RU2599951C2 - System for organizing electronic trade process using financial instruments - Google Patents

Abstract

FIELD: electronics.

SUBSTANCE: invention relates to organizing electronic trade process using financial instruments. System is a hardware-software complex, including a Manager Module containing means for generation and transmission of Trade orders, and User Module containing means for receiving Trade orders and means for Trade operations, the Manager Module and User Module are interconnected, and the system additionally contains a Module for generation and analysis of trade orders, connected to the Control Module and User Module, providing receiving, analysis and correction of Trade orders generated by the Manager Module to generate Trade orders and their translation in the User Module for user account trading in accordance with them, and containing a reception component, analysis component, providing dynamic expansion of the base of used algorithms, a correction component, generation component, translation component and component of processing statistical information on Commercial manager operations and orders.

EFFECT: technical result is automation of the generation, analysis and correction process of Trade orders and corresponding Trade operations.

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Description

The invention relates to systems for conducting non-cash financial transactions, specifically to systems for organizing the process of electronic trading of financial instruments.

There are various systems known for managing financial transactions. In particular, the credit and financial operations management system in the investment environment is known, which contains a central device for processing and managing an investment fund, a device for issuing financial (credit) obligations, a device for receiving financial (credit) obligations, a device for processing and managing a fund for financial (credit) obligations, and device for issuing means of payment (RF Patent No. 2111535, IPC G06F 17/60, G06F 19/00, publ. 05.20.1998). The system is designed to obtain loans and place available funds in financial institutions using the system, and provides guarantees for generating income by reducing investment risks of returning invested funds at a certain point in time. The above system has a narrow scope and cannot be applied to electronic trading of financial instruments.

Also known is the RiskMetrics system, which contains a data input device, a device for receiving data on certain assets, in particular financial instruments, as well as data on the main characteristics of financial instruments, instrument transactions, data on historical values of risk factors, devices and means of intermediate storage and data processing and data output devices.

The RiskMetrics system works as follows. Information on the composition and number of financial instruments in the investment portfolio, the specifications of all financial instruments (the main parameters are the maturity date, dates and amounts of income payments, payment currency, etc.) are entered through the data input device. Then they form the structure of this investment portfolio and the schedule of payments coming to be received by the investor. The generated data is sent to the data storage module. In the storage module, the data is supplemented with information about historical and current prices of financial instruments and historical values of risk factors, then in the module for calculating statistical values, the current value of the standard deviation (volatility) is calculated for each of the risk factors and the correlation values between different risk factors. The received data is sent to the scenario calculation module and returned to the data storage module. In the calculation module, risk scenarios are calculated based on the calculated values of the statistical values. The obtained calculation results are sent to the full analysis module, in which the probable cash flows for this portfolio are calculated for a given portfolio. Settlement data is sent to the full risk calculation module, in which the total risk of the investment portfolio in question is assessed. Risks assessed in monetary terms are transferred to the decision-making module, where, based on comparing risk data for other investment portfolios or comparing data on limits (limit values) of possible risks, the user makes a decision on market operations. This system solves the problem of reducing risks in transactions, but since the system involves a decision by the user on transactions in the market, it can not always be applied and effective. For example, electronic trading of financial instruments is carried out around the clock; in this regard, the user will not always have the opportunity to independently make decisions at a certain point in time. In addition, even if there is information about possible risks, the user can make a mistake and, accordingly, bear the risks of financial loss.

A known system, method and software for centralized currency exchange. The system operates on a centralized processing server and in it commercial banks, dealers and individual traders work in a centralized currency exchange market, while:

a centralized processing server receives trade orders, automatically selects and facilitates trade operations, registers and saves trade details, distributes reports on the execution of trade operations, receives information from providers and sends trade orders and trade information to different information providers;

computer software is interactively connected to a central processing server and provides all users with the ability to receive and display information from a central processing server for conducting trading operations, and also provides users with information obtained from a centralized processing server (US Patent No. US 2005/0283422).

