This is the aspect I am concerned about overlooking -- basically putting on a EUR/GBP trade. But unless there is a major move in the pair, I think the effect should be relatively minimal -- do you agree? Using the formula I put up earlier, the spread does trend pretty nicely, even if the esignal spread tool is a bit crude. I would rather construct spreads using the bid and the ask, rather than the last price. Thanks to everyone for their replies.
Depending on how involved you want to get, you could hedge out the currencies in teh fx market. That would give you another variable of legging risk. Almost make it a three legged spread. Always have to worry about volatility too.