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First generation implied orders are created at prices sufficient to trade. If these first generation implied orders are not at a large enough quantity to fill an arriving order, then CME Globex builds second-generation implied orders until the quantity of the arriving order is completely satisfied.

The following examples showi show how implied orders are constructed in one market based on orders in another.

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In this implied IN example, a quantity of 10 spreads are available from the 74150 bid in September 2011 (QMU1) to spread against the 75500 offer in the October 2011 ask (QMV1) to create the two legs of quantity 10 in an implied bid for the Sept-Oct. 2011 spread (QMU1-QMV1).

Example: Implied OUT Orders

Implied OUT outright orders are derived from a combination of an existing spread order and an existing outright order in one of the individual underlying legs. These two orders are used to create a contingent outright order on the other underlying leg of the spread. The following  is an example for an implied bid in a leg (known as an implied OUT).

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