Lean level support for trading strategies

A method including:

• receiving by a strategy processing component of a computing device a definition for a trading strategy, wherein the trading strategy includes a first tradeable object and a second tradeable object, wherein the strategy processing component is in communication with a market data processing component of the computing device and a lean level support processing component of the computing device;
• receiving by the market data processing component of the computing device from a first electronic exchange market data for the first tradeable object and a second electronic exchange for the second tradeable object, wherein the market data for the second tradeable object includes information about quantity available at each of a plurality of price levels for the second tradeable object;
• receiving by the strategy processing component of the computing device a desired strategy price;
• determining a support value for a price level based on the received desired strategy price, wherein determining the support value includes:
• iteratively determining by the lean level support processing component of the computing device, in response to determining that a first determined support value for a first price level does not satisfy a desired support value, the support value for a price level of the plurality of price levels at the second electronic exchange for the second tradeable object,
• wherein the iteratively determining starts at the inside market price level at the second electronic exchange;
• and
• subsequently considering each price level away from the inside market price level at the second electronic exchange until the determined support value for a first price level satisfies a desired support value,
• wherein the support value for each price level considered is determined based on a number of orders at the price level, wherein the support value is a value representing a level of risk associated with leaning on the price level;
• determining by the strategy processing component of the computing device a lean level based on the determined support value;
• and
• sending by the strategy processing component of the computing device a first order message for the first tradeable object at a first price to the electronic exchange, wherein the first price is based on the definition for the trading strategy, the desired strategy price, and the determined lean level.