JP5414520B2 - 電子証券取引のための注文管理システム及び方法 - Google Patents
電子証券取引のための注文管理システム及び方法 Download PDFInfo
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Description
にとって代わる。誘起されたストップ注文は、更に、ウォッチリストにおけるシンボルの基準カウント(ref count)を減少させると共に、もしゼロならば、そのシンボルは取り除かれる。
“mvi=価格(price)×出来高(volume)×Ri”
その結果、ポートフォリオは、原資産グループ(すなわち、同じ原資産を有するポジションのグループ)に分割される。その場合に、市場価値のリスクアレイは、以下の式のとおりに総計を求められる。
“UMVi=Σmvi”
原資産グループにおける全てのポジションが同じ原資産を有するので、それらの市場価値の変動は相互に関連付けられる。リスクアレイの各ポジションが原資産の変動の1つの可能なシナリオを表すので、原資産グループの市場価値(underlier group market value)のリスクアレイは、各シナリオに関してグループの可能な市場価値を含む。各シナリオの“Z”値及び累積確率は、原資産のリスクアレイと同じである。
120 ゲートウェイ要素
125 決算インタフェース
130 取引サーバ
133 TS1
137 TSn
140 口座データベース
150 “ltask”モジュール
151 IT1
155 注文マネージャ
157 ITm
160 帳簿サーバ
163 シンボルデータベース
165 帳簿データベース
170 XMLパブリッシャ
173 取引スタッファ
175 アーカイブデータベース
180 状態なし注文ハンドラ
190 市場監視手段
Claims (18)
- 少なくとも1つのクライアントと通信するための通信モジュールと、
口座と関連付けられると共に、前記クライアントによって特定された取引注文を処理するためのサーバとを備え、
前記サーバが、複数のパイプラインと、1つ以上のスレッドを実行する1つ以上のプロセッサとを備えると共に、
1つ以上のパイプラインが、前記口座ごとに異なるパイプライン待ち行列を備えることによって、前記取引注文を処理するように構成され、
前記サーバが、
口座と関連付けられる前記取引注文を前記パイプライン待ち行列に入れて列に並ばせる手段と、
実行可能なスレッドを前記パイプライン待ち行列内の前記取引注文に割り当てると共に、前記実行可能なスレッドを1つのパイプラインに割り当てる手段と、
前記パイプラインを通して前記取引注文を処理する手段と
を有し、
各パイプラインでは、一度に単一の前記スレッドが1つのパイプラインに割り当てられ、2つの前記スレッドが同じパイプライン待ち行列から前記取引注文を処理することが防止される
ことを特徴とするシステム。 - 1つ以上のパイプラインが、それぞれ前記取引注文のサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項1に記載のシステム。 - 1つ以上のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記取引注文のサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項1に記載のシステム。 - 前記パイプラインが、前記パイプラインを通して連続して前記取引注文を処理するように構成される
ことを特徴とする請求項3に記載のシステム。 - 1つ以上のイベントプロセッサが、前記パイプラインを通して連続して前記取引注文を動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項4に記載のシステム。 - 前記取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項1に記載のシステム。 - 少なくとも1つのクライアントと通信するための通信モジュールと、口座と関連付けられると共に、前記クライアントによって特定された取引注文を処理するためのサーバとを備えたシステムにおいて、前記取引注文を処理する方法であって、
前記サーバが、複数のパイプラインと、1つ以上のスレッドを実行する1つ以上のプロセッサとを備えると共に、
1つ以上のパイプラインが、前記口座ごとに異なるパイプライン待ち行列を備えることによって、前記取引注文を処理するように構成され、
前記方法は、
前記サーバが、口座と関連付けられる前記取引注文を前記パイプライン待ち行列に入れて列に並ばせる段階と、
前記サーバが、実行可能なスレッドを前記パイプライン待ち行列内の前記取引注文に割り当てると共に、前記実行可能なスレッドを1つのパイプラインに割り当てる段階と、
前記サーバが、前記パイプラインを通して前記取引注文を処理する段階と
を有し、
各パイプラインでは、一度に単一の前記スレッドが1つのパイプラインに割り当てられ、2つの前記スレッドが同じパイプライン待ち行列から前記取引注文を処理することが防止される
ことを特徴とする方法。 - 1つ以上のパイプラインが、それぞれ前記取引注文のサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項7に記載の方法。 - 1つ以上のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記取引注文のサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項7に記載の方法。 - 前記取引注文が、前記サーバにより前記パイプラインを通して連続して処理される
