Yes, you only can shape between 2 interfaces. However the problem with your setup is the following:
If you shape at the LAN side of the gatewaybox you can shape the overall bandwidth of all WANs of the gatewaybox only. So let's say each WAN has 1 mbit/s upd and down to keep it simple for calulation. This means your overall upstream isw 4 mbit/s. Now your shaper let's a single connection go out with 4 mibt/s. Now that single connection only can use 1 WAN at the same time, so it will max out the line at 1 mbit/s though it is allowed to use 4 mibt/s at the shaper box. This will overload 1 line whereas the other 3 lines are still idle. It won't work efficiently in that scenario. To make this work with multiple boxes you would need one gateway and 4 shapers at eah WAN of the gateway. This is an ugly setup and I agree to that, however it's the onyl way to do this right with multiple boxes. I have played around with custom shaperrules and a 2 WAN, 1 LAN setup but haven't managed to get it working the way I wanted it to work. However there are people reporting some kind of success with custom rules and multiple WANs. We'll hopefully have a multi interface shaper after 1.0 is out but trafficshaping gets pretty complex when using multiple interfaces so there is no timeframe for that feature yet.
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