System and method for trading financial instruments based on undisclosed values

A system for facilitating trading of a financial instrument, the system comprising at least one computer, at least one database comprising stored data relating to orders relating to the financial instrument and stored data relating to trading venues, and a computer readable medium or media comprising stored programming which when executed causes the at least one computer to:

• receive an initial order associated with the financial instrument;
• determine a price limit for quantity probe orders based on characteristics of the initial order;
• identify at least one venue eligible to receive a quantity probe order associated with the financial instrument based at least on data stored in the at least one database, whether the initial order has a sufficient quantity for at least one quantity probe order in the at least one identified venue and whether the at least one identified venue includes a displayed order relating to the financial instrument having a disclosed quantity on an opposite side within a predetermined price limit;
• place at least one first order as a quantity probe order in the at least one identified venue to determine non-public information relating to the financial instrument;
• and
• after execution of the at least one first order in the at least one identified venue, automatically place in the at least one identified venue at least one second order having terms based on the determined non-public information revealed by the execution of the at least one first order.