Take this example:
protected override void Initialize() { EntriesPerDirection = 5; EntryHandling = EntryHandling.AllEntries; }
protected override void OnBarUpdate() { if (XYZ()[0] == 1) // should do ONE of the following tasks this bar (i.e. don't reverse in one step): // if currently long < 5 contracts, should long another one // if currently hold short position(s), should close one short position now EnterLongLimit(GetCurrentBid()) if (XYZ()[0] == 0) // if hold any contracts (short or long), close 1 position now ExitLongLimit(GetCurrentBid()); ExitShortLimit(GetCurrentAsk()); if (XYZ()[0] == -1) // should do ONE of the following tasks this bar (i.e. don't reverse in one step): // if currently short < 5, should short another one // if currently hold a long position, should close one long position now EnterShortLimit(GetCurrentAsk()) }
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