JP6193095B2 - Trade order control program, trade order control device, and trade order control method - Google Patents

Description

  The present invention relates to a trading order control program, a trading order control apparatus, and a trading order control method, which are suitable for suppressing slippage generated in spread trading targeting two stocks of financial products with close price movements. .

  In the trading market for financial products, two different stocks that are close in price movement (high correlation coefficient of price movement) are monitored, and when the spread widens, one stock is sold and the other stock is bought (see Fig. 1). As shown in (1)), when the spread is reduced, counter trading (Exit) is performed (transaction at (2) shown in FIG. 1) to obtain a profit margin (profit) and so-called spread trading The so-called trading is actively carried out especially in futures, options and bonds.

  Such spread trading is aimed at gaining profits by narrowing the spread, so it does not hold only one of the two stocks, it can be futures / options trading or credit trading. For example, both new and repayment orders will require the two issues to be executed at the same time. In order to ensure the execution of the second trading order, it is sufficient to place both orders as market orders. However, when placing orders as market orders, the best selling price is higher than the best bid price in the case of a buy order. In the case of a sell order, since it will be executed at the best bid price, which is lower than the best sell price, the so-called slippage will be executed under conditions that are less favorable than the current price of each stock. The possibility of problems will increase.

  Examples of technologies for conducting spread trading for two different stocks include, for example, electronic trading that receives market data for two stocks and automatically calculates and dynamically displays the price required to execute spread trading. An invention relating to the method is disclosed (see Patent Document 1).

JP 2004-535007 A

  The invention described in Patent Document 1 is mainly intended to display price information necessary for spread trading, and copes with the slippage problem that is likely to occur at the time of the above-mentioned purchase order. It is not something that can be done. In order to cope with the slippage problem, there is a need for a means for making two trades executed at the same timing and under the most favorable conditions in a trade order for spread trading.

  The present invention has been made to cope with such problems, and is a trading order control program, a trading order suitable for suppressing slippage generated in spread trading targeting two stocks of financial products with close price movements. It is an object of the present invention to provide an order control device and a trading order control method.

  The present invention that solves such a problem places a buy order for one brand and a sell order for another brand for two brands of financial products that are close in price movement. A trading order control program for controlling the order status of an order, comprising: a computer having a market price information storage unit for storing market price information including a quote price of trading of each of two brands subject to trading orders; Buy order data for placing a purchase order with the best buy price of one brand stored in the market price information storage unit as a limit, and the best sell price of other brands stored in the market price information storage unit An order processing system that generates sell order data for placing a sell order as a limit price and accepts the order or execution of the buy order and the sell order is sent to the buy order data and the sell order data. A trade order data transmission step transmitted from time to time, a contract notification reception step of receiving either a buy order based on the buy order data or a sell order based on the sell order data from the order processing system, and the contract When the notification of the buy order is received in the notification receiving step, the sales order correction data for correcting the order content of the sell order is received in order to promptly execute the sell order based on the sell order data. If a sell order execution notification is received in the step, buy order correction data for correcting the order content of the buy order for promptly executing a buy order based on the buy order data is generated, and the order processing system A correction data transmission step of transmitting the sell order correction data or the buy order correction data to Is a trade order control program for causing the row.

  In the present invention, when placing a buy / sell order for a spread transaction, the best bid price is set for the buy order and the best sell price is set for the sell order so that each order is executed under the most favorable conditions. Place two orders at the same time as the limit price. And in order to execute these orders at the same timing, when one order is executed, the order contents are corrected so that the other order which is not executed can be executed quickly. It is possible to execute two orders at the same timing and under the most favorable conditions.

  Further, in the correction data transmission step, when the execution notification of the buy order is received in the execution notification reception step, the sell order is changed from the limit order to the market order, or the stop order of the sell order is Sell order correction data for correcting the sell order to a price at which the sell order can be executed, which is determined from the quote price of the market price information of the brand subject to the sell order stored in the market price information storage unit, receives the execution notification If a sell order execution notification is received in the step, the buy order is changed from a limit order to a market order, or the limit of the buy order is stored in the market price information storage unit of the brand subject to the buy order. Buy order correction data for correcting the buy order determined from the quoted price of the market price information to a price that can be executed can be generated.

