, and specific classification contents of the detailed ID. The configuration item includes a detailed type 2203, an allocated brand ID 2204 indicating a brand to be specifically allocated, and a detailed allocation ratio 2205 indicating an allocation ratio for each brand in the detailed ID. The allocation ratio is set so that the total allocation ratio 2205 of the same detailed ID 2201 is 100% when totaled.

  In this embodiment, the reason why the portfolio information (whole) 2100 and the portfolio information (detailed) 2200 are managed separately will be described. For example, if an asset with a unit price of over 500,000 yen is included in a portfolio, such as stocks, it cannot be purchased unless the allocated value for that asset is less than 500,000. If you look at it, the composition of the portfolio will be greatly destroyed. In order to avoid this situation, for example, in the field of “finance”, even if there are issues that cannot be purchased at the detailed level by incorporating multiple issues with a range of amounts, The purpose of this is to keep the composition of the portfolio as small as possible. For example, 4 types of stocks of 10,000 yen, 50,000 yen, 100,000 yen, and 500,000 yen are incorporated, and 400,000 yen assigned to "Finance" are changed to 3 kinds of stocks excluding 500,000 yen. Investable.

  FIG. 23 is a diagram showing an example of the data structure of portfolio information (overall target) 2300. The portfolio information (overall target) 2300 manages temporary information for recording the portfolio construction target for each account ID when the portfolio is optimized by the operation instruction. The portfolio information (overall goal) 2300 includes an account ID 2301 to be an operation instruction target, a portfolio ID 2302 to be changed by the operation instruction, an asset type 2303 indicating the classification of the portfolio under operation as a financial product, and a detailed classification of the asset type Is stored in the case where the account that is the target of operation instructions currently has the same asset as the portfolio after the change. Allocation value 2307 calculated from the market value 2306, the allocation ratio 2105 specified in the portfolio information (whole) 2100, and the allocation value (tax -Fee adjustment) 2308 and allocation ratio 2309 are included as configuration items They are out.

Allocation value 2307 is “total market value in consideration of capital increase / decrease in investment instructions (Σ (market value 2007 of portfolio under management 2000) + capital increase / decrease 1905 in investment order 1900) × target allocation ratio (portfolio information ( Overall) 2100 allocation ratio 2105) ”.
Allocation value (allocation value (tax / fee adjustment) 2308 is “total market value excluding increase / decrease in investment order / tax / fee” (Σ (market value 2007 of portfolio under management 2000) + investment order 1900 Increase / decrease in capital 1905-[Sigma] (fee / tax associated with transaction (approximate))) x target allocation ratio (allocation ratio 2105 of portfolio information (total) 2100).

  The account information 110 stores account information as investor information. It is assumed that the account information 110 is defined in advance. FIG. 24 is a diagram showing an example of the data structure of the account information 110 in FIG. The data structure of the account information 2400 manages basic information of an account for which an operation instruction is instructed. The account information 2400 includes an account ID 2401 that is an operation instruction target, a tax collection category 2402 for determining whether transfer profit tax should be considered (withholding tax), and a compliance 2403 for determining whether an account transaction can be created during automatic creation. The principal 2404 is included as a configuration item. In addition, this data management can include other basic information (account contractor name, address, etc.) for managing general securities accounts, but it is related to automatic order creation / ordering for portfolio optimization. Items that do not exist are not listed.

  The balance information 111 stores information for storing investors' assets. The balance information 111 includes a data structure of balance information (whole) 2500 shown in FIG. 25 and a data structure of balance information (brand) 2600 shown in FIG.

  FIG. 25 is a diagram illustrating an example of the data structure of the balance information (whole) 2500. The balance information (whole) 2500 manages the balance of the account for which the operation instruction is instructed up to a future date in business days. The balance information (overall) 2500 includes a contract basis (date 2501 as a basis for account balance, an account ID 2502 as a target of operation instructions, and a contract date based value obtained by converting a financial asset held in cash into a market value evaluation value ( Value) 2503, delivery date (value) 2504, which is the value on the delivery date basis converted to cash at the market value, and contract basis (fund) 2505, which is the amount of cash on the trade date basis of the cash assets held Delivery base (funds) 2506, which is the amount of funds on the basis of the delivery date, and taxes, fees and restraints 2507 for managing the expenditure of funds related to portfolio optimization (withdrawals, commission payments, and scheduled tax collection amounts) Is included as a configuration item. This example is mainly based on market rules for the purchase of Japanese financial products (stocks, ETFs, REITs, investment trusts), and it is assumed that transactions are managed on trade and delivery dates. . Therefore, in the balance information (whole), in order to perform automatic transaction creation and ordering quickly, a single account ID 2502 can be predicted so that future balances can be predicted in a format that applies the rules for trade dates and delivery dates. Even manage data up to the future date.

  FIG. 26 is a diagram illustrating an example of a data structure of balance information (brand) 2600. The balance information (brand) 2600 manages the details of the brand of the financial product held for each account ID to be operated. The balance information (brand) 2600 includes an account ID 2601 that is a target of operation instruction, a brand ID 2602 of the financial product held, a contract base (market price) 2603 indicating the market price of the brand on the trade date basis, and a market price on the basis of the delivery date of the brand. Delivery base (market price) 2604 shown, contract base (quantity) 2605 showing quantity on the trade date basis of the brand, delivery base (quantity) 2606 showing quantity on the trade date basis of the brand, and average acquisition related to the transfer profit tax calculation The unit price 2607 is included as a configuration item. In the balance information (brand) 2600, as with the balance information (overall) 2500, if the concept of contract date / delivery date is applied, it is possible to have data on a daily basis. During operation optimization, control is performed so that selling and buying are not generated simultaneously for the same brand. Since it is possible to sell automatically if it is known whether or not it is held on the basis of the contract as of the day, the balance information (brand) 2600 stores information for one day.

  The brand information 112 stores information necessary for creating orders for stocks, REITs, ETFs, and investment trusts. FIG. 27 is a diagram showing an example of the data structure of the brand information 112 in FIG. The brand information 2700 manages general information about brands of financial products. The brand information 2700 includes a brand ID 2701 for identifying a brand, a brand name 2702, an asset type 2703, a market 2704 indicating a listed market in the case of a listed brand, a unit 2705, the latest market value 2706, and the immediately preceding market price 2706. Latest transaction result 2707 showing the trading trend in the market, trading limit 2708 showing restrictions according to the instructions of the stock exchange, trade date 2709 of how many days will be the trade date, and how many days later will be the delivery date The delivery date 2710, the S high 2711 indicating the value of the stop high, and the S low 2712 indicating the value of the low stop are included as constituent items. The brand information is not specifically explained in the system of the present embodiment, but is information that can be acquired in the process of general financial products, and is assumed to be constructed from them.

  The fee information 113 stores fee information generated in general financial product transactions. FIG. 28 is a diagram showing an example of the data structure of the fee information 113 in FIG. The fee information 2800 manages data assuming fee calculation that occurs in general financial product transactions. The fee information 2800 includes an asset type 2801 indicating the classification of the financial product, a transaction method 2802 in which the fee is generated, a brand ID 2803 when a fee is generated for a specific brand, and a fee depending on the range of the contract amount. , A contract amount (upper limit) 2805 when a fee is generated, and a generated fee 2806 are included as constituent items. The fee is assumed to be specified directly in the fixed case or in proportion to the contract amount in accordance with the general collection format.

  The tax rate information 114 stores information on taxes generated in transactions of financial products. It is assumed that the tax rate information 114 is defined in advance. FIG. 29 is a diagram showing an example of the data structure of the tax rate information 114 of FIG. The tax rate information 2900 manages the tax generated in the transaction of financial products. The tax rate information 2900 includes a tax type 2901 for managing the type of tax to be generated, a start 2902 of a target period related to tax collection, an end 2903 of a target period related to tax collection, and an asset type 2904 subject to tax collection. In addition, the tax rate 2905, the national tax 2906, and the local tax 2907 of the breakdown of the tax rate are included as constituent items.

  The automatic creation auxiliary information 115 stores information for the system to make a determination during automatic creation. It is assumed that the automatic creation auxiliary information 115 is defined in advance. FIG. 30 is a diagram showing an example of the data structure of the automatic creation auxiliary information 115 in FIG. The automatic creation auxiliary information 3000 manages items that can be specified among certain rules provided for automatic creation so as not to be disadvantageous for investors when creating / ordering portfolio optimization orders.

  The automatic creation auxiliary information 3000 includes an instruction ID 3001 for specifying an automatic creation instruction, an instruction content 3002, a specified value 3003, and an automatically adopted value 3004 as configuration items. When there is no designation from the outside regarding the information of the automatic creation auxiliary information 3000, order creation / ordering may be advanced based on the automatically adopted value of the system.