ことを特徴とする請求項9に記載の方法。 - 前記イベントプロセッサの内の1つ以上が、前記パイプラインを通して連続して前記取引注文を動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項10に記載の方法。 - 前記取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項7に記載の方法。 - 少なくとも1つのクライアントと通信するための通信モジュールと、口座と関連付けられると共に、前記クライアントによって特定された取引注文を処理するためのサーバとを備えたシステムにおいて、前記取引注文を処理するために、コンピュータ実行可能な命令を有するコンピュータプログラムであって、
前記サーバが、複数のパイプラインと、1つ以上のスレッドを実行する1つ以上のプロセッサとを備えると共に、
1つ以上のパイプラインが、前記口座ごとに異なるパイプライン待ち行列を備えることによって、前記取引注文を処理するように構成され、
前記命令が、コンピュータ上で実行されたときに、
口座と関連付けられる前記取引注文を前記パイプライン待ち行列に入れて列に並ばせる段階と、
実行可能なスレッドを前記パイプライン待ち行列内の前記取引注文に割り当てると共に、前記実行可能なスレッドを1つのパイプラインに割り当てる段階と、
前記パイプラインを通して前記取引注文を処理する段階と
を有する方法を前記コンピュータに実行するように指示し、
各パイプラインでは、一度に単一の前記スレッドが1つのパイプラインに割り当てられ、2つの前記スレッドが同じパイプライン待ち行列から前記取引注文を処理することが防止される
ことを特徴とするコンピュータプログラム。 - 1つ以上のパイプラインが、それぞれ前記取引注文のサブタスクを処理するように構成された少なくとも1つのイベントプロセッサを備える
ことを特徴とする請求項13に記載のコンピュータプログラム。 - 1つ以上のパイプラインがそれぞれ複数のイベントプロセッサを備えて、1つ以上のイベントプロセッサがそれぞれ前記取引注文のサブタスクを処理するように構成されると共に、
前記複数のイベントプロセッサが、各サブタスクを順次に連続して処理するように順番に配置される
ことを特徴とする請求項13に記載のコンピュータプログラム。 - 前記取引注文が、前記パイプラインを通して連続して処理される
ことを特徴とする請求項15に記載のコンピュータプログラム。 - 前記イベントプロセッサの内の1つ以上が、前記パイプラインを通して連続して前記取引注文を動かすために、それぞれ一時中断フラグまたは失敗フラグを前記サブタスクに割り当てるように構成される
ことを特徴とする請求項16に記載のコンピュータプログラム。 - 前記取引注文が、オーダキャンセルオーダ(OCO)、オーダセンドオーダ(OSO)、一括売買注文、及びバスケット注文の内の少なくとも1つを含む
ことを特徴とする請求項13に記載のコンピュータプログラム。
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US79608306P | 2006-04-28 | 2006-04-28 | |
US60/796,083 | 2006-04-28 | ||
US11/740,609 US7752123B2 (en) | 2006-04-28 | 2007-04-26 | Order management system and method for electronic securities trading |
US11/740,609 | 2007-04-26 | ||
PCT/US2007/010181 WO2007127336A2 (en) | 2006-04-28 | 2007-04-27 | Order management for electronic securities trading |
Publications (3)
Publication Number | Publication Date |
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JP2009535702A JP2009535702A (ja) | 2009-10-01 |
JP2009535702A5 JP2009535702A5 (ja) | 2010-06-24 |
JP5414520B2 true JP5414520B2 (ja) | 2014-02-12 |
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JP2009507811A Active JP5414520B2 (ja) | 2006-04-28 | 2007-04-27 | 電子証券取引のための注文管理システム及び方法 |
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US (1) | US7752123B2 (ja) |
EP (1) | EP2024924A4 (ja) |
JP (1) | JP5414520B2 (ja) |
WO (1) | WO2007127336A2 (ja) |
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