Calculate leg prices as close to the mark as possible

Leg prices must be in increments of minimum tick size

Leg prices must be within the Min and Max prescribed by the exchange for each leg

Important Pricing Points to Consider

Trade rejection due to timing differences between initial Price Band check (on Paradigm) and final price band check (on Bybit)

1. After the Maker enters executable prices, Paradigm conducts a price band check for the quoted strategy to ensure that the price(s) entered by the Maker are within the permissible price bands set by the exchange. These price bands are calculated by Paradigm using the Min and Max of the individual legs in the strategy.
2. However, Bybit performs its own price-band check at the time of trade execution i.e AFTER the trade message is submitted to Bybit.
3. Consequently, there is a time lag between the initial price band check performed by Paradigm (after Maker enters executable prices) and the price band check performed by Bybit (at the time of trade submission). This time lag can be any length of the time passed between maker posting the quote and taker executing.
4. During this time, there is a chance that the price bands for the individual legs (have changed meaningfully enough to cause the executed price to be outside the new price bands for the quoted strategy. If this is true, Bybit will reject the trade.