JP7493224B2 - Information processing device and computer program - Google Patents

Description

The present invention relates to an information processing device and a computer program.

In recent years, systems that perform automated trading have come to be used in financial product trading markets such as bond, funds, and foreign exchange. Patent Document 1 discloses an automated trading system.

JP 2014-222543 A

However, such systems only decide whether to execute a trade based on current and past information, and do not trade based on predictions of future market movements.

Therefore, the present invention realizes automated trading using a trading method that takes market forecasts into account.

According to one aspect of the present invention for solving the above problems, there is provided an information processing device for executing an order process for a financial product, comprising:
An acquisition means for acquiring a price forecast for a financial instrument that is the subject of an order;
a selection means for selecting one of a first trading method and a second trading method as a trading method for executing an order based on the market price forecast;
and a processing means for executing order processing based on the selected transaction method,
The market price forecast is a first forecast that the price of the financial product to be ordered will rise or fall, or a second forecast that the price will fluctuate within a predetermined range,
In the first prediction, a first trading method is selected that specifies a range for placing buy or sell entry orders, and in the second prediction, a second trading method is selected that specifies a range for placing buy entry orders and a range for placing sell entry orders, respectively.

According to the present invention, automated trading can be realized using a trading method that takes market forecasts into account.

FIG. 1 is a diagram showing an example of the configuration of an electronic commerce system according to an embodiment of the present invention. FIG. 2 is a diagram showing an example of a hardware configuration of a trading server according to an embodiment of the present invention. 4 is a timing chart showing an example of processing executed in an electronic commerce system according to an embodiment of the present invention. FIG. 13 is a diagram showing an example of an input screen for market price prediction according to an embodiment of the present invention. 4 is a flowchart showing an example of a transaction process according to an embodiment of the invention. 10 is a flowchart showing another example of a transaction process according to an embodiment of the present invention. FIG. 1 is a diagram for explaining trend-following logic according to an embodiment of the present invention. FIG. 1 is a diagram for explaining range-type logic according to an embodiment of the present invention.

The following embodiments are described in detail with reference to the attached drawings. Note that the following embodiments do not limit the invention according to the claims, and not all combinations of features described in the embodiments are necessarily essential to the invention. Two or more of the features described in the embodiments may be combined in any desired manner. In addition, the same reference numbers are used for the same or similar configurations, and duplicate descriptions will be omitted.

Figure 1 shows a general configuration of an electronic commerce system 10 corresponding to an embodiment of the invention. Here, a trading server 101 that places orders to a gold trader system, an analyst terminal 102 that provides information on market forecasts to the trading server 101, a gold trader system 103 of a financial instruments business operator that manages users' trading accounts and buys and sells financial instruments in response to order instructions from the trading server 101, and user terminals 104 (A to C) used by customers who register with the trading server 101 are connected via a network 105 such as the Internet. The user terminals 104 are composed of general-purpose personal computers, smartphones, etc. In Figure 1, the trading server 101 and the gold trader system 103 are depicted as independent nodes, but they may be combined into a single node.

In this embodiment, a tradable object is any object that can be traded. Trading instruments, such as stocks, options, bonds, futures, currencies, interest rates, warrants, fund derivatives, securities, commodities, trading events, goods, index-based products, collectibles, and/or combinations thereof, or financial instruments, are some objects that can be traded.

The order information issued by the trading server 101 to the gold trader system 103 includes the stock indicating the subject of the order and the buy/sell category indicating whether to buy or sell. Information on the results of the operation is provided from the trading server 101 to each user terminal 104 and displayed on the display of each user terminal 104.

Next, the hardware configuration of the trading server 101 will be described with reference to FIG. 2. The trading server 101 can be configured as an information processing device, for example, from one or more personal computers. In FIG. 2, the CPU 201 controls the trading server 101 using programs and data stored in the RAM (random access memory) 202 and the ROM (read only memory) 205, and executes processing corresponding to the embodiments described below. The RAM 202 has an area for reading processing programs stored in the internal storage device 207 and information stored in the external storage device 208, and also has a work area used by the CPU 201 when executing various processes.

