One order for two or more legs executed as a unit at a net price, so you are never left holding half a strategy.
Options and futures exchanges maintain dedicated books for spreads. You quote the difference, not each leg, and the matching engine guarantees both legs or neither.
That guarantee is the whole value. Legging into a spread manually exposes you to the market moving between fills, and to paying two bid-ask-spreads instead of one.
Example: a calendar spread in futures quoted at minus 0.75. One order buys the back month and sells the front at that net difference. Legging it, you might sell the front at 5,000.00 and find the back has moved before you buy, turning an intended minus 0.75 into minus 1.25 — a $500 difference on ten contracts at $50 a point.
Original diagrams for the ideas on this page. Illustrative, not real market data.
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.
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