Except that all ratios will probably be based on whole numbers .. e.g.
1 widget, 2 gadgets, and 8 thingamajigs - 21 whachamacallits.

So since we're listing out the contracts and the ratios per contracts, I think integers is ok.

If it were just the final value, then yes, decimals would be needed.

EAP.


On Feb 14, 2013, at 2:41 PM, Gavin M Litchfield <notifications@github.com> wrote:

> In barchart-proto-buf-inst/src/main/resources/protobuf/FieldSpec.proto:
> 
> > @@ -173,4 +173,19 @@ message SymbolExpiration {
> >  	optional sint32 dayOfMonth = 1;
> >  	optional Month month = 2;
> >  	optional sint32 year = 3;
> > +}
> > +
> > +message SpreadLeg {
> > +
> > +	// The marketId of the leg
> > +	optional sint64 marketId = 1;
> > +
> > +	// The ratio of the this leg with respect to the spread.
> > +	// Negative means short the absolute value, positive means long the absolute value.
> > +	// FIXME? Alternatively, we could have separate LONG/SHORT indicator in the message
> > +	// and use this field as only the absolute value
> > +	optional sint32 ratio = 2;
> > +
> > +	// Additional information about the leg will be found in the instrument definition
> I believe this is the right idea. 2 Suggestions:
> 
> Sadly, the ratio should be a Decimal to allow for weird contracts that will eventually get made if they don't already exist. Positive/Negative to denote long/short should work.
> 
> Need to add a price ratio Decimal, as the pricing in the composite spread isn't always in the same units of price value as it's legs. Example:
> 
> Therefore, the new implied Soybean Crush spread on CME Globex will be a fixed 3-legged spread consisting of:
> Leg 1: Soybean Meal futures – 11 contracts
> Leg 2: Soybean Oil futures – 9 contracts
> Leg 3: Soybean futures – 10 contracts
> The Soybean Crush price will be calculated using the respective different fixed quantities as follows:
> 
> Soybean Crush = Leg 1 (Soybean Meal Price x 0.022) + Leg 2 (Soybean Oil Price x 11) - Leg 3 (Soybean Futures Price)
> 
> —
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