Strategy on Multiple Instruments

[nickslad]

Hello,

I’ve been searching through past threads but am unable to come to definitive answers.

I have a question concerning how a strategy is applied to multiple instruments when selecting a given instrument list. Currently I’ve been using a strategy on a single instrument with majority buying power and am considering the feasibility of applying this strategy to other instruments.

Ideally what I would like to do is continue trading at majority buying power on either Instrument A or B, whichever instance comes first. I don’t see trades very often but eventually the different instances will overlap, and I don’t want there to be any hangups, etc.

My understanding is that when I select multiple instruments for the strategy to run on, they are each separate instances of the strategy. So if I reduced the order size to something that can be split among the different instruments, I should expect to see trading concurrently among the different instruments. No problems there. However, if I maintain an order size too large to be split among my buying power, it will attempt to trade concurrently and have errors. Is this understanding correct?

Going from there, presumably I will need to implement a check to limit to a single open position across all instruments and outside of that strategy instance. I just want to check my understanding before going too much further.

[NinjaTrader_PaulH]

Hello,

Thanks for your post.

You could have each strategy instance (one instrument/strategy) read/write a common file to keep them in sync with the proper quantity. Alternative would be one strategy for all instruments.

[nickslad]

Thanks for the reply.

First of all, I'm glad to know that I'm on the right track in understanding how the strategy instances will interact with one another.

What you described about using a common file is something I had been thinking of. I'll have to work out the exact solution... The most important thing was to make sure initially that I'm on the right track in my thinking.

Thanks!