  In the correction data transmission step, the price at which the sell order can be executed by correcting the limit price when the purchase order execution notification is received in the execution notification receiving step is the market price of the brand subject to the sell order. The order price of the buy order corresponding to the bid price of the information is the order quantity of the sell order (the order quantity corresponding to the contract quantity if the buy order is partially executed) to the price price equal to or greater than the price. The price at which the buy order can be executed by correcting the limit price when the sale order execution notification is received in the execution notification reception step is the price value information of the stock subject to the purchase order. The order quantity of the sell order corresponding to the order price of the buy order (the order quantity corresponding to the contract quantity if the sell order is partially executed) to the price less than the price Be the existing price, it may be characterized.

  As for the specific method of correcting the order details to promptly execute the other order when one order is executed, the limit order may be corrected to the market order as described above. Because there may be financial products that cannot accept market orders or that cannot be corrected from limit orders to market orders, refer to the quotes in the market price information and set the limit to a price that can be executed. It may be corrected. In this case, the limit price to be corrected may be set to an indicative price that has an order quantity that can be filled by an order quantity of an unfilled order.

  Further, in the correction data transmission step, when the contract notification receiving step receives the contract notification of the buy order, the market price of the issue subject to the sell order stored in the market price information storage unit Until the quotation of information matches a predetermined condition, the selling order correction data is made to be generated or transmitted, and when the selling order execution notification is received in the execution notification receiving step, the market price information storage unit It is also possible to wait for generation or transmission of the purchase order correction data until the stored quotation of the market price information of the brand subject to the purchase order matches a predetermined condition.

  In the correction data transmitting step, when receiving the contract notification of the buy order in the contract notification receiving step, a predetermined condition for waiting for generation or transmission of the sell order correction data is stored in the market price information storage unit Is a condition for judging using the order quantity of at least one of the best bid price or the best bid price of the market price information of the stock subject to the sold order, and the execution notification of the sell order is received in the execution notification receiving step When received, the predetermined condition for waiting for the generation or transmission of the buy order correction data is the best buy price of the market price information of the brand subject to the buy order stored in the market price information storage unit or It may be characterized in that the condition is determined using the order quantity of at least one of the best selling price.

  In order to ensure that the two orders placed at the same time are executed at the same timing, as described above, it is sufficient to correct the market order or to correct the content of the order to a price that can be executed quickly. If it can be determined that there is a high possibility that an unfilled order will be filled depending on the market price information quote price and the order quantity, it is better to leave the order as it is without immediately correcting it. In some cases, there is a possibility that it can be executed under more advantageous conditions. To determine whether an unfilled order is likely to be executed, for example, the order quantity of the best bid price or the order price of the best bid price is compared with a predetermined set value, or the best bid price is determined. The ratio between the order quantity and the order quantity of the best selling price may be compared with a predetermined set value.

  The present invention can also be specified as a trade order control apparatus provided with a trade order control program according to the present invention.

  The buy / sell order control apparatus according to the present invention places a buy order for one brand and a sell order for another brand for two brands of financial products that are close in price movement, and another order after any order is executed. The market price information storage means for controlling the order status of the market price information storage means for storing the market price information including the quote price of the trading of each of the two stocks subject to trading orders, and the market price information storage means Buy order data for placing a buy order whose limit is the stored best bid price of one brand, and a sell order whose limit price is the best sell price of other brands stored in the market price information storage means A buy / sell order to simultaneously send the buy order data and the sell order data to an order processing system that generates sell order data for placing an order, and accepts the execution or execution of the buy order and the sell order A data transmission means; a contract notification receiving means for receiving either a buy order based on the buy order data or a sell order based on the sell order data from the order processing system; and the contract notification receiving means When the order execution notification is received, the execution notification receiving means stores the sales order correction data for correcting the order contents of the sales order in order to promptly execute the sales order based on the sales order data. When the contract notification is received, the purchase order correction data for correcting the order content of the buy order for promptly executing the buy order based on the buy order data is generated, and the sell order correction is generated in the order processing system. A buy and sell order control device comprising: correction data transmitting means for transmitting data or the buy order correction data; That.

  The trade order control device according to the present invention can also be specified as a trade order control device corresponding to each aspect of the trade order control program according to the present invention described above.

  The present invention can also be specified as a trading order control method executed by the trading order control program according to the present invention or the trading order control apparatus according to the present invention.