  Among the instruction contents 3002, “front-end transaction start (elapsed time)” and “rear-field transaction start (elapsed time)” determine the timing for placing an automatic order. To start. Also, among the instruction contents 3002, the “minimum transaction amount fee ratio” is a disadvantage when the estimated order amount of the auto-created order is compared with the estimated fee, and a fee of a certain ratio or more is charged to the order amount. Consider order creation to be suppressed.

  Among the instruction contents 3002, the “stock price increase limit increase rate” is used to determine the limit at the time of automatic order creation when the latest transaction result 2707 of the brand information 2700 tends to increase. For example, if the stock price of a stock has risen from 1,000 yen to 1,500 yen, and “20%” is specified as the specified value 3003, an order is automatically created for an amount of 1,600 yen multiplied by 500 yen x 20% for the increase in price. To do. It is an item to make a contract with a specified amount as quickly as possible.

  “Investment trust unit switching ratio” in the instruction content 3002 is switched to the unit designation when the ratio of investment trust sales exceeds the ratio of the number of held units shown on the left. In order to build a portfolio correctly, investment trusts should basically be strictly sold with a specified amount, but set as a safety factor. For example, when selling 8,000 yen (800 units) out of 10,000 yen (1,000 units) held in an intense price movement, the value of the investment trust is half price, and the 8,000 yen equivalent is 1,600 units If you specify the amount, you will sell more than 1,000 units. In this way, when selling the majority, it is safe to order by number.

  “Minimum transaction amount” in the instruction content 3002 indicates a threshold value for whether to automatically create an order. When the amount is small, there is a possibility that the fee will be high, so it is used as a threshold for canceling automatic creation of orders. In addition, the “minimum maintenance cash rate” in the instruction content 3002 indicates the minimum percentage of cash to be maintained. This embodiment has a data structure for managing cash in the portfolio, and fees and taxes are collected from there. If taxes and fees are collected when the cash on hand is below a certain percentage, the cash on hand may become deficit. Define the percentage of cash that must be maintained for that purpose.

  The order information 116 stores order information automatically created by the system. The order information 116 includes a data structure of order information (stock / REIT / ETF) 3100 shown in FIG. 31 and a data structure of order information (investment trust) 3200 shown in FIG.

  FIG. 31 is a diagram showing an example of the data structure of order information (stock / REIT / ETF) 3100. Order information (stock / REIT / ETF) 3100 manages general items related to stock / ETF / REIT ordering. The order information (stock, REIT, ETF) 3100 includes an account ID 3101 to be operated, a brand ID 3102 for specifying the brand, a sale 3103 representing buying / selling of the created order, and a transaction specifying the order method. Type 3104, limit price 3105, number of shares to be traded 3106, estimated order amount 3107, estimated transfer profit tax 3108, fee 3109, state 3110 indicating the order status of the order, and order ID 3111 for specifying the order Is included as a configuration item.

  With respect to the transaction type 3104, all selling orders are created as “successful”. In addition, the buy orders are all created as “not complete” (synonymous with “indication”) in the case of a unit order, and are “created” in the case of shares less than one unit. The state 3110 includes “provisional creation” that can be recalculated in a state where an approximate order has been created, “unordered” in a state of waiting for an order with a confirmed order, and “in order” after ordering / before closing. As a set value, “contract” in the contracted state and “cancel” in the case of canceling for some reason can be set.

  FIG. 32 is a diagram showing an example of the data structure of order information (investment trust) 3200. The order information (investment trust) 3200 manages general items related to the order of the investment trust. The order information (investment trust) 3200 includes an account ID 3201 that is a target of operation instructions, a brand ID 3202 for specifying a brand, a buying and selling 3203 that indicates buying / selling of the created order, and a transaction type 3204 that specifies an ordering method. , A specified amount 3205 in the case of trading with a specified amount, a specified number 3206 in the case of specifying and trading with a specific number, an estimated order amount 3207, an estimated transfer profit tax 3208, a fee 3209, The configuration item includes a status 3210 representing the order status and an order ID 3211 for specifying the order.

  The buy / sell 3203 designates “buy” relating to purchase and “purchase” “cancellation” relating to sale, which are general buying and selling methods of investment trusts. The transaction type 3204 designates “amount designation” and “number designation”, which are general methods for buying and selling investment trusts. The state 3210 is based on the same concept as the state 3110 of the order information (stock / REIT / ETF) 3100, and the same value as the state 3110 is set.

  The warning information 117 stores warning information issued from the system at the time of order creation. FIG. 33 is a diagram illustrating an example of a data structure of the warning information 117 of FIG. The warning information 3300 manages information that is regarded as a warning in automatic order information creation. The warning information 3300 includes an instruction ID 3301 for identifying which instruction has occurred, an account ID 3302 to be used as an operation instruction, a warning ID 3303 indicating the type of warning, and a brand ID 3304 for identifying the brand in which the warning has occurred. , A warning content 3305 for explaining a specific warning is included as a configuration item.

  In the warning content 3305, “previous day stop high”, “previous day stop low”, or the like, which may have a large difference between the plan set at the time of portfolio creation and the actual allocation ratio, may be designated. In addition, in the warning content 3305, “transaction suspended” or “supervision brand” indicating a state in which an order cannot be placed due to restrictions such as securities trading can be designated. Furthermore, the warning content 3305 can also specify “buy / sell simultaneous designation” when buying / selling for the same brand that is not handled in the automatic creation because the portfolio designation is incorrect. Further, the warning content 3305 may be set to “not created as a result of the amount adjustment” in which the order creation is stopped because the minimum amount is not reached or there is a possibility that the fee may be disadvantageous for the investor. Further, the warning content 3305 can specify “cancel order as a result of monetary adjustment” when the amount of money falls short due to the execution result of the preceding stock order and the remaining stocks cannot be purchased.

  Note that the warning information 3300 is limited to outputting an event that may occur in the process of automatic order creation / ordering as a warning, and if the investor does not perform any control, the automatic creation process initially assumed is continued. To do.

  The contract information 119 stores information on a contract result. The contract information 119 includes a data structure of contract information (stock / REIT / ETF) 3400 shown in FIG. 34 and a data structure of contract information (investment trust) 3500 shown in FIG.

  FIG. 34 is a diagram showing an example of the data structure of execution information (stock / REIT / ETF) 3400. The contract information (stock, REIT, ETF) 3400 manages general items related to the contract of stock, ETF, and REIT. The contract information (stock, REIT, ETF) 3400 includes a contract ID 3401 for specifying a contract, a brand ID 3402 for specifying a brand, a trade 3403 indicating buy / sell of a trade, a trade date 3404, and a delivery date. 3405, a contracted number of shares 3406, a contract unit price 3407, a contract amount 3408, an approximate transfer profit tax 3409, a fee 3410, and an order ID 3411 for specifying the order from which the contract was executed are included as configuration items. .

  FIG. 35 is a diagram showing an example of the data structure of the contract information (investment trust) 3500. The contract information (investment trust) 3500 manages general items related to the contract of the investment trust. The contract information (investment trust) 3500 includes a contract ID 3501 for specifying a contract, a brand ID 3502 for specifying a brand, a trade 3503 indicating buy / sell of a trade, a trade date 3504, a delivery date 3505, The contract includes a contract unit price 3506, a contract number 3507, a contract amount 3508, an approximate transfer profit tax 3509, a fee 3510, and an order ID 3511 for identifying the order that is the basis of the contract.

<Processing in the portfolio optimization ordering system>
Next, processing performed in the portfolio optimization ordering system having the above-described configuration will be described. 2 to 18 are flowcharts showing an outline of processing performed in the portfolio optimization ordering system.

  FIG. 2 is a flowchart for explaining the outline of the implementation contents of the portfolio optimization ordering system according to the embodiment of the present invention. The outline processing 200 describes the outline and activation conditions of each processing unit shown in the portfolio optimization ordering system 100.

  Step 201 shows a trigger for starting the entire process. In step 201, the portfolio analysis unit 101 receives an operation instruction instructed from the terminal 140 from the operation instruction 107.

  Next, in step 202, the portfolio analysis unit 101 compares the portfolio currently being operated with the target portfolio. Here, portfolio information (overall target) 2300 for determining “allocation amount” is set from the assets forming the portfolio.

  Next, in step 203, the initial order information creation unit (estimation creation) 102 provisionally creates an order with the surplus portion as a sell order and the shortage portion as a buy order with respect to the difference between the market price evaluation amount and the allocated amount. At the same time, the first order information creation unit (estimate creation) 102 calculates an approximate fee and an approximate tax.

  Next, in step 204, the sales order placing unit 103 subtracts the above-mentioned approximate fee and approximate tax, calculates the surplus amount again, and re-edits the approximate order into a confirmed sell order. Then, the sell order placing unit 103 places the sell order.