The input unit 203 is an input means for accepting input from the administrator of the trading server 101, and is composed of a keyboard, mouse, etc. The communication I/F (interface) 204 functions as an I/F for connecting to the network 105, etc. The ROM 205 stores programs (e.g., a boot program, etc.) that control the entire trading server 101, etc. The display unit 206 is a display unit that serves as a display screen, and is composed of a liquid crystal display device, etc.

The internal storage device 207 is mainly composed of a hard disk, and stores programs and various application data for the trading server 101 to execute processes. The data stored here is read out to the RAM 202 as necessary.

The external storage device 208 is a database in which customer information, transaction method (logic) registration information, logic setting information, connection information to gold traders, transaction information, etc. are stored at any time. The bus 209 provides interconnection between the above-mentioned blocks.

Next, the processing executed in the electronic commerce system 10 will be described. FIG. 3 is a timing chart showing an overview of the processing flow corresponding to this embodiment. First, in S301, a market price prediction is performed in the analyst terminal 102, and market price prediction information is provided to the trading server 101. At this time, for example, an input screen 400 as shown in FIG. 4 is provided from the trading server 101 to the analyst terminal 102, and input is performed in the analyst terminal 102.

The input screen 400 in FIG. 4 includes a control box 401 for selecting the product to be traded. Clicking the control button on the right side displays a list of products that are candidates for trading, from which the product to be traded can be selected. In FIG. 4, US dollar/yen is shown to have been selected. In addition to this, any combination of currencies can be selected, such as US dollar/euro or Canadian dollar/US dollar. Also, any of the financial products or trading products mentioned above, such as stocks, investment trusts, and futures, can be selected.

The input screen 400 also has areas 402, 403 for inputting upper and lower limits of the fluctuation range. Furthermore, the input screen 400 includes a trend input field 404 for inputting a prediction about the market fluctuation pattern (also called trend, market situation, or market movement), and allows the user to specify whether the market is on an upward trend, a downward trend, or a neutral trend in which the market price rises and falls around the current price while remaining almost constant and fluctuating within a specified price range. In Figure 4, an upward trend has been selected.

When the market price prediction is input in this manner and the send button 405 is clicked, the market price prediction information is sent to the trading server 101 in S302, and the trading server 101 acquires the market price prediction information. In this embodiment, the market price prediction information may be provided, for example, once a week on Mondays, or every two or three days. The market price prediction information may also be provided daily. Alternatively, the market price prediction information may be provided whenever there is a change in the direction of a prediction that has already been made. The form of information provided is not limited to the form shown in FIG. 4, and as long as the type of information shown on the screen of FIG. 4 is provided, the form is not particularly important and the information may be provided as text information.

When the trading server 101 receives the market price forecast information, it selects a logic (trading method) in S303. In the logic, first, if the market price is on an upward trend, "buy" is selected as the trading direction, and if the market price is on a downward trend, "sell" is selected as the trading direction. In this embodiment, logic that follows trends such as an upward or downward market trend and buys and sells is called trend-following logic. There is also range-type logic that buys and sells when the market price is on a neutral trend, rising and falling around the current price, with the center hardly fluctuating and fluctuating within a specified price range. Therefore, if an upward or downward trend is specified in the market price forecast information, trend-following logic is selected and the trading direction is determined to be either "sell" or "buy". If a neutral trend is specified, range-type logic is selected and both "sell" and "buy" are selected as the trading direction.

