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A b s t r a c tElectronic order book trading has evolved in being recognized as the best-practice for trading small and mid-sized orders. Yet, this mechanism does not properly address the needs of large-sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price discovery but not for quantity discovery. Off book executions generally fragment the order flow which again adversely impacts price discovery.We propose a market model innovation to close this gap: 'Volume Discovery' introduces the new order type 'volume order' to integrate large sized orders into the book. The volume order builds on the concept of iceberg order but is enhanced by two parameters 'hidden limit' and 'minimum volume', which continuously search order book depth for matching quantity.For large orders, Volume Discovery leverages already existent liquidity to benefit block trading by increased likelihood of execution and reduced opportunity costs. For all orders, Volume Discovery promotes the integration of OTC markets and order book trading in order to improve liquidity while protecting price/time priority.

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