JPH0628384A - Real-time risk control method - Google Patents

Abstract

PURPOSE:To attain the output of the buying/selling support information, the risk control information, and a simulation function onto the screen of a single work station by connecting a bond buying/selling support system to a bond control system via a network. CONSTITUTION:The market and price information inputted in real time from a circuit 1 is received by a processor 2 and then transmitted to the work stations WS 4 and 5 of the dealers via a network 3. At the WS 4 and 5, the necessary data are acquired from the data bases 7 and 8 storing the positions, i.e., the bond transaction balance of each dealer so as to support the decision of the buying/selling actions and the recognition of a risk state. The bond buying/selling results are also inputted through the WS 4 and 5, and the information on a position data base is changed. A bond control system B consists of a processor 6 and a bond control data base 9. The processor 6 is connected to a WS of a dealing support system A via a circuit 10. Then, the data control, the gains control and the simulation are carried out in the system B.

Description

Detailed Description of the Invention

[0001]

The present invention relates to an information processing system that supports and manages securities such as stocks and bonds, and provides information such as profit and loss of owned assets and trading timing based on market information in one workstation. It is related to the method of integrated total sales support and risk management.

[0002]

2. Description of the Related Art Conventionally, as a system for trading securities, the purpose is to provide real-time price information as provided by an information vendor that supports the trading of dealers and to provide trading timing decision information such as chart analysis based on it. Securities trading support system and a securities management system that holds the results of securities trading (for example, issued by Hitachi Ltd., financial securities system CARUS-F overview, material number A
PP-A-517). In the past, since these were developed separately, it was difficult to grasp the risk in real time by using the information of both systems. In addition, real-time risk management information cannot coexist and be output to a securities trading support workstation, and contract information input from the securities trading support workstation cannot be used as input data for the securities management system.

[0003]

SUMMARY OF THE INVENTION In the present invention, when a securities trading support system and a securities management system already exist,
An object of the present invention is to provide a method of constructing a securities integrated dealing system which can solve the above-mentioned problems which cannot be achieved by conventional systems without changing these existing functions.

[0004]

To this end, in the present invention, a securities trading support system and a securities management system, which are workstations connected by a network, are connected by a network. In addition to the real-time price table and real-time price information that have been conventionally realized in the workstation of the securities trading support system, a new position management table, position management file, daily trading file, and securities management system interlocking file are included. A local database, real-time risk management processing function, and securities management system linked processing function are added.

[0005]

[Operation] The operation of the added processing function, table, and file is as follows. The position management table manages the latest position reflecting the contract input.
The position management file manages the same contents as the position management table. The daily trade file manages trade data traded on that day. The securities management system interlocking file manages necessary information other than positions. The real-time risk management process uses the price information of the real-time price table and the information of the position management table to perform real-time profit / loss calculation and output. In the securities management system interlocking process, data is transferred between the securities management system and the securities trading support system via the network.

[0006]

【Example】

(System Configuration) FIG. 1 shows the configuration of a securities dealing total system according to the present invention. Part A is a dealing support system for trading securities in the front office, and part B is a securities management system for managing securities traded in the back office. Conventionally, the dealing support system and the securities management system were separate systems, but in the present invention, the respective systems are connected by a network.

The market price information input from the line 1 in real time is received by the processing device 2. The processing device 2 manages past time series data of the current price and the security price of the target securities market price. The processing device 2 transmits the received real-time price data to the dealer's workstations 4 and 5 via the network 3. The dealer workstations 4 and 5 use the necessary data from the databases 7 and 8 in which the positions, which are the securities trading balances of the dealers, are stored to support the trading decision and the grasp of the risk situation. Further, trading results of securities are also input through the workstations 4 and 5, and the information in the position database is changed. Further, the transaction information input by the dealing support system of the part A is transferred to the securities management system, which makes it unnecessary to input the trading result which has been conventionally performed by the securities management system.

The securities management system portion of the portion B comprises a processing device 6 and a securities management database 9. The processing unit 6 is connected via a line 10 to a workstation of the dealing support system. The securities management system part of B performs deadline management, overall profit management and simulation. Of these systems, the real-time data input related to the processing devices 2, workstations 4, 5 and the display part of the market information and the formation and display of the trading support information based on it are already realized by the system provided by the information vendor. The securities management portion of the processing device 6 has already been developed and its contents are described in the document 1.

(Software Functional Configuration) The configurations and software functions of the workstations 4 and 5 for realizing the real-time risk management according to the present invention will be described below.

