Multi-Leg Conditional Orders

The Ithaca protocol allows for the submission of conditional orders of two or more legs. Each leg of a conditional order enters the matching engine as a separate order. Legs of a conditional order can either be BUY or SELL orders. The order legs can be for any product tradable on the Ithaca platform.

A conditional order can either be fully executed with all the legs fully executed; or it can be partially executed with all its legs executed at the same pro-rata volume fraction.

A conditional order has one net limit price / premium across all legs. A leg with a buy order is counted positively while a leg with a sell order is to be counted negatively towards the net limit price. Therefore, the net limit price of a conditional order represents the price of a normalized quantity of 1 unit.