  We consider a general class of high order weak approximation schemes for
stochastic differential equations driven by L\'evy processes with infinite
activity. These schemes combine a compound Poisson approximation for the jump
part of the L\'evy process with a high order scheme for the Brownian driven
component, applied between the jump times. The overall approximation is
analyzed using a stochastic splitting argument. The resulting error bound
involves separate contributions of the compound Poisson approximation and of
the discretization scheme for the Brownian part, and allows, on one hand, to
balance the two contributions in order to minimize the computational time, and
on the other hand, to study the optimal design of the approximating compound
Poisson process. For driving processes whose L\'evy measure explodes near zero
in a regularly varying way, this procedure allows to construct discretization
schemes with arbitrary order of convergence.
