JP2009104382A - Order processing apparatus and program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide an order processing apparatus capable of suppressing separation of agreed prices among a plurality of trading orders for the same name and the same trading category. <P>SOLUTION: An order processing part 230 generates divided order data obtained by dividing the number of received orders of original order data indicating a plurality of trading orders from a customer into the small numbers of orders in each of a plurality of original order data and orders the divided order data to a trading market system 30. When an agreement formation report receiving part 290 receives an agreement formation report indicating agreement results of the ordered divided order data from the trading market system 30, the order processing part 230 calculates a separation between a market price of an ordered name in the trading market system 30 and an average agreed price of trading orders of the original order data and orders the divided order data corresponding to the original order data having the largest separation out of the plurality of original order data to the trading market system 30. <P>COPYRIGHT: (C)2009,JPO&INPIT

Description

  The present invention relates to an order processing apparatus and program for placing a purchase order for securities. In particular, the present invention relates to an order processing apparatus and a program that can suppress the divergence of contract unit prices between a plurality of trade orders related to the same brand and trade classification.

  A broker of a securities company may receive a large order from an institutional investor who is an asset management company. When a large order is received, a trader may divide a buy / sell order into a small trade order in order to reduce market impact. An example of a system that automatically performs such ordering processing is described in, for example, Non-Patent Document 1. For an algorithm transaction related to Non-Patent Document 1, a securities company specifies an order from an institutional investor or the like. Non-Patent Document 2 describes that the system automatically performs processing according to logic and rules. Further, Patent Document 1 discloses a system for performing a split order using market information and a market impact model.

JP 2000-353196 A Takahiro Tanaka, “Expanding Algorithmic Transactions: Development Competition to Become Full-scale for TSE's Next Generation System Operation”, Weekly Financial and Financial Situation, Financial and Financial Situation Study Group, June 4, 2007, Vol. 58, No. 21 , P. 38-46 "Algorithm trading system June, also operates in Tokyo", Nikkan Kogyo Shimbun, April 25, 2007

  Institutional investors may manage assets by managing multiple funds, and the same institutional investor may place multiple orders for different funds at one time at a securities company at the same time. Here, in the case where a plurality of measurement orders are related to the same brand and trading category, an institutional investor may request that the unit price of the plurality of measurement orders be equalized. However, in the conventional system described above, it was not possible to suppress the difference in contracted unit prices between poor orders (that is, between funds). For example, when three measurement orders are received, each split order is placed and executed for the first measurement order, and each partial order is then executed and executed for the second measurement order. When each split order is placed and executed for each of the other measurement orders, the second measurement order is affected by the execution of the first measurement order, and the third measurement is affected by the execution of the first and second measurement orders. The order will be received, and the timing at which the split orders of the first and third measurement orders will be deviated, and the contracted unit price is likely to deviate between the measurement orders.

  The present invention has been made in view of the circumstances as described above, and an object thereof is an order processing apparatus capable of suppressing a difference in contract unit price between a plurality of trading orders related to the same brand and trading category, and To provide a program.

The first form of the present invention is an original order data which is order data indicating a trading order of securities, and includes original order data including order identification information indicating order brands, information indicating order contents such as trading category and order quantity. In order processing equipment that performs split order processing based on data,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation Corresponding to the original order status flag indicating the first order status in the original order data storage unit, and the original order status flag indicating the first status in the original order data storage unit The order quantity consisting of a quantity obtained by dividing the order quantity contained in the original order data for each of the plurality of original order data stored and the information indicating the order contents of the original order data other than the order quantity Each piece of split order data including information such as brand identification information and trading classification, etc., an order identification number for identifying the divided order data, an original order identification number of the original order data, and an unissued And a plurality of original order identifiers stored in association with the original order status flag indicating the first status in the original order data storage unit. Each of the numbers is sequentially selected, and the unordered split order data stored in the split order data storage unit in association with the selected original order identification number and the split order status flag indicating the unordered order and its order identification number The split order data to be ordered and the order identification number thereof are selected and sent to the securities trading market system to perform the split order processing, and are associated with the order identification number of the transmitted split order data. The split order status flag stored in the split order data storage unit is updated to a flag indicating that the order is in progress and corresponds to the selected original order identification number An order processing unit that updates the original order status flag stored in the original order data storage unit to a flag indicating a second status, and the split order transmitted from the order processing unit to the trading market system The contract completion notification indicating the execution result of the split order indicated by the data is received from the trading market system, and the split order indicated by the execution of the split order is associated with the order identification number of the split order data included in the execution notification. The contract unit price is stored in the split order data storage unit, and the split order status flag associated with the order identification number of the split order data in the split order data storage unit is updated to a flag indicating a contract, The original order data number is assigned to the original order identification number of the original that is associated with the order identification number of the divided order data in the divided order data storage unit. The generated quantity associated with the payment unit is updated to a value obtained by adding the fixed amount of the split order indicated by the execution notification, and is associated with the original order identification number of the split source in the original order data storage unit. When the order quantity and the updated quantity are the same, the original order status flag associated with the original order identification number of the split source in the original order data storage unit is set as a flag indicating the third status. The market price in the trading market system of the securities indicated by the same brand identification information stored in the original order data storage unit or the acquisition price by the contract notification notification unit to be updated A reference price storage unit that stores the contract unit price of the contract establishment notification as a reference price;
The order processing unit includes the original order identification number of the division source associated with the order identification number of the divided order data included in the notification of completion of agreement received by the notification of completion of agreement execution in the divided order data storage unit The average contract unit price is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the split order status flag indicating the contract end, and the calculated average contract unit price is used as the original order. When there is a plurality of flags indicating the second status among the original order status flags stored in the original order data storage unit in association with an identification number, Of the average contracted unit price associated with the original order status flag indicating the second status in the original order data storage unit, the deviation from the reference price stored in the reference price storage unit is the largest. Based on the average contract unit price that becomes a large value, the average contract unit price at which the difference is greatest from the original order identification number associated with the original order status flag indicating the second status in the original order data storage unit The corresponding one original order identification number is selected and the unordered divided order stored in the divided order data storage unit in association with the selected one original order identification number and the divided order status flag indicating unordered Split order data to be ordered from the data and its order identification number and the order identification number are selected and sent to the trading market system to perform split order processing, corresponding to the order identification number of the sent split order data In addition, the order processing apparatus is characterized in that the split order status flag stored in the split order data storage unit is updated to a flag indicating that an order is being placed.

  In the order processing apparatus according to the first aspect of the present invention, the order processing unit includes a flag indicating the first status in the original order status flag stored in the original order data storage unit. In this case, the original order identification number is selected from the original order identification numbers associated with the original order status flag indicating the first status in the original order data storage unit, and the selected original order is selected. Select the unordered split order data stored in the split order data storage unit in association with the split order status flag indicating the identification number and the unordered order, the split order data to order from the order identification number, and the order identification number Before being stored in the divided order data storage unit in association with the order identification number of the transmitted divided order data. The split order status flag is updated to a flag indicating that the order is in progress, and the original order status flag stored in the original order data storage unit in association with the original order identification number is updated to a flag indicating the second status. In the second case, there is no flag indicating the first status in the original order status flag stored in the original order data storage unit, and there is one flag indicating the second status. The original order status stored in the original order data storage unit is selected by selecting one original order identification number associated with the original order status flag indicating the second status in the original order data storage unit. When there is no flag indicating the first status in the flag and there are a plurality of flags indicating the second status, a plurality of original orders indicating the second status in the original order data storage unit Supports status flags The original order data storage unit indicates the second situation based on the average contract unit price that has the largest deviation from the base price stored in the base price storage unit among the average contracted unit price Select one original order identification number corresponding to the average contracted unit price with the largest deviation from the original order identification numbers associated with a plurality of original order status flags, and in the second or third case, The unordered divided order data stored in the divided order data storage unit in association with the selected original order identification number and the divided order status flag indicating unordered, and the divided order data ordered from the order identification number And the order identification number thereof are selected and transmitted to the trading market system to perform split order processing, and the division order data is associated with the order identification number of the transmitted split order data. The split order status flag stored in the split order data storage unit may be updated to a flag indicating that an order is being placed.

In the order processing apparatus according to the first aspect of the present invention, the order processing unit includes the split order data storage unit in the order identification number of the split order data included in the contract completion notification received by the contract completion notification receiving unit. The average contract unit price Av is obtained by averaging the contract unit prices stored in association with the split order data storage unit with respect to the original order identification number of the split source and the split order status flag indicating the contract completed. And the original order data associated with the original order identification number in the original order data storage unit and the produced quantity associated with the original order identification number in the original order data storage unit. The result fulfillment rate J1 is calculated by dividing by the received order quantity, and the calculated average contracted unit price Av and the result fulfillment rate J1 are associated with the original order identification number to store the original order data. And when there are a plurality of flags indicating the second status among the original order status flags stored in the original order data storage unit, the second status is stored in the original order data storage unit. Using the reference price M stored in the reference price storage unit and the set value α not less than 0 and not more than 1 among the average contracted unit price Av and the fulfillment rate J1 associated with the original order status flag indicating Based on the average contracted unit price Av and the fulfillment rate J1 at which the deviation Z1 indicated by the deviation calculation formula (1) is the largest, the original order data storage unit is associated with the original order status flag indicating the second status. The original order identification number corresponding to the average contracted unit price Av and the fulfillment rate J1 with the largest deviation Z1 from the original order identification number is selected, and the selected original order identification number and unordered are selected. Minute to show Select the split order data to be ordered from the unordered split order data stored in the split order data storage unit in association with the split order status flag and the order identification number and the order identification number to the trading market system. The split order processing is performed by transmitting, and the split order status flag stored in the split order data storage unit in association with the order identification number of the transmitted split order data is updated to a flag indicating that an order is being placed It is good also as composition to do.
Z1 = α × | M−Av | / M + (1−α) × (1−J1) (1)

The second form of the present invention is the original order data which is the order data indicating the order for buying and selling the securities, and includes the order identification information indicating the order name, information indicating the order contents such as the trading category and the order quantity. In order processing equipment that performs split order processing based on data,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order status flag indicating zero, an original order data storage unit stored in association with an ordered quantity and a completed quantity indicating zero, and an original order indicating the original order identification number and the first status in the original order data storage unit Of the information indicating the order quantity consisting of a quantity obtained by dividing the order quantity included in the original order data for each of the plurality of original order data stored in association with the status flag and the order contents of the original order data Each split order data including brand identification information other than the received order quantity and information such as trading category, an order identification number for identifying the split order data and the original order of the original order data A divided order data storage unit that stores a different number and a divided order status flag that indicates unordered, and a plurality of items that are stored in the original order data storage unit in association with the original order status flag that indicates the first status Each of the original order identification numbers is sequentially selected, and the unordered divided order data stored in the divided order data storage unit in association with the selected original order identification number and the divided order status flag indicating unordered And the divided order data to be ordered from the order identification number and the order identification number are selected and transmitted to the securities trading market system to perform the divided order processing, and the order identification number of the transmitted divided order data The split order status flag stored in the split order data storage unit in association with the status is updated to a flag indicating that the order is in progress and the selected original order The original order status flag stored in the original order data storage unit in association with another number is updated to a flag indicating a second status, and the original order data storage unit in association with the original order identification number An order processing unit that updates the ordered quantity stored in the order information to the value obtained by adding the order quantity of the transmitted split order data; and the split order transmitted from the order processing unit to the trading market system. The contract completion notification indicating the execution result of the split order indicated by the data is received from the trading market system, and the split order indicated by the execution of the split order is associated with the order identification number of the split order data included in the execution notification. The contract unit price is stored in the divided order data storage unit, and the divided order data stored in the divided order data storage unit is associated with the order identification number of the divided order data. The sentence status flag is updated to a flag indicating completion, and the original order data storage unit is associated with the original order identification number of the division source associated with the order identification number of the divided order data in the divided order data storage unit And update the value associated with the original order identification number of the division source in the original order data storage unit to the value obtained by adding the constant amount of the division order indicated by the notification of establishment of the contract. When the order quantity and the updated quantity are equal, the original order status flag associated with the original order identification number of the division source in the original order data storage unit is updated to a flag indicating the third status. The market price of the securities indicated by the same stock identification information stored in the original order data storage unit or the market price in the trading market system or the contract completion notification reception unit And a reference price storage unit for storing a reference price of the contract price of the contract established notification is Rusono acquisition price,
The order processing unit includes the original order identification number of the division source associated with the order identification number of the divided order data included in the notification of completion of agreement received by the notification of completion of agreement execution in the divided order data storage unit And an average contract unit price Av by averaging the contract unit prices stored in association with the split order data storage unit with respect to the split order status flag indicating the contract completed, and the original order identification number of the split source The market volume fulfillment rate J2 is calculated by dividing the volume associated with the original order data storage unit by the ordered quantity associated with the original order data storage unit with the original order identification number, The calculated average contract unit price Av and market fulfillment rate J2 are stored in the original order data storage unit in association with the original order identification number and stored in the original order data storage unit. The average contract unit price associated with the original order status flag indicating the second status in the original order data storage unit when there is a plurality of flags indicating the second status in the original order status flag The largest deviation Z2 shown in the following deviation calculation formula (2) using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less among the Av and market satisfaction rate J2 The deviation Z2 is the largest from the original order identification number associated with the original order status flag indicating the second status in the original order data storage unit on the basis of the average contracted unit price Av and the market fulfillment rate J2. The original order identification number corresponding to the average contracted unit price Av and the market fulfillment rate J2 is selected, and the divided order is associated with the selected original order identification number and the divided order status flag indicating unordered. Split order processing is performed by selecting and sending the split order data and the order identification number to be ordered from the unordered split order data and the order identification number stored in the sentence data storage unit, An order processing apparatus, wherein the split order status flag stored in the split order data storage unit in association with an order identification number of the transmitted split order data is updated to a flag indicating that an order is being placed. is there.
Z2 = α × | M−Av | / M− (1−α) × (1−J2) (2)

The third form of the present invention is an original order data which is order data indicating a trading order of securities, and includes original identification data indicating order issues, information indicating order contents such as trading category and order quantity. In order processing equipment that performs split order processing based on data,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order status flag indicating the initial order status and an original order data storage unit for storing in correspondence with the output quantity indicating zero, and the order quantity to be ordered by dividing the order quantity of the trading order of the securities, indicating the securities Each of the plurality of original order identification numbers stored in association with the divided order quantity table determined for each brand identification information and the original order status flag indicating the first status in the original order data storage unit is sequentially selected. The split order quantity table is referred to using the brand identification information included in the original order data stored in association with the selected original order identification number as a key, and is included in the original order data. The divided order data including the order quantity composed of the order quantity to be ordered by dividing the order quantity and the information indicating the order contents of the original order data, including the brand identification information other than the order quantity, and information such as the trading category Generated divided order data, an order identification number for identifying the divided order data, and the selected original order identification number that is the original order identification number of the original order data and the divided order status indicating unordered A flag is associated and stored in the divided order data storage unit, and the divided order data and the order identification number stored therein are transmitted to the market system of the securities to perform the divided order processing, and the transmitted When the split order status flag stored in the split order data storage unit in association with the order identification number of the split order data is updated to a flag indicating that an order is in progress An order processing unit that updates the original order status flag stored in the original order data storage unit in association with the selected original order identification number to a flag indicating a second status; and the order processing unit The contract completion notification indicating the execution result of the split order indicated by the split order data transmitted to the trade market system is received from the trade market system and corresponds to the order identification number of the split order data included in the contract completion notification At the same time, the contract unit price of the split order indicated by the execution notification is stored in the split order data storage unit and the split order status flag associated with the order identification number of the split order data in the split order data storage unit Is updated to a flag indicating that the contract has been completed, and the split source associated with the order identification number of the split order data in the split order data storage unit The original order identification number of the original order data storage unit is updated to a value obtained by adding the constant amount of the split order indicated by the execution notification, and the original order identification of the split source When the order quantity associated with a number in the original order data storage unit is equal to the updated quantity, the original order identification number associated with the original source data is associated with the original order data storage unit. A market price in the trading market system of the securities indicated by the same stock identification information stored in the original order data storage unit and a contract establishment notification receiving unit that updates the order status flag to a flag indicating the third status Or a reference price storage unit that stores, as a reference price, the contract unit price of the contract establishment notification that is the acquisition price by the contract establishment notification reception unit,
The order processing unit includes the original order identification number of the division source associated with the order identification number of the divided order data included in the notification of completion of agreement received by the notification of completion of agreement execution in the divided order data storage unit The average contract unit price is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the split order status flag indicating the contract end, and the calculated average contract unit price is used as the original order. When there is a plurality of flags indicating the second status among the original order status flags stored in the original order data storage unit in association with an identification number, Of the average contracted unit price associated with the original order status flag indicating the second status in the original order data storage unit, the deviation from the reference price stored in the reference price storage unit is the largest. Based on the average contract unit price that becomes a large value, the average contract unit price at which the difference is greatest from the original order identification number associated with the original order status flag indicating the second status in the original order data storage unit Select the corresponding one original order identification number and refer to the divided order quantity table using the brand identification information included in the original order data stored in association with the selected original order identification number as a key. Information on the order quantity consisting of the order quantity to be ordered by dividing the order quantity included in the original order data and information indicating the order contents of the original order data, such as brand identification information other than the order quantity, and information on trading divisions, etc. And the order identification number for identifying the generated divided order data, the original order identification number of the original order data, and the original order identification number of the original order data. The original order identification number and the divided order status flag indicating unordered are associated with each other and stored in the divided order data storage unit, and the stored divided order data and the order identification number are transmitted to the securities transaction market system. The divided order processing is performed, and the divided order status flag stored in the divided order data storage unit in association with the order identification number of the transmitted divided order data is updated to a flag indicating that an order is being placed. This is an order processing apparatus.