FIG. 2 shows the software and table configurations of the workstations 4 and 5. In the workstation connected to the Ethernet work, a data communication process, a task controller, and a DSS (decision support) tool operate under the UNIX operation system. The task controller controls the processing flow of input processing by man-machine response processing, real-time price information processing based on real-time market price information, and real-time risk management processing. In addition, there is a real-time price table that manages real-time market price information and a position management table that manages the dealer's trading status in the workstation. In the local databases 7 and 8 attached to the workstation, position management files and date / time trading files are included. ， There is a securities management system interlocking file.

In the real-time price information processing, the real-time price information input from the data communication process is stored in the real-time price table, and the associated price chart and price numerical information are calculated and output.

In the real-time risk management processing, the profit and loss is calculated based on the latest price information from the information in the real-time price table and the information in the position management table, and is output. Also, the daily transaction information is generated from the input trading information and stored in the daily transaction file.

In the securities management system interlocking process which operates using the DSS tool, the data of the securities management system is fetched via the line 10 and stored in the local database, and the information of the daily trading file is transferred to the securities management system. . Of these, real-time price information processing has already been realized by a digital feed system.

(Task Control Method for Providing Real-Time Information) The present invention requires real-time risk management processing and securities management system interlocking processing in this digital feed system and is required for dealing with one workstation. Is to be able to see all the information. The method of realizing these processes will be described below.

FIG. 3 shows an output image of the workstation. Each information is displayed in a multi-window. In the example of FIG. 3, a window 31 is a real-time display of a price chart, a window 32 is a real-time profit / loss display of held positions, a window 33 is a contract trading result input, and a window 34 is an input field. The information on these screens is re-displayed based on the latest information according to real-time entry of securities prices.

FIG. 4 shows the configuration of processing for making this possible.
Shown in. In the figure, under the task controller, received data input processing, man-machine response processing, task 1, task 2, task 3, ..., Task n are managed. Each task corresponds to the information processing of each window in FIG. When there is a request from the input field of FIG. 3 to open a new window, the task controller puts under control the task that performs information processing corresponding to that window.
As shown in FIG. 5, the task controller cyclically turns each process, so that each window can display information using the latest information. In this case, if the processing time of each task is t _i , the processing time of the received data input processing is t _r , and the man-machine response processing time is t _m , the information update interval is t _r + t _m + t ₁ + t ₂ + ......
+ T _n .

A method of realizing information processing of each task will be described below. First, in the real-time risk management process, four functions of (1) contract input function, (2) position management function for each person in charge, (3) comprehensive position management function, and (4) simulation evaluation function are realized.

(Method of Realizing Contract Input Function) The contract input process is executed by the contract input screen as shown in FIG. 6, the total position management table having the structure shown in FIG. 7, and the position management table for each person having the structure shown in FIG. , The daily transaction file having the structure shown in FIG. 9 is assumed. The comprehensive position management table and the position management table for each person in charge are included in the position management table of FIG. 2 and have the same contents in the position management file of the local database. The daily transaction file is contained in the local database.

Further, the comprehensive position management table (FIG. 7) is composed of comprehensive information of N target categories and the corresponding category such as brand groups and cross positions.
When the content of the target segment is changed, the position update flag is set to 1. The position management table for each person in charge (FIG. 8) is composed of N tables identified by the identification code including the person in charge ID and the position classification ID. Each table stores comprehensive information such as the book value, face value balance, and unrealized profit / loss of each issue. When the stock information is updated, the position update flag is set to 1. The daily trades file (FIG. 9) contains the contract number N for the day and detailed information for each contract. N when the contract information is entered
Is counted up and the contract information is stored in the (N + 1) th column.

FIG. 10 is a processing flow of the contract input function. First, in step 101, an input screen as shown in FIG. 6 is output. In the screen of FIG. 6, xxx is data input by the user. The user moves the cursor to the corresponding position, inputs a number or code from the keyboard, and when the input is completed, notifies the end of the input with the execution key. Step 1
In 02, it is judged whether or not the input is completed. When the input is completed, the input data is read in step 103. Then, the read data is reflected in the comprehensive position table in step 104, in the position table for each person in charge in step 105, and in the daily transaction file in step 106.

Thus, the contract input process is completed.

(Realization of Real-Time Information Update Function) The real-time information update function for changing the profit / loss of the position in real time according to the real-time price fluctuation of the market will be described. First, a method of implementing the position management function for each person in charge will be described. FIG. 11 is an output example of the position management screen for each person in charge. In the figure, in part A, profit and loss information calculated using real-time price information is output to the position table corresponding to the dealer classification and the position classification. In part B, the breakdown of positions is displayed by selecting seven issues. The C portion is a scroll key related to the display contents of the B portion. If you pick C1 with the mouse, the display part of B part shifts up,
Picking C2 with the mouse will shift the displayed brand down.

