At the moment, I ran backtest, it contains of 188 trades, and 0 trades with Exit on session close Exit name (default NinjaTrader method), WHICH WAS THE GOAL!
I added NameSEL (Signal Entry Long) and NameSES (Signal Entry Short) and those variables evaluate the variable of NameELM, NameESM, NameELS, NameESS when Entering order. And then, I use OnOrderUpdate and check whether order is filled and then if Order is long - NameOE (Order Entry) is set to either NameELM or NameELS, if short - to NameESM or NameESS.
And then I ExitLong or ExitShort using signal name NameOE.
So thanks NinjaTrader_ChelseaB for guidance, it was my first attempt to work with TraceOrders, it is much easier now.
Also, I want to give special thanks to zacharydw00 for his courses, as using his example scripts I was able to adapt it to my own situation.
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