Jason, As you are finding out there are only certain things that you can do as far as orders.
In back tester we can add virtually any position we want in one order however when we get into live trading we can only do standard orders like singles, verticals, butterflies, broken wing butterflies, calendars, and condors. This being the case you’ll often need to enter the orders as multiple trades. When you do that, there are going to be short periods of time where you’re not in the complete position that you want to be in which may create more Delta than you want for short periods of time. This is simply part of trading, however what you can do is you can make smaller incremental adjustments so that the Delta shift is minimalized. So for example if you were going to enter 10 butterflies and one call then you could enter 5 butterflies, then the call, and then another five butterflies. This is more orders, but it keeps the Delta shift at a minimum. One thing I suggest is that when you’re doing your back testing, that you only put orders in that you can actually execute in your brokerage platform and then forcing yourself to go to the next time frame in the brokerage platform between each order this helps you recognize the challenges, and sometimes benefits of having to do separate orders so that when you do them do that live, it feels more natural.