In the next step S304, the conditions for buying and selling are set using the logic selected in step S303. Specifically, in the case of trend-following logic, the range in which orders can be placed is set based on the upper and lower limits included in the market forecast information, and the profit-taking price and stop-loss price are set, respectively. The profit-taking price and stop-loss price refer to the prices at which a position established by an entry order is forcibly dissolved when a certain profit is made or a certain loss occurs. Specifically, in the case of an upward trend, the price range for placing a buy order is determined based on the upper and lower limits, and the profit-taking price is determined at a price higher than the upper limit, and the stop-loss price is determined at a price lower than the lower limit. The profit-taking price can be, for example, an upper limit of +50 sen, and the stop-loss price can be, for example, a lower limit of -50 sen. In the case of a downward trend, the price range for placing a sell order is determined based on the upper and lower limits, and the stop-loss price is determined at a price higher than the upper limit, and the profit-taking price is determined at a price lower than the lower limit. The profit taking price can be, for example, a lower limit of -50 sen, and the loss cut price can be, for example, an upper limit of +50 sen. These profit taking prices and loss cut prices can be different for each analyst.

In the case of range-type logic, the range in which orders can be placed is set for "selling" and "buying" based on the upper and lower limits included in the market price forecast information, and the settlement amounts for selling and buying are set. These settlement amounts refer to the prices at which a position established by an entry order is forcibly dissolved when a certain profit is made. Specifically, the price range for placing selling orders is determined based on the value set in the upper limit 402 in FIG. 4, and the price range for placing buying orders is determined based on the value set in the lower limit 403 in FIG. 4. The upper and lower limits of the selling and buying price ranges may be set around the upper and lower limit prices set in FIG. 4, or the upper and lower limit prices set in FIG. 4 may be set as the upper and lower limits of the selling and buying price ranges. The settlement line can be set as the settlement amount for buying, for example, to any price within the selling price range. Specifically, it can be set to an amount near the upper limit of the selling amount, an amount near the lower limit of the selling amount, or an intermediate amount. The settlement amount for selling can be set to any price within the range of buying prices. Specifically, it can be set to an amount close to the upper limit of buying, an amount close to the lower limit of buying, or an intermediate amount, etc.

Also, the number of positions that can be held simultaneously in a transaction is set. The number of positions that can be held simultaneously can be, for example, 3, 4, or 5, but is not limited to this. Also, a threshold price of the difference between the held position and the current price, which is one of the criteria for determining whether to place an order, is set. For example, an order may be placed when the difference between the held position and the current price becomes 30 sen. The threshold price of 30 sen is merely an example, and may be a larger or smaller amount. Furthermore, conditions can be set for various technical indicators as other criteria for determining whether to place an order. For example, a buy order can be placed when the RSI (Relative Strength Index).20 falls below 30%. Also, a sell order can be placed when the MACD (Moving Average Convergence Divergence) MACD falls below the signal. Also, a buy order can be placed when the moving average line (MA.20/40/80) is MA.20>MA.40>MA.80. Also, a sell order can be placed when the moving average line (MA.20) falls below the envelope (EVN.160). Also, if the price exceeds the Bollinger band (BB.13.2σ), you can buy. Also, if the moving average line (MA.40/80) is MA.40 > MA.80 and the price falls below MA.40, you can buy.

You can also set trading hours or non-trading hours. Specifically, you can set the hours during which trading will (will not) take place to avoid hours with low trading volume or hours when large fluctuations are expected. For example, you can set no trading after 4pm Japan time on Fridays and no trading until 9am Japan time on Mondays.

In this system, the gold trader system 103 provided by a financial instruments trader such as a securities company provides price information to the trading server 101 as needed in S311. This price information is provided as needed (e.g., several times per second), and the latest price information is always provided to the trading server 101. When conditions are set in S304, the trading server 101 determines whether to place an order in S305, and if it determines that the conditions for placing an order are met, it sends an order instruction to the gold trader system 103 in S306. At this time, the order instruction only needs to specify the target product and indicate whether to "buy" or "sell." The gold trader system 103 processes the order in S307 in response to the order instruction from the trading server 101.

The following describes the process of determining whether to place an order in S305. In this embodiment, order instructions include entry orders for establishing a position and settlement orders for closing a position and determining profits or losses.

