diff --git a/docs/src/extensions.md b/docs/src/extensions.md
index c10ec1a8442..5e53d2a5dd8 100644
--- a/docs/src/extensions.md
+++ b/docs/src/extensions.md
@@ -51,6 +51,17 @@ The [`@constraint`](@ref) macro always calls the same three functions:
 Adding methods to these functions is the recommended way to extend the
 [`@constraint`](@ref) macro.
 
+### Adding `parse_constraint` methods
+
+```@meta
+# TODO(Benoît): Detail how `parse_constraint` works and show how `sense_to_set`
+#               fits into the picture.
+```
+
+```@docs
+sense_to_set
+```
+
 ### Adding `build_constraint` methods
 
 There is typically two choices when creating a [`build_constraint`](@ref)
diff --git a/src/macros.jl b/src/macros.jl
index 27217bbc929..bb626a627e4 100644
--- a/src/macros.jl
+++ b/src/macros.jl
@@ -358,6 +358,47 @@ end
 
 # two-argument build_constraint is used for one-sided constraints.
 # Right-hand side is zero.
+
+"""
+    sense_to_set(_error::Function, ::Val{sense_symbol})
+
+Converts a sense symbol to a set `set` such that
+`@constraint(model, func sense_symbol 0) is equivalent to
+`@constraint(model, func in set)` for any `func::AbstractJuMPScalar`.
+
+## Example
+
+Once a custom set is defined you can directly create a JuMP constraint with it:
+```jldoctest sense_to_set; setup = :(using JuMP)
+julia> struct CustomSet{T} <: MOI.AbstractScalarSet
+           value::T
+       end
+
+julia> model = Model();
+
+julia> @variable(model, x)
+x
+
+julia> cref = @constraint(model, x in CustomSet(1.0))
+x ∈ CustomSet{Float64}(1.0)
+```
+
+However, there might be an appropriate sign that could be used in order to
+provide a more convenient syntax:
+```jldoctest sense_to_set
+julia> JuMP.sense_to_set(::Function, ::Val{:⊰}) = CustomSet(0.0)
+
+julia> MOIU.shift_constant(set::CustomSet, value) = CustomSet(set.value + value)
+
+julia> cref = @constraint(model, x ⊰ 1)
+x ∈ CustomSet{Float64}(1.0)
+```
+Note that the whole function is first moved to the right-hand side, then the
+sign is transformed into a set with zero constant and finally the constant is
+moved to the set with `MOIU.shift_constant`.
+"""
+function sense_to_set end
+
 sense_to_set(_error::Function, ::Union{Val{:(<=)}, Val{:(≤)}}) = MOI.LessThan(0.0)
 sense_to_set(_error::Function, ::Union{Val{:(>=)}, Val{:(≥)}}) = MOI.GreaterThan(0.0)
 sense_to_set(_error::Function, ::Val{:(==)}) = MOI.EqualTo(0.0)