  Step 205 describes the activation conditions of the purchase order recalculation unit 104. “Specified time” indicates the end time of the place after the sales order is placed for the first time (at the end of the previous place if the sales order is the previous place), and the end time of the immediately preceding place after the next time (if the previous place is the backstage, (The end time of the market). In step 205, the purchase order recalculation unit 104 determines whether it is a designated time. If it is the designated time, the process proceeds to step 206. If not, the process waits until the designated time is reached.

  In step 206, the purchase order recalculation unit 104 is activated using the time as a trigger. Then, the buy order recalculation unit 104 totals the selling orders or the amount of the buy orders that have been executed before the start. Thereafter, the buy order recalculation unit 104 reconstructs the purchase order based on the execution result at the time of activation.

  In step 207, the purchase order placing unit 105 places an order based on the ordering rule determined for each product so as not to run out of money based on the latest balance.

  Step 208 describes the activation conditions of the portfolio completion determination unit 106. “Specified time” indicates the end time of the place where the previous purchase order placing unit 105 was performed. In step 208, the portfolio completion determination unit 106 determines whether it is a designated time. If it is the designated time, the process proceeds to step 209. If not, step 207 is repeatedly executed until the designated time is reached.

  In step 209, the portfolio completion determination unit 106 determines whether there is an uncommitted order, and determines whether the portfolio in operation is completed. In step 210, the portfolio completion determination unit 106 determines whether the portfolio is completed, and completes the entire process when the portfolio is completed. If not completed, steps 205 to 209 are repeatedly executed.

  FIG. 3 is a flowchart showing the processing of the portfolio analysis unit 101 in the portfolio optimization ordering system according to the embodiment of the present invention.

  In step 301, data in the “reservation” state of portfolio reorganization or capital increase / reduction is acquired from the operation instruction 1900, and the process proceeds to the subsequent step 302 only when the reservation state exists. Here, the account ID in the reserved state is hereinafter expressed as “target account”.

  In step 302, the compliance status of the account information 2400 is confirmed based on the target account of the operation instruction 1900. If the target account can be traded (compliance state is good), the process proceeds to step 303.

  In step 303, information about the portfolio 2000 in operation is acquired using the account ID in the reservation state of the operation instruction 1900 as a key.

  Next, in step 304, the market value evaluation values of the accounts that are the target of the operation instruction in the active portfolio 2000 are totaled. This total amount is the market value of the entire portfolio under management.

  Next, in step 305, it is determined whether or not there is a capital increase / reduction in the operation instruction acquired in step 301. If the capital increase / reduction is 0, the process proceeds to step 306. In this case, in step 306, the “total market value” is directly used as the “market value” for the entire portfolio. On the other hand, if the capital increase / reduction is> 0, the process proceeds to step 307. In step 307, the amount calculated by increasing or decreasing capital from the “total market value” is set as “the market value of the entire portfolio”.

  In step 308, it is determined whether a portfolio change is instructed from the acquired information of the operation instruction 1900. If the changed portfolio ID 1904 is indicated, the process proceeds to step 309. In step 309, information is acquired from the portfolio information (whole) 2100 based on the changed portfolio ID 1904. On the other hand, if the changed portfolio ID 1904 is not designated, the process proceeds to step 310. In step 310, information is acquired from the portfolio information (whole) 2100 based on the current portfolio ID 1903.

  Next, loop processing 311 and loop processing 312 are performed based on the number of portfolio information (total) 2100. If the detailed ID 2104 of the portfolio information (whole) 2100 matches the detailed ID 2005 of the active portfolio 2000 in step 313 during the loop processing, the process proceeds to step 314.

  In step 314, the amount to be allocated to the portfolio asset after change (possibly without change) is calculated by “market value evaluation value of entire portfolio × allocation ratio 2105”. Thereby, the “allocation amount” to be allocated to each detailed ID is calculated.

  Next, in step 315, portfolio information (overall target) 2300 is created from the data of the active portfolio 2000 and the calculated “allocation amount”. If the detailed IDs do not match in step 313, the loop process 312 is repeated. If no match is finally found, the process of step 316 is executed.

  In step 316, the market value is registered in the portfolio information (overall target) 2300 with the value of the active portfolio 2000 or the allocated value 0. If the detailed ID exists in the active portfolio 2000 and the detailed ID does not exist in the portfolio information 2100, it means that the detailed ID is not included in the portfolio after the change. To. This means that all items are sold when an automatic order is created. Finally, after executing the loop processing 311 for the number of portfolio information (total) 2100, the processing is terminated.

  FIG. 4 is a flowchart showing the first processing (estimated creation before considering tax / fee) 400 of the initial order information creating unit 102 in the portfolio optimized order placing system according to the embodiment of the present invention. This process describes one account ID that is the target of operation instructions.

  In step 401, the information of the portfolio information (overall goal) 2300 created in the process 300 in the portfolio analysis unit 101 is acquired for one account ID to be operated. Thereafter, the loop process 402 is repeated for the number of cases acquired with the portfolio information (overall target) 2300.

  In step 403, the target balance (market price appraisal value 2306-allocated price 2307) is calculated. If the value is larger than 0 (with surplus), the retained balance is larger than the allocated price, and the process proceeds to step 404. In step 404, a sales order automatic creation 600 (proceeds to (1) S in FIG. 6) is performed in order to sell the target balance (read as the target sale amount).

  In step 403, if the target balance is 0 or less (there is a shortage), the process proceeds to step 405. At step 405, automatic purchase order creation 900 (proceeds to (2) S in FIG. 9) is performed in order to purchase the absolute value of the target balance (read as the target purchase price). After the order created in each process is completed (that is, when returning from the process (1) E or (2) E), step 406 is executed. In step 406, the created order is registered in order information (stock / REIT / ETF) 3100 and order information (investment trust) 3200. At this time, the state 3110 of the order information (stock / REIT / ETF) 3100 or the state 3211 of the order information (investment trust) 3200 is registered as “provisional creation”. Finally, after executing the loop process 402 for the number of cases acquired by the portfolio information (overall target) 2300, the process is terminated.

  FIG. 5 is a flowchart showing a second process (estimate creation after taking into account tax and fee) 500 of the initial order information creation unit 102 in the portfolio optimized order placement system according to the embodiment of the present invention.

In step 501, the approximate transfer profit tax (3108 or 3208) of the order registered in step 404 or 405 of FIG. 4 and “provisionally created” in step 406 and the fee (3109 or 3209) are added, and Σ ( Tax and commission), and the sum of the allocation price of portfolio information (overall target) 2300 is Σ (allocation price). In this case, the allocated amount (tax / fee adjustment) 2308 of the portfolio information (overall target) 2300 is calculated and registered for each detailed ID 2305 as follows.
Allocation amount (tax / fee adjustment) 2308 = (Σ (allocation price) −Σ (tax / fee)) × allocation ratio 2309
Also, Σ (tax / fee) is registered for all the tax / fee / restraint amount 2507 on and after the date 2501 when this processing is performed in the balance information (total) 2500. In addition, the provisional order created at this time is discarded.

  Next, the loop processing 502 is repeated for the number of cases acquired by the portfolio information (overall target) 2300. In step 503, a target balance (market price appraisal value 2306-allocation value (tax / fee adjustment) 2309) is calculated. If the value is larger than 0 (with surplus), the retained balance is larger than the allocation value. Proceed to step 504. In step 504, the sales order automatic creation 600 (proceeds to (1) S in FIG. 6) is performed in order to sell the target balance (read as the target sale amount).

  On the other hand, if the target balance is 0 or less at step 503 (there is a shortage), the process proceeds to step 505. In step 505, in order to purchase the absolute value of the target balance (read as the target purchase price), automatic purchase order creation 900 (proceeds to (2) S in FIG. 9) is performed.

  After the order created in each process is completed (that is, after returning from the process (1) E or (2) E), in step 506, the order information (stock / REIT / ETF) 3100 state 3110 or the order The state 3211 of the information (investment trust) 3200 is registered as “unordered” (confirmed state) in the case of a sell order, and “provisionally created” in the case of a buy order.

  Next, after completion of the loop processing 502, in step 507, the active portfolio 2000 is recreated based on the new changed portfolio information (overall target) 2300, and the status 2008 of the active portfolio 2000 is set to “reconstruction”. "Medium". Moreover, the warning information 3300 is created as follows. For example, the status of the created order is checked, and the warning information 3300 is registered when the portfolio information (detail) 2200 is scheduled to be incorporated, but the amount is not reconciled and actually not created automatically. Also, in comparison with the brand information 2700, warning information 3300 is registered for those with the previous day's stop high or the previous day's stop low. Note that the warning information 3300 is merely a warning to investors in the present embodiment, and automatic creation / ordering processing is continued even when ignored.