  The control method of the buying and selling order according to the present invention is to place a buy order for one brand and a sell order for another brand for two brands of financial products that are close in price movement. A control method of a trading order for controlling the order status of an order, comprising a computer having a market price information storage unit for storing market price information including a quote price of trading of each of two brands subject to a trading order, Buy order data for placing a buy order whose limit is the best buy price of one brand stored in the market price information storage unit, and the best sell price of other brands stored in the market price information storage unit Sell order data for placing a sell order with the limit price as the limit, and the order processing system receiving the buy order and the selling order execution or execution of the sell order is the same as the buy order data and the sell order data. Sending / buying order data to be transmitted to the computer, and a contract notification receiving step in which the computer receives from the order processing system either a buy order based on the buy order data or a sell order based on the sell order data. When the computer receives a buy order execution notification in the execution notification receiving step, a sell order that corrects the order content of the sell order so as to promptly execute a sell order based on the sell order data Buy order correction data for correcting the order contents of the buy order for promptly filling a buy order based on the buy order data when correction data is received in the contract notice receiving step. And the sell order correction data or the buy order correction data in the order processing system. A control method of trading orders characterized by having a a correction data transmitting step of transmitting.

  The trading order control method according to the present invention can also be specified as a trading order control method corresponding to each aspect of the trading order control program according to the present invention described above.

  According to the present invention, in a buy and sell order for spread trading targeting two stocks of financial instruments with close price movements, it becomes possible to execute the two trades at the same timing and under the most favorable conditions as much as possible. It is suitable for suppressing slippage that is likely to occur in spread transactions. As a result, the risk management of investors who conduct spread trading is strengthened, so it can be expected to contribute to improving convenience for investors, expanding the investor base, and activating transactions in financial markets.

It is a figure which shows the outline | summary of spread transaction. It is a figure which shows the outline | summary of embodiment of this invention. It is a block diagram which shows the structure of the trading order control measure concerning this invention. It is a 1st figure which shows the flow from ordering of the trade order for spread trading to a contract by the trade order control program concerning this invention. It is a 2nd figure which shows the flow from ordering of the trade order for spread trading to a contract by the trade order control program concerning this invention. It is a 3rd figure which shows the flow from ordering of the trade order for spread trading to a contract by the trade order control program concerning this invention. It is a 4th figure which shows the flow from ordering of the trade order for spread trading to a contract by the trade order control program concerning this invention. It is a 5th figure which shows the flow from ordering of the trade order for spread trades to a contract by the trade order control program concerning this invention. It is a 6th figure which shows the flow from ordering of the trade order for spread trading to a contract by the trade order control program concerning this invention. It is a figure which shows an example which places a buy order and a sell order in the trade order for spread trading by the trade order control program concerning this invention. It is a figure which shows the example which corrects the limit price of a sell order after the buy order shown in the example of FIG. 10 is filled. It is a figure which shows the example which waits for correction of the limit of a sell order after the buy order shown in the example of FIG. 10 is filled. It is a figure which shows the example which corrects the limit of a buying order after the selling order shown in the example of FIG. 10 is filled. It is a figure which shows the example which waits for correction of the limit of a buy order after the sell order shown in the example of FIG. 10 is filled. It is a flowchart which shows the flow which controls from ordering of the trade order for spread trading to execution by the trade order control program concerning the present invention.

  Embodiments for carrying out the present invention will be described below in detail with reference to the drawings. In the following description, an example will be described in which the trading order control program according to the present invention is operated on a terminal operated by an orderer and used for controlling trading orders such as ordering and correction to a server such as a securities company. This description shows an example of an embodiment of the present invention, and the present invention may be used for controlling trading orders such as ordering and correction from a server such as a securities company to a system such as a securities exchange. The invention is not limited to such an embodiment.

  FIG. 2 shows an overview of an embodiment of the present invention. The present invention is used to place and correct buy and sell orders for spread trading of financial products. The type of financial product to be traded is not particularly limited, and for example, futures, options, bonds, stocks and the like can be targeted. The target trading order can include both new and repayment trading orders. The securities company system includes a Web server and a backbone system.

  Trading of financial products is usually carried out by buying and selling orders (buying and selling order) from the orderer to the securities company, etc., and buying and selling orders from the securities company etc. to the stock exchange, etc. However, here, an example in which the present invention is applied to a trade order (trade order) from an orderer to a securities company or the like will be described.

  An orderer terminal operated by an orderer such as a PC is provided with an automatic order program including a trade order control program according to the present invention, and further includes a Web browser for connecting to a Web server of a securities company via the Internet. It may be provided. The orderer activates an automatic ordering program or a web browser, connects to the securities company's web server, and logs in by entering an account number, password, and the like. The connection with the securities company's Web server here may be an automatic order program connected to the securities company's Web server using an API provided by the securities company or the like, or a Web browser may be used. It may be connected to a securities company's Web server.