The prior art risk management system and method for monitoring and managing messages in the trading system (US Patent 20120330817 A1, IPC G06F 40/04, published on 12/27/2012). The known invention includes a risk management system, which is included in the method and system for reducing delays in the trading system. Such a system allows the broker to stop trading orders immediately in real time or close to real time, which allows the broker to manage the trading activities of clients and manage credit, market and operational risks. The disadvantages of this technical solution are:

- the impossibility of modifying or generating trading orders, but only the possibility of rejecting trading orders, the parameters of which are beyond a given range of restrictions;

- Decision making is carried out by comparing the parameters of trade orders with the given restrictions, but the analysis of trade orders is not carried out;

- there is not automatic, but manual access to current trade statistics, data flow, gateway gateway status and other collected information.

The basis of the invention is the task of creating such a system for organizing the process of electronic trading of financial instruments, in which by introducing a module for generating and analyzing trade orders (hereinafter referred to as the GATR Module), automation of the process of analysis and correction of Trade orders generated by the Manager and automation of the process of their transmission is achieved to the User Module for conducting, in accordance with them, Trading operations on the user account, while at the same speed as when broadcasting Trading Races oryazheny without processing them Module Guthrie.

Another result of the proposed invention is the ability to block, correct and generate a trade order, which, in turn, allows to reduce the risk of a possible loss of the User’s money and increase his profit.

Moreover, due to the possibility of expanding and changing the base of algorithms that can be entered into the GATR module, the properties of adaptation and variability of the system and prompt and accurate correction and blocking of trade orders are ensured.

The task is achieved by the fact that the proposed system for organizing the process of electronic trading of financial instruments, which is a hardware-software complex that includes at least one Manager Module containing means for generating and transmitting Trade orders and at least one User Module containing means for receiving Trade orders and means of conducting Trading operations, in which, according to the invention, the Manager Module and the User Module are interconnected and, and the hardware-software complex additionally contains at least one Module for generating and analyzing trade orders (hereinafter referred to as the GATR Module), associated with the Manager Module and the User Module, and configured to receive, analyze and correct Trade orders generated by the Manager Module, with the possibility of generating Trade orders and with the possibility of transmitting them to the User Module for conducting, in accordance with them, Trading operations on the user's account, and containing a receiving component, a component nalysis configured to dynamically expand the base of the algorithms, the correction component generating component translation component and processing statistical information on trade transactions and Brands Manager Manager orders.

In addition, the means for generating and transmitting the Trading Orders of the Manager's Module additionally include the Manager's Account component, which may be virtual and not have margin requirements and commission costs.

In addition, the Manager Module contains information transfer means for generating a list of managers in the GATR module.

In addition, the tools of the User Module additionally include a component for selecting one Manager or a list of managers, whose trading orders can be transmitted to the User’s account through the GATR Module.

The introduction of the GATR Module into the proposed system provides automation of the process of analysis and correction of Trading Orders generated by the Manager, and automation of the process of their transfer to the User Module for conducting Trading Operations on the user's account in accordance with them, at the same time as when transmitting Trade Orders without processing them by the GATR module. This is due to the preliminary preparation by the GATR module of solution options for the expected Trade Orders, which is carried out by the analysis and correction components implemented as a separate computing unit of this module (GATR). The prepared solution options are stored in the RAM of the GATR Module and as a result, when the GATR Module receives a trade order from the Manager Module, it does not require any lengthy processing or analysis of it, but it is enough to select one of the prepared solutions for this solution from the RAM type of trade order, and transfer it to the User Module fully automatically, for which the translation component of the GATR module is used.

Moreover, due to the possibility of expanding and changing the base of algorithms that can be entered into the GATR module, the properties of adaptation and variability of the system and prompt and accurate correction and blocking of trade orders are ensured. This is accomplished by using the block principle in constructing the GATR module, which makes it possible to combine sets of various algorithms with subsequent aggregation of the results of their work to make a decision on each of the trade orders. In this case, the set of algorithms can be expanded by adding new algorithms or replacing existing algorithms.

