I have a strategy that doesn't buy/sell anything but instead runs on minute bars and sends me SMS messages at market open and then on the hour for RTHs afterwards. The main buy/sell strategy always runs on a list of instruments so the status strategy sends overall account info such as net liquidation, realized PnL, Unrealized PnL, and etc. I'm looking to refine this status message with a summation of all negative unrealized PnL positions with a count as well as a summation of all positive unrealized PnL positions with a count.
Ex:
Unrealized Profits $100 in 14 Instruments
Unrealized Losses $50 in 10 Instruments
What can I use in the status strategy that would give me possibly an array of instruments currently held by the account?
With that list I should be able to lookup each of those instruments to tally my information.
Thanks,
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