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1. (WO2018183073) VOLUME ATTENTIVE TRADE LIQUIDITY BUILDER

Pub. No.:    WO/2018/183073    International Application No.:    PCT/US2018/023707
Publication Date: Fri Oct 05 01:59:59 CEST 2018 International Filing Date: Fri Mar 23 00:59:59 CET 2018
IPC: G06Q 40/04
G06Q 10/06
Applicants: THE BARTLEY J. MADDEN FOUNDATION
Inventors: MADDEN, Bartley, J.
Title: VOLUME ATTENTIVE TRADE LIQUIDITY BUILDER
Abstract:
Systems and methods are described for aggregating and filling Volume Attentive Trade (VAT) orders using a VAT Liquidity Builder. As described, in various aspects a first grouping of VAT orders may be aggregated by the VAT Liquidity Builder. A second grouping of VAT orders may also be aggregated by the VAT Liquidity Builder. Each of the VAT orders for the first and second groups may each include a set of VAT rules that define a limit price, a share quantity and a VAT delta. The VAT Liquidity Builder may then generate an effective limit price for each of the first group of VAT orders using the corresponding limit prices and VAT deltas, and generate an execution command to fill a particular VAT order having the largest share quantity from the second group of VAT orders with one or more qualifying VAT orders from the first group.