Method and apparatus for multi-leg trading

An apparatus for trading a multi-leg financial instrument, said apparatus comprising:

• a graphical user display device;
• a user input device;
• a communication network for electronically communicating with one or more electronic exchanges;
• and
• a programmable electronic processing device in communication with the display device, user input device, and communication network, the electronic processing device being programmed to take the following actions in response to input received from the user input device:
• define a multi-leg instrument having two or more legs where each leg represents a financial instrument (leg instrument), a price (leg price) for the financial instrument, and a quantity (leg quantity) of the financial instrument that comprises one unit of the multi-leg instrument, said multi-leg instrument having a synthetic price represented by a multi-leg definition that equates the synthetic price for one unit of the multi-leg instrument to an aggregation of other items including the leg price and leg quantity of each leg;
• determine a leg submittal trigger for each leg representing one or more requirements that must be met before the trade order for the leg can be submitted to an exchange;
• monitor current market activity for each leg instrument to determine a current status for leg price availability and leg quantity availability;
• submit a first trade order to an exchange at a leg price determined by the multi-leg definition and for the leg quantity for each leg in which the leg submittal trigger is met;
• for each leg in which the leg quantity is not fully filled (remainder leg) after any quantity for any leg has been filled, calculate an updated leg price for such remainder leg based on the fill price(s) for all filled and partially filled legs;
• send a subsequent trade order to an exchange for each remainder leg at the updated leg price and for the amount of the leg quantity that remains unfilled (remainder quantity) when the leg submittal trigger for the remainder leg is met;
• and
• repeating said calculate and send actions until all legs of the multi-leg instrument are fully filled.

A method for trading a multi-leg financial instrument, said method comprising:

• defining a multi-leg instrument having two or more legs where each leg represents a financial instrument (leg instrument), a price (leg price) for the financial instrument, and a quantity (leg quantity) of the financial instrument that comprises one unit of the multi-leg instrument, said multi-leg instrument having a synthetic price represented by a multi-leg definition that equates the synthetic price for one unit of the multi-leg instrument to an aggregation of items including the leg price and leg quantity of each leg;
• monitoring current market activity for each financial instrument of each leg to determine a current status for leg price availability and leg quantity availability;
• submitting a first trade order to an exchange for each leg at the leg price and leg quantity when current market activity shows that each leg is available at the leg price and leg quantity;
• for each leg in which the leg quantity is not fully filled (remainder leg) after any quantity for any leg has been filled, calculating an updated leg price for such remainder leg based on the fill price(s) for all filled and partially filled legs;
• sending a subsequent trade order to an exchange for each remainder leg at the updated leg price and for the quantity of the leg that remains unfilled (remainder quantity) when current market activity shows that each remainder leg is available at the updated leg price and at the remainder quantity;
• and
• repeating said calculating and sending steps until the multi-leg order is fully filled.

An apparatus for allowing a trader to submit trade orders for a multi-leg financial instrument from an electronic processing device to one or more electronic exchanges, the apparatus comprising:

• a graphical user display device;
• a user input device;
• a communication network for electronically communicating with one or more electronic exchanges;
• and
• a programmable electronic processing device in communication with the display device, user input device, and communication network, the electronic processing device being programmed to take the following actions in response to input received from the user input device:
• define a multi-leg instrument having two or more legs where each leg represents a financial instrument (leg instrument), a price (leg price) for the financial instrument, and a quantity (leg quantity) of the financial instrument that comprises one unit of the multi-leg instrument, said multi-leg instrument having a synthetic price represented by a multi-leg definition that equates the synthetic price for one unit of the multi-leg instrument to an aggregation of other items including the leg price and leg quantity of each leg;
• monitor current market activity for each financial instrument of each leg to determine a current status for leg price availability and leg quantity availability;
• submit a first trade order to an exchange for each leg at the leg price and leg quantity when current market activity shows that each leg is available at the leg price and leg quantity;
• for each leg in which the leg quantity is not fully filled (remainder leg) after any quantity for any leg has been filled, calculate an updated leg price for such remainder leg based on the fill price for all filled and partially filled legs;
• send a subsequent trade order to an exchange for each remainder leg at the updated leg price and for the quantity of the leg that remains unfilled (remainder quantity) when current market activity shows that each remainder leg is available at the updated leg price and at the remainder quantity;
• and
• repeat said calculate and send actions until the multi-leg order is fully filled.