Entry orders are rejected based on violations of threshold values for each of the group risk sections enabled.
Group Risk Manager Parameters:
Parameters:
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Descriptions:
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Use Risk
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True enables Max Group Risk parameters.
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Max Group Long Risk %
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Max risk for Long instruments in the group.
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Max Group Short Risk %
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Max risk for Short instruments in the group.
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Use Units
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True enables Max number of Long and Short Group Units.
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Max Group Long Units
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Max number of Long units in the group.
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Max Group Short Units
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Max number of Short units in the group.
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Use Quantity
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True enables Max number of Long and Short Group positions.
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Max Group Long Quantity
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Max quantity of Long positions.
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Max Group Short Quantity
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Max quantity of Short positions.
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Group Risk Limiter Control Logic - CAN ADD UNIT:
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' ==============================================================
' 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
' ==============================================================
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Edit Time: 9/12/2020 9:50:00 AM
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Topic ID#: 153
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