Base implementation for submitting and handling combination or multi-legged orders.
Note on fill events: the brokerage will wait for all fills in the group before emitting the fill events to Lean in the same batch, unless we timeout (30 seconds by default), in which case a batch of events with the fills we have up until that moment will be emitted to Lean.
Description
Base implementation for submitting and handling combination or multi-legged orders.
Note on fill events: the brokerage will wait for all fills in the group before emitting the fill events to Lean in the same batch, unless we timeout (30 seconds by default), in which case a batch of events with the fills we have up until that moment will be emitted to Lean.
Related Issue
Closes https://github.com/QuantConnect/Lean.Brokerages.InteractiveBrokers/issues/8
Motivation and Context
Requires Documentation Change
How Has This Been Tested?
Unit tests and end-to-end tests.
Types of changes
Checklist:
bug-<issue#>-<description>
orfeature-<issue#>-<description>