  When requesting market price information such as a stock price from a brokerage company's Web server from an orderer terminal that has completed login, real-time market price information is continuously transmitted from the brokerage company's Web server and displayed on the orderer terminal. In the present invention, it is only necessary that the transmission of the real-time market price information to the orderer terminal is continued, and the transmission of the market price information is not limited to the web server of the logged-in securities company. For example, it may be transmitted to the orderer terminal from a Web server of a securities company different from the securities company that conducts the transaction or a Web server of a market value information provider.

  The orderer terminal accepts input of the order contents of the sales order while displaying the current price information on the automatic order program or the Web browser, and transmits the order data of the sales order to the Web server of the securities company. The order data may be transmitted from the automatic order program to the securities company's Web server using an API, or the order data generated by the automatic order program may be sent from a securities company opened in a Web browser. A web page may be automatically input and transmitted to a securities company's web server by a web browser. When order data is received by the securities company's Web server, a trading order based on the received order data is processed by the brokerage company's backbone system and placed in the exchange system.

  In the present invention, such a flow controls the execution of spread trading of financial products such as futures and options, but when placing a buy and sell order, the flow described below, the two orders at the same timing, In addition, it is possible to execute the contract under conditions that are as advantageous as possible.

  FIG. 3 shows an example of the configuration of a terminal device provided with a trading order control program according to the present invention, and the orderer terminal 10 corresponds to the trading order control measure according to the present invention. The orderer terminal 10 is a terminal device that can be connected to the Internet, such as a PC, and includes an input device 11, an order receiving unit 12, an order data generating unit 13, a communication control unit 14, an order processing unit 15, and a market price information storage unit. 16 is provided.

  As the securities company server 20, a Web server connected to the Internet is used. In addition, the securities company server 20 is connected to a securities company backbone system 30 that performs recording of order slips and order processing to an exchange system.

  The physical configuration of the orderer terminal 10 is not particularly limited, but is a network terminal such as a CPU, a main memory, and a PC, a tablet terminal, a smartphone or the like equipped with an auxiliary storage device such as an HDD or an SSD, A program is read from the auxiliary storage device to the main memory, and a predetermined function is realized by executing arithmetic processing in the CPU.

  As the input device 11, a keyboard, a mouse, or the like that is operated by an orderer to input information is used. The order receiving unit 12, the order data generating unit 13, the communication control unit 14, and the order processing unit 15 are all functionally specified, and programs for executing the respective functions are HDD, SSD, etc. Each function is realized by reading the data from the auxiliary storage device into the main memory and executing arithmetic processing in the CPU. A predetermined storage area of an auxiliary storage device such as a main memory, HDD, or SSD is allocated to the market price information storage unit 16.

  The physical configuration of the securities company server 20 is not particularly limited, but is a server computer including a CPU, a main memory, and an auxiliary storage device such as an HDD, and a program is read from the auxiliary storage device to the main memory, and the CPU A predetermined function is realized by executing the arithmetic processing in FIG. The physical configuration of the securities company backbone system 30 is not particularly limited.

  Based on the above configuration, according to the present invention, referring to the examples of market price information at the time of ordering and correction shown in FIGS. 10 to 14 along the flowcharts of FIGS. 4 to 9 and FIG. The flow from the purchase order of the trade order for the spread trade to the execution by the trade order control program will be described.

  As shown in FIG. 4, the orderer terminal 10 is provided with an automatic order program having a function of a trade order control program according to the present invention, and includes an order reception unit 12, an order data generation unit 13, a communication control unit. 14. Perform processing necessary for each function corresponding to the order processing unit 15. The communication control unit 14 may communicate with the securities company server 20 by performing communication processing using an API provided by the securities company, for example. When the securities company server 20 is accessed via a Web browser and the automatic order program is configured to control trading orders in cooperation with the Web browser, the functions corresponding to the communication control unit 14 and the order processing unit 15 are: It will be executed by the browser.

  As shown in FIG. 5, an orderer who places an order for buying and selling using an automatic order program having the function of a trade order control program according to the present invention activates the automatic order program on the orderer terminal 10 and the Internet. To the securities company server 20 via Here, the orderer may operate the input device 11 to input login information such as an account number and a password on the login screen, and transmit the input login information from the orderer terminal 10 to the securities company server 20. However, the login information may be automatically transmitted to the securities company server 20 by using account information, a password, etc. stored in advance by the automatic ordering program. The securities company server 20 performs identity authentication using the transmitted login information, and executes processing necessary for login.

