Systems and methods for multiplier-adjusted lean levels for trading strategies

A method including:

• receiving by a computing device market data relating to a plurality of tradable objects, wherein the plurality of tradable objects includes at least a first tradable object, a second tradable object, and a third tradable object, wherein the tradable objects are traded as legs of a trading strategy, wherein the trading strategy includes a multiplier associated with each leg;
• sending by the computing device a quoting order to an electronic exchange for the first tradable object at a quoted price, wherein the quoted price is based at least in part on a lean price for each of the plurality of tradable objects other than the first tradable object;
• receiving by the computing device a fill confirmation for the quoting order for the first tradable object at a filled price, wherein the filled price is different from the quoted price, wherein the filled price is better than the quoted price;
• determining by the computing device a difference value between the quoted price and the filled price;
• determining by the computing device a hedge price for each of the plurality of tradable objects other than the first tradable object based at least in part on the lean price for the tradable object added to one of:
• (1) the opposite of the difference value, when the tradable object is for a leg in the same direction as the leg for the first tradable object, and
• (2) a side ratio multiplied by the difference value, when the tradable object is for a leg in the opposite direction as the leg for the first tradable object, wherein the side ratio is a same side total divided by an other side total, wherein the same side total is the sum of the multipliers associated with the legs that are in the same direction as the leg for the first tradable object, and wherein the other side total is the sum of the multipliers associated with the legs that are in the opposite direction as the leg for the first tradable object;
• and
• sending by the computing device hedge orders for each of the plurality of tradable objects other than the first tradable object at the corresponding hedge price.