  In the order processing apparatus according to the third aspect of the present invention, the order processing unit includes a flag indicating the first status in the original order status flag stored in the original order data storage unit. In this case, the original order identification number is selected from the original order identification numbers associated with the original order status flag indicating the first status in the original order data storage unit, and the selected original order is selected. Order quantity to be ordered by dividing the order quantity contained in the original order data with reference to the divided order quantity table by using the brand identification information contained in the original order data stored in association with the identification number as a key To generate split order data including information such as order identification information other than the received order quantity and information such as trade classification among the information indicating the order contents of the original order data, and the generated split order data and An order identification number for identifying discount order data, the original order identification number that is the original order identification number of the original order data, and a split order status flag indicating unordered are associated with each other in the split order data storage unit Storing and storing the divided order data and the order identification number stored therein to perform the divided order processing by transmitting to the securities trading market system, and associating with the order identification number of the transmitted divided order data The split order status flag stored in the split order data storage unit is updated to a flag indicating that an order is being placed, and the original order data storage unit stores the original order data in association with the one original order identification number. The order status flag is updated to a flag indicating the second status, and the first order status flag stored in the original order data storage unit includes the first status flag. In the second case where there is no flag indicating the situation and there is one flag indicating the second situation, the original order data storage unit is associated with the original order situation flag indicating the second situation. When an original order identification number is selected, the original order status flag stored in the original order data storage unit has no flag indicating the first status, and there are a plurality of flags indicating the second status. 3, among the average contracted unit prices associated with the plurality of original order status flags indicating the second status in the original order data storage unit with the reference price stored in the reference price storage unit Based on the average contract unit price at which the divergence is the largest, the divergence becomes the largest from the original order identification numbers associated with the plurality of original order status flags indicating the second status in the original order data storage unit. The average contract price The original order data stored in the original order data storage unit in association with the selected original order identification number in the second or third case is selected. The order quantity consisting of the order quantity to be ordered by dividing the order quantity contained in the original order data by referring to the divided order quantity table with the brand identification information contained in the key as the key and the order contents of the original order data. Generate split order data including information such as brand identification information other than the received order quantity and information such as trading category among the information shown, the generated split order data, the order identification number for identifying the split order data, and the original order The one original order identification number which is the original order identification number of the data and the divided order status flag indicating unordered are associated with each other and stored in the divided order data storage unit, and the stored divided order data is stored. Data and its order identification number are sent to the securities trading market system to perform split order processing and stored in the split order data storage unit in association with the order identification number of the transmitted split order data. The split order status flag may be updated to a flag indicating that an order is in progress.

In the order processing apparatus according to the third aspect of the present invention, the order processing unit includes the divided order data storage unit in the order identification number of the divided order data included in the execution notification received by the execution notification receiver. The average contract unit price Av is obtained by averaging the contract unit prices stored in association with the split order data storage unit with respect to the original order identification number of the split source and the split order status flag indicating the contract completed. And the original order data associated with the original order identification number in the original order data storage unit and the produced quantity associated with the original order identification number in the original order data storage unit. The result fulfillment rate J1 is calculated by dividing by the received order quantity, and the calculated average contracted unit price Av and the result fulfillment rate J1 are associated with the original order identification number to store the original order data. And when there are a plurality of flags indicating the second status among the original order status flags stored in the original order data storage unit, the second status is stored in the original order data storage unit. Using the reference price M stored in the reference price storage unit and the set value α not less than 0 and not more than 1 among the average contracted unit price Av and the fulfillment rate J1 associated with the original order status flag indicating Based on the average contracted unit price Av and the fulfillment rate J1 at which the divergence Z1 indicated by the divergence calculation formula (3) is the largest, the original order data storage unit is associated with the original order status flag indicating the second status. Then, one original order identification number corresponding to the average contracted unit price Av and the fulfillment rate J1 at which the deviation Z1 is the largest from the original order identification number is selected, and is associated with the selected original order identification number. The original From the order quantity to be ordered by dividing the order quantity contained in the original order data with reference to the divided order quantity table using the brand identification information contained in the original order data stored in the order data storage section as a key To generate split order data including information such as order identification information other than the received order quantity and information such as trade classification among the information indicating the order contents of the original order data and the split order data and the split order data generated An order identification number for identifying the original order identification number and the original order identification number of the original order data and the divided order status flag indicating unordered are associated with each other and stored in the divided order data storage unit, The divided order data and the order identification number stored therein are transmitted to the securities trading market system to perform split order processing, and the transmitted portion The divided order status flag in association with the order identification number of the order data stored in the divided order data storing unit may be configured to update the flag indicating that the order.
Z1 = α × | M−Av | / M + (1−α) × (1−J1) (3)

The fourth form of the present invention is an original order data which is order data indicating a trading order of securities and includes information indicating order contents such as brand identification information indicating the order brand, trading category, order quantity, etc. In an order processing device that performs split order processing based on data,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order status flag indicating zero, an original order data storage unit for storing in correspondence with an ordered quantity and a completed quantity indicating zero, and an order quantity to be ordered by dividing the order quantity of the trading order of the securities, A plurality of original order identification numbers stored in association with an original order status flag indicating the first status in the original order data storage unit, and a divided order quantity table defined for each brand identification information indicating securities; Each of them is sequentially selected, and the original order data is referenced with reference to the split order quantity table using the brand identification information included in the original order data stored in association with the selected original order identification number as a key. Including the order quantity composed of the order quantity to be ordered by dividing the order quantity included in the data, and the information indicating the order contents of the original order data, such as brand identification information other than the order quantity, and information such as trade classification Generate split order data, generate the split order data, an order identification number for identifying the split order data, the original order identification number of the original order data and the selected original order identification number and unordered The divided order status flag shown is stored in the divided order data storage unit, and the divided order data and the order identification number stored therein are transmitted to the securities trading market system to perform the divided order processing, The split order status flag stored in the split order data storage unit in association with the order identification number of the transmitted split order data is a flag indicating that an order is being placed. And the original order status flag stored in the original order data storage unit in association with the selected original order identification number is updated to a flag indicating a second status, and the original order identification number An order processing unit for updating the ordered quantity stored in the original order data storage unit in association with the order quantity of the transmitted divided order data to the value obtained by adding the order quantity; A contract completion notification indicating the execution result of the split order indicated by the split order data transmitted to the trade market system is received from the trade market system, and is associated with the order identification number of the split order data included in the execution notification The contract unit price of the split order indicated by the contract establishment notification is stored in the split order data storage unit and the split order data is assigned the order identification number. The split order status flag associated with the order data storage unit is updated to a flag indicating completion, and the original order of the split source associated with the order identification number of the split order data with the split order data storage unit Update the resulting quantity associated with the identification number in the original order data storage unit to a value obtained by adding the approximate constant amount of the split order indicated by the execution notification, and add the original order identification number of the split source to the original order identification number The original order status flag associated in the original order data storage unit with the original order identification number of the division source when the received order quantity associated with the original order data storage unit is equal to the generated quantity after the update To the transaction market system of the securities indicated by the same brand identification information stored in the original order data storage unit And a reference price storage unit that stores the contract price of its purchase price by kicking market prices or the contract established notification receiver the commitments established notification as reference price,
The order processing unit includes the original order identification number of the division source associated with the order identification number of the divided order data included in the notification of completion of agreement received by the notification of completion of agreement execution in the divided order data storage unit And an average contract unit price Av by averaging the contract unit prices stored in association with the split order data storage unit with respect to the split order status flag indicating the contract completed, and the original order identification number of the split source The market quantity fulfillment rate J2 is calculated by dividing the quantity that is associated with the original order data storage unit by the ordered quantity that is associated with the original order identification number in the original order data storage part. The average contracted unit price Av and the market fulfillment rate J2 are stored in the original order data storage unit in association with the original order identification number, and stored in the original order data storage unit When there are a plurality of flags indicating the second status in the order status flags, the average contract unit price Av associated with the original order status flag indicating the second status in the original order data storage unit and The divergence Z2 shown in the following divergence calculation formula (4) using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less in the market completion rate J2 is the largest value. Based on the average contract unit price Av and the market fulfillment rate J2, the average in which the deviation is the largest from the original order identification number associated with the original order status flag indicating the second status in the original order data storage unit One original order identification number corresponding to the contract unit price Av and market fulfillment rate J2 is selected, and the brand identification information contained in the original order data stored in association with the selected original order identification number is keyed. The order quantity of the order quantity consisting of the order quantity to be ordered by dividing the order quantity included in the original order data with reference to the divided order quantity table as information and the order quantity of the original order data. Generate split order data including information such as brand identification information other than the above, and information such as trade classification, and the generated split order data, an order identification number for identifying the split order data, and the original order identification number of the original order data The one original order identification number and a divided order status flag indicating unordered are associated and stored in the divided order data storage unit, and the stored divided order data and the order identification number are stored in the market for the securities. The divided order processing is performed by transmitting to the system, and stored in the divided order data storage unit in association with the order identification number of the transmitted divided order data. Updating the divided order status flag is a flag indicating that the order is order processing apparatus according to claim.
Z2 = α × | M-Av | / M- (1-α) × (1-J2) (4)

  In the order processing apparatus according to any one of the first to fourth aspects of the present invention, the reference price storage unit includes the latest split order indicated by the split order data transmitted from the order processing unit to the trading market system. The contract unit price of the contract establishment notification may be stored as the reference price. In the order processing apparatus according to the first or third aspect of the present invention, the original order data storage unit includes a plurality of the trade orders indicating a plurality of trade orders in which the brand identification information and the trade classification from the same customer are the same. The original order data is stored in association with the original order identification number, which is order identification information for identifying the original order data, the original order status flag indicating the first status, and the output quantity indicating the initial value zero. Also good. In the order processing apparatus according to the second or fourth aspect of the present invention, the original order data storage unit includes a plurality of the trade orders indicating a plurality of trade orders in which the brand identification information from the same customer and the trade classification are the same. The original order data is associated with the original order identification number which is order identification information for identifying the original order data, the original order status flag indicating the first status, the ordered quantity and the completed quantity indicating the initial value zero. It may be stored.

In the order processing apparatus according to the first or third aspect of the present invention, the original order data includes brand identification information indicating an order brand, trade classification, order quantity and order price, and the original order data storage unit includes: The original order identification number, which is order identification information for identifying the original order data, includes a plurality of the original order data indicating a plurality of buying and selling orders in which the brand identification information, the trading category and the order price are the same. The original order status flag indicating the first status may be stored in association with the output quantity indicating zero. The original order data storage unit identifies a plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information from the same customer, the trade classification and the order price are the same, and the original order data For example, the original order identification number, which is order identification information, the original order status flag indicating the first status, and the output quantity indicating the initial value of zero may be stored in association with each other.
In the order processing device according to the second or fourth aspect of the present invention, the original order data includes brand identification information indicating an order brand, trade classification, order quantity and order price, and the original order data storage unit includes: The original order identification number, which is order identification information for identifying the original order data, includes a plurality of the original order data indicating a plurality of buying and selling orders in which the brand identification information, the trading category and the order price are the same. The original order status flag indicating the first status, the ordered quantity indicating zero, and the completed quantity may be stored in association with each other. The original order data storage unit identifies a plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information from the same customer, the trade classification and the order price are the same, and the original order data It is also possible to store the original order identification number, which is the order identification information, the original order status flag indicating the first status, the ordered quantity indicating the initial value of zero, and the completed quantity in association with each other.

  A fifth aspect of the present invention is a program for causing a computer to function as the order processing apparatus according to any one of the first to fourth aspects of the present invention.

  According to the present invention, a plurality of trading orders relating to the same brand and trading classification are ordered with priority being given to a split order with the largest discrepancy between the contracted unit price and the reference price. It is possible to provide an order processing apparatus and a program that can suppress the deviation. In addition, in the case of split ordering using the fulfillment rate, split ordering can be performed so that the order execution progress with respect to the order quantity can be taken into consideration with respect to a plurality of purchase orders of original order data. In the case of split ordering using the market fulfillment rate, split ordering can be performed so that the purchase order of a plurality of original order data can be distributed in consideration of the progress of order execution with respect to the ordered quantity.

  Embodiments of the present invention will be described below with reference to the drawings. FIG. 1 is a schematic diagram for explaining the usage environment of the order processing apparatus 20 according to one embodiment of the present invention, and is a schematic diagram for explaining the usage environment of the order processing apparatus 20 according to the first embodiment. It is. This order processing apparatus 20 is installed in a financial institution, and hereinafter, a securities company will be described as an example of the financial institution. The order processing device 20 is connected to a terminal device 10 operated by a trader of a securities company via an in-house communication line, and is a securities transaction system that is an example of a transaction market system that performs a transaction transaction processing of securities such as stocks. The communication system 30 is connected to the trading system 30 through a communication line, and the communication line to the trading system 30 may be a dedicated line or a dedicated line. A broker of a securities company receives an order for buying and selling securities from an investor such as an institutional investor. For example, institutional investors may be asset management companies that manage multiple funds. The terminal device 10 is connected to a terminal device of an institutional investor through a communication line, and can receive information indicating the contents of a sales order from the institutional investor.

  The trader receives a trading order (for example, stock trading order) of securities constituting a fund managed by the institutional investor, which is a customer, at the terminal device 10 through the communication line or verbally by telephone. Receive trading orders. The trader then converts the original order data, which is the order data indicating the sales order received by the terminal device 10 or the telephone, into the customer identification information (customer ID) for identifying the customer and the fund identification information (for identifying the fund). In association with the fund ID), it is input to the terminal device 10 in a predetermined format. The original order data indicating the trading order includes the brand identification information indicating the order brand that is the securities to be traded, the trading category, the order quantity and the order price. In the following, the brand code is used as an example of the brand identification information. explain.

  The terminal device 10 transmits the original order data, the customer ID, and the fund ID input by the trader to the order processing device 20. The order processing device 20 receives the original order data, the customer ID, and the fund ID from the terminal device 10, and performs split order processing that generates split order data based on the received original order data and transmits the split order data to the trading system 30. . The order processing apparatus 20 generates a plurality of pieces of divided order data obtained by dividing the order quantity of the original order data into a plurality of order quantities, and orders the generated divided order data. As an example, when the order quantity indicated by the original order data is more than a certain quantity, it may be configured to perform split ordering in order to reduce the market impact. The order quantity in the split order data is split when the order brand is the same. A constant quantity may be used regardless of the order quantity of the original original order data.

  In addition, as the structure of the divided order data, the information indicating the order contents of the original order data is used in the order quantity obtained by dividing the order quantity, and the information indicating the order contents of the original order data other than the order quantity is used. May be used as is, or the order quantity in the information indicating the order contents of the original order data may be divided into order quantities, and the priority limit price or the current limit price may be set as the order price. It is also possible to receive a priority order and a current limit limit on condition that the limit amount indicated by the order unit price (the upper limit for a buy order, the lower limit for a sell order) is met when an order is received from a customer. Alternatively, an order price for a divisional order such as a market may be set. The priority limit price is a limit value that is one tick above the current value of the order brand in the trading market, and the current limit price is the limit price that is the current price of the order brand in the trading market. Specifically, for example, when 1 tick is 1 yen and the current value is 839 yen, the buy limit price by the priority limit price is 840 yen, and the current limit price is 839 yen. In addition, when generating the divided order data, a value that has priority over one tick over the same side price (buy price for a buy order, sell price for a sell order) may be used as an order price for the order price.