First, an example of the determination process related to an entry order will be described with reference to FIG. 5A. This process is realized by the CPU 201 executing a program stored in the ROM 205 or the internal storage device 207. The flowchart in FIG. 5A shows an example of the entry process for determining whether to place an entry order as one of the determination processes. First, in S501, it is determined whether the number of positions obtained by an order in the transaction direction set in S303 does not exceed the maximum number. A position refers to a position generated by one order. For example, if the maximum number of positions that can be held is 5, five orders (e.g., "buy") can be placed. In S501, if the current number of positions does not reach the maximum number that can be held, the process proceeds to S502, and if not, the process returns to S501. Note that a settlement order that dissolves a position established in the transaction direction of the logic set in S303 will be described with reference to the flowchart in FIG. 5B.

In the next step S502, the difference between the currently held position and the current price is calculated, and it is determined whether the difference has become greater than the threshold price (Th1) of the difference among the conditions set in S304. The threshold price can be, for example, 30 sen. If the difference becomes greater than the threshold price Th1, the process proceeds to S503. If the difference is equal to or less than the threshold price, the process returns to S501. In the next step S503, it is determined whether the current price is within the trading range. For example, in the case of the USD/JPY, if the trading range is set to "buy" between 106.50 yen and 108.00 yen, and the current price is in the range of 106.50 yen to 108.00 yen, the process proceeds to S504. Also, if the price is set to "sell" when it is equal to or less than 106.40 yen, the process proceeds to S504 if the current price falls below 106.40 yen. If the condition is not met, the process returns to S501.

In the next step S504, it is determined whether the technical indicators satisfy the conditions set in S304. If the technical indicators satisfy the conditions, processing proceeds to S505. If the conditions are not satisfied, processing returns to S501. In S505, if a trading time zone has been set, it is determined whether the current time belongs to the trading time zone, and if so, processing proceeds to S306. If not, processing returns to S501. In S306, a "buy" or "sell" order instruction is sent to the financial service provider system 103.

Next, an example of a closing process that determines whether or not to place a settlement order as one of the determination processes will be described with reference to FIG. 5B. This process is realized by the CPU 201 executing a program stored in the ROM 205 or the internal storage device 207.

First, in S511, it is determined whether the conditions for closing a position are met. Conditions for closing a position include break-even and trailing stop. These are methods for closing a position held when the price rises or falls for a position established by an entry, reaches a peak or bottom, and then falls or rises again, thereby closing the position and securing profits. With break-even, after a position is established, a stop-limit price is set when a certain profit is made, and then the position is closed when the current price matches the price set by the stop-limit. With trailing stop, after a position is established, a stop-limit price is set when a certain profit is made, and then the stop-limit price is shifted in the direction that increases profits, and then the position is closed when the price fluctuation direction reverses and matches the set price of the stop-limit. The difference is that with break-even, the stop-limit price does not fluctuate, whereas with trailing stop, the stop-limit price is changed in the direction that increases profits.

Breakeven and trailing stops can be used in combination by changing the price at which the stop limit is set. For example, with breakeven, if the current price rises by 15 sen from the price of an established position (contract price), the stop limit price can be set at 5 sen above the contract price. If the current price then rises and falls to the stop limit price, the order will be settled. On the other hand, with a trailing stop, if the current price rises by 45 sen from the contract price, the stop limit is set at 30 sen below the current price. The stop limit is then raised in line with the rise in the current price (current price - 30 sen), and the order will be settled when the price has fallen to 30 sen below the peak price. With this setting, no settlement price is set up to 14 sen above the contract price, the settlement price is set at 5 sen above the contract price from 15 sen to 44 sen, and the settlement price is set at 30 sen below the peak price for prices above 45 sen.

