Strategy Management Tool With Multiple Lean Techniques

摘要

Systems and methods to define and implement a spread trading strategy having multiple lean legs are described. An example method includes receiving, via a computing device, a definition of a spread trading strategy. The definition includes a first leg associated with a first tradeable object, a second leg associated with a second tradeable object and a third leg associated with a third tradeable object. The example method includes determining, via the computing device, a first leg price for the first leg using a first lean pricing technique and determining, via the computing device, a second leg price for the second leg using a second lean pricing technique. The second lean pricing technique is different than the first lean pricing technique. The example method also includes calculating, via the computing device, a quote price for the third leg based on the first leg price, the second leg price and a desired spread trading strategy price and submitting, via the computing device, a quote order for the third leg at the quote price.

主权项

1. A method comprising:
receiving, via a computing device, a definition of a spread trading strategy, the definition comprising a first leg associated with a first tradeable object, a second leg associated with a second tradeable object and a third leg associated with a third tradeable object; determining, via the computing device, a first leg price for the first leg using a first lean pricing technique; determining, via the computing device, a second leg price for the second leg using a second lean pricing technique, the second lean pricing technique different than the first lean pricing technique; calculating, via the computing device, a quote price for the third leg based on the first leg price, the second leg price and a desired spread trading strategy price; and submitting, via the computing device, a quote order for the third leg at the quote price.