I would like to hear peoples experience regarding entering an option strategy. Do you enter a combination order or do you enter each leg as an individual order? My experience is that I normally getter a better fill with a limit order on each leg (of course there is a risk of a quick market move). I'm assuming that it will always be a market marker taking the other side of a combination order, correct? So I will never get a good fill by an (impatient) retail customer. I suspect this could explain the better fill of legging into a position. If it matters, then my broker is IB.
I usually enter each leg of a strangle, spread, ect. as an individual limit order, using the One-Trigger-Other feature of optionsXpress. For brave people, the second leg can be placed as a market order to guarantee execution. I tried combination order before, but there is just no liquidity. Yes. The fills are usually bad for these orders.
I use a proprietary technique called pick the tick. Works very well. You need to watch the option prices very closely. Remember they are all on autoquote so as the underlying moves up and down the prices update accordingly. By carefully watching the tick changes you can spot the exact tick where the option prices change and then you can pick off the order. I have done this very well and I almost always get a free nickel out of this. It's a good way to leg into spreads. Remember, pick the tick. Good luck.