If the condition for closing the position is met, the process proceeds to S306 in FIG. 3, where an order instruction to close the position is sent. Specifically, an order instruction to settle the buy order position is sent, or an order instruction to settle the sell order position is sent. If the condition for closing the position is not met, the process proceeds to S512, where it is determined whether the current price has reached the profit confirmation line. If the profit confirmation line has been reached, the process proceeds to S306, where an order instruction to close the position held at that time is sent. If the profit confirmation line has not been reached, the process proceeds to S513. In S513, it is determined whether the current price has reached the loss confirmation line. If the loss confirmation line has been reached, the process proceeds to S306, where an order instruction to close the position held at that time is sent. If the loss confirmation line has not been reached, the process proceeds to S514. In S514, it is determined whether the current price has reached the buy or sell settlement line. If the settlement line has been reached, the process proceeds to S306, where an order instruction to close the position held at that time is sent. If the settlement line has not been reached, processing returns to S511.

Next, a specific example of a trading method (logic) in this embodiment will be described. In this embodiment, there is trend-following logic that is effective when the market is trending upward or downward, and range-based logic that is effective when the market is neutral.

Figure 6 is a diagram for explaining trend-following logic. Figure 6 is a graph showing the change in the price of the yen against 1 dollar on a time axis, and curve 600 shows the price transition. Point 601 indicates the time when the transaction started, and the first buy order (entry) is made at point 602, which is a predetermined first threshold price (for example, 10 sen, or a value in the range of 5 to 10 sen) above point 601. Point 602 indicates one position. Next, an additional buy order is made at point 603, which is a second threshold price (for example, 25 sen, or a value in the range of 20 to 50 sen) above position 602, to establish a position. Thereafter, when the price rises above the third threshold price (e.g., 45 sen or a value in the range of 20 to 50 sen) from position 602 and then falls by a predetermined price (e.g., 30 sen or a value in the range of 20 to 50 sen) from the peak, an order to sell (close) the position is made at point 604 to secure profits on position 602. This is based on the above-mentioned "break-even" or "trailing stop" determination method.

After point 604, the price falls for a while, then rises again, and a buy order is placed at point 605 to establish a position. After that, when the price rises by the threshold price, a buy order is placed at point 606 to establish a position. At this point, there are three positions, and if the maximum number of positions held is three, a buy order cannot be placed at this point. If the maximum number is four or more, as the price rises by the threshold price from position 606, a further buy order is placed to establish a position.

In addition, in FIG. 6, dotted line 611 indicates the profit confirmation line, and when the current price reaches the profit confirmation line, the position is liquidated and the profit is confirmed. Also, dotted line 612 indicates the upper limit price at which an entry can be made (upper entry limit line), and an entry cannot be made if the current price exceeds dotted line 612. Dotted line 613 indicates the lower limit price at which an entry can be made (lower entry limit line), and an entry cannot be made if the current price falls below dotted line 612. Dotted line 614 indicates the loss confirmation line, and when the current price reaches the loss confirmation line, the position is liquidated and the loss is confirmed.

In the example of FIG. 6, after position 606 is established, the price rises and reaches the profit lock-in line, so positions 603, 605, and 606 are sold to lock in the profit. Similarly, if the price falls and reaches the loss lock-in line, the position is sold to lock in the loss.

In this way, when the market is predicted to be on an upward or downward trend, trend-following logic is used to place an order when the price fluctuates above a threshold price in the upward or downward trend, and a price is set for locking in profits or locking in losses, because the market is predicted to rise or fall beyond a certain range. On the other hand, when the market is predicted to remain within a certain range, range-based logic assumes that range, and sets price ranges for placing orders for both buys and sells, assuming that even if the price falls outside the range, it will return to the range, and orders are placed when the current price is within that price range.

