Entry orders are rejected based on violations of threshold values for each of the group risk sections enabled.

 

Group Risk Manager Parameters:

Group Risk Manager Parameters

 

Parameters:

Descriptions:

Use Risk

True enables Max Group Risk parameters.

Max Group Long Risk %

Max risk for Long instruments in the group.

Max Group Short Risk %

Max risk for Short instruments in the group.

Use Units

True enables Max number of Long and Short Group Units.

Max Group Long Units

Max number of Long units in the group.

Max Group Short Units

Max number of Short units in the group.

Use Quantity

True enables Max number of Long and Short Group positions.

Max Group Long Quantity

Max quantity of Long positions.

Max Group Short Quantity

Max quantity of Short positions.

Group Risk Limiter Control Logic - CAN ADD UNIT:

  '  ==============================================================
  '  Group Risk Manager
  '  CAN ADD UNIT SCRIPT - START
  '  ==============================================================
  '  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  '  LONG Order Filtering Logic
  '  --------------------------------------------------------------
  ' Check the long positions in this group to see if we can add a new unit
  If order.position = LONG AND
    ( ( useRisk AND instrument.groupLongRisk >= maxLongRisk * system.tradingEquity ) OR
      ( useUnits AND instrument.groupLongUnits >= maxLongUnits ) OR
      ( useQuantity AND instrument.groupLongQuantity >= maxLongQuantity ) ) THEN
    order.Reject( "Long group risk greater than maximum" )
  ENDIF
  '  --------------------------------------------------------------
  '  SHORT Order Filtering Logic
  '  --------------------------------------------------------------
  ' Check the short positions in this group to see if we can add a new unit
  If order.position = SHORT AND
    ( ( useRisk AND instrument.groupShortRisk >= maxShortRisk * system.tradingEquity ) OR
      ( useUnits AND instrument.groupShortUnits >= maxShortUnits ) OR
      ( useQuantity AND instrument.groupShortQuantity >= maxShortQuantity ) ) THEN
    order.Reject( "Short group risk greater than maximum" )
  ENDIF
  '  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  '  ==============================================================
  '  CAN ADD UNIT - END
  '  Group Risk Manager
  '  ==============================================================

 


Edit Time: 9/20/2017 07:56:26 AM


Topic ID#: 153

 

 

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