In addition, the introduction of an additional module for the generation and analysis of trade orders into the proposed system makes it possible to reduce the User’s risks associated with the execution of the Trade orders generated by the Manager in the User’s Account.

The following are definitions of terms used in this application:

Trading platform - a hardware-software complex that ensures the transfer, generation of information according to a pre-created algorithm and the execution of Trading operations in accordance with the Trade Orders. The trading platform is used by the Manager and the User.

The Trading Platform, which is used by the Manager, provides the Manager with the possibility of Trading operations on the Manager’s Account and converting the Trade Orders into the form used for their acceptance by the GATR Module. The Trading Platform used by the Manager sends Trading signals to the GATR Module.

The trading platform used by the User performs the function of executing a trade order on the User’s Account, broadcast by the GATR Module.

The trading platform changes the user interface depending on whether the account is being worked on - with the Manager’s Account or the User’s Account.

The Manager module is implemented on the hardware-software complex and may include one or more input and output devices. These devices can be used, inter alia, to present a user interface and / or interact (for example, via a network) with other devices, servers or computers. Examples of output devices that can be used to provide a user interface include printers or displays to visually present information. Examples of input devices that can be used for the user interface include a keyboard, smartphone, touchpad, and tablets.

The user module includes, in an exemplary embodiment, a client input and output device, a server with a DBMS, a specialized integrated circuit (ASIC), a notification sending device (for example, Message Queue Broker). The client device may include processor (s) operably coupled to physical memory and an input / output interface. An exemplary server likewise comprises processor (s) functionally coupled to hardware or physical memory and an I / O interface. The memory may store one or more instructions for programming the processor to perform any of the functions, in addition, the memory may also store one or more application programs.

GART module - implemented as a server software module with a DBMS and includes a specialized integrated circuit (ASIC), a notification sending device (for example, Message Queue Broker), random access memory and other means necessary for functioning.

Means of generating and transmitting Trade orders, means of receiving Trade orders and means of conducting Trading operations are implemented as a server software module with a DBMS and include a specialized integrated circuit (ASIC), a notification sending device (for example, Message Queue Broker).

Reception components, analysis components, correction components, generation components, translation components are implemented as software modules of the GART module and include a specialized integrated circuit (ASIC), a notification sending device (for example, Message Queue Broker).

The components for processing statistical information about the Trading Operations of the Manager and the Manager’s Trading Orders are implemented as a server software module with a DBMS and include a specialized integrated circuit (ASIC) and a notification sending device (for example, Message Queue Broker).

Trade order - data in any form containing information about the type and volume of the initiated Trading operation.

Trading operation - making a purchase or sale of a financial instrument in the financial markets.

Trading volume - a quantitative indicator of a Trading operation, which determines the volume of a financial instrument purchased or sold during a trading operation. The volume of a trading operation displays the funds involved in a trading operation.

Generation of a trade order - the creation of a Trade order by indicating information about the Trading operation.

Processing of the Trade Order - a set of actions for the adoption of the Trade Order and the subsequent analysis and broadcast of the Trade Order.

Acceptance of a Trade Order - the action to receive a Trade Order generated by the Manager in any form.

Analysis of the Trade Order - the action to make a decision on the possible subsequent broadcast of the Trade Order, and in the case of a positive decision, the possible change in the properties of the Trade Order.

Broadcast of a Trade Order - an action to transmit a Trade Order.

The proposed system for organizing the process of electronic trading of financial instruments is a hardware-software complex, which includes the Manager Module, the User Module and the module for generating and analyzing trade orders. All Modules are interconnected.

Manager Module:

1. Contains the means of processing and transmitting / receiving Trade orders and the means of conducting Trading operations.

2. Includes the Manager's Account component, which can be both real and virtual, may or may not have margin requirements and commission costs.

3. Allows the Manager to generate Trading Orders by conducting Trading Operations. At the same time, there is no real purchase or sale of a financial instrument on his account: The Manager uses Lots when determining the volume of a trading operation.

