| abstract |
A method and system for facilitating trading of financial products is provided. The method includes receiving bids and/or offers for a financial product and aggregating bids and offers that are at the same price level. For financial products that include calendar spreads, such as short-term interest rate futures or options, bids and/or offers may be implied in or implied out of other bids and offers by combining them appropriately. When an offer or bid having a matching price level to the aggregated bid or offer is received, the aggregated bid or offer is divided in a prorated proportion based on the number of lots in the matching offer or bid and based on the numbers of lots in the individual bids and offers that make up the aggregated bid or offer. Trades are then executed using the matching offers or bids and the corresponding prorated portions of the original bids or offers. |