Institutional investors may manage assets by managing multiple funds, and the same institutional investor may place multiple orders for different investment funds of the institutional investor at the same time at a securities company at the same time. is there. Here, institutional investors will make multiple valuation orders if multiple valuation orders relate to the same issue and trading category, especially if multiple valuation orders relate to the same issue, sale category and order price. There is a case where it is desired that the contract unit price (the contract unit price of the stock between the funds) is equalized.
The order processing device 20 is capable of placing an order so as to disperse each of a plurality of measurement orders from the customer, calculates an average contract unit price Av of each of the plurality of measurement orders, and obtains a market price of the order brand. The order processing of split order data is performed with priority given to the order with the largest discrepancy between the standard price M and the average contracted unit price Av, etc., thereby suppressing the discrepancy in the contract unit price (contract price) between the target orders. Be able to. In addition to the reference price M and the average contracted unit price Av, the order processing apparatus 20 has a completion rate J1 that is the ratio of the completed quantity to the ordered quantity or a market satisfaction ratio J2 that is the ratio of the completed quantity to the ordered quantity. Based on the divergence calculated by the divergence calculation formula using as a parameter, it may be determined whether to place priority on the divided order data of the order to be processed.

  FIG. 2 is a block diagram for explaining an example of the configuration of the order processing apparatus 20 according to the first embodiment. The order processing apparatus 20 includes a communication control unit 210, an order data acquisition unit 220, an order processing unit 230, a divided order quantity table 240, and an original order data database (original order data storage unit) which is an example of an original order data storage unit. DB) 250, a divided order data database (divided order data DB) 260, which is an example of a divided order data storage unit, a parameter storage unit 270, a market information acquisition unit 280, and a contract establishment notification receiving unit 290. The parameter storage unit 270 includes a mathematical expression identification number storage unit (formula ID storage unit) 271, a set value storage unit 272, and a reference price storage unit 273.

  The communication control unit 210 transmits and receives data to and from the terminal device 10 through an in-house communication line. Data received by the communication control unit 210 from the terminal device 10 includes original order data, customer ID, and fund ID input to the terminal device 10, a set value α, a mathematical expression identification number (formula ID) of a deviation calculation formula, and the like. These data are sent to the order data acquisition unit 220. The data transmitted from the communication control unit 210 to the terminal device 10 includes data such as original order data stored in the original order data DB 250 and data such as divided order data stored in the divided order data DB 260. These data are received by the terminal device 10 and displayed on the display device, and the trader can check the execution status of the sales order by looking at the data displayed on the display device of the terminal device 10. It can be done.

The order data acquisition unit 220 is original order data indicating a trading order from a customer, and a plurality of original order data indicating a plurality of trading orders having the same brand code and trading category, customer ID and fund ID of the customer. Is received from the terminal device 10 through the communication control unit 210, and the received original order data, customer ID, and fund ID are the original order identification number (original order ID) and the first order identification information for identifying the original order data. Are stored in the original order data DB 250 in association with the original order status flag indicating the status (“unordered” as an example). As the original order ID, a counter that is updated every time the original order data from the terminal device 10 is received is provided in the order data acquisition unit 220, and the count value of the counter is used as the original order ID for identifying the original order data. It may be.
As an example, the terminal device 10 includes a stock code, a trading category, a plurality of original order data of a trading order having the same order price, a customer ID identifying the institutional investor, a fund ID, and 0 from the same institutional investor. The order input screen for inputting the set value α of 1 or less and the formula ID of the divergence calculation formula is displayed, and the input data input on the order input screen by the trader is transmitted to the order data acquisition unit 220 to acquire the order data. The unit 220 receives the input data of the order input screen from the terminal device 10 through the communication control unit 210, and the original order for identifying the original order data including the original order data, the customer ID, and the fund ID included in the received input data. The received order is stored in the original order data DB 250 in association with the original order status flag indicating the ID and the first status (“unordered” as an example). Formula ID included in the data stored is written in the Formula ID storage unit 271, the set value α contained in the input data may be configured to store written in the setting value storage unit 272 received.

The original order data DB 250 is original order data indicating the order contents of a purchase order from a customer, an original order ID for identifying the original order data, a customer ID, a fund ID, and a sale indicated by the original order data. The original order status flag indicating the order status, the ordered quantity, and the completed quantity are stored in association with each other. In the original order data DB 250, the initial value (default value) of the ordered quantity and the completed quantity may be set to zero, and the initial value of the original order status flag may be a flag indicating the first status (“unordered” as an example). .
The divided order data DB 260 includes an order quantity composed of a quantity obtained by dividing the order quantity included in the original order data, and information such as a brand code other than the received order quantity and a trade classification among information indicating the order contents of the original order data. Split order data, split order identification number (split order ID) which is order identification information for identifying the split order data, original order ID of the original order data, and status of the split order indicated by the split order data Are stored in association with each other. Note that the initial value of the split order status flag may be a flag indicating unordered. The split order data stored in the split order data DB 260 includes an order quantity composed of a quantity obtained by dividing the order quantity included in the original order data and a brand code other than the order quantity among the information indicating the order contents of the original order data, It is good also as a structure containing the information of a trade classification and an order price.

  The split order quantity table 240 is data in which the order quantity (split order quantity) to be ordered by dividing the order quantity that is the order quantity of the securities buying and selling order from the customer is determined for each brand code indicating the securities. It is a table. For example, a data table in which a stock code of a securities and a divided order quantity n times (n is a natural number) of the trading unit quantity of the stock code may be used. For example, n times may be several times. For example, n times may be a constant value of several times. As an example, the divided order quantity table 240 is a random number generator (for example, a random number generator that generates a random number that is updated every access referring to the divided order quantity table 240). The value of n is randomly determined by using a random number (for example, by using an addition value obtained by adding one of 3 to 5 to the quotient obtained by dividing the last digit of the decimal random number by 2). The divided order quantity may be updated by changing.

  The market information acquisition unit 280 includes market information storage means for storing market information of securities, and the market price (current value) of securities in the trading system 30 of the stock exchange, which is an example of a market system for securities. ) And market information including the board information, and the market price and board information of the obtained securities and the stock code of the securities are associated with each other and stored and updated in the market information storage means, and stored in the market information storage means The market price of the securities indicated by the same stock code stored in the original order data DB 250 in the market information is written in the reference price storage unit 273 as the reference price M to update the reference price M. . The market information of securities may be obtained from a trading system 30 of a stock exchange, which is an example of a market system of securities, or may be obtained from an information vendor that provides market information of securities.

  The order processing unit 230 stores a plurality of original order data stored in the original order data storage unit 250 in association with the original order status flag indicating the first status (“unordered” as an example) by the order data acquisition unit 220. Each original order ID is included in the original order data by referring to the divided order quantity table 240 using the brand code included in the original order data stored in the original order data DB 250 in association with the original order ID as a key. Obtaining the order quantity that should be divided into the order quantity, and including the order quantity obtained and the order information of the original order data, including the order code other than the order quantity and information such as the trading category Each of the generated divided order data, a divided order ID for identifying the divided order data, the original order ID, and a divided order status flag indicating "unordered" Put in and stored in the split order data DB260. Then, for each of the plurality of original order IDs, an order is made from the unordered divided order data stored in the divided order data DB 260 in association with the original order ID and the divided order status flag indicating “unordered” and the divided order ID. The divided order data and the divided order ID to be selected are selected and transmitted to the trading system 30 to perform the divided order processing, and stored in the divided order data DB 260 in association with the divided order ID of the transmitted divided order data. The split order status flag is updated from “unordered” to a flag indicating “in order”, and the original order status flag stored in the original order data DB 250 in association with the original order ID is changed from the first status to the second status. Updated to a flag indicating the status of (for example, “unordered” to “in order”), and associated with the original order ID, the original order data DB 2 The Ordered quantity stored in the 0 performs a process of updating the value obtained by adding the order quantity of the divided orders data transmitted above.

  The contract completion notification receiving unit 290 receives from the trading system 30 a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit 230 to the trading system 30 and receives the split order included in the contract completion notification. The contracted unit price and contract amount of the split order indicated by the contract establishment notification in association with the data split order ID are stored in the split order data DB 260 and stored in the split order data DB 260 in association with the split order ID of the split order data. The split order status flag is updated from “in order” to a flag indicating “confirmed”, and the original order ID of the split source associated with the split order ID of the split order data in the split order data DB 260 is updated. Then, add the contract amount of the split order indicated by the contract completion notice to the completed quantity associated with the original order data DB 250 It performs a process to update the value. Then, when the order quantity associated with the original order ID of the split source in the original order data DB 250 is equal to the updated completed quantity, the original order associated with the original order ID of the split source in the original order data DB 250 Processing for updating the status flag from the second status to the third status (for example, “ordering” to “confirmed”) is performed.

  The order processing unit 230 includes the original order ID of the division source associated with the order ID (divided order ID) of the divided order data included in the execution notification received by the execution completion notification receiving unit 290 in the division order data DB 260 and “ The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data DB 260 with respect to the split order status flag indicating "contract completed", and the calculated average contract unit price Av is the original order ID. And stored in the original order data DB 250. If there are a plurality of second status flags (for example, “in order” as an example) among the original order status flags stored in the original order data DB 250, the second status is indicated in the original order data DB 250. The original order status flag indicating the second status in the original order data DB 250 based on the average contract price Av that has the largest deviation from the reference price M among the average contract price Av associated with the indicated original order status flag. One original order ID corresponding to the average contracted unit price Av at which the deviation is the largest is selected from the original order IDs associated with, and the selected original order ID and the split order status flag indicating “unordered” are selected. A trading system that selects split order data to be ordered from the split order data that has not been ordered and the split order ID stored in the split order data DB 260 and the split order ID and selects the split order ID. The divided order status flag stored in the divided order data DB 260 in association with the divided order ID of the transmitted divided order data is changed from “unordered” to “in order”. Update to the flag shown.

  As the divergence between the average contracted unit price Av calculated by the order processing unit 230 and the reference price M, calculation processing is performed using a divergence calculation formula identified by the formula ID stored in the formula ID storage unit 271, and the formula ID When the initial value is 0, the calculation formula of the divergence Z0 = | M−Av | is used, and when the expression ID is 1, the divergence Z1 = α × | M−Av | / M + (1−α) × ( 1−J1) is used, and when the formula ID is 2, the calculation formula of deviation Z2 = α × | M−Av | / M− (1−α) × (1−J2) is used. The set value α stored in the set value storage unit 272 is used as the weighting coefficient α in the calculation formula, and the reference price M stored in the reference price storage unit 273 is used as the reference price M. In the calculation formula, the fulfillment rate J1 indicates the ratio of the completed quantity (approximately constant quantity) to the ordered quantity in the trading order indicated by the original order data, and indicates the progress of the order execution with respect to the ordered quantity. The sufficiency rate J2 indicates the ratio of the completed quantity (approximately constant quantity) to the ordered quantity in the trading order indicated by the original order data, and indicates the progress of order execution relative to the ordered quantity.

FIG. 3 is an explanatory diagram showing an example of the data configuration of the original order data DB 250 in a table format. The original order data DB 250 is the original order data, the original order ID for identifying the original order data, the customer ID of the customer who is the orderer, the fund ID, and the status flag of the trade order indicated by the original order data. The original order status flag, the ordered quantity, the finished quantity, the fulfillment rate J1, the market fulfillment rate J2, and the average contract unit price Av are stored in association with each other. The initial value of the ordered quantity and the completed quantity in each record of the original order data DB 250 is zero, and the initial values of the completion rate, market completion rate, and average contract unit price may be set to zero. A flag indicating the first situation (“unordered” as an example) may be used as the initial value of. The original order data includes a brand code, a trade classification, an order quantity and an order price. The original order data DB 250 is configured using a relational database (RDB) as an example, and stores an original order ID field for storing an original order ID, a customer ID field for storing a customer ID, and a fund ID. A fund ID field for storing, a brand code field for storing the brand code of the original order data, a trading category field for storing the trading category of the original order data, and an order quantity of the original order data Order quantity field, order price field for storing the order price of the original order data, original order status flag field for storing the original order status flag, and ordered quantity field for storing the ordered quantity , And a quantity field for storing the quantity, and a completion rate J1 are stored. For each record, a market fulfillment rate field for storing the market fulfillment rate J2, and an average contract unit price field for storing the average contract unit price Av are stored in the same record. These data may be associated with each other.
In the original order data DB 250 of FIG. 3, as an example, in correspondence with the original order ID “001”, the customer ID “A”, the fund ID “A001”, and the original order data (stock code “1000”, trade classification “ Buy, order quantity “500,000” shares, order price “880” yen), original order status flag “in order”, ordered quantity “100,000” shares, and finished quantity “75,000” shares And the completion rate “15.0%”, the market completion rate “75.0%”, and the average contract price “841.0” yen are stored, and the original order with the original order ID “001” is stored. The order of the data is a purchase order of 500,000 shares with a stock code of 1000 and a limit price of 880 yen, and the order status is in the order status.

FIG. 4 is an explanatory diagram showing an example of the data configuration of the divided order data DB 260 in a table format. The split order data DB 260 includes split order data, a split order ID for identifying the split order data, an original order ID of the original order data of the split source, and a split order status flag indicated by the split order data. The status flag is stored in association with the contract unit price and contract amount of the split order. The initial value of the contract unit price and the contract constant amount in each record of the split order data DB 260 may be zero, and a flag indicating “unordered” may be used as the initial value of the split order status flag. The split order data DB 260 is configured using a relational database (RDB) as an example, and an original order ID field for storing the original order ID, a split order ID field for storing the split order ID, and a split order. The stock code field for storing the stock code of the data, the trade classification field for storing the trade category of the split order data, the order quantity field for storing the order quantity of the split order data, and the split order data An order price field for storing the order price, a split order status flag field for storing the split order status flag, a contract unit price field for storing the contract unit price, and a contract quantity field for storing the contract constant quantity For each record, these data stored in the same record It may be associated.
In the divided order data DB 260 of FIG. 4, as an example, in association with the divided order ID “001001”, the original order ID “001”, the divided order data (brand code “1000”, buy / sell classification “buy”, order quantity “ 25,000 "shares, order price" 880 "yen), split order status flag" contracted ", contract unit price" 840 "yen, and approximately constant amount" 25,000 "shares are stored. The split order of the split order data with ID “001001” is a buy order of 25,000 shares with a stock code 1000 and a limit price of 880 yen, and the order status is a contracted status.

5 and 6 are flowcharts for explaining an example of processing performed by the order processing apparatus 20 according to the first embodiment. The order processing unit 230 stores an order selection original order ID storage means and maximum deviation original order ID storage means for storing the original order ID, and an average for storing the average contracted unit price Av and the deviation Z0 in association with each other. A contract unit price storage means, an average contract unit price Av and a fulfillment rate J1, and an average contract unit price / satisfaction rate storage means for storing the correlation rate J1 and the deviation Z1 in association with each other, an average contract unit price Av and a market fulfillment rate J2, and a divergence Z2 It is assumed that there is an average contracted unit price / market satisfaction rate storage means for storing them in association with each other.
A trader is a trading order related to different fund constituents from a customer who is the same institutional investor who manages multiple funds, and the trading order includes multiple trading orders with the same brand code, trading category and order price. The original order data indicating the plurality of trading orders and the original order data are displayed on the order input screen for inputting a plurality of orders of the terminal device 10 together with the fund ID of the fund having the constituent brand of The fund ID for identifying the fund of the trade order shown and the customer ID for identifying the customer are entered, the formula ID of the divergence calculation formula and the set value α are entered, and the input data entered on the order entry screen is ordered from the terminal device 10 Transmit to the processing device 20.

  The order data acquisition unit 220 of the order processing device 20 receives input data from the terminal device 10 through the communication control unit 210, and each original order data indicating a plurality of sales orders included in the received input data and the original order data are included. The fund ID and customer ID of the fund of the trading order shown, the original order ID for identifying the original order data, the original order status flag indicating the first status (“unordered” as an example), and an initial value of zero Stored in the original order data DB 250 in association with the ordered quantity and the completed quantity, and stores the expression ID included in the input data received from the terminal device 10 in the expression ID storage unit 271 and included in the input data. The set value α is written and stored in the set value storage unit 272 (S100). As an example, the original order status flag of each record of the original order data DB 250 is initially set to a flag indicating “unordered”, and the ordered quantity and the completed quantity are initialized to zero, for each original order ID. The original order ID, the original order data, the fund ID, and the customer ID may be written and stored in the corresponding fields of the record.

  The order processing unit 230 associates an original order of a plurality of original order data stored in the original order data DB 250 in association with the original order status flag indicating the first status (“unordered” as an example) by the order data acquisition unit 220. One original order ID is selected from the IDs, and the split order quantity table 240 is referred to using the brand code included in the original order data stored in the original order data DB 250 in association with the selected original order ID as a key. To obtain the order quantity (split order quantity) to be ordered separately for the order quantity included in the original order data, and the issue code other than the order quantity in the information indicating the order quantity of the acquired order quantity and the original order data. , Generating split order data including information such as trading category, split order ID and original order for identifying each split order data generated and the split order data It performs processing for storing the divided order data DB260 in association with split order status flag indicating D and a "not-order". By performing such processing by sequentially selecting each of the original order IDs of the plurality of original order data, it is included in the original order data for each of the plurality of original order data stored in the original order data DB 250. Each piece of split order data including information on order quantity consisting of the quantity obtained by dividing the order quantity and information on the order contents of the original order data other than the order quantity, such as information such as brand code, trading category, etc. The order ID, the original order ID of the original order data, and the divided order status flag indicating “unordered” are stored in the divided order data DB 260 (S102).

