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Multi-leg Options Orders

I have been searching around and do not see much mention of multi-leg orders for options.  I believe this is rather important for all strategies with short legs and allowing for proper margin calculations.  Is this possible or am I missing it?

In live trading with IB, do the margins get calculated against current positions...meaning will it recogonize the short leg as a naked position or correctly as a leg?  It is easy enough for backtesting, but it seems proplematic looking ahead at live trading as previous brokers I've used will only properly calculate if submitted as a single order.  IB appears to support four legs directly on TWS.

Adding index options is currently listed as feature request and this ability is essential for trading index options where the requirements easily get in the millions if not properly calculated.  But curious to ask all this in case my expectations are incorrect.   

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi DanRock 

At the moment, QuantConnect/Lean only places individual orders.
Support for multi-leg orders is in our TODO list:
Combo buying power model #2709

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


"Support for multi-leg orders is in our TODO list:"
>> That would be great!

 

Once it is available, maybe options on futures could also be available, as they would profit a lot from it.?

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Thank you for the link.  I couldn't find a specific item on github before, but I'm a bit new at this process.  However, I would add that limit orders is a must have component for a multi leg strategy.  It doesn't say this in the expected behavior and I'd suggest that this is probably one of the most important needs.  A multi leg order gets EATEN ALIVE by slippage without being able to submit a limit at something like the midpoint of the entire strategy/order.  Just to throw that out there.

Any ETA on this as its listed about a year ago now?  

Thanks!  And thanks for all your work to everybody working on this project.  It is amazing getting to know this platform.

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Hi DanRock 

We are sorry, but we cannot give the community an ETA since it is not near the top of our TODO list that is ordered by priority.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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