Figure 7 is a diagram for explaining range-type logic. Figure 7 is a graph showing the change in the price of the yen against one dollar on a time axis, and curve 700 shows the price transition. In range-type logic, a range for making a "sell order" and a range for making a "buy order" are set. In Figure 7, the range for making a "sell order" is specified by the upper sell limit line 711 and the lower sell limit line 712, and the range for making a "buy order" is specified by the upper buy limit line 713 and the lower buy limit line 713. Then, when the current price is included in this range, the corresponding order is made. Points 702 and 703 respectively indicate positions established by buy orders executed because the current price is included in the buy order range. Position 703 is based on an order executed when the price fell by a threshold price from position 702. After that, the price rose, reached a peak, and then fell by a specified amount, so positions 702 and 703 are dissolved at point 704 to secure profits. This trading method is based on the "break-even" or "trailing stop" judgment method described with reference to Figure 6. Furthermore, if these position liquidation conditions are not met and the price rises to reach the buy settlement line 715, positions 702 and 703 are liquidated to secure profits.

Furthermore, if the price rises again and reaches the range for a sell order, a sell order is placed when the price reaches the lower sell limit line 712, acquiring position 705, and an additional sell order is placed when the price rises further by the threshold amount, acquiring position 706. If the price then falls and reaches the sell settlement line 716, positions 705 and 706 are closed and profits are confirmed. Furthermore, if the conditions for closing the positions are met along the way, positions 705 and 706 will be closed.

In this way, trend-following and range-following types have different entry timings depending on market predictions. With trend-following types, entries are made at the beginning of an upward or downward trend, profits are expanded as the price rises or falls thereafter, and profits are secured when the price falls out of the fluctuation range. On the other hand, range-following types assume that even if the price falls out of the fluctuation range, it will return to that range, so entries are made near the upper and lower limits of the fluctuation range, and even if the current price subsequently falls out of the fluctuation range, profits are secured within the fluctuation range after it returns to the range.

Therefore, according to this embodiment, by using market price forecast information, it is possible to execute transactions based on logic that corresponds to market price fluctuations.

[Other embodiments]
The invention is not limited to the above-described embodiment, and various modifications and alterations are possible within the scope of the gist of the invention. Therefore, in order to clarify the scope of the invention, the following claims are attached. The information processing device according to the present invention can also be realized by a computer program that causes one or more computers to function as the information processing device. The computer program can be provided/distributed by being recorded on a computer-readable recording medium or through an electric communication line.

10: Electronic trading system, 101: Trading server, 102: Analyst terminal, 103: Gold trader system, 104: User terminal, 105: Network

Claims (6)

An information processing device that executes order processing for financial products,
An acquisition means for acquiring a price forecast for a financial instrument that is the subject of an order;
a selection means for selecting one of a first trading method and a second trading method as a trading method for executing an order based on the market price forecast;
and a processing means for executing order processing based on the selected transaction method,
The market price forecast is a first forecast that the price of the financial product to be ordered will rise or fall, or a second forecast that the price will fluctuate within a predetermined range,
The selection means selects, in the first prediction, a first trading method in which a range for placing buy or sell entry orders is specified, and, in the second prediction, selects a second trading method in which a range for placing buy entry orders and a range for placing sell entry orders are specified, respectively. When the first prediction predicts an increase in the market price, the first trading method specifies a range in which to place a buy entry order;
The information processing device according to claim 1 , wherein, when a decline in market prices is predicted in the first prediction, a range for placing a sell entry order is specified in the first trading method. In the first trading method, a price for forcibly closing a position established by an entry order is set outside the range in which the entry order is placed;
In the second trading method, a price for forcibly closing a position established by an entry order is set within the range for placing the entry order;
3. The information processing device according to claim 1, wherein said processing means executes an order process for closing said position when a current price of said financial product that is the subject of said order reaches a price at which said position is forcibly closed. The information processing device according to any one of claims 1 to 3, wherein the processing means executes a corresponding order process when the current price of the financial product to be ordered is within the range and the fluctuation result of the current price of the financial product to be ordered satisfies a predetermined condition. The information processing device according to any one of claims 1 to 4, wherein the market price forecast includes information specifying the financial product, information specifying the range of price fluctuations of the financial product, and information specifying the pattern of price fluctuations of the financial product. A computer program for causing a computer to function as the acquiring means, the selecting means, and the processing means of the information processing device according to any one of claims 1 to 5.

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