  FIG. 6 shows the first processing (determining the selling method (all sold or partly sold) or part of the first order information creating unit 102 in the portfolio optimized order placing system according to the embodiment of the present invention). This is a flowchart showing 600). This process is started in a state where the target sale amount in detail ID unit is received. Here, through the entire process, the target sales amount is secured with an approximate value while restructuring (buying and selling) the portfolio of detailed ID units.

  In step 601, the allocation ratio 2309 of the account to be the operation instruction target is acquired from the portfolio information (overall target) 2300, and it is determined whether or not it exceeds 0. When the allocation ratio 2309 exceeds 0, the process proceeds to the loop process 602 in order to make a purchase / sell in the light of the retained balance. On the other hand, if the allocation ratio 2309 is 0, it means that the product classification is not included at all, and therefore the process proceeds to a loop process 609 for selling all.

  In the loop processing 602, the brand ID to be included in the portfolio information (details) 2200 is checked. In the loop process 603, the balance held in the balance information (brand) 2600 is looped for each brand ID.

In step 604, it is checked whether the possessed balance is insufficient. If the brand ID matches (if the brand is owned), the following calculation is performed.
Target purchase price for issue units = (allocation price 2307 for detailed ID unit (allocation price (tax / fee adjustment) 2308 if calculated) x detailed allocation ratio 2205)-contract basis (market price) 2603
If the target purchase price for each brand is positive, a purchase order creation process is performed (proceed to (2) -3S in FIG. 12).
Alternatively, if the holding balance is 0, if “target purchase price for each brand = (target sales price × allocation ratio 2309) −0 (no balance at all)”, because the brand is insufficient, create a purchase order Processing is performed (proceed to (2) -3S in FIG. 12). The purchase price is added to the target sale price after exiting the loop process 602. In cases other than the above, the purchase order creation process is not performed. In the loop processing 602 and the loop processing 603, the items that exist in the balance information (brand) 2600 but do not exist in the portfolio information (details) are checked. After completion of the loop processing 603 and the loop processing 602, the process proceeds to step 605.

  In step 605, in loop processing 602 and loop processing 603, stocks that exist in the balance information (brand) 2600 but do not exist in the portfolio information (details), that is, stocks that are not included in the optimized portfolio. For ID, create an order with the designation "sell all". The order information (stock / REIT / ETF) 3100 and the order information (investment trust) 3200 have the same concept. Order creation with “all sold” designation can be automatically created by a general and simple method. In the case of stocks (REITs and ETFs), priority is given to creating orders in units, and any fractions less than one unit will be created as “successful”, with shares less than one unit. In the case of investment trusts, all units held are sold with “number of units”. The profit gain tax is multiplied by the tax rate of the tax rate information 2900 when profit is generated (quantity of sold brands x (average acquisition unit price 2607-latest market price evaluation 2706 of the brand information 2700)> 0). The fee is acquired from the appropriate fee information 2800 from the type of brand to be sold, the approximate order amount, and the like. Note that the approximate order amount here is subtracted from the target sale amount.

Next, in the loop processing 606, loop processing is performed for each ID of the portfolio information (details) 2200. In step 607, it is determined whether the target sale amount has been reached. Here, the following formula is calculated.
Target sale amount (overall) = Target sale amount-Σ sale amount (total estimated order amount in step 605) + Σ purchase amount (purchase amount of loop processing 602)
At the detailed ID level, there may be a case where both a sale item and a purchase item are mixed, and it is determined whether the target sale amount has been reached in consideration of both the total sale amount and the total purchase amount. When “target sale amount (total)” <0 calculated by the above formula, it means that the target sale amount has been reached. Therefore, the sale ends. On the other hand, if the “target sales amount (total)” is 0 or more, the process proceeds to step 608.

  In step 608, “target sale price per issue unit = contract-based market price (2603) − ((allocation price 2307 in detail ID unit (allocation price (tax / fee adjustment) 2308 if calculated) × detail allocation ratio 2205)” ”Is positive, that is, it is also eligible for inclusion in the optimized portfolio, but differential stock is sold for stocks currently held in excess. If there are stocks that fall under the above, (1)- In the case of performing differential sale, the sale process is executed in descending order of the retained balance.The above is the process for the detailed ID having the allocation ratio.

  In step 601, if the allocation ratio is 0, loop processing 609 is executed. The loop processing 609 is executed for each brand ID of the balance information (brand) 2600. In step 610 in the loop process 609, all the balances held are sold. This is because the asset classification is not included in the portfolio. Order creation with “sell all” designation is omitted because it can be created automatically by a general and simple method. (Tax / fee calculations are also omitted because they have already been explained in step 605).

  FIG. 7 shows a second process (determine target sale amount for each brand) 700 in the automatic sales order creation unit of the initial order information creation unit 102 in the portfolio optimization order placement system according to the embodiment of the present invention. It is a flowchart which shows. Here, the target sale price for each brand is calculated.

  Data 701 represents excess / deficiency information by the last sale process. The first time is 0, a negative value when selling excessively, and a positive value when the selling price is insufficient.

  In step 702, “target sales amount in brand units (after adjustment) = target sales price in brand units + sale price in step 701 (over or shortage)” is calculated.

  Next, in step 703, it is determined whether the target sale price (after adjustment) for each brand exceeds the minimum transaction price defined in the instruction content 3002 of the automatically created auxiliary information 3000. If it exceeds, order creation processing is continued based on the target sale amount (after adjustment) (proceed to (1) -2S in FIG. 8). On the other hand, if it does not exceed, the amount is too small and the investor may be disadvantageous due to the fee, so the target sale amount (adjusted) for each brand is used as the data 704. To remember. Then, no order is created (used as data 701 in the subsequent processing). After this processing, the process returns to (1) -1E in FIG. In addition, after the process of FIG. 6 is completed (when returning to (1) -2E), the process returns to (1) -1E of FIG.

  FIG. 8 is a flowchart showing a third process (order creation) 800 of the sell order automatic creation unit of the initial order information creation unit 102 in the portfolio optimized order placement system according to the embodiment of the present invention. In this process, the target sale amount in detail ID units is received and a sales order is created according to the product characteristics of stocks (including REIT / ETF) and investment trusts.

  In step 801, information is acquired from portfolio information (details) 2200 based on the detail ID. If the asset type 2202 is stock (REIT / ETF), the process proceeds to step 802, and if the asset type is an investment trust, the process proceeds to step 809.

First, the order creation of stocks (REIT / ETF) after step 802 will be described.
In step 803, the data is acquired from the stock information 2700, and the number of units that can be sold is “(one that is smaller than the target sale price of the stock unit and the sale contract base (market price) 2603) ÷ (unit 2705 × recent unit). Calculate the market value 2706) ”. If this calculation result is 1 or more, since the unit can be bought and sold, the process proceeds to step 804. On the other hand, if it is less than 1, the process proceeds to step 806 to sell it as a stock of less than one unit.

  In step 804, after creating sales orders for “units that can be sold” calculated in step 803 in the order information (stocks / REITs / ETFs) 3100, an approximate order amount is calculated using the current market value 2706. Subtract the approximate order amount from the target sale amount and recalculate the target sale amount.

  Thereafter, in step 805, it is determined whether or not the recalculated target sale amount exceeds the minimum transaction amount defined in the instruction content 3002 of the automatic creation auxiliary information 3000. If the target sale amount is smaller than the minimum transaction amount, it is determined that a sufficient amount has been created, and the process proceeds to step 813. If the target sale amount is larger than the minimum transaction amount, it is determined that the sale is still possible and the process proceeds to step 806.

  In step 806, a sales order is created with shares less than one unit. A sales order is created in the order information (stock, REIT, ETF) 3100 with the number of shares of the range of the sales target “target sales amount ÷ most recent market value 2706” as “successful”. Thereafter, an approximate order amount is calculated with the current most recent market price evaluation value 2706, the approximate order amount is subtracted from the target sale amount, and the target sale amount is recalculated.

  In step 807, it is determined whether or not the approximate order amount of the order created with the shares less than one unit exceeds the minimum transaction amount defined in the instruction content 3002 of the automatic creation auxiliary information 3000. If the estimated order amount is smaller than the minimum transaction amount, it is too small, so considering the fee, etc., it is determined that the order is disadvantageous for the investor, and the process proceeds to step 808. If the estimated order amount is larger than the minimum transaction amount, it is determined that the order is valid, and the process proceeds to step 813.

  In step 808, the order of shares less than one unit is discarded. The estimated order amount for the discarded amount is added to the target sale amount, the target sale amount is recalculated, and the process proceeds to Step 813.

Next, investment trust order creation after step 809 will be described.
In step 810, the ratio of the sale amount to the execution basis (market price) 2603 of the balance information (brand) (sales amount ÷ sales information (brand) execution basis (market price) 2603 × 100) is calculated. If the calculated ratio is equal to or greater than the investment trust number switching ratio defined in the instruction content 3002 of the automatic creation auxiliary information 3000, the process proceeds to step 812. On the other hand, if the calculated ratio is less than the investment trust unit switching ratio, the process proceeds to step 811.