  Next, the order processing unit 230 selects one original order ID from among the original order IDs stored in association with the original order status flag indicating the first status (for example, “unordered” as an example) in the original order data DB 250. Is selected and stored in the selected original order ID storage means for ordering (S104). Note that when one original order ID is selected from a plurality of original order IDs, the one with the smallest number indicated by the original order ID may be selected as an example.

  Based on the one original order ID stored in the selected original order ID storage means for ordering in S104, the order processing unit 230 performs the divided order on the one original order ID and the divided order status flag indicating “unordered”. The division order processing is performed by selecting one division order data and the division order ID from the division order data associated with the data DB 260 and the division order ID and transmitting it to the trading system 30 (S106). As an example, the order processing unit 230, based on the one original order ID stored in the order selection original order ID storage unit in S104, for the one original order ID and the divided order status flag indicating “unordered”. Then, one split order ID is selected from the split order IDs associated with the split order data DB 260, the split order data associated with the selected split order ID in the split order data DB 260 and the one split It is good also as a structure which performs division order processing by transmitting order ID to the buying and selling system 30. FIG. Note that when one split order ID is selected from a plurality of split order IDs, the one with the smallest number indicated by the split order ID may be selected as an example.

  Then, the order processing unit 230 changes the order status flag stored in the split order data DB 260 in association with the split order ID of the one split order data selected and transmitted in S106 from “not placed” to “order”. The flag indicating "medium" is updated and the original order status flag stored in the original order data DB 250 in association with one original order ID stored in the selected original order ID storage means for ordering is changed from the first status. The flag is updated to a flag indicating the second situation (for example, “unordered” to “in order”) (S108). Further, the ordered quantity stored in the original order data DB 250 in association with the one original order ID is updated to a value obtained by adding the order quantity of the divided order data selected and transmitted in S106 (S108). .

The contract establishment notification receiving unit 290 determines whether or not the contract establishment notification indicating the execution result of the divided order indicated by the one divided order data transmitted from the order processing unit 230 to the trading system 30 is received from the trading system 30 ( S110).
As an example, the contract completion notification receiving unit 290 includes a contract database (contract DB) for storing the contract completion notification from the trading system 30, and the split order transmitted from the order processing unit 230 to the trading system 30 together with the split order ID. It is assumed that the trade order execution notification indicated by the data includes the split order ID, the contract unit price, the contract constant quantity, and the contract remaining quantity, and when the contract completion notification receiving unit 290 receives the contract completion notification, the contract completion notification is executed. It is stored in the DB and it is determined whether the contract remaining quantity of the contract establishment notification is zero, and if the contract remaining quantity is not zero, it is determined that the contract establishment notification indicating the execution result of the split order is not received (S110; No), waits for the receipt of the next contract completion notification, and again determines whether or not the contract completion notification indicating the execution result of the split order has been received, When the fixed remaining quantity is zero, it is determined that the execution notification indicating the execution result of the split order is received (S110; Yes), and each execution is completed including the same split order ID as the split order ID of the execution notification. The contracted unit price of the notification and its contracted constant amount are acquired from the contract DB, and the total contracted amount obtained is calculated by calculating the total contracted amount of the split order of the split order ID, and the contracted unit price is weighted average by the contracted amount. The average contract unit price of 1 (the contract unit price of the split order with the split order ID) may be calculated. In addition, the execution DB that stores the execution notification is configured by using a relational database (RDB) as an example, and the division order ID field for storing the division order ID included in the execution notification, and the execution notification. A contract unit price field for storing the contract unit price included, a contract amount field for storing the contract constant quantity included in the contract completion notification, and a contract remaining quantity field for storing the contract remaining quantity included in the contract completion notification Etc. may be provided for each record, and these data stored in the same record may be associated with each other.

  As an example, the contract completion notification receiving unit 290 includes a contract DB for storing a contract completion notification from the trading system 30, and the trading indicated by the split order data transmitted from the order processing unit 230 to the trading system 30 together with the split order ID. It is assumed that the order fulfillment notification includes the split order ID, the contract unit price, and the contract amount, and when the contract fulfillment notification receiving unit 290 receives the contract fulfillment notification, the contract fulfillment notification is stored in the contract DB, and then The contract unit price and the contract amount of each contract completion notification including the same split order ID as the split order ID of the contract completion notification are acquired from the contract DB, and the total of the acquired contract constant amounts is added to the split order ID of the split order ID. Calculates the total contract amount and calculates the first average contract unit price (the contract unit price of the split order with the split order ID) by weighting the contract unit price with the contract amount. It is determined whether the calculated total contract amount is the same as the order quantity of the split order data associated with the split order ID in the split order data DB 260, and the order quantity of the split order data is the same as the total contract constant quantity. In this case, it is determined that a notice of execution of the execution of the split order is received (S110; Yes), and the execution of the execution of the split order is executed when the order quantity of the split order data is not the same as the total contract amount. A configuration may be adopted in which it is determined that a notification has not been received (S110; No), and the determination of whether or not a contract completion notification indicating the execution result of the split order has been received after waiting for the reception of the next contract completion notification. In addition, the execution DB that stores the execution notification is configured by using a relational database (RDB) as an example, and the division order ID field for storing the division order ID included in the execution notification, and the execution notification. A contract unit price field for storing the contract unit price included and a contract amount field for storing the contract constant amount included in the notification of contract completion are provided for each record so that these data stored in the same record are associated with each other. It may be.

When it is determined that the contract establishment notification receiving unit 290 has received a contract establishment notification indicating the execution result of a split order (S110; Yes), the split order ID is divided in association with the split order ID of the contracted split order data. The first average contract unit price and the total contract constant amount, which are the contract unit price of the order, are stored in the split order data DB 260 as the contract unit price and the contract constant amount, respectively, and the split order associated with the split order ID in the split order data DB 260 The status flag is updated from “in order” to “confirmed” (S112). Further, based on the original original order ID associated with the divided order ID in the divided order data DB 260, the quantity associated with the original original order ID in the original order data DB 250 is represented by the divided order ID. It is updated to a value obtained by adding the contracted amount of the split order (total contracted amount) (S112).
Next, the contract establishment notification receiving unit 290 determines whether the order quantity associated with the original order ID of the division source in the original order data DB 250 is equal to the completed quantity (S114). When the produced quantities are equal (S114; Yes), the original order status flags associated with the original order ID of the division source in the original order data DB 250 are changed from the second status to the third status (for example, “order” The flag is updated from “medium” to “confirmed”) (S116), the original order ID of the division source is sent to the order processing unit 230, and the process proceeds to S118. When the order quantity is not equal to the completed quantity (S114; No), the original order ID of the division source is sent to the order processing unit 230, and the process proceeds to S118.

  Upon receipt of the original source order ID of the split source from the contract establishment notification receiving unit 290, the order processing unit 230 and each contract unit price stored in the split order data DB 260 in association with the received original source order ID and its A second average obtained by weighted averaging the contract unit price by the contract amount based on the completed quantity, the received order quantity, and the ordered quantity stored in association with the original order ID of the split original quantity and the original order ID of the division source. Calculates the contract unit price Av (the contract unit price of the trading order of the original order ID), calculates the completion rate J1 (= result quantity / order quantity) divided by the order quantity, and the quantity is the order quantity. The calculated market fulfillment rate J2 (= actual quantity / ordered quantity) is calculated, and the calculated average contract unit price Av, the work fulfillment rate J1, and the market fulfillment rate J2 are associated with the original order ID of the original source. Day And stores it in the DB250 (S118).

  Next, the order processing unit 230 includes the first or second status (“unordered” or “in order” as an example) in the original order status flag of each original order ID stored in the original order data DB 250. ) Is determined (S120), and if neither the flag indicating the first situation nor the flag indicating the second situation is present (S120; No), the processing of this flowchart is terminated. When there is a flag indicating the first condition or a flag indicating the second condition (S120; Yes), the process proceeds to S122.

  In S122, the order processing unit 230 determines whether there is a flag indicating the first status (for example, “unordered”) among the original order status flags of each original order ID stored in the original order data DB 250. If there is a flag indicating the first situation (S122; Yes), the process returns to S104. If there is no flag indicating the first situation (S122; No), the process proceeds to S124.

  In S124, the order processing unit 230 determines whether there are a plurality of flags indicating the second status (for example, “in order”) among the original order status flags of each original order ID stored in the original order data DB 250. If there are a plurality of flags indicating the second status (S124; Yes), an average execution among a plurality of original order IDs corresponding to the original order status flags indicating the second statuses is determined. When the original order ID having the largest divergence between the unit price Av and the reference price M is selected and stored in the maximum divergence original order ID storage means (S126), when there is one flag indicating the second situation ( S124; No), one original order ID associated with the original order data DB 250 in the original order status flag indicating the second situation is selected and stored in the maximum deviation original order ID storage means (S128).

  In S126, when the formula ID stored in the formula ID storage unit 271 is 0, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. Each average contracted unit price Av is acquired, and for each acquired average contracted unit price Av, the divergence Z0 between the average contracted unit price Av and the reference price M is calculated by a divergence calculation formula Z0 = | M−Av | The average contract unit price Avmax is calculated and stored in the average contract unit price storage means in association with the average contract unit price Av, and the average contract unit price Avmax associated with the largest deviation Z0 among the average contract unit prices Av stored in the average contract unit price storage unit. And the average contract unit price Avm in which the deviation Z0 is the largest among the plurality of original order IDs corresponding to the plurality of original order status flags indicating the second status in the original order data DB 250 May be configured to be stored in the maximum divergence original order ID storage means by selecting one of the original order ID corresponding to x.

  In S126, when the formula ID stored in the formula ID storage unit 271 is 1, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. The average contracted unit price Av and the fulfillment rate J1 are acquired, and the difference Z1 between the average contracted unit price Av and the reference price M for each acquired average contracted unit price Av and the fulfillment rate J1 is a divergence corresponding to the formula ID = 1. Calculated by the calculation formula Z1 = α × | M−Av | / M + (1−α) × (1−J1) and stored in association with the average contracted unit price Av and the fulfillment rate J1. The average contract unit price Avmax and the fulfillment rate J1m associated with the largest deviation Z1 among the average contract unit price Av and the fulfillment rate J1 stored in the means and stored in the average contract unit price / satisfaction rate storage unit x is obtained, and the plurality of original order status flags indicating the second situation correspond to the average contracted unit price Avmax and the fulfillment rate J1max with the largest deviation Z1 among the plurality of original order IDs corresponding in the original order data DB 250. A configuration may be adopted in which one original order ID is selected and stored in the maximum deviation original order ID storage means.

  In S126, when the formula ID stored in the formula ID storage unit 271 is 2, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. The average contracted unit price Av and the market fulfillment rate J2 are acquired, and the difference Z2 between the average contracted unit price Av and the reference price M for each acquired average contract unit price Av and the market fulfillment rate J2 corresponds to the formula ID = 2 The divergence calculation formula Z2 = α × | M−Av | / M− (1−α) × (1−J2) is calculated in association with the average contracted unit price Av and the market fulfillment rate J2. The average contract unit price Avm stored in the market fulfillment rate storage means and associated with the largest deviation Z2 among the average contract unit price Av stored in the market fulfillment rate storage means and the market fulfillment rate J2 x, the market fulfillment rate J2max, and the average contracted unit price Avmax and the market where the divergence Z2 is largest among the plurality of original order IDs corresponding to the plurality of original order status flags indicating the second status in the original order data DB 250 One original order ID corresponding to the completion rate J2max may be selected and stored in the maximum deviation original order ID storage unit.

  Based on the one original order ID stored in the maximum divergence original order ID storage means in S126 or S128, the order processing unit 230 applies the one original order ID and the divided order status flag indicating “unordered”. The division order processing is performed by selecting one division order data and the division order ID from the division order data associated with the division order data DB 260 and the division order ID and transmitting the selected division order data to the trading system 30 (S130). As an example, the order processing unit 230 obtains one split order ID from among the split order IDs associated in the split order data DB 260 with respect to the one original order ID and the split order status flag indicating “unordered”. A configuration may be adopted in which split order processing is performed by selecting and sending the split order data associated with the selected split order ID in the split order data DB 260 and the single split order ID to the trading system 30.

  Then, the order processing unit 230 sets the split order status flag stored in the split order data DB 260 in association with the split order ID of the one split order data selected and transmitted in S130 from “not placed” to “order”. The flag is updated to “medium” (S132). Further, in S130, the ordered quantity stored in the original order data DB 250 in association with one original order ID (that is, the original original order ID) stored in the maximum deviation original order ID storage means is selected in S130. The transmitted divided order data is updated to a value added with the order quantity (S132), and the process returns to S110.

  According to the order processing apparatus 20 of the first embodiment, a plurality of trade orders related to the same brand and trade classification are ordered with priority given to a split order with the largest difference between the contracted unit price and the reference price M. By doing so, it is possible to suppress the divergence of the contract unit price between a plurality of sales orders. In addition, when the formula ID is 1, divisional ordering is performed using the completion rate J1, and divisional ordering is performed so that the purchase order of a plurality of original order data can be distributed in consideration of the degree of order execution with respect to the order quantity. It can be performed. For example, even when the order quantity of multiple sales orders from customers is different, split ordering is performed so that the order execution progress with respect to the order quantity is taken into account (in other words, the progress is almost in line) It is possible to suppress the divergence of contract unit prices among a plurality of sales orders. If the formula ID is 2, the order is split using the market fulfillment rate J2, and the split order is placed so that it can be distributed taking into account the progress of the order execution with respect to the ordered quantity for multiple original order data trading orders. It can be performed. For example, even when the ordered quantities of a plurality of sales orders are different, it is possible to place a divided order so that the order execution progress with respect to the ordered quantities is taken into account (so that the progress is substantially horizontal). It is possible to suppress the divergence of the contract unit price between a plurality of sales orders.

  FIG. 7 is a flowchart for explaining an example of the process for creating the divided order data shown in S102 of the flowchart of FIG. The order processing unit 230 includes variable LIM storage means for storing the quantity indicated by the variable LIM, variable SUM storage means for storing the quantity indicated by the variable SUM, and divided order quantity for storing the divided order quantity BT. Assume that it has a BT storage means, a variable VOL storage means for storing the quantity indicated by the variable VOL, and a creation selected original order ID storage means for storing the original order ID.

First, the order processing unit 230 associates the original order data stored in the original order data DB 250 with the original order status flag indicating the first status (“unordered” as an example) by the order data acquisition unit 220. One original order ID is selected from the IDs and stored in the selected original order ID storage means for creation (S1020), and the original order data associated with the selected original order ID in the original order data DB 250 is stored. Is stored in the variable LIM storage means, the quantity indicated by the variable LIM is set to the order quantity of the original order data of the selected original order ID. Further, by resetting the variable SUM storage means, the created quantity indicated by the variable SUM is reset to the initial value zero (S1021).
Next, the order processing unit 230, based on the one original order ID stored in the creation selection original order ID storage unit in S1020, the original order ID associated with the original order ID in the original order data DB 250. By referring to the divided order quantity table 240 using the brand code of the order data as a key, the divided order quantity (split order provisional quantity) BT corresponding to the brand code is acquired and stored in the divided order quantity BT storage means (S1022). .

Next, the order processing unit 230 sums up the divided order quantity BT stored in the divided order quantity BT storage means and the created quantity indicated by the variable SUM stored in the variable SUM storage means (the divided order quantity). It is determined whether (BT + variable SUM) is equal to or less than the order quantity indicated by the variable LIM stored in the variable LIM storage means (S1023).
When the total quantity (split order quantity BT + variable SUM) is equal to or less than the order quantity indicated by the variable LIM (S1023; Yes), the split order quantity BT stored in the split order quantity BT storage means is stored in the variable VOL storage means. As a result, the order quantity for the split order indicated by the variable VOL is set in the split order quantity BT (S1024), and the process proceeds to S1026.
When the total quantity (split order quantity BT + variable SUM) is larger than the order quantity indicated by the variable LIM (S1023; No), the order quantity indicated by the variable LIM stored in the variable LIM storage means is stored in the variable SUM storage means. The unordered remaining quantity (variable LIM-variable SUM) obtained by subtracting the created quantity indicated by the variable SUM being stored is stored in the variable VOL storage means, whereby the order quantity for the split order indicated by the variable VOL is determined as the unordered remaining quantity. (Variable LIM−Variable SUM) is set (S1025), and the process proceeds to S1026.

