Example 1

An order to buy a 1 x 2 call spread can be submitted as a conditional order with two legs:

1. buy 1 contract of Call(K1)

2. sell 2 contracts of Call(K2)

The net limit price of the conditional order then relates to the price for the execution of 1/3 of Call(K1) and 2/3 of Call(K2). If during an auction, Call(K1) clears at c1 and Call(K2) clears at c2 then the conditional order would clear at

[ 1 * c1 - 2 * c2 ] / [ 1 + 2 ]

The net limit price of a conditional order can be positive or negative. A positive net limit price indicates that execution of the conditional order implies a positive price ( or less ) being paid by the user who is a net buyer, a negative net limit price implies a negative price ( or higher a price to be received by the user who is a net seller )