I noticed a reference to combo legs in InteractiveBrokersClient.cs on github. If there's anything I can help with in implementing this let me know. IB's API is open source on github and their combo functionality is fairly well documented, so it shouldn't be too bad to extend LEAN.
Sorry, couple of other questions...
* looking through InteractiveBrokersClient.cs it looks possible to get market depth information (updateMarketDepth, etc) from IB but I haven't been able to find a good example of this in the documentation. I'm pairs trading stocks and want to be able to put in buy & sell limit orders that are highly likely to be filled. So it would be great to check market depth direct from IB right before sending the orders (I'm working at second resolution).
* can you give me a sense of the latency difference (both for market info and order placement) between coding the algo's directly in IB's API vs through LEAN?
Thanks. Great platform btw!