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Autospreader

Specifying a Minimum Hedge Quantity

A quoting order for a spread can only be submitted into the market if the associated hedge market(s) have a current quantity that meets or exceeds the minimum quantity to lean against. Use the Base Volume Lean and Offset Volume Multiplier to quantify the minimum hedge quantity needed to lean against using the following formula:

(Order Quantity) * (Offset Volume Multiplier) + (Base Volume) = Minimum contracts needed to lean against

Examples:

  • An order quantity of 10 with an Offset Volume Multiplier of 1 and a Base Volume Lean of 25 needs 35 contracts available to lean against.
  • An order quantity of 100 with an Offset Volume Multiplier of 2 and a Base Volume Lean of 10 needs 210 contracts available to lean against.
  • An order quantity of 20 with an Offset Volume Multiplier of 0 and a Base Volume Lean of 100 needs 100 contracts available to lean against.