Hi QC Community,

What is the best way to implement multi-leg option strategies with limit orders? My understanding is the OptionStrategies method only supports market orders, which is less than ideal for options due to the wider spreads on multi-leg orders. In live trading, this has serious implications for slippage.

It seems like the catch-all would be to use the so-called Combo Leg Limit Order. If this is the case, will legs automatically be grouped and identified as a strategy, such as an iron condor, when LEAN sends the order to IB? Will margin be modelled correctly with this order type?

A source of additional confusion: in the Option Strategies section of the documentation, the methods to call are different for some strategies. For example, to create a bear call spread, it says to call the OptionStrategies.BearCallSpread() method, whereas an iron condor says to call self.ComboMarketOrder(). Combo Limit Orders are not the same as Combo Leg Limit Orders, so which is most appropriate for multi-leg strategies with a limit order?

This seems to be essential for exotic option strategies like iron condors, broken wing butterflies, diagonals.

Grateful for any help!