  In step 811, an investment trust sale order is created in the order information (investment trust) 3200 by designating the target sale amount. Thereafter, the approximate order amount is subtracted from the target sale amount, and the target sale amount is recalculated (however, since the amount is designated, this is usually 0).

  In step 812, the sales order corresponding to the calculated ratio “Balance information (brand) execution base (quantity) 2605 × (the smaller of step 810 and 100) × 100” is ordered. Trust) 3200. Then, the target sale price is recalculated by subtracting the approximate order price from the target sale price.

  In step 813, the tax / fee is calculated and recorded in the order information (stock / REIT / ETF) 3100 or the order data created in the order information (investment trust) 3200. The profit gain tax is multiplied by the tax rate of the tax rate information 2900 when profit is generated (quantity of sold brands x (average acquisition unit price 2607-latest market price evaluation 2706 of the brand information 2700)> 0). An appropriate fee is acquired from the fee information 2800 from the type of brand to be sold, the approximate order amount, and the like. The data 814 stores a target sale amount (amount for which a sale order could not be created in this process). After these processes are completed, the process returns to (1) -2E in FIG.

  FIG. 9 shows the first processing (determining the purchase method (within the detailed portfolio) in the purchase order automatic creating unit of the initial order information creating unit 102 in the portfolio optimized order placing system according to the embodiment of the present invention. Is a flowchart showing 900). Here, the process starts from a state in which the target purchase amount in detail ID units is received.

  The loop process 901 performs a loop process for each brand ID of the balance information (brand) 2600, and the loop process 902 performs a loop process for the allocated brand ID of the portfolio information (details) 2200 that matches the brand ID.

  In step 903, a search is made for a match between the balance ID (brand) 2600 and the portfolio ID (detail) 2200 brand ID. If they match, the process proceeds to step 904 in order to check whether or not there is a surplus. If not, the process proceeds to step 905 in order to sell all the balances of the corresponding brand.

  In step 904, the order ID (stock / REIT / ETF) 3100 and the order information (investment trust) 3200 are first inquired by the brand ID, and whether the order exists and the status is after ordering (in order / contracted) or canceled. Investigate. In the case of unordered, the surplus holding that can be sold "contract base (market price) 2603-(allocation amount (tax / fee adjustment) of detailed ID unit of portfolio information (overall goal)", or the allocation amount 2307 if the left is not calculated X detailed allocation ratio 2205 ÷ 100)> minimum transaction amount defined by the instruction content 3002 of the automatic creation auxiliary information 3000 ”. When this condition is satisfied, since the balance is a saleable balance, the third process (order creation) 800 of the sales order automatic creation unit is performed using the left side of the calculation formula as the target sale amount of the brand unit ((1 in FIG. 8). ) Go to -2S). If none of the above is true (the balance is in the order placed, cancelled, or sellable), the corresponding brand ID is not processed, and the next brand ID is processed in a loop process 901. Even when the processing of FIG. 8 is completed (when returning from (1) -2E of FIG. 8), the processing of the next brand ID is performed in the loop processing 901.

  When the processing proceeds to step 905, all the stocks are sold because the stocks are not required to be incorporated. Order creation with “sell all” designation is omitted because it can be created automatically by a general and simple method. In step 906, the same processing as in step 605 in FIG. 6 is performed. Since it has already been described in step 605 in FIG.

  In step 907, the target purchase price is recalculated. If the sales order has been created by step 906, “target purchase price = target purchase price + scheduled order price of sales order (including provisional creation, unordered, in-order, and contracted, excluding cancellation)” calculate. After completion, the purchase order creation is continued (proceed to (2) -1S in FIG. 10).

  FIG. 10 shows the second processing (determining the purchase method (determining buying and selling in detail) of the automatic order creation unit 102 of the initial order information creation unit 102 in the portfolio optimized ordering system according to the embodiment of the present invention. Determination / order creation determination)) 1000. As a whole of this process, it is determined whether to create (recreate) a purchase order for a brand that has not been ordered, whose provision is temporarily created, or that has not been ordered. Here, the processing is started in a state where the target purchase price after recalculation is received.

  In loop processing 1001 and loop processing 1002, iterates to find a stock ID that matches in portfolio information (details) 2200 and already created order information (stock / REIT / ETF) 3100 or order information (investment trust) 3200. Do. In the loop processing, in step 1003, it is confirmed whether there is an order created.

In step 1004, if “an order that has already been created does not exist” or if “an order that has been created does not exist or is temporarily created”, an order can be created (order re-creation). An automatic creation process is executed (proceed to (2) -2S in FIG. 11). If the order has already been placed or has been closed, the order is not recreated again, the loop processing 1001 is continuously executed, and the next brand ID is processed. Even when the process of FIG. 11 is completed (when returning from (2) -2E of FIG. 11), the process of the next brand ID is performed in the loop process 1001.
After the above processing is completed, the process returns to (2) -1E in FIG. 9, and then returns to (2) E in FIG.

  FIG. 11 shows a third process (determination of target purchase price for each brand) 1100 of the purchase order automatic creation unit of the initial order information creation unit 102 in the portfolio optimized order placement system according to the embodiment of the present invention. It is a flowchart which shows. Here, we make adjustments related to the purchase price of each issue.

  Data 1101 represents excess / deficiency information by the last purchase process. The first time is 0, and if the purchase is excessive, the value is-, and if the purchase amount is insufficient, the value is +. Hereinafter, this excess / deficiency information is referred to as “target purchase price (remaining)”.

In step 1102, the target purchase price for each brand is calculated using the following formula.
Target purchase price for each brand = (allocation amount of portfolio information (overall target) 2300 (after recalculation) x detailed allocation ratio of portfolio information (detail) 2200) + target purchase price (remaining)

  The loop processing 1103 searches whether the brand ID to be purchased is included in the balance information (brand) 2600. In step 1104, if the brand ID to be purchased matches the balance information (brand) 2600, since the brand has already been held before the purchase, the process proceeds to step 1105.

  In step 1105, the target purchase price for each brand is adjusted in consideration of the stocks held. Here, the target purchase price for each brand is recalculated as "target purchase price for each brand = target purchase price for each brand-contract basis (market price) of balance information (brand)".

  In step 1106, it is determined whether or not the target purchase price (after adjustment) for each brand exceeds the minimum transaction price defined in the instruction content 3002 of the automatically created auxiliary information 3000. If it exceeds, the fourth process (order creation) 1200 of the purchase order automatic creation unit is performed based on the target purchase amount (after adjustment) (proceed to (2) -3S in FIG. 12). If not, the amount is too low and the investor may be disadvantaged due to fees. Therefore, as the data 1107, the target purchase price (adjusted) for each brand is stored in the purchase price (over and shortage). No order is created (used as data 1101 in subsequent processing). After this processing, the process returns to (2) -2E in FIG. In addition, also when the process of FIG. 12 is complete | finished (when returning from (2) -3E of FIG. 12), it returns to (2) -2E of FIG.

  FIG. 12 is a flowchart showing a fourth process (order creation) 1200 of the buy order automatic creation unit of the initial order information creation unit 102 in the portfolio optimization order placement system according to the embodiment of the present invention. In this process, the target purchase price in detail ID units is received, and a purchase order is created according to the product characteristics of stocks (including REIT / ETF) and investment trusts.

  In step 1201, information is acquired from portfolio information (details) 2200 based on the detail ID. If the asset type 2202 is stock (REIT / ETF), the process proceeds to step 1202, and if the asset type is an investment trust, the process proceeds to step 1210.

First, the order creation of stocks (REIT / ETF) after step 1202 will be described.
In step 1203, the latest transaction result 2707 of the brand information 2700 is acquired. When the latest transaction result tends to increase in price (+ numerical value), (order unit price = recent transaction amount 2706 + correction in tick unit (quote price × (recent transaction result × automatic order creation information 3200) Calculate as the limit increase rate x 100) / tick price (rounded down))). In other words, if the price immediately before the price tends to rise, the limit part at the time of creating the order tries to place an order by adding an amount according to the rate of increase when the stock price rises.

  In step 1204, data is acquired from the order unit price calculated in step 1203 and the brand information 2700. Then, the number of units that can be purchased “target purchase price per issue unit ÷ (unit 2705 × order unit price)” is calculated, and it is determined whether the unit can be purchased. When the calculated value is 1 or more, since the unit can be bought and sold, the process proceeds to step 1205. On the other hand, if the calculated value is less than 1, the process proceeds to step 1207 to purchase as a share of less than one unit.

