Patent ID: 7577600

Claim:
A method for trading in an electronic trading environment, comprising: setting up, via a computing device, a spread trading strategy comprising a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object; entering, via the computing device, a desired spread price for a spread order according to the spread trading strategy; automatically entering, via the computing device, a first leg order at a price in the first leg of the spread trading strategy at an electronic exchange, wherein the price of the first leg order is computed based on the desired spread price and market data of the second leg of the spread trading strategy; individually selecting, via the computing device, the spread order; assigning, via the computing device, a tolerance parameter for the individually selected spread order; and using a microprocessor to execute one or more instructions to perform the following: determining a plurality of prices based on the desired spread price and the tolerance parameter; automatically calculating an effective spread order price based on the desired spread price and updated market data of the second leg; determining if the effective spread order price remains within the plurality of prices; and if so, refraining from replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.