Combo orders

[jhonabreul]

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 #8

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Unit tests and end-to-end tests.

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• Refactor (non-breaking change which improves implementation)
• Performance (non-breaking change which improves performance. Please add associated performance test and results)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Non-functional change (xml comments/documentation/etc)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have added tests to cover my changes.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

[jaredbroad]

Review in slack