  Subsequently, when the orderer requests the market price information of the financial product for which he / she wants to place a trade order by designating the brand code or the like, the market price information of the financial product is transmitted from the securities company server 20 in real time. Such transmission of the market price information can be automatically requested using a stock code or the like set in advance in the automatic ordering program. The transmitted market price information includes board information indicating the order quantity for each quotation as shown in the examples of FIGS.

  As described above, the market price information received by the orderer terminal 10 here is not limited to the data transmitted from the logged-in securities company server 20, but is the website of another securities company or market price information provider. It may be transmitted from a server. The board information included in the market price information received by the orderer terminal 10 in real time is temporarily stored in the market price information storage unit 16 (may be held by an automatic order program, or in the case of cooperation with a Web browser, a securities company server. 20 and may be held by a program such as a script transmitted from 20), and is updated each time new market price information is received.

  In the above state, the orderer may operate the input device 11 of the orderer terminal 10 to input information necessary for the trade order while referring to the market price information such as the board information of the brand for which the trade order is to be placed. Alternatively, the automatic order program may read the market price information data and automatically set information necessary for ordering and correction. In the former case, when the orderer inputs the order contents such as the brand to be traded, the type of sale, the order quantity, etc. from the input device 11, the order data is generated by the order data generation unit 12 according to the accepted order contents. In the latter case, the order data generation unit 12 reads the necessary information from the market price information storage unit 16 according to the ordering conditions for automatically placing a purchase order set by the orderer in advance in the automatic ordering program and places an order. The order processing unit 15 and the communication control unit 14 execute ordering processing such as automatically generating data and transmitting the generated order data.

  The trading order control program according to the present invention is used for ordering and correcting trading orders for spread trading for two stocks of financial products with close price movements (high correlation coefficient). The flowchart of FIG. 15 shows the flow of trade order control. Note that the present invention can be applied to both newly built and repayment trading orders, but here the financial product with a close price movement (high correlation coefficient) in order for the orderer to conduct a spread transaction. For example, when the spread between Nikkei 225 futures ("brand X") and TOPIX futures ("brand Y") with the same trading contract spread, sell brand X and brand Y A specific example will be described in which the present invention is applied to a case where two new-built buying and selling orders to be bought are placed and counter trading (repayment order) is performed for each brand from the state after these trading orders are executed. As described above, the same mechanism can be applied when placing a new order for selling the brand X and buying the brand Y. In this state, as shown in FIG. 5, the board information X and board information Y about the brand X and the brand Y are transmitted from the securities company server 20 to the orderer terminal 10 in real time. It is stored in an order program or a program such as a script that operates in cooperation with a Web browser.

  In this state, when it is determined that the spread between the brand X and the brand Y has been sufficiently reduced (automatic determination by an automatic ordering program may be performed, or the orderer may determine based on market price information) As shown in FIG. 6, the market price information (board information X and board information Y) of the brand X and the brand Y is read from the market price information storage unit 16 (S01), and the sale and brand of the brand X executed earlier In order to carry out a counter-buy for buying Y, buy order data (order data X) with the best buy price of the brand X as the limit price and sell order data (order data) with the best bid price of the brand Y as the limit price Y) is generated (S02 to S03).

  FIG. 10 shows an example of placing a buy order and a sell order for the reverse trade of spread trading, that is, a buy order with the best bid price of the brand X as the limit price and a best sell price of the brand Y as the limit price. An example of a sell order is shown, but since the best buy price (A) of the stock X (Nikkei futures) is 14,860 yen, the buy order with this price as the limit and the stock Y (TOPIX) ) Is the best selling price (B) of 1212.0 points, and a selling order with this price as the limit price is placed.

  In this way, in the present invention, the slippage that the two orders to be executed at the same timing in the spread transaction are executed at a price different from the current value confirmed by the orderer by making the limit order instead of the market order. The occurrence of this can be suppressed. In addition, it is desirable that the price set as the limit price be the best buy price and the best sell price so that it can be quickly executed at a price close to the current price when it is determined that the spread is reduced.

  The buy order data (order data X) of the brand X and the sell order data (order data Y) of the brand Y generated in this way are simultaneously transmitted to the securities company server 20 as shown in FIG. 7 (S04). ), It is handed over to the securities company backbone system 30 and the order processing to the exchange system is performed. After that, the purchase order (order X) based on the buy order data (order data X) of the brand X and the sell based on the sell order data (order data Y) of the brand Y, which are transmitted from the securities company server 20 after execution of the order, are sold. Waiting for receipt of an order (order Y) execution notice (S05), and receiving an order execution notice for one of the orders (S06), the processing for correcting the order contents described below is executed.

