System and method to provide a platform for full-amount transactions

A computer-implemented method performed by at least one hardware processor of an exchange computer system, the computer-implemented method comprising:

• receiving data encoding liquidity offers from first computing devices associated with a plurality of liquidity providers, the liquidity offers having a range of transaction sizes;
• generating a data structure encoding a series of liquidity pools for the liquidity offers from the first computing devices, wherein generating the data structure encoding the series of liquidity pools comprises assigning each liquidity pool to a corresponding transaction size from the range of transaction sizes;
• configuring the exchange computer system to operate in a mode for multicast communication, the mode for multicast communication allowing simultaneous communication between the exchange computer system and second computing devices associated with at least one liquidity consumer using a multicast communication protocol between the second computing devices and the exchange computer system;
• filtering, based on the corresponding transaction size for each liquidity pool, the liquidity offers in each liquidity pool to a top-of-the-book offer from among the liquidity offers in each liquidity pool;
• streaming, to each of the second computing devices for the at least one liquidity consumer, the top-of-the-book offer for each of the liquidity pools using the multicast communication protocol;
• receiving transaction requests from at least one computing device from the second computing devices associated with the at least one liquidity consumer, wherein each transaction request includes a transaction price and a transaction size;
• determining, from the series of liquidity pools, a liquidity offer in a liquidity pool having a full notional amount of liquidity matching a first transaction request from the transaction requests from the at least one computing device;
• in response to determining the first transaction request from the at least one computing device matches with the liquidity offer in a liquidity pool, generating an order for the liquidity offer in the liquidity pool, wherein the order is configured to execute the full notional amount of liquidity in the first transaction request using the liquidity offer, and wherein the order is configured to be canceled by the at least one hardware processor in response to a determination that the order is unexecuted;
• executing the first transaction request using the order;
• in response to executing the first transaction request using the order, updating the liquidity pool based on the transaction size of the first transaction request to remove the liquidity offer from the liquidity pool;
• and
• transmitting, using the multicast communication protocol, data related to the updated liquidity pool to the second computing devices.