Patent ID: 8010437

Claim:
A method including: receiving by a computing device a desired strategy quantity for a trading strategy at a desired strategy price, wherein the trading strategy is specified by a definition and includes a first leg for a first tradeable object and a second leg for a second tradeable object; selecting by the computing device a first hedge price, wherein the first hedge price is a price level for the second tradeable object, wherein a first hedge quantity is available at the first hedge price; generating by the computing device a first order for the first tradeable object, wherein the first order is at a first price for a first quantity, wherein the first price is determined based on the desired strategy price and the first hedge price, wherein the first quantity is determined based on the definition for the trading strategy, the desired strategy quantity, and the first hedge quantity; selecting by the computing device a second hedge price, wherein the second hedge price is a price level for the second tradeable object, wherein a second hedge quantity is available at the second hedge price, wherein the second hedge price is different from the first hedge price; generating by the computing device a second order for the first tradeable object, wherein the second order is at a second price for a second quantity, wherein the second price is determined based on the desired strategy price and the second hedge price, wherein the second quantity is determined based on the definition for the trading strategy, the desired strategy quantity, the second hedge quantity, and at least one of the first quantity and the first hedge quantity; and initiating by the computing device placement of the first order and the second order.