| 摘要 |
A method of calculating leg prices in trading of a combination order on a market having set price rules is provided. The combination order comprises a combination of instruments of at least two different kinds that are traded for a single net price and each kind of instrument is associated with a respective leg price. The method comprises the following steps: a) assigning seed price values to all leg prices but a last leg price; b) calculating the last leg price by means of the assigned seed price values and a net price for the combination order; c) checking whether the last leg price complies with the price rules; d) if the last leg price does not comply with the price rules, modifying the seed price values; and repeating steps c) and d) until the last leg price complies with current price rules or for a predetermined number of times. This attains compliance with the tick step rules and in turn avoids the use of secondary price algorithms, which may lead to costly and time-consuming manual re-booking. |
