Patent ID: 8234202

Claim:
A system including: a computing device, wherein the computing device is configured to receive 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 tradable object and a second leg for a second tradable object, wherein the computing device is configured to select a first hedge price, wherein the first hedge price is a price level for the second tradable object, wherein a first hedge quantity is available at the first hedge price, wherein the computing device is configured to generate a first order for the first tradable 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, wherein the computing device is configured to select a second hedge price, wherein the second hedge price is a price level for the second tradable 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, wherein the computing device is configured to generate a second order for the first tradable 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 wherein the computing device is configured to initiate placement of the first order and the second order.