Patent ID: 8156037

Claim:
A method including: receiving by a computing device a slop percentage value; receiving by the computing device a desired strategy price for a trading strategy, wherein the trading strategy includes a first leg for a first tradeable object and a second leg for a second tradeable object; determining by the computing device an acceptable range of prices for the trading strategy based on the desired strategy price and the slop percentage value such that an actual cost of the trading strategy, when executed, is within a consistent tolerable difference from a desired cost of the trading strategy, regardless of the desired strategy price; generating by the computing device an order message for an order to trade the first leg with a price based on the desired strategy price and a condition in the second leg; detecting by the computing device a change in the condition in the second leg; and determining by the computing device whether the change in the condition in the second leg would cause the actual cost of the trading strategy, if executed, to fall outside of the acceptable range of prices and, if so, re-pricing the order to trade the first leg to maintain the desired strategy price, and, if not, refraining from re-pricing the order to trade the first leg.