Leg risk

One leg fills, the market moves before the second. For seconds or minutes you hold exactly the directional position you were avoiding.

The gap between fills

A spread position is born naked. Between the first fill and the second you hold an outright long or short — the exact exposure the strategy exists to avoid. Usually that window is seconds and costs nothing. On the wrong day it is the whole trade: you buy the long leg, the market drops 1% before the short fills, and the hedge locks in the loss instead of preventing it.

The window is widest exactly when spreads are widest — volatile markets, thin books, venue congestion. The opportunity and the leg risk are the same event.

Where it bites

• Volatile entries. Spreads printed during a squeeze come with fast-moving prices; a market order on venue B fills at a different world than the quote you saw when venue A filled.
• Partial fills. The long fills 10,000 contracts, the short only 6,000 — the difference is directional. Thin books and per-order size caps make partials routine on small perps.
• Rejects and halts. The second venue rejects the order (size limits, margin check, symbol halted) after the first is already in. Now the position is a choice between closing at a loss and running naked while you fix it.
• Slow manual execution. Typing the second order by hand across two exchange UIs measures your leg risk in tens of seconds.

Reducing it

• Fire the hard leg first. Enter the thin, capped or flaky venue before the liquid one — a fill on deep books is nearly certain and fast, so the naked window closes quickly. Unwinding follows the same rule in reverse.
• Match sizes to the worst book. Size the pair to what the thinner venue can absorb in one fill (the order books panel shows cumulative depth at each level). Partials are a size decision made in advance.
• Check contract minimums. Lot size, step and minimum notional differ per venue and cap how precisely the legs can match; the residual is permanent micro-exposure you carry knowingly. The Market info block on the Spread page lists both legs’ limits.
• Pre-check margin on both venues. A margin reject on leg two is entirely avoidable with one glance before leg one.