jcl,
I believe that it would be good for the IB plugin to implement SET_COMBO_LEG.
As you may know, I have implemented this already on my Ally plugin, so you can feel free to recycle any amount of that code.
Rationale:
There are two main benefits of implementing Option Combos as opposed to as individual leg orders:
* Lower broker fees. For example, a four-leg order would save approximately $3 USD over four individual orders. I suppose these fees can add up long term.
* Per a discussion with an IB rep in
this thread, IB actually processes combos as a whole and not one leg at a time. This simplifies risk management.
Thanks,
Andrew
