ComboLimitOrder limit price for open and close of Iron Condor strategy?

To implement a fill at the mid-price aggregate for all the legs combined, you can create a custom FillModel. In a simulation or backtesting environment, you can assume that all orders are filled at the mid-price. Here's a basic example of how you might implement this in Python:

class MidPriceFillModel(FillModel):
    def MarketFill(self, asset, order):
        # Get the current QuoteBar for the target security
        quoteBar = self.CurrentSlice[order.Symbol]

        if quoteBar is None:
            return OrderEvent(order, self.UtcTime, OrderStatus.Invalid, "No quote bar available")

        # Calculate the mid price
        mid_price = (quoteBar.Bid.Close + quoteBar.Ask.Close) / 2

        # Create an order event with the fill price set to the mid price
        fill = OrderEvent(order, self.UtcTime, OrderStatus.Filled, order.Quantity, mid_price)

        return fill

(Source: QuantConnect Forum)

Regarding the limit price in the ComboLimitOrder, the quantity of the legs sets the ratio of the leg orders while the quantity argument of the ComboLegLimitOrder method sets the combo order size and acts as a global multiplier. The quantity also sets the order direction of the combo limit order, which affects how the fill model fills the order.

# Create order legs 
legs = []
quantities = [1, -1]
factors = [0.98, 1.02]
for i, contract in enumerate(contracts):
    legs.append(Leg.Create(contract.Symbol, quantities[i], contract.LastPrice * factors[i]))

# Place order
self.ComboLegLimitOrder(legs, 1)

(Source: QuantConnect Documentation)

As for using ComboLimitOrder with IBKR for Live Trading, the information provided in the extracts does not contain any user feedback or experiences. You might want to check the QuantConnect forum for discussions related to this topic.

Provide an example of ComboLimitOrder to close an option strategy?

To close an option strategy using ComboLimitOrder, you would need to create a new ComboLimitOrder with the opposite quantities for each leg of the strategy. Here's an example in Python:

# Assume you have an open strategy with the following legs
open_legs = [
    Leg.Create(contract1.Symbol, 1),
    Leg.Create(contract2.Symbol, -1)
]

# To close the strategy, create new legs with opposite quantities
close_legs = [
    Leg.Create(contract1.Symbol, -1),
    Leg.Create(contract2.Symbol, 1)
]

# Calculate the limit price for the closing order
# This will depend on your specific strategy and market conditions
close_limit_price = ...

# Place the closing order
self.ComboLimitOrder(close_legs, 1, close_limit_price)

Please note that the limit price for the closing order should be determined based on your specific strategy and the current market conditions. The example above assumes that you want to close the entire position (i.e., the quantity argument of the ComboLimitOrder method is 1). If you want to partially close the position, you would need to adjust this quantity accordingly.

(Source: QuantConnect Documentation)