Patent ID: 8676693

Claim:
A method for computing margin requirement during the trading day in an electronic trading system, the method comprising: determining by a computing device a total maximum leg position based on maximum leg positions for each of one or more tradeable objects, wherein the maximum leg positions represent a maximum position in each leg; determining by the computing device a number of total outright positions based on a total filled net long position and a total net short position, wherein the number of total outright positions represents the number of positions that are not considered part of a spread; determining by the computing device a number of spreads based on the total maximum leg position and the number of total outright positions, wherein the number of spreads represents a generic spread position; determining by the computing device a first average expiration time based on equivalent buy leg spread positions and filled long positions, and further based on expiration times for the one or more tradeable objects; determining by the computing device a second average expiration time based on equivalent sell leg spread positions and filled short positions and further based the expiration times for the one or more tradeable objects; determining by the computing device an average distance based on the first average expiration time and the second average expiration time between the legs corresponding to the one or more tradeable object of the spread; computing by the computing device a spread margin requirement using the average distance, a first base value, and the number of spreads; and providing by the computing device the spread margin requirement, wherein a decision to allow an order to be sent to an electronic exchange is based on the spread margin requirement.