Volume attentive trade liquidity builder

A Volume Attentive Trade (VAT) Liquidity Builder method determining an execution sequence of VAT orders received via a computer network of a plurality of distributed computers, the VAT Liquidity Builder method comprising:

• receiving, via the computer network, at a communications port of at least one of a first set of the plurality of distributed computers from at least one of a second set of the plurality of distributed computers, VAT orders associated with either a first investor type or a second investor type, each VAT order comprising a data structure defining a set of VAT rules, wherein each distributed computer in the plurality of distributed computers comprises a processor, and wherein the first set of the plurality of distributed computers includes a first distributed computer comprising a first processor and a second distributed computer comprising a second processor;
• storing, in a computer memory, the VAT orders received via the communications port and storing, in the computer memory, an adjustable quantity-based threshold value;
• aggregating, by a processor of at least one of the first set of the plurality of distributed computers and in the computer memory, one or more of the VAT orders having the first investor type into a first VAT order group;
• aggregating, by a processor of at least one of the first set of the plurality of distributed computers and in the computer memory, one or more of the VAT orders having the second investor type into a second VAT order group;
• controlling, by the first processor of the first distributed computer or the second processor of the second distributed computer, execution of the VAT orders in a sequence determined by each of the VAT rules of the one or more of the VAT orders of the first VAT order group and by each of the VAT rules of the one or more of the VAT orders of the second VAT order group;
• receiving, by the first processor of the first distributed computer or the second processor of the second distributed computer, an adjustment command to adjust the adjustable quantity-based threshold value in the computer memory;
• and
• aggregating, in the computer memory by the first processor of the first distributed computer or the second processor of the second distributed computer based on the adjustment command, one or more VAT orders previously in the first VAT order group, and having respective share quantities that meet or exceed the adjustable quantity-based threshold value, into the second VAT order group,
• wherein, during a first iteration of the sequence:
• (a) executing, by the first processor of the first distributed computer, a first set of instructions to:
• analyze the data structure of each of the VAT rules of the one or more of the VAT orders of the second VAT order group to determine a VAT order having a current greatest share quantity from the second VAT order group,
• (b) executing, by the second processor of the second distributed computer a second set of instructions to:
• analyze the data structure of each of the VAT rules of the one or more of the VAT orders of the first VAT order group to determine a VAT order having a current greatest effective limit price from the first VAT order group and executing by, the second processor of the second distributed computer, the second set of instructions to determine the current greatest effective limit price by combining a limit price and a VAT delta associated with the VAT rules of one or more of the VAT orders of the first VAT order group,
• (c) running, by the first processor of the first distributed computer and the second processor of the second distributed computer, simultaneously to analyze the VAT orders received from said at least one of the second set of the plurality of distributed computers, and
• (d) generating, by the first processor of the first distributed computer or the second processor of the second distributed computer, an execution command to at least partially fill the current greatest share quantity of the VAT order having the current greatest share quantity from the second VAT order group against a share quantity of the VAT order having the current greatest effective limit price from the first VAT order group.

A tangible, non-transitory computer-readable medium storing instructions for determining an execution sequence of Volume Attentive Trade (VAT) orders received via a computer network of a plurality of distributed computers that, when executed by one or more processors of the distributed computers, cause the one or more processors of the distributed computers to:

• receive, via the computer network, at a communications port of at least one of a first set of the plurality of distributed computers from at least one of a second set of the plurality of distributed computers, VAT orders associated with either a first investor type or a second investor type, each VAT order comprising a data structure defining a set of VAT rules, wherein each distributed computer in the plurality of distributed computers comprises a processor, and wherein the first set of the plurality of distributed computers includes a first distributed computer comprising a first processor and a second distributed computer comprising a second processor;
• store, in a computer memory, the VAT orders received via the communications port and store, in the computer memory, an adjustable quantity-based threshold value;
• aggregate, by a processor of at least one of the first set of the plurality of distributed computers and in the computer memory, one or more of the VAT orders having the first investor type into a first VAT order group;
• aggregate, by a processor of at least one of the first set of the plurality of distributed computers and in the computer memory, one or more of the VAT orders having the second investor type into a second VAT order group;
• control, by the first processor of the first distributed computer or the second processor of the second distributed computer, execution of the VAT orders in a sequence determined by each of the VAT rules of the one or more of the VAT orders of the first VAT order group and by each of the VAT rules of the one or more of the VAT orders of the second VAT order group;
• wherein receive, by the first processor of the first distributed computer or the second processor of the second distributed computer, an adjustment command to adjust the adjustable quantity-based threshold value in the computer memory;
• and
• aggregate, in the computer memory by the first processor of the first distributed computer or the second processor of the second distributed computer based on the adjustment command, one or more VAT orders previously in the first VAT order group, and having respective share quantities that meet or exceed the adjustable quantity-based threshold value, into the second VAT order group,
• wherein, during a first iteration of the sequence:
• (a) execute, by the first processor of the first distributed computer, a first set of instructions to:
• analyze the data structure of each of the VAT rules of the one or more of the VAT orders of the second VAT order group to determine a VAT order having a current greatest share quantity from the second VAT order group,
• (b) execute, by the second processor of the second distributed computer a second set of instructions to:
• analyze the data structure of each of the VAT rules of the one or more of the VAT orders of the first VAT order group to determine a VAT order having a current greatest effective limit price from the first VAT order group and execute by, the second processor of the second distributed computer, the second set of instructions to determine the current greatest effective limit price by combining a limit price and a VAT delta associated with the VAT rules of one or more of the VAT orders of the first VAT order group,
• (c) run, by the first processor of the first distributed computer and the second processor of the second distributed computer, simultaneously to analyze the VAT orders received from said at least one of the second set of the plurality of distributed computers, and
• (d) generate, by the first processor of the first distributed computer or the second processor of the second distributed computer, an execution command to at least partially fill the current greatest share quantity of the VAT order having the current greatest share quantity from the second VAT order group against a share quantity of the VAT order having the current greatest effective limit price from the first VAT order group.