FIFO Settings

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Please definitely add this when there is time to implement.

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I added some commentary regarding this in this thread https://strategyquant.com/forum/topic/enforcing-fifo-rules-in-combined-strategies/#post-250155

I believe this should be relatively simple to implement and would only require two basic rules for implementation.

1. While a trade is open (an order was filled), prevent any further orders (limit or market orders from either side) from being submitted.

2. Stop limit and limit orders from either side can be submitted simultaneously as long as no trade is open however, when a trade is open (an order was filled), cancel any pending limit/stop limit orders that did not originate from the open trade.

This should be able to be backtested as well/enabled the EA for MT4/Multicharts/etc. Also, It may be obvious but when cancelling limit/stop limit orders, this should only apply to other trades and not the TP/SL of the current trade.

Also, there is an easy test to confirm this is working properly once implemented:

Loop through the orders. Check if the time of opening the next trade only occurs after previous trade is closed out. Should be true for all trades recorded by the strategy.

This should be obvious but I want to add in order to make clear. FIFO should only be applied individually to strategies and shouldn't conflict between multiple strategies. For example, if FIFO mode is enabled on a EUR/USD strategy and a AUD/USD strategy, the EU strategy should not have to check if positions are closed on AU strategy in order to trade. It would only check if there are no positions open on the individual strategy trading EU in order to determine whether to trade or not. This would also be the same case if two strategies traded the same instrument. 

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