  In step 1205, the order unit price in step 1203 and the purchase order for the unit that can be purchased calculated in step 1204 are created in the order information (stock / REIT / ETF) 3100. For the purchase order in the unit, the transaction type 3104 is “not satisfied” or indicated, the limit price 3105 is the order unit price, and the approximate order amount 3107 is the order unit price × the number of units that can be purchased. Thereafter, the target purchase price is recalculated by subtracting the approximate order price 3107 from the target purchase price. The reason why the order type is created as “unsatisfied” is that the amount designation is effective to bring the composition ratio of the portfolio close to a possible target value. On the other hand, there is a possibility that it cannot be executed at the limit price. In this case, there is a possibility that the establishment time of the portfolio will be postponed.

  In step 1206, it is determined whether or not the recalculated target purchase price exceeds the minimum transaction price defined in the instruction content 3002 of the automatic creation auxiliary information 3000. If the recalculated target purchase price is smaller than the minimum transaction price, it is determined that a sufficient amount has been created, and the process proceeds to step 1212. If the recalculated target purchase price is larger than the minimum transaction price, it is determined that the sale is still possible and the process proceeds to step 1207.

  In step 1207, a purchase order is created with shares less than one unit. The number of shares in the range of the purchase target “target purchase price ÷ recent market value 2706” is created as a purchase order in the order information (stock / REIT / ETF) 3100 with “going to market”. Thereafter, an approximate order amount 3107 is calculated with the current most recent market price evaluation amount 2706, the approximate order amount 3107 is subtracted from the target purchase amount, and the target purchase amount is recalculated.

  In step 1208, it is determined whether or not the approximate order amount of the order created with shares less than one unit exceeds the minimum transaction amount defined in the instruction content 3002 of the automatic creation auxiliary information 3000. If the estimated order amount of an order created with shares less than one unit is smaller than the minimum transaction amount, the amount is too small and it is determined that the order is unfavorable to the investor in consideration of the fee, and the process proceeds to Step 1209. On the other hand, if it is larger than the minimum transaction amount, it is determined that the order is valid, and the process proceeds to step 1212.

  In step 1209, the order of shares less than one unit is discarded, the approximate order amount for the discarded amount is added to the target purchase amount, and the target purchase amount is recalculated. Thereafter, the process proceeds to Step 1212.

Next, the creation of investment trust orders after step 1210 will be described.
In step 1211, an investment trust purchase order is created in the order information (investment trust) 3200 by designating the target purchase amount. Thereafter, the approximate order amount is subtracted from the target purchase amount, and the target sale amount is recalculated (however, since the amount is specified, this is usually 0).

  In step 1212, the tax / fee is calculated and recorded in the order created in the order information (stock / REIT / ETF) 3100 or the order information (investment trust) 3200. The fee is acquired from the appropriate fee information 2800 based on the type of brand to be purchased, the approximate order amount, and the like. After that, the target purchase price is stored as data 1213 (amount for which a purchase order could not be created by the current process). After this processing, the process returns to (2) -3E in FIG.

  FIG. 13 is a flowchart showing processing of the sales ordering unit 103 in the portfolio optimization ordering system according to the embodiment of the present invention. In this process, a sales order is placed with respect to the market at the ordering time indicated by the automatic creation auxiliary information 3000. It should be noted that the ordering method for the financial products market is generalized, and the mechanism of such financial product transactions is used. In addition, in order to facilitate fund raising, this processing is performed before the purchase order is placed.

  The loop processing 1301 is repeatedly executed for the number of acquired unordered selling orders. In step 1302, it is determined whether the foreground transaction start (elapsed time) or the subsequent transaction start (elapsed time) defined in the instruction content 3002 of the automatic creation auxiliary information 3000 has elapsed. If the fixed time has passed, the process proceeds to step 1303. If not, wait for the time.

  In step 1303, an unordered order is acquired from the order information (stock / REIT / ETF) 3100 or the order information (investment trust) 3200.

  In the loop processing 1304, it is repeatedly executed for the unordered orders acquired in step 1303. In step 1305, the acquired unordered order is placed on the market. A general financial product transaction system is used for ordering. The reason for holding an order for a certain period of time using the automatic creation auxiliary information 3000 in the front or the back is that the execution result may greatly deviate from the expected value due to unexpected price fluctuations (GU: gap up, GD: gap down, etc.) This is a mechanism provided to prevent this. If 0 minute is specified, place an order at the start of the venue. Unless otherwise specified, the time set as standard in this embodiment is automatically adopted and an order is placed.

  FIG. 14 is a flowchart showing the processing of the buy order recalculation unit 104 in the portfolio optimized ordering system according to the embodiment of the present invention. The purpose of this processing is to correct the purchase order that was planned roughly based on the amount actually sold by the sales order placed in advance.

  In step 1401, a contract result from the market is received. A general financial transaction method is used to receive the contract result. Data managed by contracts are also general items such as contract information (stock / REIT / ETF) 3400 and contract information (investment trust) 3500. The acquired contract information is reflected in balance information (whole) 2500 and balance information (brand) 2600. For balance information (brands) 2600, the contracted amount is added to the contracted base (market price) 2602, the contracted number of shares 3406 (in the case of stocks, REITs and ETFs) or the contracted number 3507 (investment trust) is added to the contracted base (quantity) 2606, respectively. . The average acquisition unit price 2607 is calculated on a contract basis, but taking into account the case where it has already been held, the average acquisition unit price = (contract amount + (pre-update) average acquisition unit price 2607 × (pre-update) contract basis ( (Quantity) 2606) ÷ (Number of contracted shares or contract number + Contract base (quantity) 2606 before update)).

The balance information (total) 2500 has the same update mechanism for stocks, REITs, ETFs, and investment trusts. Pay attention to the execution date and delivery date of execution data. For example, in the case of purchase contract data, if the contract date matches the date 2501, the contract base (value) 2503, which is the balance of the issue, is added to all dates after the same date, which corresponds to the purchase price. The contract base (fund) 2506 is subtracted (stocks are added, funds are subtracted).
In addition, the “tax / fee / restraint amount 2507”, which is restrained so as not to cause a short-circuiting of funds until the contract is completed, is the “order that has been executed (order ID match) from all dates after the order date. ) "Withholding tax, fee and binding amount (unit x amount of stop amount) are subtracted, and the withholding tax and fee of the contract data are added. The amount of restraint is restrained by assuming a stop height in advance so as not to cause a fund short circuit. After the contract is concluded, the contract amount (contract base) 2506 is subtracted from the contract amount in the previous procedure.
(1) Funds that can be purchased on a certain date = Contracted basis (funds)-Tax, fee and restraint amount (2) At the time of purchase, the restraint amount is calculated as a stop amount. (Maximum amount that can be assumed)
(3) At the time of contract, subtract the contract amount from the contract base (fund) and set the binding amount to zero.
In terms of structure, the contract base (fund) is not negative.
The delivery amount is also omitted because it is controlled in the same way (just replacing “contract” in the above description with “delivery”).
For example, in the case of sale contract data, if the contract date and the date 2501 match, the contract base (value) 2503 that is the balance of the issue is subtracted from all dates after the same date, and the contract corresponding to the purchase price is subtracted. Add base (fund) 2506 (subtract stocks, add funds).

  In step 1402, it is confirmed whether or not the current operation instruction as a whole is only sold at the time of provisional order creation. This may be the case when there is no significant change in the portfolio and only capital reduction. If no buy order has been created in the order information (stock / REIT / ETF) 3100 or the order information (investment trust) 3200, the process is terminated without recalculating the buy order. If a buy order has been created, go to step 1403.

  In Step 1403, at the time of recalculation of the purchase order, the order IDs of “approximate order amount + transfer profit tax + fee” of the order classified as sale and actual execution “contract amount + transfer profit tax + fee” are the same. The sum of differences is calculated for the object and the “sell rating” is obtained. If the selling evaluation> 0, the actual contracted amount exceeds the estimated value, and a shortage of funds is predicted (that is, it is sold at a lower price than planned).

  In step 1404, at the time of re-calculation of the purchase order, the order IDs of the “approximate order amount + transfer profit tax + fee” of the order classified as buy and the actual contract “amount of execution + transfer profit tax + fee” are the same. Calculate the sum of the differences for the object and obtain the “buy evaluation”. If the purchase evaluation> 0, the actual contract amount exceeds the estimated value, and a shortage of funds is predicted (that is, the purchase is higher than planned).

  In step 1405, it is confirmed whether there is an excess or deficiency based on the obtained "sell evaluation" and "buy evaluation". If there is no shortage compared to the initially planned amount (buy evaluation−sell evaluation ≧ 0), there is no particular problem even if the process proceeds as planned, and the process proceeds to loop processing 1407. If there is a shortage compared with the initially planned amount (buy evaluation−sell evaluation <0), the process proceeds to step 1406.