  Then, the order processing unit 230 uses the original order data DB 250 for the order quantity indicated by the variable VOL stored in the variable VOL storage means and the one original order ID stored in the creation selected original order ID storage means. Generate divided order data including data such as brand codes other than the received order quantity and trading classification among the associated original order data, and generate the divided order data and the divided order ID for identifying the divided order data and the corresponding The original order ID and the divided order status flag indicating “unordered” are associated with each other and stored in the divided order data DB 260 (S1026), and the created quantity indicated by the variable SUM stored in the variable SUM storage means is stored in the variable VOL. The quantity is updated to the quantity added by the order quantity indicated by the variable VOL stored in the means (S1027). In step S1026, the order processing unit 230 executes the original order for the order quantity indicated by the variable VOL stored in the variable VOL storage unit and the one original order ID stored in the creation selection original order ID storage unit. Of the original order data associated in the data DB 250, the division order data including the brand code other than the order quantity, the trade classification and the order price is generated, the generated division order data, the division order ID of the division order data, and the The original order ID and the divided order status flag indicating “unordered” may be associated with each other and stored in the divided order data DB 260, and stored in the reference price storage unit 273 by the market information acquisition unit 280 as the order price of the divided order data. The reference price set may be used, or the current limit price or priority limit price may be used.

The order processing unit 230 compares the created quantity indicated by the variable SUM stored in the variable SUM storage means with the order quantity indicated by the variable LIM stored in the variable LIM storage means, and determines the created quantity indicated by the variable SUM. It is determined whether the order quantities indicated by the variable LIM are equal (S1028).
If the created quantity indicated by the variable SUM and the order quantity indicated by the variable LIM are not equal (S1028; No), the process returns to S1022. When the created quantity indicated by the variable SUM and the order quantity indicated by the variable LIM are equal (S1028; Yes), the order data acquisition unit 220 corresponds to the original order status flag indicating the first status (“unordered” as an example). In addition, it is determined whether or not each of the plurality of original order data stored in the original order data DB 250 has been selected (S1029). If there is an unselected original order ID (S1029; No), Returning to S1020, if all have been selected (S1029; Yes), the processing of this flowchart ends.

  Next, an order processing apparatus according to a second embodiment of the present invention will be described with reference to the drawings. FIG. 1 is a schematic diagram for explaining the use environment of the order processing apparatus 20 according to one embodiment of the present invention, and is a schematic diagram for explaining the use environment of the order processing apparatus 20 according to the second embodiment. It is. This order processing apparatus 20 is installed in a financial institution, and hereinafter, a securities company will be described as an example of the financial institution. The order processing device 20 is connected to a terminal device 10 operated by a trader of a securities company via an in-house communication line, and is a securities transaction system that is an example of a transaction market system that performs a transaction transaction processing of securities such as stocks. The communication system 30 is connected to the trading system 30 through a communication line, and the communication line to the trading system 30 may be a dedicated line or a dedicated line. A broker of a securities company receives an order for buying and selling securities from an investor such as an institutional investor. For example, institutional investors may be asset management companies that manage multiple funds. The terminal device 10 is connected to a terminal device of an institutional investor through a communication line, and can receive information indicating the contents of a sales order from the institutional investor.

  The trader receives a trading order (for example, stock trading order) of securities constituting a fund managed by the institutional investor, which is a customer, at the terminal device 10 through the communication line or verbally by telephone. Receive trading orders. The trader then converts the original order data, which is the order data indicating the sales order received by the terminal device 10 or the telephone, into the customer identification information (customer ID) for identifying the customer and the fund identification information (for identifying the fund). In association with the fund ID), it is input to the terminal device 10 in a predetermined format. The original order data indicating trading order includes stock identification information indicating the order stock that is the securities to be traded, trading category, order quantity and order price. In the following, stock code is taken as an example as stock identification information explain.

  The terminal device 10 transmits the original order data, the customer ID, and the fund ID input by the trader to the order processing device 20. The order processing device 20 receives the original order data, the customer ID, and the fund ID from the terminal device 10, and performs split order processing that generates split order data based on the received original order data and transmits the split order data to the trading system 30. . The order processing apparatus 20 generates split order data of the order quantity obtained by dividing the order quantity of the original order data, and processes the generated split order data. As an example, when the order quantity indicated by the original order data is more than a certain quantity, it may be configured to perform split ordering in order to reduce the market impact. The order quantity in the split order data is split when the order brand is the same. A constant quantity may be used regardless of the order quantity of the original original order data.

  In addition, as the structure of the divided order data, the information indicating the order contents of the original order data is used in the order quantity obtained by dividing the order quantity, and the information indicating the order contents of the original order data other than the order quantity is used. May be used as is, or the order quantity in the information indicating the order contents of the original order data may be divided into order quantities, and the priority limit price or the current limit price may be set as the order price. It is also possible to receive a priority order and a current limit limit on condition that the limit amount indicated by the order unit price (the upper limit for a buy order, the lower limit for a sell order) is met when an order is received from a customer. Alternatively, an order price for a divisional order such as a market may be set. The priority limit price is a limit value that is one tick above the current value of the order brand in the trading market, and the current limit price is the limit price that is the current price of the order brand in the trading market. Specifically, for example, when 1 tick is 1 yen and the current value is 839 yen, the buy limit price by the priority limit price is 840 yen, and the current limit price is 839 yen. In addition, when generating the divided order data, a value that has priority over one tick over the same side price (buy price for a buy order, sell price for a sell order) may be used as an order price for the order price.

Institutional investors may manage assets by managing multiple funds, and the same institutional investor may place multiple orders for different investment funds of the institutional investor at the same time at a securities company at the same time. is there. Here, institutional investors will make multiple valuation orders if multiple valuation orders relate to the same issue and trading category, especially if multiple valuation orders relate to the same issue, sale category and order price. There is a case where it is desired that the contract unit price (the contract unit price of the stock between the funds) is equalized.
The order processing device 20 is capable of placing an order so as to disperse each of a plurality of measurement orders from the customer, calculates an average contract unit price Av of each of the plurality of measurement orders, and obtains a market price of the order brand. The order processing of split order data is performed with priority given to the order with the largest discrepancy between the standard price M and the average contracted unit price Av, etc., thereby suppressing the discrepancy in the contract unit price (contract price) between the target orders. Be able to. In addition to the reference price M and the average contracted unit price Av, the order processing apparatus 20 has a completion rate J1 that is the ratio of the completed quantity to the ordered quantity or a market satisfaction ratio J2 that is the ratio of the completed quantity to the ordered quantity. Based on the divergence calculated by the divergence calculation formula using as a parameter, it may be determined whether to place priority on the divided order data of the order to be processed.

  FIG. 2 is a block diagram for explaining an example of the configuration of the order processing apparatus 20 according to the second embodiment. The order processing apparatus 20 includes a communication control unit 210, an order data acquisition unit 220, an order processing unit 230, a divided order quantity table 240, and an original order data database (original order data storage unit) which is an example of an original order data storage unit. DB) 250, a divided order data database (divided order data DB) 260, which is an example of a divided order data storage unit, a parameter storage unit 270, a market information acquisition unit 280, and a contract establishment notification receiving unit 290. The parameter storage unit 270 includes a mathematical expression identification number storage unit (formula ID storage unit) 271, a set value storage unit 272, and a reference price storage unit 273.

  The communication control unit 210 transmits and receives data to and from the terminal device 10 through an in-house communication line. Data received by the communication control unit 210 from the terminal device 10 includes original order data, customer ID, and fund ID input to the terminal device 10, a set value α, a mathematical expression identification number (formula ID) of a deviation calculation formula, and the like. These data are sent to the order data acquisition unit 220. The data transmitted from the communication control unit 210 to the terminal device 10 includes data such as original order data stored in the original order data DB 250 and data such as divided order data stored in the divided order data DB 260. These data are received by the terminal device 10 and displayed on the display device, and the trader can check the execution status of the sales order by looking at the data displayed on the display device of the terminal device 10. It can be done.

The order data acquisition unit 220 is original order data indicating a trading order from a customer, and a plurality of original order data indicating a plurality of trading orders having the same brand code and trading category, customer ID and fund ID of the customer. Is received from the terminal device 10 through the communication control unit 210, and the received original order data, customer ID, and fund ID are the original order identification number (original order ID) and the first order identification information for identifying the original order data. Are stored in the original order data DB 250 in association with the original order status flag indicating the status (“unordered” as an example). As the original order ID, a counter that is updated every time the original order data from the terminal device 10 is received is provided in the order data acquisition unit 220, and the count value of the counter is used as the original order ID for identifying the original order data. It may be.
As an example, the terminal device 10 includes a stock code, a trading category, a plurality of original order data of a trading order having the same order price, a customer ID identifying the institutional investor, a fund ID, and 0 from the same institutional investor. The order input screen for inputting the set value α of 1 or less and the formula ID of the divergence calculation formula is displayed, and the input data input on the order input screen by the trader is transmitted to the order data acquisition unit 220 to acquire the order data. The unit 220 receives the input data of the order input screen from the terminal device 10 through the communication control unit 210, and the original order for identifying the original order data including the original order data, the customer ID, and the fund ID included in the received input data. The received order is stored in the original order data DB 250 in association with the original order status flag indicating the ID and the first status (“unordered” as an example). Formula ID included in the data stored is written in the Formula ID storage unit 271, the set value α contained in the input data may be configured to store written in the setting value storage unit 272 received.

The original order data DB 250 stores original order data indicating the order contents of a purchase order from a customer, an original order ID for identifying the original order data, a customer ID, a fund ID, and a sales order indicated by the original order data. The original order status flag indicating the status, the ordered quantity, and the completed quantity are stored in association with each other. In the original order data DB 250, the initial value (default value) of the ordered quantity and the completed quantity may be set to zero, and the initial value of the original order status flag may be a flag indicating the first status (“unordered” as an example). .
The divided order data DB 260 includes an order quantity composed of a quantity obtained by dividing the order quantity included in the original order data, and information such as a brand code other than the received order quantity and a trade classification among information indicating the order contents of the original order data. Split order data, split order identification number (split order ID) which is order identification information for identifying the split order data, original order ID of the original order data, and status of the split order indicated by the split order data Are stored in association with each other. Note that the initial value of the split order status flag may be a flag indicating unordered. The split order data stored in the split order data DB 260 includes an order quantity composed of a quantity obtained by dividing the order quantity included in the original order data and a brand code other than the order quantity among the information indicating the order contents of the original order data, It is good also as a structure containing the information of a trade classification and an order price.

  The split order quantity table 240 is data in which the order quantity (split order quantity) to be ordered by dividing the order quantity that is the order quantity of the securities buying and selling order from the customer is determined for each brand code indicating the securities. It is a table. For example, a data table in which a stock code of a securities and a divided order quantity n times (n is a natural number) of the trading unit quantity of the stock code may be used. For example, n times may be several times. For example, n times may be a constant value of several times. As an example, the divided order quantity table 240 is a random number generator (for example, a random number generator that generates a random number that is updated every access referring to the divided order quantity table 240). The value of n is randomly determined by using a random number (for example, by using an addition value obtained by adding one of 3 to 5 to the quotient obtained by dividing the last digit of the decimal random number by 2). The divided order quantity may be updated by changing.

  The market information acquisition unit 280 includes market information storage means for storing market information of securities, and the market price (current value) of securities in the trading system 30 of the stock exchange, which is an example of a market system for securities. ) And market information including the board information, and the market price and board information of the obtained securities and the stock code of the securities are associated with each other and stored and updated in the market information storage means, and stored in the market information storage means The market price of the securities indicated by the same stock code stored in the original order data DB 250 in the market information is written in the reference price storage unit 273 as the reference price M to update the reference price M. . The market information of securities may be obtained from a trading system 30 of a stock exchange, which is an example of a market system of securities, or may be obtained from an information vendor that provides market information of securities.

  The order processing unit 230 associates an original order of a plurality of original order data stored in the original order data DB 250 in association with the original order status flag indicating the first status (“unordered” as an example) by the order data acquisition unit 220. For each ID, the order quantity included in the original order data by referring to the divided order quantity table 240 using the brand code included in the original order data stored in the original order data DB 250 in association with the original order ID as a key. The order quantity to be split is acquired, and split order data including information on the order quantity and the order contents of the original order data other than the received order quantity and information such as the trading order is generated. The generated divided order data, the divided order ID for identifying the divided order data, the original order ID, and the divided order status flag indicating “unordered” are associated with each other. The divided order data is stored in the divided order data DB 260 and the divided order data and the divided order ID are transmitted to the trading system 30 to perform the divided order processing, and the divided order data is associated with the divided order ID of the transmitted divided order data. The split order status flag stored in the DB 260 is updated from “unordered” to a flag indicating “ordering”, and the original order status flag stored in the original order data DB 250 is associated with the original order ID. The status of 1 is updated to a flag indicating the second status (for example, “unordered” to “in order”), and the ordered quantity stored in the original order data DB 250 is associated with the original order ID. A process of updating the transmitted divided order data to a value added with the order quantity is performed.

  The contract completion notification receiving unit 290 receives from the trading system 30 a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit 230 to the trading system 30 and receives the split order included in the contract completion notification. The contracted unit price and contract amount of the split order indicated by the contract establishment notification in association with the data split order ID are stored in the split order data DB 260 and stored in the split order data DB 260 in association with the split order ID of the split order data. The split order status flag is updated from “in order” to a flag indicating “confirmed”, and the original order ID of the split source associated with the split order ID of the split order data in the split order data DB 260 is updated. Then, add the contract amount of the split order indicated by the contract completion notice to the completed quantity associated with the original order data DB 250 It performs a process to update the value. Then, when the order quantity associated with the original order ID of the split source in the original order data DB 250 is equal to the updated completed quantity, the original order associated with the original order ID of the split source in the original order data DB 250 Processing for updating the status flag from the second status to the third status (for example, “ordering” to “confirmed”) is performed.

  The order processing unit 230 includes the original order ID of the division source associated with the order ID (divided order ID) of the divided order data included in the execution notification received by the execution completion notification receiving unit 290 in the division order data DB 260 and “ The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data DB 260 with respect to the split order status flag indicating "contract completed", and the calculated average contract unit price Av is the original order ID. And stored in the original order data DB 250. If there are a plurality of second status flags (for example, “in order” as an example) among the original order status flags stored in the original order data DB 250, the second status is indicated in the original order data DB 250. The original order status flag indicating the second status in the original order data DB 250 based on the average contract price Av that has the largest deviation from the reference price M among the average contract price Av associated with the indicated original order status flag. One original order ID corresponding to the average contracted unit price Av with the largest deviation is selected from the original order IDs associated with the original order ID and stored in the original order data DB 250 in association with the selected one original order ID. By referring to the split order quantity table 240 using the brand code included in the original order data as a key, the order quantity included in the original order data is determined for the order quantity to be split. And generating split order data including information on the order quantity of the acquired order quantity and the order contents of the original order data, including information such as brand codes other than the received order quantity, trade classification, etc., and the generated split order data and the split The divided order ID for identifying the order data, the original order ID, and the divided order status flag indicating “unordered” are associated with each other and stored in the divided order data DB 260, and the divided order data and the divided order ID are stored in the trading system 30. Split order processing is performed by transmitting. Then, the split order status flag stored in the split order data DB 260 in association with the split order ID of the transmitted split order data is updated from “unordered” to a flag indicating “in order”, and the original order A process of updating the ordered quantity stored in the original order data DB 250 in association with the ID to a value obtained by adding the ordered quantity of the transmitted divided order data is performed.

  As the divergence between the average contracted unit price Av calculated by the order processing unit 230 and the reference price M, calculation processing is performed using a divergence calculation formula identified by the formula ID stored in the formula ID storage unit 271, and the formula ID When the initial value is 0, the calculation formula of the divergence Z0 = | M−Av | is used, and when the expression ID is 1, the divergence Z1 = α × | M−Av | / M + (1−α) × ( 1−J1) is used, and when the formula ID is 2, the calculation formula of deviation Z2 = α × | M−Av | / M− (1−α) × (1−J2) is used. The set value α stored in the set value storage unit 272 is used as the weighting coefficient α in the calculation formula, and the reference price M stored in the reference price storage unit 273 is used as the reference price M. In the calculation formula, the fulfillment rate J1 indicates the ratio of the completed quantity (approximately constant quantity) to the ordered quantity in the trading order indicated by the original order data, and indicates the progress of the order execution with respect to the ordered quantity. The sufficiency rate J2 indicates the ratio of the completed quantity (approximately constant quantity) to the ordered quantity in the trading order indicated by the original order data, and indicates the progress of order execution relative to the ordered quantity.

