Spread orders sent to the complex order books are always treated as one order, not two or more. You can't get legged from a busted trade.
What do you mean by "legged from a busted trade"? Do you say that the situation that I described, in which after my spread order was filled only one leg (and not the other) was busted, could not happen? Please clarify, thanks.
No, it can't happen. The spread is reported and traded as two independent trades, but they were not. They were done with one party based on a net value. No one can cancel one leg of the spread without cancelling the other.
I understand that generally the other side of a spread order will be the opposite spread order, but it is also possible that the exchange will electronically match a spread order to a few signle orders with an aggregate price that is equal to the spread limit. If such situation occurs, can only one leg of a spread be busted or even in such circumstances it can't happen? Thanks for the clarification and sorry for asking many follow-up questions, I just want to understand this point.
Am I misinformed that the legs of a multi-leg trade can be with different entities on the other side?
Yes you are. In the complex order book, your spread is only represented there as one order, not two. For each execution, you have one party on one side and one on the other. Your bids and offers are NOT represented on the order books of the individual markets.