  In step 1406, the amount of the portfolio itself to be completed is recalculated. Here, the allocated value is calculated again considering the shortage. Total allocated value = Σ (allocated price (tax / fee adjustment) 2306) −shortage up to pre-processing (buy evaluation−sell evaluation) is calculated, and for each detailed ID, the total allocated price × allocation ratio 2309 Update.

In the loop processing 1407, the purchase order is recalculated in detail ID units.
In step 1408, “allocation price (tax / fee adjustment) 2306 -Σ (contract base (market price) 2603 associated with the detailed ID unit)” is calculated as the target purchase price. Thereafter, the process proceeds to (2) S in FIG. 9 in order to create a purchase order as the target purchase price. After the process of FIG. 9 is completed (when returning from (2) E of FIG. 9), the process proceeds to step 1409.

  In step 1409, the re-calculated purchase order is subject to ordering, so it is registered in order information (stock / REIT / ETF) 3100 or order information (investment trust) 3200 as “unordered” as the final status of the order. To do. Then, the process ends according to the end condition of the loop process 1407.

  FIG. 15 is a flowchart showing a first process (overall outline) 1500 of the purchase order placing unit 105 in the portfolio optimized order placing system according to the embodiment of the present invention. In this process, a purchase order is placed with respect to the market at the order time indicated by the automatic creation auxiliary information 3000. It should be noted that the ordering method for the financial products market is generalized, and the mechanism of such financial product transactions is used. Further, since an order based on the sales contract amount is performed, it is performed as a process subsequent to the selling order, and it is determined each time whether there is a sufficient amount for placing an order.

  The loop process 1501 executes a process that repeats until it closes at regular intervals during the rough field. In step 1502, it is determined whether the foreground transaction start (elapsed time) or the subsequent transaction start (elapsed time) defined in the instruction content 3002 of the automatic creation auxiliary information 3000 has elapsed. Proceed to 1503. If not, wait for the time.

  In step 1503, the contract information is received in the same manner as in step 1401, and is reflected in the balance. Therefore, the description is omitted.

  In step 1504, it is confirmed whether or not there is an unordered order in the order information (stock / REIT / ETF) 3100. If it exists, the process proceeds to (3) S in FIG. If it does not exist, the process proceeds to loop processing 1505. That is, in this embodiment, taking into account the portfolio completion speed, the ordering of stock orders executed during the Zaraba is given priority over the ordering of investment trusts.

  In the loop processing 1505, an order for an unordered investment trust is repeatedly executed. The step checks whether there is enough balance to place an investment trust order. From the trade date 2709 and delivery date 2710 of the brand information 2700, the trade date and delivery date when the current day is the order date are calculated. For the data in which the contract date shown on the left matches the date 2501 of the balance information (whole) 2500, “minimum value of“ contract base (fund) 2505 ”after the matching date−minimum maintenance cash> the estimated order amount 3207 of the order being processed” ", Sufficient funds will be provided on a contract basis. Similarly, for the data in which the delivery date on the left matches the date 2501 of the balance information (total) 2500, “minimum value of“ delivery base (fund) 2505 ”after the matching date−minimum maintenance cash> estimated order in process” If the order amount is 3207 ", the delivery-based funds are sufficient. If both funds are sufficient, go to Step 1507. If it is insufficient, the process proceeds to the next order determination.

  In step 1507, an order for an investment trust with sufficient funds is placed on the market. When placing an order, the approximate order amount 3207 is added to the tax / fee / restraint for the data after the date when the date 2501 of the balance information (whole) 2500 matches the execution date obtained in the previous process. The above processing is repeated, and the processing is terminated when the closing time comes.

  FIG. 16 is a flowchart showing the second processing (stock / REIT / ETF ordering) 1600 of the purchase order placing unit 105 in the portfolio optimized ordering system according to the embodiment of the present invention. This processing is performed after calculating the minimum maintenance cash (Σ (assignment value of portfolio information (overall target) (tax / fee adjustment)) 2308 × (minimum maintenance cash rate of automatically created auxiliary information 3000)). In this processing, among stock orders, stocks, REITs, and ETFs are placed when funds are sufficient. It should be noted that the ordering method for the financial products market is generalized, and the mechanism of such financial product transactions is used. In addition, in order to quickly build a portfolio, we will give priority to ordering the unit shares to be executed in the Zaraba. Assuming that shares less than one unit will be executed after the market ends, we will postpone them.

  In step 1601, an unordered order for stock / REIT / ETF is acquired from order information (stock / REIT / ETF) 3100. In step 1602, it is checked whether there is an unordered unit order, and if it exists, the process proceeds to loop processing 1603 for placing an order for the unit stock. On the other hand, if it does not exist, the process proceeds to a loop process 1607 for placing an order for shares less than one unit.

In the loop process 1603, the process is repeated for the number of unordered orders.
In step 1604, it is checked whether or not the unordered order is a unit unit order. If the shares are less than one unit, they are not included and the processing is skipped.

  In step 1605, it is checked whether the order in the unit is an amount that can be ordered, and if there is a sufficient amount, an order is placed. From the trade date 2709 and delivery date 2710 of the brand information 2700, the trade date and delivery date when the current day is the order date are calculated. For the data on which the contract date shown on the left matches the date 2501 of the balance information (whole) 2500, “Minimum value of“ Commitment base (fund) 2505 ”after the matching date−Minimum maintenance cash> Order with stop height of order being processed” If it is “amount (number of shares 3106 × S high 2711)”, the funds on the contract basis will be sufficient. Similarly, for data in which the delivery date shown on the left matches the date 2501 of the balance information (whole) 2500, “minimum value of“ delivery base (fund) 2505 ”after the matching date−minimum maintenance cash> stop of processing order” If the order amount is high (number of shares 3106 × S high 2711) ”, the funds on the delivery basis are sufficient. If both funds are sufficient, go to step 1606. On the other hand, if there is a shortage, the process proceeds to determination of the next order.

  In step 1606, a stock / REIT / ETF order with sufficient funds is placed on the market. At the time of placing an order, for the data after the date when the date 2501 of the balance information (total) 2500 matches the execution date obtained in the previous process, the order amount (number of shares 3106 × S High 2711) is added. After the processing of the loop processing 1603 is completed, the process returns to (3) E in FIG.

  In the loop process 1607, the process is repeated for the number of unordered orders. Here, the process for placing an order with shares less than one unit is described. Step 1608 performs the same processing as step 1605. The same processing is performed except that the number of shares 3106 is not a unit. Step 1609 performs the same processing as step 1606. After the processing of the loop processing 1607 ends, the process returns to (3) E in FIG.

  FIG. 17 is a flowchart showing a first process (overall outline) 1700 of the portfolio completion determination unit 106 in the portfolio optimized ordering system according to the embodiment of the present invention. This process is performed to determine whether or not the portfolio has been completed as a result of automatic order creation / ordering through the portfolio optimization order placement system.

  In step 1701, contract information is received in the same manner as in step 1401, and is reflected in the balance. In step 1702, it is determined whether or not the created sales order has been fully executed. If it is “confirmed or does not exist from the beginning”, the process proceeds to step 1703. On the other hand, if there is an uncommitted contract, the process proceeds to step 1708 to continue the order creation process. As long as all sell orders are not closed, there is a possibility that funds allocated to the buy orders may be secured, and therefore the purchase order is not canceled and the process continues.

  In step 1703, it is determined whether or not the created purchase order is completely executed. If “completely executed or does not exist from the beginning”, since all orders have been executed, the process proceeds to step 1704 indicating portfolio completion. On the other hand, if there is an unfilled order, the process proceeds to step 1705 for determining unordered.

  In step 1704, when all orders are executed, the status 1907 of the operation instruction 1900 is completed, the status 2008 of the operating portfolio 2000 is updated to the operating status, and the processing is terminated.

  In step 1705, it is determined whether or not there is an unordered purchase order. If there is an unordered order, the process proceeds to 4 (S) in FIG. On the other hand, if there is no unordered item, the process advances to step 1708 to continue portfolio construction. Note that after the processing of FIG. 18 is completed (when returning from (4) E of FIG. 18), the processing proceeds to step 1706.

  In step 1706, after canceling an unordered purchase order, it is determined whether all other than cancellation is completed, and if completed, the process proceeds to step 1707 for completing the portfolio with conditions. On the other hand, if uncommitted, proceed to Step 1708 to continue portfolio construction.

  Step 1707 outputs the warning information 3300 for the canceled order, if the cancellation exists, completes the status 1907 of the operation instruction 1900, updates the status 2008 of the operating portfolio 2000 to the operating status, and performs processing Exit.

  In step 1708, the process passes to continue automatic order creation / ordering. If cancellation exists, warning information 3300 is output for the canceled order, and the process proceeds to processing 1400 of the purchase order recalculation unit in the portfolio optimized ordering system according to the embodiment of the present invention.

