@guru you mean the standard complex orders. I wanted allow this also for non-standard, ie. user-defined baskets. Of course user must define the basket so that the broker/exchange is aware about all the legs in the basket.
Depends on the basket and exchange. I think some exchanges support quite complex orders/baskets with up to 6 legs and qty 1-4 each, but don't remember for sure. You'd have to look through exchange specs. Otherwise you'd need to work with an order execution firm or use specialized software, or do market making, or create your own software, or split orders into smaller ones, etc - to assemble your legs. This isn't related to AON. AON is for order quantity, not leg quantity. This also isn't related to brokers. Various order execution and market making companies, software and products will work with multiple brokers. You can also come up with various solutions for any broker, like splitting your order into smaller ones.
The individuals DON'T MATTER on a spread/combo; only the fill price. There was a n idiot on here (asiaprop) who thought that individuals on complex spreads mattered. You remind me of him, only less functional. You cannot fill a "partial" spread or BASKET in vol. There are no contingent baskets; only partial fills (of complete TICKETS). Moron. God, imagine if I were down on the day.