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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 :)

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...

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...

I have dropped them an email. Thanks :)

Thanks for the response guys. I'm not sure I have access to CME helpline, so I'm stuck looking for answers here and other forums (if i find any) So we're still looking to answer the original question. While looking at that, I also thought of the below If implied orders are always stacked below...

Hi Robert, What you said would in fact be the case if the legs and spreads are different symbols and they execute independently. However, I'm lead to believe that they execute off each other. The reason I believe they execute off each other is because they have Implied Orders (in/out) enabled...

They do place the implides below the native orders in the spreads and also the outrights. The problem then occours with implied in. When the implied in gets executed Pro-Rata, the outright order in the leg instruments need to be executed, but FIFO.. hmmm

Hi All, I'm new here and here to get an answer the the question in subject. Please help me out I'm looking at the AUS/USD futures in CME and realized that the Outright futures execute as FIFO (F) but the SD (Calendar) and RT (Reduced Tick Calendar) execute as Pro-Rata (C) Given that implied...