Patent ID: 7698205

Claim:
A method implemented in a trade matching system, comprising: a) the trade matching system calculating leg prices in trading of a combination order that has been matched in the trade matching system on a market having set price rules, wherein said combination order comprises a combination of instruments of at least two different kinds that are traded for a single net price, and wherein each kind of instrument is associated with a respective leg price, the method comprising the following further steps: b) for said matched combination order, the trade matching system assigning seed price values to all leg prices but a last leg price; c) calculating said last leg price based on said assigned seed price values and a net price for the combination order; d) checking whether said last leg price complies with the price rules; e) determining that said last leg price does not comply with the price rules, and based on that determination, the trade matching system modifying one or more of said seed price values; and f) the trade matching system repeating steps c)-d) with the modified one or more seed price values until said last leg price complies with the price rules or for a predetermined number of times.