Patent ID: 8301540

Claim:
A method comprising the steps of: in a computer of an electronic trading system, managing a trading stack of orders for items of a class, the trading system providing a standard price increment for prices of the orders and a price improvement protocol for managing and/or matching price-improvement orders, price-improvement orders being orders that the electronic trading system manages and/or matches at prices between the standard increment prices; receiving an order to trade the item designated as a neutral order, a neutral order being a price-improvement order managed in the priority stack automatically by a computer of the electronic trading system under a protocol including at least the following conditions: the neutral order is assigned a position size limit, being a size computed by the electronic trading system based on cumulative size of orders that meet criteria specified in trading rules of the trading system, pending on the same side of the market at the time that the neutral order is received into the priority stack at priorities higher than the priority of the neutral order as the neutral order is received; and the priority of the neutral order in the priority stack is maintained against the price improvement order(s) received after the neutral order that are submitted with higher priority than the neutral order, with the neutral order reaching its maximum position in the priority stack when the position size limit is exhausted, the neutral order's position size limit being decremented as orders are traded or cancelled off the stack, by the trading system automatically altering the price and/or priority of price-improvement orders based at least in part on the remaining position size limit of the neutral order.