  In the case where the contract notices for both orders are received simultaneously (when S06 is No), since both the sales orders have been established and the spread transaction has been completed, the processing by the automatic order program is terminated. .

  If you receive a contract notification for one of the orders, make sure that you have selected the wait option to wait in the contract waiting state without making an immediate correction if the specified conditions are met for the unsettled order. (S07). This option may be selected for all transactions ordered by the orderer through the automatic ordering program, or may be selected for each transaction. Whether the option is selected is set in the automatic order program. Further, a configuration in which this option selection function is not provided may be employed.

  When there is no selection of the waiting option (S07), the market price information of the brand related to the unfilled order is read from the market price information storage unit 16 so that the unfilled order can be quickly filled, and the order contents The order data generation unit 13 generates correction data for correcting (S10). FIG. 8 shows an example in which a contract notification of a purchase order (order X) for a brand X is received, and current price information (board information Y) for the brand Y is read to generate correction data (correction data Y).

  Here, the correction data for correcting the order contents so that the unfilled order can be promptly filled is generated as follows. In the example of FIG. 8, if the brand Y is a brand that can be marketed, if the selling order (order Y) of the brand Y that is a limit order is corrected to a market order, the order Y is also reliably executed. However, if it is not a brand for which a market order is possible, the limit of the selling order (order Y) for the brand Y may be corrected based on the concept shown in the example of FIG.

  In FIG. 11, the limit price at the time of placing the selling order (order Y) of the brand Y is 1,212.0 points (B), but the market price of the latest brand Y updated in the market price information storage unit 16. In the information (board information Y), the best bid price has fallen, and therefore, it is not possible to expect a quick contract. Therefore, if the order quantity of the sale order (order Y) of the brand Y is 50, the limit price is set at 1,211.0 points (C) of the best bid price where there are 50 or more buy orders. If the price is corrected, the selling order (order Y) of the brand Y can be executed under the most advantageous conditions at that time.

  Further, if the order quantity of the selling order (order Y) of the brand Y is 100, since there is no buy order of 100 or more at 1,211.0 points (C) of the best bid price, 100 The limit price may be corrected to 1,210.5 points (D), which is the highest price among the prices that can absorb the selling order.

  On the other hand, when the contract notification of the sale order (order Y) of the brand Y is received, the market price information of the brand X is read to generate correction data (correction data X). FIG. 13 shows an example of this. The limit price at the time of placing an order for a brand X (order X) is 14,680 yen (A), but it is updated in the market price information storage unit 16. In the latest market price information (stock information X) of the brand X, the best bid price has risen, so a prompt execution cannot be expected as it is. Therefore, if the order quantity of the purchase order (order X) of the brand X is 50, correct the limit price to 14,700 yen (E), which is the best selling price with 50 or more selling orders. For example, the purchase order (order X) of the brand X can be executed under the most advantageous conditions at that time.

  In addition, if the order quantity of the purchase order (order X) of the brand X is 100 pieces, there is no sell order of 100 pieces or more at the best bid price of 14,700 yen (E). What is necessary is just to correct the limit price to 14,710 yen (F) which is the lowest price that can absorb the buy order.

  In other words, if the order to be corrected is a sell order, the price after correction of the limit price is sold to the bid price (buying board) of the market price information of the issue subject to the sell order, to the quote price that is higher than the price to be corrected. The order quantity of the buy order corresponding to the order quantity of the order (or the order quantity corresponding to the contract quantity if the buy order is partially executed) is the price that exists, and if the order to be corrected is a buy order, The order quantity of the buy order at the quote price that is below the price to be corrected (the order quantity corresponding to the contract quantity if the sell order is partially filled) The order quantity of the sell order corresponding to is a price that exists.

  The sell order correction data (correction data Y) generated in this way is transmitted to the securities company server 20 as shown in FIG. 9 (S11), and the processing by the automatic order program is terminated. The correction data (correction data Y) transmitted to the securities company server 20 is handed over to the securities company backbone system 30 to process an order correction request to the exchange system. ) Will be executed after the correction, and any trades will be completed and spread trading will be completed.

  When the above-mentioned waiting option is selected (S07), the market price information of the issue related to the unfilled order is read from the market price information storage unit 16 (S08), and the unfilled order is waited without correction. It is confirmed whether the condition for canceling the state is met (S09). Until this waiting cancellation condition is met, unless an unfilled order is closed (Yes in S12), the unfinished order is not corrected and the original pending price is waited for in a pending state. However, the standby release condition may be set in consideration of the following.

