I was thinking about this item a little overnight and I am not sure how not being able to maintain open orders would make assigning P&L that much more difficult. The only way I can really see is if FXCM gives each trade a unique identifier, in which case the closing out of positions can create problems if you rely on their identifier.
However, you could pretty easily work around this by keeping track of your own PnL. Since individual trades still trigger in the market, you know at which price they trigger and by keeping track of your trades and positions you can correctly assign PnL to various strategies.
Using you GBPJPY example from before, let me explain the mechanics:
With the initial short, strategy A sells 10k GBPJPY at X. You would just need to keep track of the position and can calculate PnL at any time by looking at the market prices.
With system B initiating a long of 10k GBPJPY at Y, you would keep track of the position separately from system A. Even though your portfolio is now flat, you still have a position in each system.
End of the day, system B exits its trade at Z. At this point, you will be short again with your portfolio level short being initiated at Z. However, the total gain / loss in the portfolio will be the same as the total for both systems and system A was "short" for the entire period while system B already realised a gain/loss on its trade.
If you wish to stay with FXCM, this is probably the way to go. Not sure what their coding language looks like, and also not sure how you planned on assigning the open trades to different strategies, so this may be more work. Perhaps this is helpful to you.
This functionality is available with FXCM's Trading Station platform or MT4. Another alternative is to have multiple FXCM accounts for long and short positions if you wish to use the NinjaTrader platform.
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