Multi-leg trading (2 or 3 legs)

[Jones75]

Hi,
I would like to learn about your experiences with multi-leg trading (2 or 3 legs).
What can go wrong, what are the biggest dangers?
I'm working on such a strategy, but it requires limit orders somewhere between the Bid and Ask,
and depends on it as a whole, ie. all legs have to be filled.
The strikes in question are liquid, ie. there is usually enough volume given throughout the whole day.
I just wonder about the consequences if not all legs can be filled. What best to do in such a case?
Any advice?

I mainly trade "long put synthetic straddles" and leg into the put options first. The b/a spread (especially if super tight) tends to move against you a lot quicker than the stock spread.

Also if something goes awry while holding the stock (computer crash or MM takes a smoke break, etc.), big losses can happen, while the options have smaller overall dollar risk.