  FIG. 3 is an explanatory diagram showing an example of the data configuration of the original order data DB 250 in a table format. FIG. 4 is an explanatory diagram showing an example of the data configuration of the divided order data DB 260 in a table format. Since the original order data DB 250 and the divided order data DB 260 have the same configuration in the order processing apparatuses 20 of the first and second embodiments, description thereof is omitted.

8 and 9 are flowcharts for explaining an example of processing performed by the order processing apparatus 20 according to the second embodiment. The order processing unit 230 includes an order selection original order ID storage unit, a creation selection original order ID storage unit, a maximum divergence original order ID storage unit, an average contracted unit price Av, and a divergence Z0. Average contracted unit price storage means for storing the average contracted unit price Av, average contracted unit price Av and the fulfillment rate J1 and the deviation Z1 in association with each other, and the average contracted unit price / completion rate storage unit for storing the average contracted unit price Av and the average contracted unit price Av In addition, an average contract unit price / market satisfaction rate storage means for storing the market satisfaction rate J2 and the deviation Z2 in association with each other is assumed to be included.
A trader is a trading order related to different fund constituents from a customer who is the same institutional investor who manages multiple funds, and the trading order includes multiple trading orders with the same brand code, trading category and order price. The original order data indicating the plurality of trading orders and the original order data are displayed on the order input screen for inputting a plurality of orders of the terminal device 10 together with the fund ID of the fund having the constituent brand of The fund ID for identifying the fund of the trade order shown and the customer ID for identifying the customer are entered, the formula ID of the divergence calculation formula and the set value α are entered, and the input data entered on the order entry screen is ordered from the terminal device 10 Transmit to the processing device 20.

  The order data acquisition unit 220 of the order processing device 20 receives input data from the terminal device 10 through the communication control unit 210, and each original order data indicating a plurality of sales orders included in the received input data and the original order data are included. The fund ID and customer ID of the fund of the trading order shown, the original order ID for identifying the original order data, the original order status flag indicating the first status (“unordered” as an example), and an initial value of zero Stored in the original order data DB 250 in association with the ordered quantity and the completed quantity, and stores the expression ID included in the input data received from the terminal device 10 in the expression ID storage unit 271 and included in the input data. The set value α is written and stored in the set value storage unit 272 (S200). As an example, the original order status flag of each record of the original order data DB 250 is initially set to a flag indicating “unordered”, and the ordered quantity and the completed quantity are initialized to zero, for each original order ID. The original order ID, the original order data, the fund ID, and the customer ID may be written and stored in the corresponding fields of the record.

  The order processing unit 230 uses the original order ID stored in the original order data storage unit 250 in association with the original order status flag indicating the first status (“unordered” as an example) by the order data acquisition unit 220. One original order ID is selected and stored in the selected original order ID storage means for ordering and the selected original order ID storage means for creation (S202), and is associated with the selected original order ID in the original order data DB 250. With reference to the split order quantity table 240 using the stock code included in the stored original order data as a key, the order quantity (split order quantity) to be ordered in order is acquired and acquired. Generate one piece of order data including information on the order quantity and the order contents of the original order data, including information such as issue code other than the received order quantity, and trading category. A process of storing the split order data, the split order ID for identifying the one split order data, the original order ID, and the split order status flag indicating “unordered” in association with each other and storing them in the split order data DB 260 is performed (S204). The split order processing is performed by transmitting the generated split order data and the split order ID to the trading system 30 (S206). When one original order ID is selected from a plurality of original order IDs, the one with the smallest number indicated by the original order ID may be selected as an example.

  Then, the order processing unit 230 changes the split order status flag stored in the split order data DB 260 in association with the split order ID of the one split order data transmitted in S206 from “not ordered” to “in order”. And the original order status flag stored in the original order data DB 250 in association with the one original order ID stored in the order selection original order ID storage means in S202 is changed from the first status to the first status. 2 is updated to a flag indicating the situation of 2 (for example, “not ordered” to “in order”) (S208). Further, the ordered quantity stored in the original order data DB 250 in association with the one original order ID is updated to a value obtained by adding the order quantity of the divided order data transmitted in S206 (S208).

The contract establishment notification receiving unit 290 determines whether or not the contract establishment notification indicating the execution result of the divided order indicated by the one divided order data transmitted from the order processing unit 230 to the trading system 30 is received from the trading system 30 ( S210).
As an example, the contract completion notification receiving unit 290 includes a contract database (contract DB) for storing the contract completion notification from the trading system 30, and the split order transmitted from the order processing unit 230 to the trading system 30 together with the split order ID. It is assumed that the contract order notification of the sales order indicated by the data includes the split order ID, the contract unit price, the contract amount, and the remaining contract quantity, and when the contract notification notification unit 290 receives the contract notification, the contract notification is executed. It is stored in the DB, and it is determined whether the contract remaining quantity of the contract establishment notification is zero. If the contract remaining quantity is not zero, it is determined that a contract establishment notification indicating the execution result of the split order has not been received (S210; No), waits for the receipt of the next contract completion notification, and again determines whether or not the contract completion notification indicating the execution result of the split order has been received, When the fixed remaining quantity is zero, it is determined that the execution notification indicating the execution result of the split order is received (S210; Yes), and each execution including the same split order ID as the split order ID of the execution notification is received. The contracted unit price of the notification and its contracted amount are obtained from the contract DB, and the total contracted quantities obtained are summed to calculate the total contracted quantity of the split order of the split order ID, and the contracted unit price is weighted averaged by the contracted amount. The average contract unit price of 1 (the contract unit price of the split order with the split order ID) may be calculated. In addition, the execution DB that stores the execution notification is configured by using a relational database (RDB) as an example, and the division order ID field for storing the division order ID included in the execution notification, and the execution notification. A contract unit price field for storing the contract unit price included, a contract amount field for storing the contract constant quantity included in the contract completion notification, and a contract remaining quantity field for storing the contract remaining quantity included in the contract completion notification Etc. may be provided for each record, and these data stored in the same record may be associated with each other.

  As an example, the contract completion notification receiving unit 290 includes a contract DB for storing a contract completion notification from the trading system 30, and the trading indicated by the split order data transmitted from the order processing unit 230 to the trading system 30 together with the split order ID. It is assumed that the order fulfillment notification includes the split order ID, the contract unit price, and the contract amount, and when the contract fulfillment notification receiving unit 290 receives the contract fulfillment notification, the contract fulfillment notification is stored in the contract DB, and then The contract unit price and the contract amount of each contract completion notification including the same split order ID as the split order ID of the contract completion notification are acquired from the contract DB, and the total of the acquired contract constant amounts is added to the split order ID of the split order ID. Calculate the total contract amount and calculate the first average contract price (the contract unit price of the split order with the split order ID) by weighting the contract unit price with the contract constant amount. It is determined whether the calculated total contract amount is the same as the order quantity of the split order data associated with the split order ID in the split order data DB 260, and the order quantity of the split order data is the same as the total contract constant quantity. In this case, it is determined that a notice of execution of the execution of the split order is received (S210; Yes), and the execution of the execution of the split order is executed when the order quantity of the split order data is not the same as the total contract amount. It may be determined that the notification has not been received (S210; No), and the determination of whether or not the contract completion notification indicating the execution result of the split order has been received after waiting for the reception of the next contract establishment notification is performed again. In addition, the execution DB that stores the execution notification is configured by using a relational database (RDB) as an example, and the division order ID field for storing the division order ID included in the execution notification, and the execution notification. A contract unit price field for storing the contract unit price included and a contract amount field for storing the contract constant amount included in the notification of contract completion are provided for each record so that these data stored in the same record are associated with each other. It may be.

When it is determined that the execution notification indicating the execution result of the split order has been received (S210; Yes), the execution notification receiving unit 290 of the execution of the split order ID is associated with the split order ID of the executed split order data. The first average contract unit price and the total contract constant amount, which are the contract unit price of the order, are stored in the split order data DB 260 as the contract unit price and the contract constant amount, respectively, and the split order associated with the split order ID in the split order data DB 260 The status flag is updated from “in order” to “confirmed” (S212). Further, based on the original original order ID associated with the divided order ID in the divided order data DB 260, the quantity associated with the original original order ID in the original order data DB 250 is represented by the divided order ID. It is updated to a value obtained by adding the contracted constant amount (total contracted amount) of the split order (S212).
Next, the contract establishment notification receiving unit 290 determines whether or not the order quantity associated with the original order ID of the division source in the original order data DB 250 is equal to the completed quantity (S214). When the production quantities are equal (S214; Yes), the original order status flag associated with the original order ID of the original segment in the original order data DB 250 is changed from the second status to the third status (for example, “order The flag is updated from “medium” to “confirmed”) (S216), the original order ID of the division source is sent to the order processing unit 230, and the process proceeds to S218. When the order quantity is not equal to the completed quantity (S214; No), the original order ID of the division source is sent to the order processing unit 230, and the process proceeds to S218.

  Upon receipt of the original source order ID of the split source from the contract establishment notification receiving unit 290, the order processing unit 230 and each contract unit price stored in the split order data DB 260 in association with the received original source order ID and its A second average obtained by weighted averaging the contract unit price by the contract amount based on the completed quantity, the received order quantity, and the ordered quantity stored in association with the original order ID of the split original quantity and the original order ID of the division source. Calculates the contract unit price Av (the contract unit price of the trading order of the original order ID), calculates the completion rate J1 (= result quantity / order quantity) divided by the order quantity, and the quantity is the order quantity. The calculated market fulfillment rate J2 (= actual quantity / ordered quantity) is calculated, and the calculated average contract unit price Av, the work fulfillment rate J1, and the market fulfillment rate J2 are associated with the original order ID of the original source. Day And stores it in the DB250 (S218).

  Next, the order processing unit 230 includes the first or second status (“unordered” or “in order” as an example) in the original order status flag of each original order ID stored in the original order data DB 250. ) Is determined (S220), and if neither the flag indicating the first situation nor the flag indicating the second situation is present (S220; No), the processing of this flowchart is terminated. If there is a flag indicating the first condition or a flag indicating the second condition (S220; Yes), the process proceeds to S222.

  In S222, the order processing unit 230 determines whether there is a flag indicating the first status (for example, “unordered”) among the original order status flags of each original order ID stored in the original order data DB 250. If there is a flag indicating the first situation (S222; Yes), the process returns to S202, and if there is no flag indicating the first situation (S222; No), the process proceeds to S224.

  In S224, the order processing unit 230 determines whether there are a plurality of flags indicating the second status (for example, “in order”) among the original order status flags of each original order ID stored in the original order data DB 250. If there are a plurality of flags indicating the second status (S224; Yes), an average execution among a plurality of original order IDs corresponding to the original order status flags indicating the second statuses is determined. One original order ID having the largest discrepancy between the unit price Av and the reference price M is selected and stored in the maximum discrepancy original order ID storage means and the creation original selection order ID storage means (S226), indicating the second situation. If there is one flag (S224; No), one original order ID associated with the original order data DB 250 is selected as the original order status flag indicating the second status, and the maximum deviation original order ID is stored. Means and work It is stored in the use selection original order ID storage means (S228).

  In S226, when the formula ID stored in the formula ID storage unit 271 is 0, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. Each average contracted unit price Av is acquired, and for each acquired average contracted unit price Av, the divergence Z0 between the average contracted unit price Av and the reference price M is calculated by a divergence calculation formula Z0 = | M−Av | The average contract unit price Avmax is calculated and stored in the average contract unit price storage means in association with the average contract unit price Av, and the average contract unit price Avmax associated with the largest deviation Z0 among the average contract unit prices Av stored in the average contract unit price storage unit. And the average contract unit price Avm in which the deviation Z0 is the largest among the plurality of original order IDs corresponding to the plurality of original order status flags indicating the second status in the original order data DB 250 It may be configured to be stored in the maximum divergence original order ID storage means and creation selected original order ID storage means by selecting one of the original order ID corresponding to x.

  In S226, when the formula ID stored in the formula ID storage unit 271 is 1, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. The average contracted unit price Av and the fulfillment rate J1 are acquired, and the difference Z1 between the average contracted unit price Av and the reference price M for each acquired average contracted unit price Av and the fulfillment rate J1 is a divergence corresponding to the formula ID = 1. Calculated by the calculation formula Z1 = α × | M−Av | / M + (1−α) × (1−J1) and stored in association with the average contracted unit price Av and the fulfillment rate J1. The average contract unit price Avmax and the fulfillment rate J1m associated with the largest deviation Z1 among the average contract unit price Av and the fulfillment rate J1 stored in the means and stored in the average contract unit price / satisfaction rate storage unit x is obtained, and the plurality of original order status flags indicating the second situation correspond to the average contracted unit price Avmax and the fulfillment rate J1max with the largest deviation Z1 among the plurality of original order IDs corresponding in the original order data DB 250. A configuration may be adopted in which one original order ID is selected and stored in the maximum deviation original order ID storage means and the creation original selection order ID storage means.

  In S226, when the formula ID stored in the formula ID storage unit 271 is 2, the order processing unit 230 is associated with a plurality of original order status flags indicating the second status in the original order data DB 250. The average contracted unit price Av and the market fulfillment rate J2 are acquired, and the difference Z2 between the average contracted unit price Av and the reference price M for each acquired average contract unit price Av and the market fulfillment rate J2 corresponds to the formula ID = 2 The divergence calculation formula Z2 = α × | M−Av | / M− (1−α) × (1−J2) is calculated in association with the average contracted unit price Av and the market fulfillment rate J2. The average contract unit price Avm stored in the market fulfillment rate storage means and associated with the largest deviation Z2 among the average contract unit price Av stored in the market fulfillment rate storage means and the market fulfillment rate J2 x, the market fulfillment rate J2max, and the average contracted unit price Avmax and the market where the divergence Z2 is largest among the plurality of original order IDs corresponding to the plurality of original order status flags indicating the second status in the original order data DB 250 A configuration may be adopted in which one original order ID corresponding to the fulfillment rate J2max is selected and stored in the maximum deviation original order ID storage means and the creation original selection order ID storage means.

  The order processor 230 stores the original order stored in the original order data DB 250 in association with the original order ID based on the original order ID stored in the maximum deviation original order ID storage unit in S226 or S228. With reference to the split order quantity table 240 using the brand code included in the data as a key, the order quantity (split order quantity) to be ordered in the order quantity included in the original order data is acquired, and the acquired order quantity and the original order are included. Generate one split order data including information on the order contents of the order data, including information such as brand code other than the received order quantity, trading category, etc., and the generated one split order data and the one split order data A process for storing the divided order ID for identification, the original order ID, and the divided order status flag indicating “unordered” in the divided order data DB 260 is performed ( 230), it performs the division order processing generated with the one split order data by transmitting the divided order ID to the trading system 30 (S232).

  Then, the order processing unit 230 changes the split order status flag stored in the split order data DB 260 in association with the split order ID of the one split order data transmitted in S232 from “not ordered” to “in order”. The flag is updated (S234). Further, the ordered quantity stored in the original order data DB 250 in association with one original order ID (that is, the original order ID of the division source) stored in the maximum deviation original order ID storage means is transmitted in S232. The divided order data is updated to the value added with the order quantity (S234), and the process returns to S210.

  According to the order processing apparatus 20 of the second embodiment, a plurality of trade orders related to the same brand and trade classification are ordered with priority given to a split order with the largest difference between the contracted unit price and the reference price M. By doing so, it is possible to suppress the divergence of the contract unit price between a plurality of sales orders. In addition, when the formula ID is 1, divisional ordering is performed using the completion rate J1, and divisional ordering is performed so that the purchase order of a plurality of original order data can be distributed in consideration of the degree of order execution with respect to the order quantity. It can be performed. For example, even when the order quantity of multiple sales orders from customers is different, split ordering is performed so that the order execution progress with respect to the order quantity is taken into account (in other words, the progress is almost in line) It is possible to suppress the divergence of contract unit prices among a plurality of sales orders. If the formula ID is 2, the order is split using the market fulfillment rate J2, and the split order is placed so that it can be distributed taking into account the progress of the order execution with respect to the ordered quantity for multiple original order data trading orders. It can be performed. For example, even when the ordered quantities of a plurality of sales orders are different, it is possible to place a divided order so that the order execution progress with respect to the ordered quantities is taken into account (so that the progress is substantially horizontal). It is possible to suppress the divergence of the contract unit price between a plurality of sales orders.

  FIG. 10 is a flowchart for explaining an example of the process of creating the divided order data shown in S204 (S230) of the flowcharts of FIGS. The order processing unit 230 includes variable LIM storage means for storing the quantity indicated by the variable LIM, variable SUM storage means for storing the quantity indicated by the variable SUM, and divided order quantity for storing the divided order quantity BT. It is assumed that there is BT storage means and variable VOL storage means for storing the quantity indicated by the variable VOL.

