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Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
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The way I have done it in Tradestation before is as follows.
Assume we have two Instruments X and Y.
Chart 1 has X as data1, X as data2, Y as data3
Chart 2 has Y as data1, X as data2, Y as data3
Write a single strategy for the pairs trade. At the beginning of the strategy you have some simple code that detects whether data1 is equivalent to data2 or data3. Now the strategy knows which instrument the chart is trading. So when it comes to executing orders you do something like "if data1 is same as data2 then execute orders for X otherwise execute orders for Y".
As you state the problem with this is that you have two performance reports and two sets of trades and you need to do your own calculations to add them together, which is a major pain if you are doing optimizations.
In theory you should be able to do it in Maestro though, which should combine the results into a single performance chart for you.
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