Trade processing system and method. Tiers are established, representing a range of values associated with a trade size and a percentage of an average daily volume of trading in a security. The tiers are associated with a price improvement. An order, associated with an order size, to trade in the security is received. The tier within which the order falls is determined based on the order size and the percentage of the average daily volume. At least a portion of the order is automatically executed with the price improvement associated with the determined tier. Depending on the manner in which the order is flagged, it may be processed in accordance with one of a plurality of workflows. Partial order fills are also supported.