Patent ID: 8527390
Filing Date: 2013-09-03
Classification: G06Q

Abstract:
1. A method including: receiving by a computing device market data relating to a plurality of tradable objects, wherein the plurality of tradable objects includes at least a first tradable object, a second tradable object, and a third tradable object, wherein the tradable objects are traded as legs of a trading strategy, wherein the trading strategy includes a multiplier associated with each leg; sending by the computing device a quoting order to an electronic exchange for the first tradable object at a quoted price, wherein the quoted price is based at least in part on a lean price for each of the plurality of tradable objects other than the first tradable object; receiving by the computing device a fill confirmation for the quoting order for the first tradable object at a filled price, wherein the filled price is different from the quoted price, wherein the filled price is better than the quoted price; determining by the computing device a difference value between the quoted price and the filled price; determining by the computing device a hedge price for each of the plurality of tradable objects other than the first tradable object based at least in part on the lean price for the tradable object added to one of: sending by the computing device hedge orders for each of the plurality of tradable objects other than the first tradable object at the corresponding hedge price.