  FIG. 18 is a flowchart showing a second process (order cancellation impossible order) 1800 of the portfolio completion determination unit 106 in the portfolio optimization order placing system according to the embodiment of the present invention. In the present process, when there is an unordered purchase order, there is a case where the purchase cannot be made depending on the contract result of the sell order or the contract amount of another purchase order. In this case, it is a mechanism for forcibly terminating automatic order creation / ordering for portfolio optimization. This processing is performed after calculating the minimum maintenance cash (Σ (allocation value (tax / fee adjustment) of portfolio information (overall target)) 2308 × (minimum maintenance cash rate of automatically created auxiliary information 3000)).

  In step 1801, the minimum value (minimum funds available for purchase order) is calculated for the contract base (funds) 2505 or the delivery base (2506) after date 2501 is the current day.

  In step 1802, it is determined whether or not the amount calculated in step 1801 is less than the minimum maintenance cash defined in the instruction content 3002 of the automatic creation auxiliary information 3000. If it is below the minimum maintenance cash, the order cannot be completely made, so the process proceeds to Step 1803. In step 1803, all unordered orders are canceled. On the other hand, if the amount is less than the minimum amount, the process proceeds to loop processing 1804.

  The loop processing 1804 checks whether it is possible to place an order for each unordered order. In step 1805, it is determined whether the unordered order is stock, REIT, ETF, or investment trust. On the other hand, in the case of an investment trust, it is clear that an order can be made if the amount is specified, so the next unordered order is checked.

  In step 1806, the brand information 2700 calculates the minimum orderable amount (Σ (1 unit × the latest market value 2706)> minimum maintenance cash) from the brands not yet ordered. If “minimum orderable amount <amount calculated in step 1801” and “minimum orderable amount> minimum maintenance cash”, there is a possibility that an order can be placed in advance, so the next unordered order is checked. Otherwise, the process proceeds to step 1807. Next, in step 1807, the unordered order determined to be unorderable is canceled. After the loop processing 1804 ends, the process returns to (4) E in FIG.

As described above, according to the portfolio optimization ordering system of the present embodiment, the target of the portfolio consisting of stocks, REITs, ETFs, investment trusts, and cash is determined in advance from the portfolio in operation or cash. The difference between the portfolio to be assumed and the current asset is calculated, and the order of the financial product for forming the portfolio to be targeted is automatically created.
According to this configuration, when a portfolio operation method is instructed from a terminal, an order is automatically created and ordered, and operation is possible in a state close to the instructed portfolio. Therefore, an investor can construct a portfolio simply by deciding how to manage the portfolio, without having to manually create a large number of orders even when there are a large number of issues that make up the portfolio. In addition, it is possible to operate quickly without relying on investment experience and in a state close to the target portfolio composition ratio. This allows investors to focus on selecting the best portfolio and eliminates the need to create orders with a number of stocks, paying attention to different taxes and fees for each product to form a portfolio.

  Also, according to the portfolio optimization ordering system of the present embodiment, when the investment amount and the desired portfolio set in advance are specified, the calculation includes the cash in the portfolio, and within the specified amount the fee / estimate Taking into account withholding tax and the planned amount. According to this configuration, it is possible to appropriately control the asset so as not to be negative when creating and placing an order in the process of forming a portfolio, taking into account fees and taxes.

  In addition, according to the portfolio optimization ordering system of the present embodiment, after a sales order is tentatively created, a sales order is placed, the execution result of the sales order is obtained, and the amount of money (remaining capacity) available for purchase is re-established. Calculate and place orders in the appropriate order. According to this configuration, since the actual amount of money that can be used at present is accurately calculated by reflecting the actual execution result of the sell order, it is possible to create an appropriate buy order without shorting funds.

  Further, according to the portfolio optimized ordering system of the present embodiment, the calculation of the order on the basis of execution and delivery is performed, and the increase or decrease in future funds is also involved in the ordering of multiple financial products that do not reach the delivery date on the same day. It is possible to place an order while considering the above. That is, even when the order has been executed and the delivery date has not yet arrived, it is possible to reconstruct the asset with the predicted future and automatically perform the next order.

  In addition, according to the portfolio optimization ordering system of the present embodiment, units for stocks, REITs, and ETFs can be selected, and stocks less than one unit can be selected. . As a result, it can be quickly operated in a state close to the target portfolio composition ratio.

  The present invention is not limited to the embodiments described above, and includes various modifications. In the above description, financial products such as stocks, REITs, ETFs, and investment trusts have been described. However, it is possible to manage by including various other financial products such as futures and options.

  The above-described embodiment has been described in detail for easy understanding of the present invention, and is not necessarily limited to the one having all the configurations described. In addition, it is possible to add, delete, and replace other configurations for a part of the configuration of each embodiment.

  Also, those skilled in the art will appreciate that there are numerous combinations of hardware, software, and firmware that are suitable for practicing the present invention. For example, the program code for realizing the functions described in the present embodiment can be implemented by a wide range of programs or script languages such as assembler, C / C ++, perl, Shell, PHP, Java (registered trademark).

100: Portfolio optimization order placing system 101: Portfolio analyzing unit 102: Initial order information creating unit 103: Sell order placing unit 104: Buy order recalculating unit 105: Buy order placing unit 106: Portfolio completion determining unit 107: Operation instruction 108 : Portfolio 109 in operation: Portfolio information 110: Account information 111: Balance information 112: Brand information 113: Fee information 114: Tax rate information 115: Automatic creation auxiliary information 116: Order information 117: Warning information 118: Order data 119: Contract information 120: Contract system 130: Network 140: Terminal

Claims (8)

Portfolio information including allocation information of a plurality of financial products set in advance, operating portfolio information including at least one of allocation information of a plurality of currently operating financial products and current fund information, and the operating portfolio Operation instruction information including at least one of instruction information for information and information on funds related to capital increase or reduction, and balance information for managing the balance of the account indicated by the operation instruction information to a future date in business days Storage means for
Analysis means for setting target portfolio information including allocation information of a plurality of target financial products based on the portfolio information, the operating portfolio information, and the management instruction information;
An order placing means for automatically creating a sell order or a buy order for the plurality of financial products based on the target portfolio information and placing the created sell order or buy order;
Equipped with a,
The ordering means is
Means for determining the lack of funds based on the balance information, and automatically creating the sell or buy order;
Means for automatically creating the sell or buy order taking into account fees and tax information relating to the sell or buy order;
Approximate order creating means for temporarily creating a sell order or a buy order for the plurality of financial products based on the target portfolio information;
Sell order placing means for placing an order temporarily created by the rough order creating means;
Buy order recalculating means for recalculating a buy order based on the contract information of the sell order placed by the sell order placing means;
Buy order ordering means for placing an order for the recalculated order by the buy order recalculating means;
Portfolio optimization ordering system, characterized in that it comprises a. In the portfolio optimization ordering system according to claim 1 ,
The plurality of financial products includes stocks, REITs, ETFs, and investment trusts,
The order placing means creates a sell order or a buy order by selecting whether the order is a unit or less than one unit for the stock, REIT, and ETF,
The portfolio ordering system according to claim 1, wherein the ordering unit selects whether the order is designated as a previous amount or a number for the investment trust and creates the sell order or the buy order. In the portfolio optimization ordering system according to claim 2 ,
The portfolio optimization ordering system, wherein the order placing means places a purchase order for the stock, REIT, and ETF in preference to the investment trust. In the portfolio optimization ordering system according to any one of claims 1 to 3 ,
The storage means stores warning information related to order creation,
The portfolio ordering system according to claim 1, wherein the order placing unit refers to the warning information after creating the sell order or the buy order, and outputs a warning when the content matches the content set in the warning information. In the portfolio optimization ordering system according to any one of claims 1 to 4 ,
It said analyzing means includes a market value calculated from the operation in the portfolio information, based on the assignment information of the financial instruments in the portfolio information, and sets the allocation information of the financial instruments in the target portfolio information Portfolio optimized ordering system. In the portfolio optimization order system according to claim 5 ,
Said analyzing means, when the information of the funds are included relating to the capital increase or capital reduction in the investment instructions information, portfolio optimal and calculates the market value the capital or addition or subtraction to the amount of capital reduction amount Ordering system. In the portfolio optimization order system according to claim 5 or 6 ,
The analysis means, when the instruction information of the operation instruction information specifies a change of the allocation information of the financial product in the portfolio information, the market value evaluation amount and the financial information of the change destination in the portfolio information A portfolio optimization ordering system , characterized in that financial product allocation information in the target portfolio information is set based on product allocation information. In the portfolio optimization ordering system according to any one of claims 1 to 7 ,
Portfolio optimization order characterized by further comprising: a judgment means for judging whether all the sell orders or buy orders placed by the order placing means have been filled, and for updating the operational portfolio information and the operational instruction information. system.

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