Liquidate options strategies in batch

[jhonabreul]

Originally posted by @jhonabreul in https://github.com/QuantConnect/Lean/issues/7221#issuecomment-1526022776

Expected Behavior

The Liquidate API takes care of multi-asset position groups (like option strategies) by liquidating them in batch (with a group order) to avoid the insufficient margin issue.

Actual Behavior

The Liquidate API liquidates multi-asset position groups using individual market orders, causing potential insiffucient buying power issues that won't allow the assets liquidation (see #7221)

Potential Solution

The Liquidate API could use combo orders to liquidate option strategies position groups in batch.

Reproducing the Problem

Run the ComboLimitOrderAlgorithm but reduce the initial cash to something like 10000. It places a butterfly call order which margin requirement is zero (0), but after Liquidate() is called, the portfolio will still have invested securities because some of the market orders fail with insufficient buying power.

System Information

Windows 11

Checklist

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• [x] I have provided detailed steps to reproduce the issue