First, the order processing unit 230 selects the original order data associated in the original order data DB 250 with one original order ID selected in S202 (S226 or S228) and stored in the selection original order ID storage means for creation. Is stored in the variable LIM storage means, the quantity indicated by the variable LIM is set to the order quantity of the original order data of the selected original order ID. Further, by storing the ordered quantity associated with the one original order ID in the original order data DB 250 in the variable SUM storage means, the created quantity indicated by the variable SUM is the original quantity of the one original order ID. The ordered quantity for the sales order indicated by the order data is set (S2040).
Further, the order processing unit 230 refers to the divided order quantity table 240 by using the brand code of the original order data associated with the one original order ID in the original order data DB 250 as a key, and corresponds to the brand code. The divided order quantity (partial order provisional quantity) BT to be acquired is acquired and stored in the divided order quantity BT storage means (S2041).

Next, the order processing unit 230 sums the divided order quantity BT stored in the divided order quantity BT storage unit and the total quantity (divided order quantity stored) indicated by the variable SUM stored in the variable SUM storage unit. It is determined whether or not (BT + variable SUM) is equal to or less than the order quantity indicated by the variable LIM stored in the variable LIM storage means (S2042).
If the total quantity (split order quantity BT + variable SUM) is less than or equal to the order quantity indicated by the variable LIM (S2042; Yes), the split order quantity BT stored in the split order quantity BT storage means is stored in the variable VOL storage means. As a result, the order quantity for the split order indicated by the variable VOL is set in the split order quantity BT (S2043), and the process proceeds to S2045.
When the total quantity (split order quantity BT + variable SUM) is larger than the order quantity indicated by the variable LIM (S2042; No), the order quantity indicated by the variable LIM stored in the variable LIM storage means is stored in the variable SUM storage means. The unordered remaining quantity (variable LIM−variable SUM) obtained by subtracting the created quantity indicated by the variable SUM being stored is stored in the variable VOL storage means, whereby the order quantity for the split order indicated by the variable VOL is determined as the unordered remaining quantity. (Variable LIM−Variable SUM) is set (S2044), and the process proceeds to S2045.

  Then, the order processing unit 230 uses the original order data DB 250 for the order quantity indicated by the variable VOL stored in the variable VOL storage means and the one original order ID stored in the creation selected original order ID storage means. To generate one split order data including data such as brand codes other than the order quantity, trading category, etc. in the associated original order data, and to identify the generated one split order data and the one split order data The divided order ID, the original order ID, and the divided order status flag indicating “unordered” are stored in the divided order data DB 260 in association with each other (S2045), and the processing of this flowchart ends. In step S2045, the order processing unit 230 executes the original order data DB 250 for the order quantity indicated by the variable VOL stored in the variable VOL storage unit and the one original order ID stored in the creation selection original order ID storage unit. Generate one split order data including the stock code other than the received order quantity, the trading category and the order price among the original order data associated in step 1, and split the generated one split order data and the one split order data. The order ID, the original order ID, and the divided order status flag indicating “unordered” may be associated with each other and stored in the divided order data DB 260. The market information acquisition unit 280 stores the reference price as the order price of the divided order data. The reference price stored in the unit 273 may be used, and the current limit price or priority limit price may be used.

  In the order processing apparatus 20, the market information acquisition unit 280 includes a market information storage unit that stores market information of securities, and the divided order quantity table 240 stores a reference order quantity storage that stores a reference order quantity serving as a threshold. The market information including the market price (current value) and board information (indication information) of the securities in the trading system 30 of the stock exchange, which is an example of a securities trading market system, is acquired and acquired. The market price and board information of the securities and the brand code of the securities are associated with each other and stored in the market information storage means and updated, and stored in the original order data DB 250 among the market information stored in the market information storage means. The market price of the securities indicated by the same stock code is written in the reference price storage unit 273 as the reference price M, and the reference price M is updated. Order quantity of the trading category on the opposite side to the same trading category stored in the original order data DB 250 in the board information related to the same brand code stored in the original order data DB 250 among the board information stored in the storage means. Alternatively, when the total order quantity obtained by summing up the order quantities of the trading units on the opposite side is equal to or larger than the reference order quantity stored in the reference order quantity storage means, the split order quantity table 240 displays the split order quantity of the stock code. For example, the divided order quantity of the brand code may be n times the trading unit quantity of the brand code (n is a natural number), and the value of n may be increased.

  As an example, the market information acquisition unit 280 includes a market information storage unit that stores market information of securities, and the split order quantity table 240 receives a brand code that serves as a key when referring to the split order quantity table 240. Stock code receiving means, first reference order quantity storage means for storing a first reference order quantity, and second reference order quantity storage means for storing a second reference order quantity larger than the first reference order quantity. A brand / trading unit quantity table for storing the trading unit quantity of the brand for each brand code indicating the brand, a reference multiplier storage means for storing the reference multiplier n, a comparison means, and a computing means, and market information The acquisition unit 280 is a market price (current value) of securities and board information (indication information) in the trading system 30 of the stock exchange, which is an example of a securities trading market system. Market information including the market price and board information of the obtained securities and the stock code of the securities are stored in the market information storage means and updated, and the market information stored in the market information storage means Among them, the market price of the securities indicated by the same stock code stored in the original order data DB 250 is written as the reference price M in the reference price storage unit 273 to update the reference price M, and the comparison means is stored in the market information storage means. Among the stored board information, the board information relating to the same brand code stored in the original order data DB 250 and having information indicating a buy order quantity and a sell order quantity within a predetermined range including the current value. Sum total of the order quantity of the trading section on the opposite side to the same trading section stored in the original order data DB 250 or the order quantity of the trading section on the opposite side Quantity (for example, if the same trading category indicates buying and the same order price specifies a limit, the total quantity of each selling order quantity at the price below the limit in the board information) In the case where the same trading category indicates selling and the same order price specifies a limit, the total quantity of each purchase order quantity at a price equal to or higher than the limit price is used in the board information. If the same trading category indicates buying, and the same order price specifies market, the total quantity of selling orders in the board information is the same, and the same trading category indicates selling. If the same order price specifies a market, the total quantity of the purchase order quantity in the board information is less than the first reference quantity stored in the first reference order quantity storage means. 0 is output as the output value k. If the value is equal to or greater than the first reference order quantity and less than the second reference order quantity stored in the second reference order quantity storage means, the first natural number n1 is output as the output value k, and the second Output the second natural number n2 larger than the first natural number n1 as the output value k, and the computing means outputs the output value k of the comparing means and the reference magnification stored in the reference magnification storage means. Split order quantity (= addition result x trading unit quantity) obtained by adding n and multiplying the addition result (n + k) and the brand code received by the brand code receiving means by the trading unit quantity associated with the brand / trading unit quantity table May be configured to increase the divided order quantity when the order quantity in the opposite trading section in the board information is large. As an example, the first natural number n1 = 1 and the second natural number n2 = 2 and It may be.

  In the order processing apparatus 20 according to the first and / or the second embodiment, the reference price storage unit 273 stores the market price in the transaction market system of the securities indicated by the same brand code stored in the original order data DB 250. Although it is configured to store as a reference price, the contract unit price notification reception unit 290 may store the contract price of the latest contract completion notification, which is the acquisition price, as a reference price. Is received as a reference price M, the contract unit price included in the notification of contract completion is set as a reference price M when the code included in the notification of contract completion is the same code stored in the original order data DB 250. The reference price M may be updated by writing it in the section 273, and in this way the trading system is used as the reference price M. It is also possible to use a price that was committed at 30. The setting value α may be a value larger than 0, a value smaller than 1, a value larger than 0 and smaller than 1, and as an example, an initial value (default value) is set to 0.5. The difference between the market price M and the average contract unit price Av can be emphasized by setting the set value α to a value smaller than 0.5 (a value close to 0 such as 0 or 0.1 as an example). In this way, it is possible to make settings for split ordering, and by setting the setting value α to a value larger than 0.5 (as an example, a value close to 1 such as 1 or 0.9), the fulfillment rate J1 or the market It is possible to make a setting for split ordering so that the fulfillment rate J2 is emphasized.

  In the order processing apparatus 20 according to the first and / or the second embodiment, the computer includes a communication control unit 210, an order data acquisition unit 220, an order processing unit 230, a split order quantity table 240, an original order data DB 250, and split order data. The DB 260, the parameter storage unit 270, the market information acquisition unit 280, and the program for functioning as the contract completion notification reception unit 290 may be installed in a computer to implement each function. The order processing apparatus 20 may be configured by a server. This program may be installed in a computer via a recording medium, for example, and the recording medium for storing the program may be a flexible disk, a CD-ROM, a CD-R, a CD-R / W, a DVD-RAM, an MO, for example. In addition, a removable disk such as a semiconductor memory, a hard disk, or the like may be used. Further, this program may be installed in a computer by being downloaded through a communication line such as the Internet.

  The present invention is not limited to the above-described embodiments, and various modifications can be made without departing from the spirit of the present invention.

Schematic for demonstrating the use environment of the order processing apparatus which concerns on one Embodiment of this invention. The block diagram which shows an example of a structure of the order processing apparatus which concerns on one Embodiment of this invention. Explanatory drawing which shows an example of a data structure of original order data DB in a table format. Explanatory drawing which shows an example of a data structure of division | segmentation order data DB in a table format. The 1st flowchart for demonstrating an example of the process which the order processing apparatus which concerns on the 1st Embodiment of this invention performs. FIG. 6 is a second flowchart for explaining an example of processing performed by the order processing apparatus according to the first embodiment of the present invention following FIG. 5. The flowchart for demonstrating an example of the process which produces the division order data shown to S102 of the flowchart of FIG. The 1st flowchart for demonstrating an example of the process which the order processing apparatus which concerns on the 2nd Embodiment of this invention performs. FIG. 9 is a second flowchart for explaining an example of processing performed by the order processing apparatus according to the second embodiment of the present invention following FIG. 8. The flowchart for demonstrating an example of the process which produces the division order data shown to S204 of the flowchart of FIG.

Explanation of symbols

  DESCRIPTION OF SYMBOLS 10 ... Terminal device, 20 ... Order processing apparatus, 30 ... Trading system (transaction market system), 210 ... Communication control part, 220 ... Order data acquisition part, 230 ... Order processing , 240 ... split order quantity table, 250 ... original order data DB (original order data storage), 260 ... split order data DB (split order data storage), 270 ... parameter storage 271: Formula ID storage unit (Mathematical formula identification number storage unit), 272 ... Setting value storage unit, 273 ... Base price storage unit, 280 ... Market information acquisition unit, 290 ... Contract completed Notification receiver

Claims (12)

Split order processing is performed based on original order data including order identification data indicating order issues, such as order identification data indicating purchase orders of securities, information indicating order contents such as trade classification, order quantity, etc. In order processing equipment,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order data storage unit that stores an original order status flag indicating zero and a generated quantity indicating zero;
The order quantity included in the original order data for each of the plurality of original order data stored in the original order data storage unit in association with the original order identification number and the original order status flag indicating the first status Identify each split order data, including the order quantity consisting of the divided quantity and the information indicating the order contents of the original order data, including the order identification information other than the received order quantity, and information such as trading category. A divided order data storage unit for storing an order identification number for performing, an original order identification number of the original order data, and a divided order status flag indicating unordered;
Each of the plurality of original order identification numbers stored in association with the original order status flag indicating the first status in the original order data storage unit is sequentially selected, and the selected original order identification number and unordered are selected. The split order data stored in the split order data storage unit in association with the split order status flag shown and the split order data to be ordered from the order identification number and the order identification number are selected to select the securities The split order processing is performed by transmitting to the trading market system, and the split order status flag stored in the split order data storage unit is associated with the order identification number of the transmitted split order data. The original order status flag stored in the original order data storage unit in association with the selected original order identification number is updated And order processing section for updating the flag indicating the status,
Received from the trading market system a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit to the trading market system, and received the order of the split order data included in the contract completion notification The contracted unit price of the split order indicated by the contract establishment notification in association with the identification number is stored in the split order data storage unit, and the order identification number of the split order data is associated with the split order data storage unit The split order status flag is updated to a flag indicating completion, and the original order data is stored for the original order identification number of the split source associated with the order identification number of the split order data in the split order data storage unit Update the value associated with the division to a value obtained by adding the fixed amount of the split order indicated by the notification of completion of the contract. When the order quantity associated with the order identification number in the original order data storage unit is equal to the updated quantity, the original order identification number of the division source is associated with the original order data storage unit. A contract completion notification receiving unit for updating the original order status flag to a flag indicating a third status;
The contract unit price of the contract completion notification that is the market price of the securities indicated by the same brand identification information stored in the original order data storage unit in the trading market system or the acquisition price thereof by the contract notification receiver And a reference price storage unit for storing
The order processing unit
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit An average execution unit price is calculated by averaging the respective contract unit prices stored in association with the divided order data storage unit with respect to the order status flag, and the calculated average execution unit price is associated with the original order identification number. Stored in the original order data storage unit,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit Based on the average contract unit price that has the largest deviation from the reference price stored in the reference price storage unit among the average contract unit prices associated with the status flag, the original order data storage unit stores the second contract price. The original order identification number corresponding to the average contract price at which the deviation is the largest is selected from the original order identification numbers associated with the original order status flag indicating the status of the selected original order identification number No. Ordered from the unordered split order data stored in the split order data storage unit in association with the split order status flag indicating the number and the unordered order and the order identification number and the order The division order processing is performed by selecting an identification number and transmitting it to the trading market system, and the division stored in the division order data storage unit in association with the order identification number of the transmitted division order data An order processing apparatus, wherein an order status flag is updated to a flag indicating that an order is being placed. The order processing unit
When there is a flag indicating the first status in the original order status flag stored in the original order data storage unit, the original status indicating the first status in the original order data storage unit One original order identification number is selected from the original order identification numbers associated with the order status flag, and the divided order data associated with the selected original order identification number and the divided order status flag indicating unordered The divided order data stored in the storage unit and the divided order data to be ordered from the order identification number and the order identification number are selected and transmitted to the trading market system to perform the divided order processing, and the transmission The split order status flag stored in the split order data storage unit in association with the order identification number of the split order data thus updated is updated to a flag indicating that the order is in progress. Is intended to update the original order status flag in association with the original order identification number stored in the original order data storage unit in the flag indicating the second situation,
In the second case where the original order status flag stored in the original order data storage unit has no flag indicating the first status and there is one flag indicating the second status, the original order status flag is stored. Selecting one original order identification number associated with the original order status flag indicating the second status in the order data storage unit;
In the third case where the original order status flag stored in the original order data storage section does not include the flag indicating the first status and there are a plurality of flags indicating the second status, the original order The average that has the largest deviation from the reference price stored in the reference price storage unit among the average execution unit prices associated with the plurality of original order status flags indicating the second status in the data storage unit Based on the contract unit price, the one corresponding to the average contract unit price that has the largest deviation from the original order identification number associated with the plurality of original order status flags indicating the second status in the original order data storage unit. Select the original order identification number
The unordered split order data stored in the split order data storage unit in association with the selected original order identification number and the split order status flag indicating unordered in the second or third case; The divided order data to be ordered from the order identification number and the order identification number are selected and transmitted to the trading market system to perform the divided order processing, and associated with the order identification number of the transmitted divided order data. The order processing apparatus according to claim 1, wherein the split order status flag stored in the split order data storage unit is updated to a flag indicating that an order is being placed. The order processing unit
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the order status flag, and the original order data storage is stored in the original order identification number of the split source The completed quantity associated with the original order identification number is divided by the received order quantity of the original order data associated with the original order data storage unit to calculate the completion rate J1. The average contract unit price Av and the completion rate J1 are stored in the original order data storage unit in association with the original order identification number,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit The following divergence calculation formula using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less among the average contracted unit price Av and the fulfillment rate J1 associated with the status flag ( The original order associated with the original order status flag indicating the second status in the original order data storage unit based on the average contracted unit price Av and the fulfillment rate J1 with which the difference Z1 indicated by 1) is the largest value A split order status indicating that the selected original order identification number corresponding to the average contracted unit price Av and the fulfillment rate J1 where the deviation Z1 is the largest from the identification number is selected, and indicating the selected original order identification number and unordered Selecting and sending the order identification number and the order identification number to be ordered from the unordered division order data stored in the division order data storage unit in association with the lag and the order identification number to the trading market system The split order processing is performed by the method, and the split order status flag stored in the split order data storage unit in association with the order identification number of the transmitted split order data is updated to a flag indicating that an order is being placed. 2. The order processing apparatus according to claim 1, wherein
Z1 = α × | M−Av | / M + (1−α) × (1−J1) (1) Split order processing is performed based on original order data including order identification data indicating order issues, such as order identification data indicating purchase orders of securities, information indicating order contents such as trade classification, order quantity, etc. In order processing equipment,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order status flag indicating zero, an ordered order quantity indicating zero, and an original order data storage unit for storing in association with the completed quantity;
The order quantity included in the original order data for each of the plurality of original order data stored in the original order data storage unit in association with the original order identification number and the original order status flag indicating the first status Identify each split order data, including the order quantity consisting of the divided quantity and the information indicating the order contents of the original order data, including the order identification information other than the received order quantity, and information such as trading category. A divided order data storage unit for storing an order identification number for performing, an original order identification number of the original order data, and a divided order status flag indicating unordered;
Each of the plurality of original order identification numbers stored in association with the original order status flag indicating the first status in the original order data storage unit is sequentially selected, and the selected original order identification number and unordered are selected. The split order data stored in the split order data storage unit in association with the split order status flag shown and the split order data to be ordered from the order identification number and the order identification number are selected to select the securities The split order processing is performed by transmitting to the trading market system, and the split order status flag stored in the split order data storage unit is associated with the order identification number of the transmitted split order data. The original order status flag stored in the original order data storage unit in association with the selected original order identification number is updated Update to a flag indicating the status, and the value obtained by adding the order quantity of the transmitted divided order data to the ordered quantity stored in the original order data storage unit in association with the original order identification number An order processing unit to be updated to
Received from the trading market system a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit to the trading market system, and received the order of the split order data included in the contract completion notification The contracted unit price of the split order indicated by the contract establishment notification in association with the identification number is stored in the split order data storage unit, and the order identification number of the split order data is associated with the split order data storage unit The split order status flag is updated to a flag indicating completion, and the original order data is stored for the original order identification number of the split source associated with the order identification number of the split order data in the split order data storage unit Update the value associated with the division to a value obtained by adding the fixed amount of the split order indicated by the notification of completion of the contract. When the order quantity associated with the order identification number in the original order data storage unit is equal to the updated quantity, the original order identification number of the division source is associated with the original order data storage unit. A contract completion notification receiving unit for updating the original order status flag to a flag indicating a third status;
The contract unit price of the contract completion notification that is the market price of the securities indicated by the same brand identification information stored in the original order data storage unit in the trading market system or the acquisition price thereof by the contract notification receiver And a reference price storage unit for storing
The order processing unit
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the order status flag, and the original order data storage is stored in the original order identification number of the split source The market fulfillment rate J2 is calculated by dividing the produced quantity associated with the original order identification number by the ordered quantity associated with the original order data storage unit, and the calculated average contract price Av and market fulfillment rate J2 are associated with the original order identification number and stored in the original order data storage unit,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit The following divergence calculation formula using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less among the average contracted unit price Av and the market fulfillment rate J2 associated with the situation flag Based on the average contracted unit price Av and market fulfillment rate J2 at which the deviation Z2 indicated by (2) is the largest, the original order data storage unit is associated with the original order status flag indicating the second status. One original order identification number corresponding to the average contracted unit price Av and market fulfillment rate J2 at which the deviation Z2 is largest from the original order identification number is selected, and the selected original order identification number and unordered are indicated. Select the split order data to be ordered from the unordered split order data stored in the split order data storage unit in association with the split order status flag and the order identification number and the order identification number to the trading market system. The split order processing is performed by transmitting, and the split order status flag stored in the split order data storage unit in association with the order identification number of the transmitted split order data is updated to a flag indicating that an order is being placed An order processing apparatus characterized by:
Z2 = α × | M−Av | / M− (1−α) × (1−J2) (2) Split order processing is performed based on original order data including order identification data indicating order issues, such as order identification data indicating purchase orders of securities, information indicating order contents such as trade classification, order quantity, etc. In order processing equipment,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order data storage unit that stores an original order status flag indicating zero and a generated quantity indicating zero;
A divided order quantity table in which the order quantity to be ordered by dividing the order quantity of the trading order of the securities is determined for each brand identification information indicating the securities;
Each of the plurality of original order identification numbers stored in association with the original order status flag indicating the first status in the original order data storage unit is sequentially selected and associated with the selected original order identification number. The order quantity consisting of the order quantity to be ordered by dividing the order quantity contained in the original order data with reference to the split order quantity table using the brand identification information contained in the stored original order data as a key and the order quantity Generate split order data including information such as brand identification information other than the received order quantity and information such as trade classification among the information indicating the order contents of the original order data, and identify the generated split order data and the split order data The divided order data rating is obtained by associating the selected original order identification number, which is the original order identification number of the original order data, and the divided order status flag indicating unordered. The split order data and the order identification number stored therein are transmitted to the securities trading market system to perform split order processing, corresponding to the order identification number of the transmitted split order data In addition, the split order status flag stored in the split order data storage unit is updated to a flag indicating that the order is in progress, and stored in the original order data storage unit in association with the selected original order identification number. An order processing unit that updates the original order status flag to a flag indicating a second status;
Received from the trading market system a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit to the trading market system, and received the order of the split order data included in the contract completion notification The contracted unit price of the split order indicated by the contract establishment notification in association with the identification number is stored in the split order data storage unit, and the order identification number of the split order data is associated with the split order data storage unit The split order status flag is updated to a flag indicating completion, and the original order data is stored for the original order identification number of the split source associated with the order identification number of the split order data in the split order data storage unit Update the value associated with the division to a value obtained by adding the fixed amount of the split order indicated by the notification of completion of the contract. When the order quantity associated with the order identification number in the original order data storage unit is equal to the updated quantity, the original order identification number of the division source is associated with the original order data storage unit. A contract completion notification receiving unit for updating the original order status flag to a flag indicating a third status;
The contract unit price of the contract completion notification that is the market price of the securities indicated by the same brand identification information stored in the original order data storage unit in the trading market system or the acquisition price thereof by the contract notification receiver And a reference price storage unit for storing
The order processing unit
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit An average execution unit price is calculated by averaging the respective contract unit prices stored in association with the divided order data storage unit with respect to the order status flag, and the calculated average execution unit price is associated with the original order identification number. Stored in the original order data storage unit,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit Based on the average contract unit price that has the largest deviation from the reference price stored in the reference price storage unit among the average contract unit prices associated with the status flag, the original order data storage unit stores the second contract price. The original order identification number corresponding to the average contract price at which the deviation is the largest is selected from the original order identification numbers associated with the original order status flag indicating the status of the selected original order identification number The order quantity included in the original order data is divided and ordered by referring to the divided order quantity table with the brand identification information included in the original order data stored in association with the number as a key. Generating divided order data including information such as order identification information other than the received order quantity, information such as trade classification among the order quantity consisting of the order quantity and the order contents of the original order data, The divided order data storage unit which associates an order identification number for identifying the divided order data, the one original order identification number which is an original order identification number of the original order data, and a divided order status flag indicating unordered The split order data and the order identification number stored therein are transmitted to the securities trading market system to perform split order processing and correspond to the order identification number of the transmitted split order data An order processing apparatus, wherein the split order status flag stored in the split order data storage unit is updated to a flag indicating that an order is being placed. The order processing unit
When there is a flag indicating the first status in the original order status flag stored in the original order data storage unit, the original status indicating the first status in the original order data storage unit The brand identification information included in the original order data stored in association with the selected original order identification number is selected from the original order identification number associated with the order status flag. Of the information indicating the order quantity of the order quantity of the original order data and the order quantity of the original order data, the order quantity to be ordered by dividing the order quantity included in the original order data with reference to the split order quantity table Generates split order data including information such as brand identification information other than quantity and information such as trading category, and generates the generated split order data, the order identification number for identifying the split order data, and the original order data The one original order identification number which is the original order identification number and the divided order status flag indicating unordered are associated and stored in the divided order data storage unit, and the stored divided order data and the order identification number are stored in the divided order data storage unit. The split order status flag stored in the split order data storage unit is associated with the order identification number of the transmitted split order data by performing split order processing by transmitting to a securities trading market system. The flag is updated to a flag indicating that the order is in progress, and the original order status flag stored in the original order data storage unit in association with the one original order identification number is updated to a flag indicating a second status. ,
In the second case where the original order status flag stored in the original order data storage unit has no flag indicating the first status and there is one flag indicating the second status, the original order status flag is stored. Selecting one original order identification number associated with the original order status flag indicating the second status in the order data storage unit;
In the third case where the original order status flag stored in the original order data storage section does not include the flag indicating the first status and there are a plurality of flags indicating the second status, the original order The average that has the largest deviation from the reference price stored in the reference price storage unit among the average execution unit prices associated with the plurality of original order status flags indicating the second status in the data storage unit Based on the contract unit price, the one corresponding to the average contract unit price that has the largest deviation from the original order identification number associated with the plurality of original order status flags indicating the second status in the original order data storage unit. Select the original order identification number
In the second or third case, the split order quantity is used with the brand identification information included in the original order data stored in the original order data storage unit in association with the selected one original order identification number as a key. Stock identification information other than the order quantity among the order quantity consisting of the order quantity to be ordered by dividing the order quantity included in the original order data with reference to the table, and the order contents of the original order data, Generate the divided order data including information such as trading category, and the one original order which is the generated divided order data, the order identification number for identifying the divided order data, and the original order identification number of the original order data An identification number and a divided order status flag indicating unordered are associated and stored in the divided order data storage unit, and the stored divided order data and the order identification number are stored in the securities. A split order processing is performed by transmitting to the pull market system, and the split order status flag stored in the split order data storage unit is associated with the order identification number of the transmitted split order data. The order processing apparatus according to claim 5, wherein the order processing apparatus is updated to a flag to be displayed. The order processing unit
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the order status flag, and the original order data storage is stored in the original order identification number of the split source The completed quantity associated with the original order identification number is divided by the received order quantity of the original order data associated with the original order data storage unit to calculate the completion rate J1. The average contract unit price Av and the completion rate J1 are stored in the original order data storage unit in association with the original order identification number,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit The following divergence calculation formula using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less among the average contracted unit price Av and the fulfillment rate J1 associated with the status flag ( 3) The original order associated with the original order status flag indicating the second status in the original order data storage unit based on the average contracted unit price Av and the fulfillment rate J1 at which the deviation Z1 indicated by 3) is the largest. From the identification number, select one original order identification number corresponding to the average contract price Av and the fulfillment rate J1 where the deviation Z1 is the largest,
The original order data is referred to the divided order quantity table by using the brand identification information included in the original order data stored in the original order data storage unit in association with the selected original order identification number as a key. A divided order including an order quantity composed of the order quantity to be ordered by dividing the order quantity included and information such as brand identification information other than the order quantity and information such as trade classification among information indicating the order contents of the original order data Generated data, order identification number for identifying the generated divided order data, the original order identification number that is the original order identification number of the original order data, and the divided order status indicating unordered A flag is associated and stored in the split order data storage unit, and the stored split order data and its order identification number are transmitted to the securities trading market system. The split order processing is performed by the method, and the split order status flag stored in the split order data storage unit in association with the order identification number of the transmitted split order data is updated to a flag indicating that an order is being placed. 6. The order processing apparatus according to claim 5, wherein
Z1 = α × | M−Av | / M + (1−α) × (1−J1) (3) Split order processing is performed based on original order data including order identification data indicating order issues, such as order identification data indicating purchase orders of securities, information indicating order contents such as trade classification, order quantity, etc. In order processing equipment,
A plurality of the original order data indicating a plurality of buy / sell orders in which the brand identification information and the buy / sell classification are the same as each other, an original order identification number which is order identification information for identifying the original order data, and a first situation An original order status flag indicating zero, an ordered order quantity indicating zero, and an original order data storage unit for storing in association with the completed quantity;
A divided order quantity table in which the order quantity to be ordered by dividing the order quantity of the trading order of the securities is determined for each brand identification information indicating the securities;
Each of the plurality of original order identification numbers stored in association with the original order status flag indicating the first status in the original order data storage unit is sequentially selected and associated with the selected original order identification number. The order quantity consisting of the order quantity to be ordered by dividing the order quantity contained in the original order data with reference to the split order quantity table using the brand identification information contained in the stored original order data as a key and the order quantity Generate split order data including information such as brand identification information other than the received order quantity and information such as trade classification among the information indicating the order contents of the original order data, and identify the generated split order data and the split order data The divided order data rating is obtained by associating the selected original order identification number, which is the original order identification number of the original order data, and the divided order status flag indicating unordered. The split order data and the order identification number stored therein are transmitted to the securities trading market system to perform split order processing, corresponding to the order identification number of the transmitted split order data In addition, the split order status flag stored in the split order data storage unit is updated to a flag indicating that the order is in progress, and stored in the original order data storage unit in association with the selected original order identification number. The original order status flag is updated to a flag indicating the second status, and the ordered quantity stored in the original order data storage unit in association with the original order identification number is sent to the transmitted division An order processing unit for updating the order data to a value obtained by adding the order quantity;
Received from the trading market system a contract completion notification indicating the execution result of the split order indicated by the split order data transmitted from the order processing unit to the trading market system, and received the order of the split order data included in the contract completion notification The contracted unit price of the split order indicated by the contract establishment notification in association with the identification number is stored in the split order data storage unit, and the order identification number of the split order data is associated with the split order data storage unit The split order status flag is updated to a flag indicating completion, and the original order data is stored for the original order identification number of the split source associated with the order identification number of the split order data in the split order data storage unit Update the value associated with the division to a value obtained by adding the fixed amount of the split order indicated by the notification of completion of the contract. When the order quantity associated with the order identification number in the original order data storage unit is equal to the updated quantity, the original order identification number of the division source is associated with the original order data storage unit. A contract completion notification receiving unit for updating the original order status flag to a flag indicating a third status;
The contract unit price of the contract completion notification that is the market price of the securities indicated by the same brand identification information stored in the original order data storage unit in the trading market system or the acquisition price thereof by the contract notification receiver And a reference price storage unit for storing
The order processing unit includes:
A division indicating the original order identification number of the division source and the agreement that has been associated with the order identification number of the division order data included in the division completion notification received by the agreement establishment notification receiving unit in the division order data storage unit The average contract unit price Av is calculated by averaging each contract unit price stored in association with the split order data storage unit with respect to the order status flag, and the original order data storage is stored in the original order identification number of the split source The market fulfillment rate J2 is calculated by dividing the completed quantity associated with the original order identification number by the ordered quantity associated with the original order data storage unit, and the calculated average contract price Av And the market fulfillment rate J2 in association with the original order identification number and stored in the original order data storage unit,
When there are a plurality of flags indicating the second status in the original order status flag stored in the original order data storage unit, the original order indicating the second status in the original order data storage unit The following divergence calculation formula using the reference price M stored in the reference price storage unit and the set value α of 0 or more and 1 or less among the average contracted unit price Av and the market fulfillment rate J2 associated with the situation flag Based on the average contracted unit price Av and market fulfillment rate J2 at which the divergence Z2 indicated by (4) is the largest, the original order data storage unit is associated with the original order status flag indicating the second status. One original order identification number corresponding to the average contracted unit price Av and market fulfillment rate J2 at which the deviation is largest from the original order identification number is selected and stored in association with the selected original order identification number. The order quantity including the order quantity to be ordered by dividing the order quantity included in the original order data with reference to the split order quantity table with the brand identification information included in the original order data as a key, and the original order data Order identification number for generating split order data including information such as brand identification information other than the received order quantity and information such as trade classification among the information indicating the order contents of the order, and identifying the generated split order data and the split order data And the one original order identification number which is the original order identification number of the original order data and the divided order status flag indicating unordered are stored in the divided order data storage unit in association with each other, the stored divided order data, The order identification number is transmitted to the securities trading market system to perform split order processing, and the order identification number of the transmitted split order data is An order processing apparatus, wherein the divided order status flag stored in the divided order data storage unit in association is updated to a flag indicating that an order is being placed.
Z2 = α × | M-Av | / M- (1-α) × (1-J2) (4) The reference price storage unit stores, as the reference price, the contract unit price of the latest execution notification of split orders indicated by the split order data transmitted from the order processing unit to the trading market system. The order processing apparatus as described in any one of Claims 1-8. The original order data includes brand identification information indicating a brand to be ordered, trading category, order quantity and order price,
The original order data storage unit includes a plurality of the original order data indicating a plurality of purchase orders in which the brand identification information, the trade classification and the order price are the same, and an order identification for identifying the original order data. The information is stored in association with an original order identification number, which is information, an original order status flag indicating a first status, and a production quantity indicating zero. The order processing device according to one item. The original order data includes brand identification information indicating a brand to be ordered, trading category, order quantity and order price,
The original order data storage unit includes a plurality of the original order data indicating a plurality of purchase orders in which the brand identification information, the trade classification and the order price are the same, and an order identification for identifying the original order data. The original order identification number which is information, the original order status flag indicating the first status, the ordered quantity indicating zero, and the completed quantity are stored in association with each other. Order processing equipment.   The program for functioning a computer as an order processing apparatus as described in any one of Claims 1-11.

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