Imagine you are trying to leg into a fly at price 10. say current price was just a second ago 9 - 2 x 5 + 11 and leg B has been filled and A and C didnt and they moved away. Current spread price now is 11. How would you calculate A and C price for limit orders to fill the fly at 10 given that all 3 instruments move with different speed (meaning that if A moves 1T, C does not necessarily move 1T) would you try to use risk ratio between A and C and place the limits differently or what? or am I missing something obvious?
For myself, when use AutoSpreading or AutoTrading software on the Trading Technologies Pro Platform - I always specify a "payup tic" range if the leg fill gets missed. My only point being, that you should not allow unfilled legs 'to run wild'. I personally use various combinations of exchange spreads to execute flys and condors with less slippage. It's part of it, and you have to allow for it. If you are trying to fill multiple legs simultaneously, you have to allow for some slippage.
yeah i know what you are doing. i saw your website a while ago.. this is not applicable in this case. just theoretically - what would you do if you had to fill these legs at that price precisely. how would you balance A and C? if B was filled at 5. then could loads of combinations of A and C which give you 10. ie 10 - 2 x 5 + 10 or 9 - 2 x 5 + 11 or 5 - 2 x 5 + 15 etc...
if B is filled, then you will be short of 2xB and may face price adversity. I generally try to enter long flies by two different calendars as going long at A-B and going short at B-C. For this I open DOMs of A-B and B-C and give limit orders in individual exchange traded spreads of A-B and B-C. Same tactic also applies to condors (A, -B, -C, D)
\ It would only be theoretical that you could get precise fills on a repeatable and consistent basis. Doesn't matter what the leg configuration of the spread or the execution platform. That was my original point.
Check both wings markets and provide liquidity on the least liquid one so that when the first wing is filled you can simply enter the last one at market to get the whole butterfly at 10. Ex: You already have the body at 5. One wing is 7 x 13 and the other 9 x 11. Place a bid at 9 on the first wing and when filled remove the second wing ask at 11. You just got your butterfly at 10. This can only work in slow markets, but I think that's how I would do it.
Quote in order of speed. Slowest and widest leg first, while keeping your quotes in the faster narrower legs wider. Idea is to make the spread on the slowest widest leg first, as the others are progressively easier and cheaper to do. I know I didn't answer the question, but this is one way to approach multi-legged execution.