  FIG. 12 shows an example of the market price information (plate information Y) of the brand Y when the buy order (order X) of the brand X is executed. The limit price of the selling order (order Y) of the brand Y is 1,212.0 points (B), and the quantity of the sell order at this best bid price is 55, whereas the quantity of the buy order at 1211.5 points of the best bid price is 120 pieces. In this situation, even if the limit of the selling order (order Y) of the brand Y is not corrected, it can be considered that there is a relatively high possibility that the contract will be executed if it waits in a state of waiting for execution. .

  On the other hand, FIG. 14 shows an example of the market price information (plate information X) of the brand X when the selling order (order Y) of the brand Y is executed. The limit price is 14,680 yen (A), and the quantity of buy orders at this best bid price is 60 sheets, whereas the quantity of sell orders at 14,690 yen of the best bid price is 130 sheets. In this situation, even if you do not correct the limit of the purchase order (order X) for the stock X, you can think that it is relatively likely to be executed if you wait in the waiting state. it can.

  In other words, if it is determined from the order quantity of at least one of the best bid price or the best bid price that it is determined that there is a relatively high possibility that the bid price will not be corrected without correcting the limit price of the unfilled order. If the waiting state is canceled without sending correction data for correcting the order, and the state is canceled and the waiting cancellation condition is met (S09), the waiting option described above is not selected. In the same manner as described above, the correction data is generated and transmitted (S10 to S11), whereby an uncommitted order is executed under the most advantageous conditions as much as possible, and this order is always executed even when the market situation changes. It becomes possible.

  For such a waiting release condition, a condition using the order quantity of at least one of the best bid price or the best sell price may be set. For example, when correcting a sell order, the limit price is designated. If the quantity of the sell order at the best bid price is greater than or equal to the set value, and the quantity of the buy order at the best bid price is less than or equal to the preset value, the quantity of the buy order at the best bid price is If the order quantity of the sell order is less than the specified quantity (such as twice the order quantity), the quantity of the sell order at the best bid price specified in the limit price is When the value divided by the quantity exceeds the set value, the quantity obtained by subtracting the quantity of the sell order at the best bid price specified in the limit price from the quantity of the buy order at the best bid price. If equal to or less than a constant set value, it is sufficient to setting the conditions such as. Although the timing and method for setting the standby release condition are not particularly limited, it is stored in any storage area such as the main memory or the auxiliary storage device of the orderer terminal 10 and it is determined whether the standby release condition is met. Will be used.

  In the description so far, among the two orders placed at the same time, even when the order for which the notice of execution has been received is partially executed, the same processing may be executed for the executed quantity.

DESCRIPTION OF SYMBOLS 10 Orderer terminal 11 Input device 12 Order reception part 13 Order data generation part 14 Notification control part 15 Order processing part 16 Current value information storage part 20 Securities company server 30 Securities company backbone system

Claims (7)

