# 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](https://docs.architect.co/algos-book/quoteoneside) 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="" %}