Multi leg order

Is there any broker that allows you to place a multi leg order? Are the multi leg order in Bse and Nse. I am trading with RK Global. They have this feature in their software, but it doesn't work and they say that it is not allowed.

Irrespective of broker, you cannot have buy/sell legs in different exchanges. Ex: If you buy in BSE and sell in NSE, you will have to take delivery from BSE, and will bear a short penalty in NSE.

Once the shares are delivered to your demat account, then you can sell them in any exchange, regardless of which exchange you purchased from.

Let me tell you that multi leg order is a simultaneous buy and sell order. This means that if some shares are bought at your order price, then a sell order is automatically placed at a higher price as specified by you. This is majorly done for speed trading.

Now, I want to ask if this is allowed or not. My broker has told me that it is only allowed in forex.