Buy and sell orders to control the order status of other orders after placing one order buy order and another brand sell order for two stocks of financial instruments with close price movements A control program, a computer having a market price information storage unit for storing market price information including a quote of trading of each of two stocks subject to trading orders,
Buy order data for placing a buy order whose limit is the best buy price of one brand stored in the market price information storage unit, and the best sell price of other brands stored in the market price information storage unit Selling and selling data for generating a sell order with the limit price as the limit, and simultaneously transmitting the buy order data and the sell order data to an order processing system that accepts the execution or execution of the buy order and the sell order Order data transmission step;
A contract notification receiving step of receiving a contract notification of either a buy order based on the buy order data or a sell order based on the sell order data from the order processing system;
When the contract notification receiving step receives the contract notification of the buy order, the sell order correction data for correcting the order content of the sell order in order to promptly execute the sell order based on the sell order data is stored in the contract. When the notice receiving step receives the sell order execution notification, it generates the buy order correction data for correcting the order content of the buy order for promptly executing the buy order based on the buy order data, and the order A correction data transmission step of transmitting the sell order correction data or the buy order correction data to a processing system;
A trading order control program characterized in that In the correction data transmission step, if the buy order execution notification is received in the execution notification reception step, the sell order is stored from the limit order to the market order, or the sell order limit is stored in the market price information storage unit. Sell order correction data for correcting the sell order to a price at which the sell order can be executed, which is determined from the quote price of the market price information of the stock subject to the sold order, is executed at the execution of the execution notification. When the notification is received, the buy order is changed from the limit order to the market order, or the limit of the buy order is determined from the market price information of the brand subject to the buy order stored in the market price information storage unit. 2. The buy / sell order control program according to claim 1, wherein buy order correction data for correcting the determined buy order to a price that can be executed is generated. In the correction data transmission step, the price at which the sell order can be executed by correcting the limit price when the purchase order execution notification is received in the execution notification receiving step is the market price of the brand subject to the sell order. The order price of the buy order corresponding to the bid price of the information is the order quantity of the sell order (the order quantity corresponding to the contract quantity if the buy order is partially executed) to the price price equal to or greater than the price. The price at which the buy order can be executed by correcting the limit price when the sale order execution notification is received in the execution notification reception step is the price value information of the stock subject to the purchase order. The order quantity of the sell order corresponding to the order price of the buy order (the order quantity corresponding to the contract quantity if the sell order is partially executed) to the price less than the price Trading orders control program according to claim 2, characterized in that the present price. In the correction data transmission step, when the execution notification of the purchase order is received in the execution notification reception step, the market price information of the brand subject to the sell order stored in the market price information storage unit is predetermined. Until the sales order correction data is generated or transmitted until the condition is satisfied, and when the contract notification of the sell order is received in the contract notification receiving step, the buy order stored in the market price information storage unit The buy / sell order control according to any one of claims 1 to 3, wherein the purchase order correction data is caused to wait for generation or transmission until the quotation of the market price information of the brand subject to the purchase meets a predetermined condition. program. In the correction data transmitting step, when receiving the contract notification of the buy order in the contract notification receiving step, a predetermined condition for waiting for generation or transmission of the sell order correction data is stored in the market price information storage unit Is a condition for judging using the order quantity of at least one of the best bid price or the best bid price of the market price information of the stock subject to the sold order, and the execution notification of the sell order is received in the execution notification receiving step When received, the predetermined condition for waiting for the generation or transmission of the buy order correction data is the best buy price of the market price information of the brand subject to the buy order stored in the market price information storage unit or 5. The buying and selling order control program according to claim 4, wherein the order is determined using the order quantity of at least one of the best selling price. Buy and sell orders to control the order status of other orders after placing one order buy order and another brand sell order for two stocks of financial instruments with close price movements A control device,
A market price information storage means for storing market price information including a quote of trading of each of the two stocks subject to trading orders;
Buy order data for placing a buy order whose limit is the best buy price of one brand stored in the market price information storage means, and the best sell price of other brands stored in the market price information storage means Selling and selling data for generating a sell order with the limit price as the limit, and simultaneously transmitting the buy order data and the sell order data to an order processing system that accepts the execution or execution of the buy order and the sell order Order data transmission means;
A contract notification receiving means for receiving a contract notification of either a buy order based on the buy order data or a sell order based on the sell order data from the order processing system;
When the contract notification receiving means receives a contract notification of a buy order, sell order correction data for correcting the order content of the sell order to promptly execute a sell order based on the sell order data is stored in the contract. When the notification receiving means receives a sell order execution notification, it generates buy order correction data for correcting the order content of the buy order for promptly executing a buy order based on the buy order data, and the order Correction data transmitting means for transmitting the sell order correction data or the buy order correction data to a processing system;
A trading order control apparatus comprising: Buy and sell orders to control the order status of other orders after placing one order buy order and another brand sell order for two stocks of financial instruments with close price movements Control method,
A computer having a market price information storage unit that stores market price information including a market price quote for each of two stocks subject to a buy / sell order is the best bid price for one brand stored in the market price information storage unit. Generating buy order data for placing a buy order as a limit, and sell order data for placing a sell order with the best sell price of other brands stored in the market price information storage unit as a limit; Buying and selling order data transmitting step for simultaneously transmitting the buy order data and the sell order data to an order processing system that accepts the execution or execution of the buy order and the sell order;
A contract notification receiving step in which the computer receives a contract notification of either a buy order based on the buy order data or a sell order based on the sell order data from the order processing system;
Sell order correction data for correcting the order contents of the sell order in order to promptly execute a sell order based on the sell order data when the computer receives a buy order execution notification in the contract notification receiving step When the execution notification of the sell order is received in the execution notification reception step, the purchase order correction data for correcting the order content of the purchase order for promptly executing the purchase order based on the purchase order data is generated. A correction data transmission step of transmitting the sell order correction data or the buy order correction data to the order processing system;
A control method for trading orders characterized by comprising: