JPH06236383A - Position optimization method and system - Google Patents

Abstract

(57) [Summary] [Purpose] To grasp the situation such as the balance of own position and profit / loss characteristics in real time so that the expected profit can be obtained. [Structure] The market price information and transaction history information of trading products are sequentially fetched from the network in real time, and the balance of the position quota is set for each position quota, which is the profit and loss management unit of the already traded commodities, based on the fetched quotation information and transaction trace information. And the evaluation values of the profit and loss characteristics and the like are calculated in real time, and the calculated evaluation values such as the balance of the position frame and the profit and loss characteristics are displayed in real time.

Description

Detailed Description of the Invention

[0001]

[Industrial field of application] The present invention is suitable for dealing with securities transactions such as stocks and bonds, short-term money transactions such as calls and bills, and dealing business that supports and manages buying and selling decisions of trading products in foreign exchange transactions. The present invention relates to a position optimization method and system, and more particularly, to a method and system for optimizing the profit and loss characteristics of trading products, which change momentarily in response to changes in market prices.

[0002]

2. Description of the Related Art In dealing business of banks and securities companies, trading systems such as stocks and bonds are bought and sold by a dealing system installed in a dealing room.

In this dealing business, when a dealer buys and sells products such as stocks and bonds, the ultimate purpose is to trade the products so that the profit and loss management unit of the dealer, that is, the expected profit of the position is maximized. .

[0004] Therefore, conventionally, market timing information that changes from moment to moment and trading timing determination information such as technical analysis are obtained from a trading support system installed in a securities company, and based on this information, the expected return of a position is maximized. I try to trade the goods.

In this case, the dealing system is generally realized as a decision support system which is operated offline without connecting the dealing system and the trading support system online. Further, there are many methods in which the dealer manually inputs information that maximizes expected profit, that is, information that is necessary for position optimization.

On the other hand, as disclosed in Japanese Unexamined Patent Publication No. 4-44128, "Transactions that qualitatively satisfy a set adjustment target by analyzing the characteristics of profit and loss functions of individual transactions that constitute own positions. Add content as a trading strategy "
There is a system called.

[0007]

[Problems to be Solved by the Invention] However, the profit and loss characteristics of a position operated in an actual dealing business are constantly exposed to changes in the market price that change from moment to moment, and the market price must be optimized in order to optimize the position. It is necessary to monitor and evaluate profit and loss characteristics that correspond to changes in

However, in the above conventional dealing system, since the trading support system is operated off-line, the dealer executes the trading of the commodity after the trading timing information at a certain time is provided. Until that time, it is necessary to analyze the trading timing information and perform trading procedures. Therefore, there is a time lag between the time the transaction timing information is provided and the time the merchandise is traded, corresponding to the time required for these procedures. Therefore, if the market price changes during this time lag, the actual profit will differ from the expected profit. That is, there is a problem that the position cannot be optimized sufficiently.

Further, because of the above-mentioned time difference, the dealer who is the user cannot know the status of his / her position and the timing of position adjustment in real time. Therefore, similarly to the above, there is a problem that the position cannot be fully optimized.

On the other hand, in the conventional system disclosed in the above publication, the transaction adopted as the trading strategy that qualitatively satisfies the adjustment target of the holding position is targeted for new purchase and sale from the market, Transfers between positions of acquired products are not included as trading options.
Therefore, there is a problem that the function is insufficient to operate in an actual dealing business.

Further, the scope of optimization is limited to individual positions, and replacement operations across positions and optimization of positions in the entire organization are not handled. Therefore, there is a problem that the position cannot be optimized in the entire organization.

A first object of the present invention is to provide a position optimizing system and system which can obtain the expected profit by being able to know the status of its own position and profit / loss characteristics in real time.

A second object is to provide a position optimizing system and system capable of knowing the timing of position adjustment accompanying a change in position balance in real time and obtaining expected profit.

A third object is to provide a position optimizing method and system capable of formulating a plurality of trading strategies including a change between positions and maximizing the profit of the entire dealing organization.

[0015]

In order to achieve the above-mentioned first object, the present invention sequentially fetches market price information and transaction information of trading products from a network in real time, and based on the fetched market information and transaction information, For each position frame, which is the profit and loss management unit of the committed transaction product, calculate the evaluation value of the balance of the position frame and profit and loss characteristics in real time, and display the calculated evaluation value of the balance of the position frame and profit and loss characteristics in real time. It was done like this.

In order to achieve the second object,
The market information and transaction information of trading products are sequentially captured from the network in real time, and based on the captured market information and transaction information, the balance of the position quota and profit and loss characteristics are calculated for each position quota that is the profit and loss management unit of the finalized transaction commodity. The evaluation value is calculated in real time, and the calculated evaluation values such as the balance and profit / loss characteristic value of the position frame are displayed in real time, and the evaluation value is compared with the risk management index of the preset position frame to evaluate the evaluation value. When is reached the limit value of the risk management index, the fact is notified to the user.

Further, in order to achieve the third object,
The market information and transaction information of trading products are sequentially captured from the network in real time, and based on the captured market information and transaction information, the balance of the position quota and profit and loss characteristics are calculated for each position quota that is the profit and loss management unit of the finalized transaction commodity. The evaluation value is calculated in real time, and the calculated evaluation values such as the balance of the position allowance and the profit / loss characteristic value are displayed in real time. This is a method of presenting options for a trading strategy, calculating the change in expected profit in the selected trading strategy, and presenting it to the user.

[0018]

According to the above means, the market price information and the transaction information of the trading product are sequentially fetched from the network in real time, and based on the fetched market price information and the transaction information,
For each position frame, which is the profit and loss management unit of the committed transaction product,
The evaluation values such as the balance of the position frame and the profit and loss characteristics are calculated in real time, and the calculated evaluation values such as the balance and the profit and loss characteristic of the position frame are displayed in real time. Therefore, the dealer can know the status of his / her position, profit / loss characteristics, etc. in real time, and can trade without losing the buying / selling timing. As a result,
You can get the expected profit.

Further, the evaluation value such as the balance of the position frame and the profit / loss characteristic value is displayed in real time, and the evaluation value is compared with the risk management index of the preset position frame, and the evaluation value is the limit of the risk management index. When the value is reached, notify the user accordingly. Therefore, it is possible to know in real time the timing of position adjustments due to changes in market characteristic values such as the current market price, basis points, delta value, etc. for each individual issue and changes in the position balance caused by the execution of new transactions, and profits can be significantly increased. You can quickly deal with the situation that is decreasing and get the expected profit.

In addition, the evaluation value such as the balance of the position frame and the profit / loss characteristic value is displayed in real time, and a plurality of options of the trading strategy including the change of the position frame of the already traded product and the new trading of the trading market are presented. Then, the expected change in the selected trading strategy is calculated and presented to the user. Therefore, it is possible to formulate multiple trading strategies including transfer between positions and maximize the profit of the entire dealing organization.

[0021]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS The present invention will be described in detail below with reference to illustrated embodiments.

FIG. 1 is an overall configuration diagram of a dealing business system to which the position optimizing method according to the present invention is applied.

The system of this embodiment is roughly classified into a plurality of work workstations 101 to 102 connected by a local area network (LAN) 100.
It is composed of a market information management workstation 103 and a transaction information management workstation 104, and has a trading support function such as technical analysis of the market and a risk management function such as position management and profit / loss management on one business workstation 101, 102. It is characterized by being integrated into.

In this case, the work workstation 10
Reference numerals 1 and 102 are devices that are directly accessed by a dealer who is a user, and the number of devices can be flexibly increased or decreased according to the business scale.

Workstation 103 for managing market information
Is a market price information receiving unit 106 that receives market price information provided from a market price information providing agency 123 such as a securities company in real time through a line 105, and stores and reads the received market price information in a disk device 108. The unit 107 and the market price information transmission unit 109 that sends out the market price information read from the disk device 108 to the LAN 100.

Transaction information management workstation 104
Is a transaction information receiving unit 110 that receives transaction information input by a dealer at the business workstations 101 and 102 through the LAN 100, a transaction information file management unit 111 that stores and reads the received transaction information in the disk device 112, and a disk. It is composed of a transaction information transmission unit 113 that transmits the transaction information read from the device 112 to the LAN 100.

Business workstations 101 and 10
2 is a market information receiving unit 114 that receives market information sent to the LAN 100, a transaction information receiving unit 115 that also receives transaction information, and transaction information input by the dealer as L
The transaction information transmitting unit 116 for sending to the AN 100, the market price information display processing unit 117 that executes the technical analysis process of the market price based on the market price information, and displays it on the display 120 in a format suitable for the sale decision of the product, and the market price information. A position management unit 11 that performs optimization processing for each position frame
8. A transaction information input unit 119 for inputting transaction information input by operating the keyboard 121 or the mouse 122.

FIG. 2 shows a work workstation 101.
And 102 is a block diagram showing the configuration of the main part of
The position management unit 118 includes a real-time monitoring unit 201, a limit value monitoring unit 202, a replacement pattern evaluation unit 203, a replacement execution unit 204, a position management table 205, and a management index table 206.

Further, between the position management unit 118 and the market price information receiving unit 114 and the transaction information receiving unit 115,
Market information table 207 and transaction information table 208
Is provided.

The real-time monitoring unit 201 sequentially fetches the market price information and transaction information of trading products from the network in real time, and evaluates the balance of the position frame and the profit and loss characteristics for each position frame, which is the profit and loss management unit of the already traded products. Is calculated in real time, and the calculated evaluation value of the balance of the position frame, the profit / loss characteristic, etc., and the commodity transaction status for each position constituting the position frame are displayed on the display 120 in real time.

Further, the limit value monitoring unit 202 compares the evaluation value calculated by the real-time monitoring unit 201 with the risk management index of the position frame preset in the management index table 206, and the evaluation value is the limit value of the risk management index. When it reaches, the user is notified to that effect.

The replacement pattern evaluation unit 203 presents the dealer with a plurality of options for a trading strategy including a change in the position frames of the already traded products and a new trading with the trading market, and further, the expected profit of the selected trading strategy. The change is calculated and presented to the user.

The exchange execution unit 204 executes the change between the product position frames in accordance with the instruction of the dealer.

As shown in FIG. 3, the position management table 205 is composed of n tables for each position frame, and each frame table has position NO 501, position type 502, dealer NO 503, position balance 504, position profit / loss 505. , Each of the k positions, which is a component of the position frame, is provided with an area for holding the characteristic value level 506.
It has an area for holding open position NO 507, brand NO 508, contract face value 509, contract unit price 510, current unit price 511, initial characteristic value 512, current characteristic value 513, and profit / loss 514.

As shown in FIG. 4, the management index table 206 has a loss cut summary value 60 as a limit value of the management index for each position frame defined by the position NO 601.
2. Areas for setting the characteristic warning value 603 and the profit target value 604 are provided. Here, the loss cut summary value 602
Indicates the loss limit of the relevant position limit, and when the loss of the position exceeds the limit, the system immediately executes the processing for canceling the position by the reverse trading. The characteristic warning value 603 shows the reduction limit of the hedging effect due to the change of the market characteristic value, and the profit target value 604 shows the expected profit for each position frame set at the time of creating the position frame.

The market price information table 207, as shown in FIG. 5, has a stock number 301, a current unit price 302, and a current characteristic value 3
03 is held. Here, the brand number 301 is a number that uniquely represents the brand of the transaction product,
For example, the issue number of the long-term government bond 119th bond is “006701
19 ”. The current unit price 302 is the current market price of the issue, the current characteristic value 303 is the current market characteristic value of the issue, and in the case of the actual issue, the basis point indicating the deviation level from the theoretical price is optional. In the case of stocks, each represents a delta value indicating the change in premium with respect to the change in the price of the underlying asset.

Further, as shown in FIG. 6, the transaction information table 208 includes position NO 401, open position NO 402,
Brand number 403, contract face value 404 and contract unit price 405,
It is composed of an area for holding the characteristic value 406. Here, the position NO 401 is a number uniquely indicating a position frame which is a profit unit, the open position NO 402 is a number uniquely indicating a new transaction, the contract face value 404 and the contract unit price 405 are the trade amount face and the trade unit price at the time of executing the trade, and the issue N.
The O403 and the characteristic value 406 represent the same contents as the brand NO301 and the current characteristic value 303 shown in FIG. 5, respectively.

Next, an outline of the processing in the above configuration will be described.

First, the market price information receiving unit 106 of the market price information management workstation 103 acquires the market price information from the information providing organization 123 via the line 105 in real time and delivers it to the market price information file management unit 107.

The market price information file management unit 107 processes the received market price information into information usable in the system, stores it in the disk device 108, and at the same time, sends it out to the LAN 100 via the market price information transmission unit 109 in real time.

On the other hand, the transaction information receiving unit 110 of the transaction information management workstation 104 is input by the dealer from the transaction information input unit 119 of the business workstation 101 when the product is being traded, and by the transaction information transmitting unit 116. The transaction information sent to the LAN 100 is acquired in real time, and the transaction information file management unit 11
Hand over to 1.

The transaction information file management unit 111 processes the received transaction information into usable information and processes the disk device 1
At the same time, the data is sent to the LAN 100 via the transaction information transmission unit 113 in real time.

On the other hand, the work workstation 1
The market price information reception unit 114 of 01 receives the market price information sent from the market price information transmission unit 109 of the market price information management workstation 103, and delivers it to the market price information display unit 117 and the position management unit 118.

The market price information display unit 117 executes the technical analysis process of the market price necessary for the dealer's trading decision based on the acquired market price information, and displays it on the display 120 in a predetermined format.

At the same time, the transaction information receiving section 115
The transaction information sent from the transaction information transmission unit 113 of the transaction information management workstation 104 is received and delivered to the position management unit 118.

The position management unit 118 executes the position optimizing process based on the acquired market price information and transaction information.

Next, the position optimization method in the position management unit 118 will be described in detail below.

Since the real-time acquisition, storage and transmission / reception of the market information regarding the market information management workstation 103, the trading support information formation 114 and the real-time display 117 have already been realized by the system provided by the information vendor, Detailed description thereof will be omitted.

The position management unit 118 realizes position optimization by the following units.

(1) Real-time monitoring unit 201 (2) Limit value monitoring unit 202 (3) Swap pattern evaluation unit 203 (4) Swap execution unit 204 Each of these units will be sequentially described below.

A. Real-time monitoring unit 201 In the real-time monitoring unit 201, the market price information table 207 shown in FIG. 5 developed by the market price information receiving unit 114 and the market price information receiving unit 115 shown in FIG.
The transaction information table 208 shown in is accessed to obtain market price information and transaction information. Then, the position management table 205 is acquired based on the acquired market price information and transaction information.
And the position management information displayed on the display 120 are updated in real time.

Information transfer between the market price information receiving unit 114, the transaction information receiving unit 115, and the position management unit 118 is executed in real time by interprocess communication via a shared memory under the UNIX operating system, for example. .

FIG. 7 shows the real-time monitoring unit 20.
2 is a flowchart showing the processing procedure of No. 1, the real-time monitoring unit 201 receives a shared memory access request at a constant time interval from a business management process (not shown) that monitors time (step 702), and according to this access request, the market price information table. 207 and transaction information table 2
08 are accessed respectively.

With this access, the market price information table 20
If there is unacquired market price information in No. 7, it is read (step 704), and all tables are sequentially searched with the position NO 501 as a key for the table by position frame managed by the position management table 205 shown in FIG. (Step 705).

When the open position information (the open position information is managed by the open position NO 507) having the stock NO 508 that matches the stock NO 301 in the market price information table 207 is detected by the search, the current unit price 511 and the current characteristic value 513 in the table are detected. Is updated with the newly acquired current unit price 302 and current characteristic value 303. At the same time, the profit / loss 514 and position profit / loss 505 are recalculated based on the updated data, and the profit / loss 5
14 and position profit / loss 505 are updated (step 7)
06).

Next, based on the data update result of the position management table 205, the position profit / loss 8 on the real-time monitoring screen and the limit value monitoring screen shown in FIG.
08, current unit price 815, current characteristic value 817, profit / loss 819
The display data of is updated in real time (step 707).

As a result, the latest position situation such as a change in valuation profit or loss due to a change in market price is presented to the dealer.

On the other hand, if there is unacquired transaction data in the transaction information table 208, the transaction data is read (step 703) and the position management table 205 manages the position frame-by-position-frame-specific table.
Using 01 as a key, all tables are searched for a position frame equal to position NO 401 in the transaction information table 208 (step 714).

When the corresponding position frame is detected by the search, the open position NO 402 of the transaction information table 208,
Brand No. 403, contracted face value 404, contracted unit price 405, and characteristic value 406 are added as new transaction data to open position NO 507, brand No. 508, contracted face value 509, contracted unit price 510, and initial characteristic value 512 of the position management table 205, and now The unit price 511 and the current characteristic value 513 are set to the current unit price 302 and the current characteristic value 303 of the issue acquired from the market price information table 207.

Thereafter, recalculation is performed based on the newly added data, and the profit / loss 514 and the position profit / loss 505 of the position management table 205 are updated (step 715).

Thereafter, based on the data update result of the position management table 205, the display data on the real-time monitoring screen and the limit value monitoring screen shown in FIG. 9 are respectively updated in real time as in the above-mentioned market information expansion processing. (Step 716).

Through the above processing, the profit and loss characteristics corresponding to the change of the market price and the transaction at every moment are displayed on the display 120 for each position frame as shown in FIG.

As described above, the market price information and the transaction information of the traded product are sequentially fetched from the network in real time, and based on the fetched market price information and the transaction information,
For each position frame, which is the profit and loss management unit of the committed transaction product,
By calculating the evaluation value of the balance and profit / loss characteristic of the position frame in real time, and displaying the calculated evaluation value of the balance and profit / loss characteristic of the position frame in real time, the dealer is able to calculate the balance and profit / loss characteristic of his / her position. Since the situation can be known in real time, it is possible to execute a transaction without delaying the buying and selling timing, and as a result, obtain the expected profit.

B. Limit value monitoring unit 202 In the limit value monitoring unit 202, the current market price for each individual issue,
Positions associated with execution of the real-time monitoring unit 201 in order to monitor changes in market characteristic values such as basis points and delta values, and changes in position balance caused by execution of new transactions, and immediately report the occurrence of an abnormality to the dealer. At the time of updating the data of the management table 205, the risk management index data (current unit price, current characteristic value) necessary for risk management in the market price information table 207 is accessed, and at the same time, the management index table 206 shown in FIG.
By comparing with the limit value of each management index registered in advance, the abnormality determination is performed in real time.

In the limit value monitoring unit 202, the position profit / loss 505 exceeds the loss cut summary value 602 of the relevant position frame in the management index table 206 after the management data in the position management table 205 is updated due to changes in market price information and transaction information. If so, it is determined that the corresponding position frame has reached the loss limit value (steps 708 and 71).
7), "A" is set to the characteristic value level 506, and at the same time, the characteristic value level 8 on the real-time monitoring screen shown in FIG.
"A" is displayed on 09 (steps 711, 720).

When the target is a hedging position (transaction in which both selling and buying are made), the position balance 504 and the management index table 20 accompanying the change of the current characteristic value 516.
6 is compared with the characteristic warning value 603 of the relevant position frame,
When the position balance 504 exceeds the characteristic warning value 603, it is determined that the corresponding position frame has reached the limit value (steps 709 and 718), and the characteristic value level 506 is set to "
B "is set, and at the same time," B "is displayed on the characteristic value level 809 of the display screen shown in FIG. 9 (step 71).
2, 721).

Further, the position profit / loss 505 is the profit target value 603 of the position frame in the management index table 206.
If it exceeds, it is determined that the timing for realizing the profit has been reached for the corresponding position frame (steps 710, 7).
19), "C" is set in the characteristic value level 506, and at the same time, "C" is displayed in the characteristic value level 809 on the screen shown in FIG. 9 (steps 713, 722).

By displaying these characteristic value levels 809,
The dealer can immediately know the timing of the position exchange operation.

In this way, the evaluation value for each position frame is compared with the preset risk management index of each position frame, and when the evaluation value reaches the limit value of the risk management index, the fact is notified to the dealer. By doing so, it is possible to know in real time the timing of position adjustments due to changes in the current market price, basis points, delta values, and other market characteristic values for each individual issue, and changes in the position balance caused by the execution of new transactions. In the event of a significant decrease, the expected profit can be obtained by performing the position exchange operation.

C. Swap Pattern Evaluation Unit 203 The swap pattern evaluation unit 203 presents a plurality of trading strategy options including dynamic changes between positions of the individual traded products constituting each position frame and new trading with the trading market, Furthermore, by calculating the change in expected profit due to the replacement operation, the realized profit for each position frame, which is a profit unit, and the realized profit of the entire dealing organization will be maximized.

In the replacement pattern evaluation unit 203, the position profit / loss 808 and the characteristic level value 8 for each position frame are displayed in real time on the position management screen shown in FIG.
The risk management index such as 09, the total position 801 and the total profit and loss 802 of the entire dealing organization are presented to the dealer, and if necessary, the selection NO 803 is designated, and the status of the holding of the individual traded products constituting each position frame 811 to 819 are displayed.

Further, when it becomes necessary to perform a position exchange operation due to an increase in risk, etc., the exchange operation 8
When the number 10 is designated, the screen changes to the replacement pattern evaluation screen of the position shown in FIG.

The processing of the replacement pattern evaluation unit 203 will be described below with reference to the processing flow shown in FIG.

First, when the dealer specifies the number of the replacement operation 810, the replacement pattern evaluation screen shown in FIG. 10 is displayed in a separate window on the same display as the position management screen shown in FIG. 9 (step 723).

On the replacement pattern evaluation screen shown in FIG. 10, a processing button 90 for instructing the creation of an optimum replacement pattern is displayed.
1. Process button 9 for instructing registration / change of replacement pattern
02, processing button 903 for instructing trial calculation, processing button 904 for instructing execution, processing button 905 for instructing end
Is displayed as an image, and these processing buttons 901 to 9 are displayed.
When the image of 05 is selected with the mouse 122, step 72
After the judgment of 4, the process assigned to the selected process button is executed.

Then, when the processing button 901 of "create optimum replacement pattern" is selected, the optimization target registered for each position type in advance, for example, if it is an outright transaction (simple transaction), "by simple opposite trading""Maximize realized profit and loss", "Maximize realized profit and loss by selecting the cheapest and highest priced stocks and combining with standard products and eliminating arbitration" for arbitrage transactions, and "Net position neutralization" for hedging transactions Position management table 2
The search is started from 05 (step 725).

As a result, if the optimum trading strategy is the replacement of trading with another position frame, the replacement pattern 906 of FIG. 10 shows "1" = "entering of a pending transaction due to a change between positions" and "2". = Display “Outstanding transactions due to changes between positions”.

Further, if the search result is “purchase and buyback from the market”, “3” is displayed, and if “sale and resale to the market”, “4” is displayed as the optimum replacement pattern, and further, those trading strategies are displayed. Priority 907, position NO908 of the transaction searched in step 725, open interest NO909,
Display the stock 910 and face value 911 (step 726),
The optimum replacement pattern creation process is completed.

Next, when the processing button 902 of "registration / change of replacement pattern" is selected, the dealer himself / herself can freely set the above trading strategy.

Next, when the "trial calculation" processing button 903 is selected, a new transaction information table is generated from the optimal trades created in steps 725 and 727 (step 728), and a new position management table for trial calculation is created. On the other hand, the same update process as the process of the real-time monitoring unit 201 is executed (step 729).

The update result is displayed as a trial calculation result at the bottom of the screen in FIG. That is, the post-change face value balance 915 for each position frame indicated by position NO 914, the balance difference 916 before and after the change, the profit / loss after change 917, the profit / loss difference before and after the change 918, and the change value 912 of the total position value of the entire organization, the profit / loss. The change value 913 of the total value is presented to the dealer (step 730). Further, the updated position is subjected to the same limit value check as in the real-time monitoring unit 201, and the result is displayed as the characteristic value level 919 (step 731).

By doing so, it is possible to monitor in real time the effect of individual transactions on the position characteristic values of the entire organization, and it is extremely effective in formulating a plurality of transaction strategies including changes between positions, and profits are increased. If the dealer chooses the trading strategy that maximizes it, it will maximize the profits of the positions and the dealing organization.

D. Exchange Execution Unit After the exchange pattern evaluation unit 203 formulates an effective transaction strategy, the “execute” processing button 9 on the screen of FIG.
When 04 is selected by the dealer, the replacement execution unit 204 is activated, the processes of steps 732 to 735 of FIG. 8 are executed, and the actual product transaction is executed.

First, step 725 and step 727.
A new transaction information table is generated from the effective transaction strategy established in (step 732), and the position management table 205 is updated as in the real-time monitoring unit 201 (step 733).

The update result is reflected on the position management screen of FIG. 9 in real time (step 734), and the updated position is further monitored by the real time monitoring unit 20.
The same limit value check as 1 is performed (step 735).

In this way, by performing the transfer between the position frames according to the trading strategy selected from the options, the maximum profit in the entire dealing organization can be obtained without burdening the dealer with a large burden such as manual calculation and manual input. Can be secured.

In the embodiment, the position management unit 118 includes the real-time monitoring unit 201, the limit value monitoring unit 202, the replacement pattern evaluation unit 203, and the replacement execution unit 204. However, the limit value monitoring unit 202 and the replacement pattern evaluation unit The unit 203 and the replacement execution unit 204 may be combined and incorporated as appropriate according to the use required for the dealing system.

[0088]

As described above, according to the present invention, the market price information and transaction information of a trading product are sequentially fetched from the network in real time, and the profit and loss management unit of the determined trading product is based on the fetched market price information and the trading information. For each position frame, the evaluation value of the balance of the position frame and the profit / loss characteristic is calculated in real time, and the calculated evaluation value of the balance of the position frame and the profit / loss characteristic is displayed in real time. Therefore, the dealer can know the situation such as the balance of his / her position and the profit / loss characteristic in real time, so that he / she can execute the transaction without losing the buying / selling timing.
As a result, the expected profit can be obtained.

Further, the evaluation values such as the balance of the position frame and the profit / loss characteristic value are displayed in real time, and the evaluation value is compared with the preset risk management index of the position frame, and the evaluation value is the limit of the risk management index. When the value is reached, notify the user accordingly. Therefore, it is possible to know in real time the timing of position adjustments due to changes in market characteristic values such as the current market price, basis points, delta value, etc. for each individual issue and changes in the position balance caused by the execution of new transactions, and profits can be significantly increased. You can quickly deal with the situation that is decreasing and get the expected profit.

Further, in addition to displaying the balance of the position frame and the evaluation value such as the profit and loss characteristic value in real time, a plurality of options of the trading strategy including the change of the position frame of the already traded product and the new trading of the trading market are presented. Then, the expected change in the selected trading strategy is calculated and presented to the user. Therefore, it is possible to monitor the effect of individual transactions on the position characteristic value of the entire organization in real time, and it is extremely effective when formulating multiple trading strategies including changes between positions, and maximize the profit of the entire dealing organization. be able to.

Further, since the change in expected profit in the trading strategy selected from the options is calculated, presented to the user, and the position frame is changed according to the user's instruction, the maximum profit in the entire dealing organization is obtained. Can be secured without imposing a heavy burden on the dealer for manual calculation and manual input.

[Brief description of drawings]

FIG. 1 is an overall configuration diagram showing an embodiment of a dealing system to which the present invention is applied.

FIG. 2 is a detailed configuration diagram of a position management unit in FIG.

FIG. 3 is a configuration diagram of a position management table managed by a position management unit.

FIG. 4 is a configuration diagram of a management index table managed by a position management unit.

FIG. 5 is a configuration diagram of a market price information table referenced by a position management unit.

FIG. 6 is a configuration diagram of a transaction information table referenced by a position management unit.

FIG. 7 is a flowchart showing processing contents of a position management unit.

FIG. 8 is a flowchart showing a continuation of FIG.

FIG. 9 is an explanatory diagram showing an example of a real-time monitoring and limit value monitoring screen.

FIG. 10 is an explanatory diagram showing an example of a replacement pattern evaluation and execution screen.

[Explanation of symbols]

100 ... Local Area Network, 101, 102
... work station 103, market information management workstation 104, transaction information management workstation 114, market information receiving unit 115, transaction information receiving unit 118, position management unit 123, information provider, 201 ... Real-time monitoring unit, 202
... limit value monitoring unit, 203 ... replacement pattern evaluation unit, 2
04 ... Exchange execution unit, 205 ... Position management table, 206 ... Management index table, 207 ... Market information table, 208 ... Transaction information table.

Claims (10)

[Claims] 1. The market price and transaction information of a trading product are sequentially fetched from the network in real time, and the balance of the position quota is for each position quota, which is the profit and loss management unit of the finalized transaction commodities, based on the captured quotation information and the transaction information. And evaluation values such as profit and loss characteristics are calculated in real time,
A position optimization method that displays the calculated balance of the position frame and the evaluation value of profit and loss characteristics in real time. 2. An information fetching means for sequentially fetching market price information and transaction information of a trading commodity from a network in real time, and a position which is a profit and loss management unit of an already traded commodity based on the market information and the transaction information fetched by this information fetching means. A position optimization system comprising real-time monitoring means for calculating the evaluation value of the balance of the position frame, profit / loss characteristics, etc. in real time for each frame, and display means for displaying the evaluation value calculated by the real-time monitoring means in real time. 3. The position optimizing method according to claim 1, wherein, in addition to the evaluation values such as the balance of the position frame and the profit and loss characteristics, the commodity transaction status for each position constituting the position frame is displayed. 4. The position optimizing system according to claim 2, wherein, in addition to the evaluation value of the balance of the position frame, the profit and loss characteristic, etc., the commodity transaction status for each position constituting the position frame is displayed. 5. The market information and transaction information of the trading products are sequentially fetched from the network in real time, and the balance of the position quota is set for each position quota, which is the profit and loss management unit of the already traded commodities, based on the fetched quotation information and the transaction information. And evaluation values such as profit and loss characteristics are calculated in real time,
In addition to displaying the calculated balance of the position frame and the profit / loss characteristic value in real time, the evaluation value is compared with the risk management index of the preset position frame, and the evaluation value becomes the limit value of the risk management index. A position optimization method characterized by notifying the user when it reaches. 6. An information acquisition unit for sequentially acquiring market price information and transaction information of a traded product from a network in real time, and a position which is a profit and loss management unit of an already traded product based on the market price information and the transaction information acquired by the information acquisition unit. Real-time monitoring means that calculates in real time the evaluation value of the balance and profit / loss characteristic of the position frame for each frame, and display that displays the evaluation value of balance of position frame and profit / loss characteristic value calculated by this real-time monitoring means in real time Means and a notification means for comparing the evaluation value with a risk management index of a preset position frame and notifying the user when the evaluation value reaches the limit value of the risk management index. Position optimization system featuring. 7. The balance of the position frame for each position frame, which is the profit and loss management unit of the already traded product, based on the market price information and the transaction information, which are sequentially fetched from the network in real time, on the market price information and the transaction information of the transaction product. And evaluation values such as profit and loss characteristics are calculated in real time,
In addition to displaying the calculated balance of the position frame and the evaluation value such as profit and loss characteristic value in real time, presenting a plurality of options of trading strategies including transfer between the position frames of the already traded products and new trading with the trading market, A position optimization method that calculates the expected change in the selected trading strategy and presents it to the user. 8. An information acquisition unit for sequentially acquiring market price information and transaction information of a traded product from a network in real time, and a position which is a profit and loss management unit for an already traded product based on the market price information and the transaction information acquired by this information acquisition unit. Real-time monitoring means that calculates in real time the evaluation value of the balance and profit / loss characteristic of the position frame for each frame, and display that displays the evaluation value of balance of position frame and profit / loss characteristic value calculated by this real-time monitoring means in real time Propose a plurality of options for trading strategies, including means and changes in the positions of the existing trading products and new trading with the trading market, estimate the change in expected profit in the selected trading strategy, and present it to the user. A position optimization system comprising: a position change evaluation means. 9. The market information and the transaction information of the trading products are sequentially fetched from the network in real time, and the balance of the position quota is set for each position quota, which is the profit and loss management unit of the already traded commodities, based on the captured quotation information and the transaction quotation. And evaluation values such as profit and loss characteristics are calculated in real time,
In addition to displaying the calculated balance of the position frame and the evaluation value such as profit and loss characteristic value in real time, presenting a plurality of options of trading strategies including transfer between the position frames of the already traded products and new trading with the trading market, A position optimization method characterized by trial-calculating the change in expected profit in the selected trading strategy, presenting it to the user, and performing transfer between position frames according to the user's instructions. 10. An information fetching means for sequentially fetching market price information and transaction information of a trading commodity from a network in real time, and a position which is a profit and loss management unit of an already traded commodity based on the market information and the transaction information fetched by this information fetching means. Real-time monitoring means that calculates in real time the evaluation value of the balance and profit / loss characteristic of the position frame for each frame, and display that displays the evaluation value of balance of position frame and profit / loss characteristic value calculated by this real-time monitoring means in real time Propose a plurality of options for trading strategies, including means and changes in the positions of the existing trading products and new trading with the trading market, estimate the change in expected profit in the selected trading strategy, and present it to the user. Position change evaluation means and change execution means for moving between position frames according to user instructions Position optimization system, characterized in that it comprises a.