FIG. 12 is a diagram showing an outline of the position management function. Position profit / loss information for each person in charge is calculated from the price information of the relevant stock in the real-time price table and the information in the position management table for each person in charge, and output to the screen. Position management functions include a startup process that calculates all information when this is called, and a real-time information management function that regularly updates information using real-time information.

FIG. 13 is a flow chart of the startup processing of the position management function for each person in charge. First, step 131
Then, the frame for position management of the portion A in FIG. 11 is output. In step 132, the position management table for each person in charge is read, and in step 133, the real-time price table of the issue is read. Based on these information, the information in the table of FIG. 11 is calculated in step 134, and step 135
To output each information in the corresponding column. This completes the startup process and waits for the next information update interrupt.

FIG. 14 is a processing flow for updating information.
There are two factors that cause the information to change when the information is updated: the contents of the position table are changed and the prices of the issues are changed.

First, in step 141, it is checked whether the position update flag indicating whether the contents of the position table for each person in charge has been updated is 1 or 0. If this is 1, the same processing as the startup processing of FIG. 13 is performed in step 14
7, Step 148, Step 149, Step 150
Then, the update process of the information ends. When the update flag is 0, the information is updated only in the portion corresponding to the issue whose price has changed.

At step 142, information of the brand i (initial value i = 1) in the real-time price table is read. If this value matches the price one step before, the information for that price is not updated and the process proceeds to step 146. If the value does not match the value in the previous step in step 143, the display information regarding the brand i is updated in step 144, and the information is displayed in the corresponding column in step 145. In step 146, it is determined whether or not all the processes are completed. If not completed, i is incremented and the process returns to step 142.

When the information of all the brands has been updated, it is checked in step 151 whether or not the price information of one brand has been updated. If there is any update, the information of the total portion is updated in step 152. This completes one real-time information management process.

FIG. 15 is an output example of the total position screen. With the almost same processing flow as the position management function for each person in charge, another real-time information update function, the total position management function, can be realized. Various management indices are taken on the horizontal axis and position categories are taken on the vertical axis to calculate unrealized profit / loss based on real-time price information. The processing flow is shown in FIG. 13 and FIG. 14 of the position management function for each person in charge.
Since it is almost the same as, the flow chart is omitted.
First, in the start-up process, the information of the comprehensive position management table and the real-time price table of FIG.
The information in FIG. 15 is calculated and displayed. In real-time information management, if the price information changes even for one of several types of issues such as index issues and JGBs (long-term), which includes position categories, the information on unrealized profit / loss for the relevant position category is updated. By performing this for each position classification, it becomes possible to update the real-time information of the entire overall position.

(Realization of Simulation Evaluation Function) FIG.
6 shows an example of the configuration of the screen for performing the position simulation. The simulation screen is composed of three parts: a simulation result display section for the A section, a virtual trading input section for the B section, and a simulation parameter setting section for the C section. D is a part for ending the simulation evaluation, and when the mouse is instructed, the simulation evaluation is ended. Performs a profit / loss simulation evaluation based on position data. As one example of this simulation, the simulation evaluation function will be described by taking changes in profit and loss with changes in securities prices.

FIG. 17 is a processing flow of the simulation evaluation function. In step 171, the data of the position table shown in FIG. 7 or 8 is read into the processing program and expanded on the memory. Also, the information of the price table at the time when the simulation program is started is taken in. In step 172, the screen of the part excluding the simulation evaluation result of FIG. 16 is output. In step 173, the simulation evaluation part is calculated,
The result is output to the A part. For example, in this case, the purchase price Ki of the purchasing unit of the brand i in the position table, the number of purchases Si, the current price Gi, and the simulation evaluation unit are d.
Then, the evaluation from −md to md shall be performed by simulation. The profit / loss at each point k can be calculated as [Equation 1] Fk = Σ (Gi + kd−Ki) * Si (1). By changing the value of k from -m to m, the data of F (-m) to Fm can be created to create the graph of the portion A. The trade input process for the portion B is the contract input process of FIG. However, the change result is reflected not on the position table but on the expanded memory inside the processing program.

When it is detected in step 174 that the position update flag has changed, in step 175 (1)
The simulation evaluation is recalculated by the formula and output.
The parameter setting unit C changes parameters in the simulation (for example, d in the equation (1)). In step 176, it is checked whether or not the value of the parameter is changed, and if it is changed, step 1
At 77, recalculation and display of the simulation similar to step 175 is performed. Further, in step 178, it is determined whether or not the simulation end is input. If it is input, the process ends, and if not, the process returns to step 174.

