Just to  be clear, my strategy does not attempt to partially close positions.

It will open multiple positions (either all LONGS or all SHORTS), each with their own individual SET STOP order. SELL AT MARKET or EXIT SHORT AT MARKET commands are used to close out ALL positions simultaneously.

The issue I saw on two occasions last week, in the first week of live trading the system, was for the market to re-trace and the most recently opened position hit its SET STOP order mid-bar and (correctly) close. However at the close of the same bar, the remaining open short positions were also closed, despite the market being at least 20 points from the nearest EXIT SHORT level.

I added the attachment because that is an example of this scenario happening in a series of four trades and may be related to the issue.. In particular  I am confused why the “Pos Chg” value for the SET STOP trade at 09:07 says “-1>0”. As can be seen from the trade immediately below it, there were TWO short positions open at the time. Why is it not “-2 > -1”?