# Leg Configuration Spreads are defined by a weighted sum of the individual leg's prices, using `price_multiplier`, with an optional `price_offset`. $$ SpreadPrice =\sum\_{i=1}^n PriceMultiplier\_i \* (Price\_i + PriceOffset) $$ The `quantity_ratio` actually determines the ratio of contracts quantities you are trading in each leg. Most of the time, the `quantity_ratio` should be equal to `price_multiplier`. However, there are some instances where you may want the `quantity_ratio` to differ, such as when there are contract point values at play. For example, imagine a [ES](https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.contractSpecs.html) - [MES](https://www.cmegroup.com/markets/equities/sp/micro-e-mini-sandp-500.contractSpecs.html) spread. While you may wish to price it as long 1 ES, short 1 MES (`price_multiplier` of 1 and -1, respectively), ES has a contract point value of $50, whereas MES has one of $5. This means that to actually achieve the correct *notional* exposure that matches your long 1 ES, short 1 MES spread price, you would need to use a `quantity_ratio` of 1 and -10. Any multiple of this ratio, such as 0.1 and -1 works the same. For another example, take [Heating-Oil (HO)](https://www.cmegroup.com/markets/energy/refined-products/heating-oil.html) vs [Gasoil (G)](https://www.ice.com/products/34361119/low-sulphur-gasoil-futures):\ \- HO is priced in $ / per gallon, G is priced in $ / metric ton\ \- HO contract size is 42,000 gallons, G contract size is 100 metric tons If we want to standardize the units of these two contracts and trade the resulting spread, we could set:\ \- 1 gallon of heating oil is around 0.00318 metric tons, so the `price_multiplier` would be `1 HO x -0.00318 G`\ \- 42,000 gallons of heating oil is around 133.56 metric tons, so a `quantity_ratio` of `3 HO x -4 G` would yield a similar tonnage (\~400 vs 400 metric tons) {% hint style="info" %} The sign of your `price_multiplier` for each leg **must match** that of your `quantity_ratio` , as the algo needs to take into account the buy/sell direction of your order to price using the corresponding bid/ask. {% endhint %} {% hint style="info" %} Fractional units can be given, but quantities will be rounded down if they cannot be rounded to a whole lot. {% endhint %} ### LegParams | Parameter | Description | | --------------------------------------------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | price\_multiplier *(decimal)* | The weight to assign to this leg for spread pricing | | quantity\_ratio *(decimal)* | The quantity ratio of contracts to trade this leg with respect to a spread unit. Note that when a spread quote or take order hits the market, quantity\_ratio determines your legs' relative order sizing, not the price\_multiplier, as the latter is only used for the spread pricing | | price\_offset *(decimal)* | The offset to apply to this leg *before* weighing it with price\_multiplier. This might be used if there is some bias, costs or other adjustment you wish to make to this leg's price before computing the overall spread price | | chase\_ticks *(unsigned integer)* | The number of ticks more aggressive than the desired price for a taking order. Using chase\_ticks > 0 decreases your changes of "getting hung", or remaining unhedged relative to the spread, after another leg gets a fill. However, when chase\_ticks > 0, it is possible to get filled at a spread price that is worse than your limit price | | quoting\_parameters *(QuotingParameters, optional)* | Specify optional quoting parameters (see below). If not specified or left as None, this leg will **not quote** | | symbol *(str)* | | | marketdata\_venue *(str)* | | | execution\_venue *(str)* | | | account *(str)* | | ### QuotingParameters Under the hood, Spreader utilizes the [QuoteOneSide](/algos-book/quoteoneside.md) algo for smart quoting behavior, if the `quoting_parameters` field is specified. | Parameter | Description | | ------------------------------------------ | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | max\_quote\_quantity *(decimal, optional)* | Maximum quantity to quote at a time for this leg. If left as None, the quantity quoted will be the minimum of the posted liquidity on the **other leg,** or the remaining quantity to satisfy the spreader order | {% embed url="" %} --- # Agent Instructions: Querying This Documentation If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question. Perform an HTTP GET request on the current page URL with the `ask` query parameter: ``` GET https://docs.architect.co/algos-book/spreader/leg-configuration.md?ask= ``` The question should be specific, self-contained, and written in natural language. The response will contain a direct answer to the question and relevant excerpts and sources from the documentation. Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.