(Overlapping of information by multi-window) In the above-mentioned processing, a plurality of information are superposed by outputting one processing corresponding to one window under the normal multi-window management function. You can see it. FIG. 18 is an example of these information outputs. Part A is a graph of price information output by the real-time price information processing of FIG. Part B is a real-time profit and loss table output by total position management. The C portion is a portion for executing contract input processing. Further, the D portion is an input data area corresponding to the input processing of FIG. The present invention enables such superposition of real-time information.

(Daily File Transfer Process) The daily transaction file generated by the contract input process is transferred from the front office of A in FIG. 1 to the back office of B through the line 10 by a normal file transfer means. It The back office receives the data transferred by the processing device 6 and stores it in the securities management database 9. The daily transaction file transfer function reduces the work of entering contracts in the back office.

[0035]

As described above, according to the present invention, the front office securities trading information system, the real-time risk management system, and the back office securities management system, which have been separately developed, can be integrated. Can be obtained.

(1) All the information necessary for trading securities such as trading support information, risk management information, simulation function and input function can be output on the screen of one workstation.

(2) Since front office data and back office data can be exchanged with each other, it is possible to avoid the trouble of re-entering contract information.

(3) It is a distributed configuration of workstations, and the system can be easily expanded simply by adding workstations according to the scale of work.

[Brief description of drawings]

FIG. 1 is a block diagram showing a system configuration of an integrated dealing system according to an embodiment of the present invention.

FIG. 2 is a block diagram showing a functional configuration of a dealer workstation according to an embodiment of the present invention.

FIG. 3 is a diagram showing a screen output configuration of a dealer workstation.

FIG. 4 is an explanatory diagram of a task configuration of real-time information processing.

FIG. 5 is an explanatory diagram of task flow control of real-time information processing.

FIG. 6 is a diagram showing a configuration example of a contract input screen.

FIG. 7 is a diagram showing a structure of a comprehensive position management table.

FIG. 8 is a diagram showing a configuration of a position management table for each person in charge.

FIG. 9 is a diagram showing a daily transaction file structure.

FIG. 10 is a processing flow chart of contract input.

FIG. 11 is an explanatory diagram of a position management table for each person in charge.

FIG. 12 is a conceptual diagram of real-time information update processing.

FIG. 13 is a flowchart of a start-up processing of real-time information update processing.

FIG. 14 is an information update processing flow chart of real-time information update processing.

FIG. 15 is an explanatory diagram of a comprehensive position management table.

FIG. 16 is a diagram showing an example of a simulation output screen configuration.

FIG. 17 is a processing flowchart of simulation.

FIG. 18 is a diagram showing an example of superimposed display of real-time information.

[Explanation of Codes] 1 ... Line, 2 ... Receiving Device, 3 ... Network, 4 ... Workstation, 5 ... Workstation, 6 ... Processing Device, 7 ... Database, 8 ... Database, 9 ... Securities Management Database, 10 ... Line .

 ─────────────────────────────────────────────────── ─── Continuation of the front page (72) Inventor Mitsutaka Kosaka 1099 Ozenji, Aso-ku, Kawasaki City, Kanagawa Prefecture, Ltd. System Development Laboratory, Hitachi, Ltd. (72) Inventor, Kazuho Honda 3-chome, Saiwaicho, Hitachi City, Ibaraki Prefecture No. 2 Hitachi Nuclear Engineering Co., Ltd. (72) Inventor Hiroaki Kanda 12 890 Kashimada, Sachiku-ku, Kawasaki City, Kanagawa Prefecture Hitachi, Ltd. Information Systems Development Division (72) Masatoshi Hara Oka Mika, Hitachi City, Ibaraki Prefecture 5-2-1, Machi, Hitachi Information Control System Co., Ltd. (72) Inventor, Kazunobu Yamate 5-2-1, Omika-cho, Hitachi City, Hitachi, Ibaraki (72) Institution, Hitachi Information Control System (72) Inventor, Mitsuru Eguchi Ibaraki Hitachi Information Control System, 5-2-1 Omika-cho, Hitachi, Japan

Claims (2)

[Claims] 1. A securities trading support system in which workstations are connected by a network and a securities management system for managing securities are connected in a network so that position information managed by the securities management system is also held in the securities trading support system. Real-time trading support information and real-time risk management information are executed by executing the real-time risk management function on the workstation of the securities trading support system.
A real-time risk management method that enables simultaneous output to the screens of two workstations. 2. The real-time risk management system and system according to claim 1, wherein the workstation of the securities trading support system is provided with a securities contract input processing function, the position information on the workstation side is updated according to the input result, and Create the next transaction file,
A real-time risk management method that reduces the contract input processing of the securities management system by transferring it to the securities management system.