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>--
>Date: Wed, 13 Jan 1999 07:34:18 -0800
>From: "Sam W. Lloyd" <slloyd@xxxxxxxxxxx>
>To: <omega-list@xxxxxxxxxx>
>Subject: Simultaneous Long and Short Positions
>
>I have a client who has a system that generates up to four signals in one
>direction each based on the same entry and each with it's own exit orders.
>Signals in the opposing direction can be generated while still in a trade.
>For instance, if long 3 entries and get a short entry then you would still
>have the long entries and their exit orders intact and you'd have the short
>entry exit orders working. So you'd physically be long 2 entries but
>looking to exit on 4 -- 3 longs and 1 short! BTW, he's doing this real time
>and making money.
>
It can be done. Create 4 individual systems and then run them from a master
program as "includesystem"s.
The individual systems must avoid the use of Marketposition,
CurrentContracts, barssinceentry etc. Instead, the number of contracts must
be tracked in each system by checking for the entry/exitconditions having
been hit on the previous bar. When checking for exits you need to setup
true/false flags to tell if the exit conditions have already been met.
Because EL will only do each exit once in a given trade. You don't want
your contract counter continue to decrement if the exit conditions persist.
Each entry must be given a distinct name, and each exit must operate on a
designated entry. Otherwise it will exit possibly from a position held by
another system. Also the word "total" must be specified or else the exit
size could depend on positions held by other systems.
IF you can keep track of all this stuff in the programs it works well to
run everything as one master system. Good luck.
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