Systems and methods for linking orders in electronic trading systems are
provided. These systems and methods enable a trader to select two or more
items that are to be linked and specify linking parameters for those
items. Any desired set of items may be linked, and the linking parameters
may include price adjustments, order sequencing instructions,
automatic/manual execution controls, execution delays commands, and
update frequency limits. Upon detecting a bid or offer for a linked item,
the systems and methods may then determine a size and a price for each
linked item based upon the size and the price of the bid or offer for the
first linked item. In this way, the sizes and the prices for the other
linked items may be propagated from the size and the price for the first
item. Once the size and the price for each item is determined, the
systems and methods may submit orders for the items in accordance with
the linking parameters. In the case where orders for linked items may
only be submitted in designated lot sizes, the systems and methods may
round the sizes of the orders to the designated lot sizes, and then
submit remainder orders to make up for the rounding.