System and method for providing workup trading
A trading system matches a passive order to buy or sell an item at a price with an aggressive order to hit or lift the item at that price. A workup is initiated during which other parties can submit additional orders at the passive order price. A further order may be submitted during workup with a better price. If the amount at the better price equals or exceeds a threshold value and it can be traded at the better price, the workup is terminated and a new workup initiated at the better price.
1. A method for trading a product on a trading system comprising one or more computers, the method comprising:
one or more of the computers executing a trade at a first price for a quantity of the product between a first trader who has submitted a passive order via at least one trading interface and second trader who has submitted an aggressive order via the at least one trading interface;
in response to the execution of the trade, one or more of the computers initiating a first workup during which further trades for the product are allowed to be made only at the first price;
during the first workup, one or more of the computers receiving further orders via the at least one trading interface from other traders to buy and sell quantities of the product at the first price;
during the first workup, one or more of the computers receiving at least one additional order via the at least one trading interface specifying either (1) a quantity of the product to be bought along with a price for the product which is higher than the first price when the passive order is an order to sell or (2) a quantity of the product to be sold along with a price for the product which is lower than the first price when the passive order is an order to buy; and
at least one of the computers determining whether a quantity of the product associated with the at least one additional order is, either individually or cumulatively, equal to or greater than a predetermined threshold and, if so, causing the first workup to be terminated and initiating a second workup during which further trading for the product may be made only at the higher or lower price,
wherein the at least one additional order is a plurality of additional orders and the further workup is initiated when the aggregate quantity of a plurality of additional orders exceeds the predetermined threshold.
2. The method according to claim 1 , wherein the product is a type of financial instrument.
3. An electronic trading system for trading a product, the electronic trading system comprising a server containing at least one processor, the server being programmed to operate as a matching engine to:
execute a trade at a first price for a quantity of the product between a first trader who has submitted a passive order via at least one trading interface and second trader who has submitted an aggressive order via the at least one trading interface;
in response to the execution of the trade, one or more of the computers initiating a first workup during which further trades for the product are allowed to be made only at the first price;
receive further orders via the at least one trading interface during the first workup from other traders to buy and sell a quantities of the product at the first price;
receive, during the first workup, at least one additional order via the at least one trading interface specifying either (1) a quantity of the product to be bought along with a price for the product which is higher than the first price when the passive order is an order to sell or (2) a quantity of the product to be sold along with a price for the product which is lower than the first price when the passive order is an order to buy; and
determine whether a quantity of products associated with the at least one additional order is, either individually or cumulatively, equal to or greater than a predetermined threshold and, if so, causing the first workup to be terminated and initiating a second workup during which further trading for the product may be made only at the higher or lower price,
wherein the at least one additional order is a plurality of orders and the server is programmed to aggregate the plurality of orders and initiate the further workup when the aggregate quantity of a plurality of orders is equal to or exceeds the predetermined threshold.
4. The electronic trading system according to claim 3 , wherein the product is a type of financial instrument.
5. The electronic trading system according to claim 3 , wherein the predetermined threshold is a function of the product being traded.
6. The method according to claim 1 , wherein the predetermined threshold is a function of the product being traded.
7. The system according to claim 3 , wherein the server stores the predetermined threshold which is a function of the product being traded.