Patent ID: 8533106

Claim:
A system including: a computing device; wherein the computing device is configured to receive a slop percentage value; wherein the computing device is configured to receive a desired strategy price for a trading strategy, wherein the trading strategy includes a first leg for a first tradeable object and a second leg for a second tradeable object; wherein the computing device is configured to determine an acceptable range of prices for the trading strategy based on the desired strategy price and the slop percentage value such that an actual cost of the trading strategy, when executed, is within a consistent tolerable difference from a desired cost of the trading strategy, regardless of the desired strategy price; wherein the computing device is configured to generate an order message for an order to trade the first leg with a price based on the desired strategy price and a condition in the second leg; wherein the computing device is configured to detect a change in the condition in the second leg; and wherein the computing device is configured to determine whether the change in the condition in the second leg would cause the actual cost of the trading strategy, if executed, to fall outside of the acceptable range of prices and, if so, re-pricing the order to trade the first leg to maintain the desired strategy price, and, if not, refraining from re-pricing the order to trade the first leg.