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06-21-2011, 01:48 PM
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Multi-Instrument Multi-Entry Strategy: Getting EntryOrder Info
I have a strategy which is Multi-Instrument. Furthermore, it pyramids, so I can have multiple unclosed entries on each instrument.
I would like to get info (entry price etc) on each separate trade E.g. Trade 1,2,3 each for instruments 1,2 and 3 (so 9 trades in total). The problem I have is that Positions[3].AvgPrice is the average of my 3 entries. I would like info for each separate entry. Is there an easy way to achieve this? Otherwise, what would you suggest? |
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