Patent ID: 7603303

Claim:
A method for computing a margin requirement during the trading day in an electronic trading system, the method comprising: determining at a spread risk calculator a first margin requirement using a first base margin and a generic spread number, where the generic spread number is associated with working spread orders and filled positions, and wherein the generic spread number represents a number of spreads, wherein the generic spread number is found using the following relationship: (total maximum leg position−outrights)/2; determining at the spread risk calculator a second margin requirement using a second base margin and a number of outrights, where the number of outrights is associated with working outright orders and filled positions; computing at the spread risk calculator a total margin requirement using the first margin requirement and the second margin requirement; determining at a limit module whether to send an order to buy or sell a tradeable object to an electronic exchange based on the total margin requirement and an available margin requirement; and sending the order to buy or sell the tradeable object to the exchange when the available margin balance is greater than the total margin requirement.