Please tell me if I end up being wrong, I expect that single legs are one symbol and traded independently from the spreads. When you do a spread, you only trade with another doing a spread. There is no leg risk on a spread with its own symbol, if you are not using a spreader program like TT.
Hi Robert, Thats where Implied orders come in. Implied orders allow a resting order in the spread book to create orders in the leg books and look for executions there. It also allows resting order in the leg books to combine and create implied orders in the spread book and look for executions there. That is my understanding
That requires a tool that futures platforms call spreaders. You are at risk to be open on one side. TT has a spreader and can jump in if he reads this. when you enter an exchange listed spread, that is not the case. patrickrooney would know for sure.
Yes, you run the risk of one side being open if you generate implides. Unless its the exchange itself generating the implied orders for you. if so, the exchange gurantees that both sides will match. I don't know for sure if CME is doing this (I would assume they do), but I ahve worked with many exchanges that do this...
This is incorrect as per the second sentence on the CME's website: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders+-+Examples
Ahh yes, exactly what I was saying... Original question still stands. How do they do FIFO in the Legs and Pro-Rata in the Spreads
I'm a bit confused. Implied spread orders get filled all the time at CME. Literally tens of thousands of lots per trading day.
If you are using any type of "AutoSpread" (TT trademark) spread legging platform, those orders are tagged as conditional by the exchange. Which means they get lower queue priority than firm orders.
My sense is that you are creating much ado about semantics in a market where buying a bid or selling an offer is a tenuous at best undertaking - the "advantage" is quite temporary. If you were specializing in Eurodollar butterflies where, quite literally, there are 10K best bid and 12K best offered then yes, order queue position and order matching algorithm would be quite important to you. But from my limited recollections FX orders get traded through, and just about any position you take is going to spend some time underwater. If you bid or offer and you're on the market joined with the best bid or best offer - you're going to get them I would imagine.