What is the best way programatically to create one entry order and 5 exit orders. I currently have a script to enter 5 orders and then 5 separate orders to exit. Just trying to reduce commission expenses.
Even if you had 1 entry and 5 separate exits, it's still going to be seen as 5 trades, 1 single/common entry combined with 5 separate exits.
Obviously for per/contract instruments, it doesn't really matter, but even for equities, I'm not seeing how you're reducing your comission, as on a trades list, it still looks like 5 trades, because there are 5 complete orders submitted.
Nonetheless, have you tried varying positionsize using an intial input and then making the exits a variable amount of the intial positionsize?