Lot is a symbol for a unit of quantitative measurement of the volume of a trading operation. When specifying the volume of a trading operation, the Manager may vary the size of the lot within predetermined limits (including conducting a trading operation with two or more lots, or with part of one lot).

Paragraph is a symbol for displaying the difference between the price of a financial instrument during a Trading operation and the price of a trading instrument when conducting a Corresponding Trading Operation (the reverse is: when buying - selling, when selling - buying). The value of the Points may be either positive or negative.

When generating the Trade Orders, it does not matter what factors the Manager was guided by and with what additional funds the Trading operation was performed (the Manager can personally indicate the volume of Trading operations, their types, etc., use automatic and automated methods of conducting Trading operations, or combine these methods )

4. Transmits information to the GATR module to generate a list of managers. The list of managers is the common name for a group of managers who are created on the basis of a combination of factors. Lists of managers are generated based on any qualities of managers. The list of managers (the grouping of managers) is generated on the basis of statistical data contained in their Trade Orders, as well as additional information characterizing the Manager - a number of other factors (the history of his trading operations, the frequency of their execution, etc.).

User Module:

1. Contains the means of processing and transmitting / receiving Trade orders and the means of conducting Trading operations.

2. Contains a user account:

The user account is used to execute the Trading Orders of the system by the Trading Platform on it.

The user’s account involves storing the User’s funds in a way that allows the use of these funds for conducting Trading operations with their involvement.

The execution of the System’s trading orders is the automatic execution by the Trading Platform of Trading operations involving the User’s funds in accordance with the Trading Order received during the Transmission of the Trade Order by the GATR Module or the Trade Order generated by the GATR Module.

3. The step-by-step process of translation into the User Module:

- The manager initiates the creation of a trade order;

- The data of the Trade Order are received in the GATR Module;

- Based on the results of the analysis, a decision is made in the GATR module to broadcast the manager’s trade order;

- The trading order generated by the GATR Module is transmitted to the User’s account;

- Upon the fact that the manager forms a closing order for the created trade order, a closing order is initiated in the user’s account for the manager’s trading order associated with it.

4. Using the tools of this module, the User makes a choice (determination, use) of the List of managers. The User performs this action in any way (including filling out applications, special forms both electronically and in writing using or without the Trading Platform), the essence of which is to determine the group of Managers whose trading orders will be transmitted by the GATR Module to the User Account through the Trading platform. After the User selects the List of managers, the GATR module automatically determines the Manager, or a group of managers, included in the list of managers selected by the User, whose trading orders will be transmitted by the System to the user's account through the Trading platform. The User can perform a similar action to the selection of the Manager’s list to select specific managers to broadcast exclusively their Trade Orders, by specifying specific managers and determining the amount of money on the User’s Account to be involved in the execution of the Trade Orders received from the GATR Module.

When choosing a Group of Managers, the User indicates the amount of money on the User’s Account, the funds included in which will be involved in conducting Trading operations when the Trading Platform executes the Trading Orders of the System.

5. The user module can transfer data to the GATR module.

The GATR module is implemented in such a way as to accept, analyze and correct the Trade orders generated by the Manager's module, with the possibility of generating Trade orders and transmitting them to the User Module for conducting Trading operations on the user's account in accordance with them.

Introduction to the proposed system of the specified GATR Module - provides balance management in the conditions of a priori uncertainty.

Under the technique, in this invention, it is meant the necessary orderly adaptation of the source data (quotes stream and order stream), creating the necessary source data, the so-called simple (single) balance control functions, for the further functioning of the system.

By analysis, in this invention, is meant the creation of a multidimensional mathematical model of a balance control system and the study of the behavior of individual balance control functions within the framework of the adopted model.

The analysis algorithms, relying on a probabilistic description of the process within the framework of the adopted model, evaluate, identify and cluster the individual functions of balance management, allowing you to create generalized management strategies based on some associations of the original unit functions.

The combination of the initial unit functions is understood as management strategies (portfolios) that allow achieving predicted profit in accordance with the rate of return adopted for the chosen strategy.

By correction, in this invention, we mean the calculation of deviations of the a priori from the posterior probability, accompanying the evolution of the system and making the necessary amendments to the model and parameters of the selected balance management strategy.

GATR Module Functions

1. Accept Trading Orders, which are generated by the Manager's Module, are further analyzed according to predetermined algorithms, and adjusted if necessary. In the absence of the need to adjust the Trade Order, it is transmitted to the User Module.

2. Transfer Trade Orders to the User Module for conducting, in accordance with them, Trading operations on the User’s account.

At the same time, the GATR module includes:

reception component;

an analysis component configured to expand the base of the algorithms used in it;

correction component;

generation component;

translation component;

a component for processing statistical information on the Trading Operations of the Manager and the Trading Orders of the Manager.

Analysis of the trade order is carried out through a comprehensive analysis of the history of the manager’s trade orders in order to determine the probability of making a profit according to the next manager’s trade order.

Based on the analysis of the trader’s trade orders, the system decides how the following trade order will be converted:

- It is processed without changes;

- Modified (type of trade order is changed);

- The broadcast of the trade order is blocked.

The correction component is configured to:

- blocking the Trade Order;

- changes to the Trade Order.

The adjusted Trading Order is transmitted using the broadcast component to the User Module.

The correction component in accordance with the logic based on the theory of probability and Markov chains determines the category of filtered data and decides whether to modify or block the trading order of the Manager. A modification of a trade order is considered to be a change in the type of a trade order (that is, in the initial data there was an “BUY” order, the system converted it to “SELL”).

The blocking of a trade order is considered to be a decision on the exclusion of further broadcasting of this trade order.

Trading orders can also be generated by the GATP Module (in cases determined by a special algorithm) using the generation component and transmitted to the User Module using the broadcast component.

The components of the analysis, correction, generation and processing of statistical information that are part of the GATR module can be either a holistic, interconnected entity, made on the basis of a single hardware-software complex, or can be separate modules / modules with the function of receiving and sending trade orders and other data from the User Module, the Manager Module, and the GATR Module. Also, the components of analysis, correction, generation and processing of statistical information that are part of the GATR Module can be included in the User Module and the Manager Module, while maintaining the functionality for receiving and sending trade orders and other data from the User Module, Manager Module and the GATR Module .

The claimed system for organizing the process of electronic trading of financial instruments can be performed on the basis of various computer systems.

In general, the system solves the problem of increasing the efficiency of user management of their own funds by reducing the human factor, lowering the level of risks and increasing the level of profitability when executing the trading orders generated by the manager on the user account.

Claims (4)

1. A system for organizing the process of electronic trading in financial instruments, which is a hardware-software complex that includes at least one Manager Module containing means for generating and transmitting Trade Orders, and at least one User Module containing means for receiving Trade Orders and means for conducting Trading operations, which differs in that the Manager Module and the User Module are interconnected, and the hardware-software complex is additionally holds at least one Module for generating and analyzing trade orders (hereinafter referred to as the GATR Module), associated with the Manager Module and the User Module and made with the possibility of receiving, analyzing and correcting the Trading Orders generated by the Manager Module, with the possibility of generating Trade Orders and with the possibility of their transmission to the User Module for conducting, in accordance with them, Trading operations on the user account, and containing a receiving component, an analysis component, configured to dynamically Irene base used algorithms correction component generating component translation component and a processing component of statistical information on trade transactions and Brands Manager orders Manager. 2. The system according to claim 1, characterized in that the means for generating and transmitting the Trading Orders of the Manager's Module additionally include the Manager's Account component, which may be virtual and not have margin requirements and commission costs. 3. The system of claims. 1 and 2, which is characterized in that the Manager module contains information transfer means for generating a list of managers in the GATR module. 4. The system of claims. 1 and 2, which is characterized in that the means of the User Module additionally include a component for selecting one Manager or a list of managers, whose trading orders can be transmitted to the User’s account through the GATR Module.