Portfolio <- Trades <- Orders

There is a class missing: "Trade" or "Position". We have Orders, Strategy, Bars, etc. but not a Trade. A Trade would be attached to a symbol, and would be a full cycle of order executions, from flat, to "in-position", to "scale-in", to "scale-out", cycle through scale-in / scale-out multiple times, then back to flat.

A Trade would keep track of all these order executions, and their implications on the open PNL, Nr. Lots, drawdown / max-open-profit, etc.

Because there is no "Trade" class, working with Orders, various order types, defining scale-in / scale-out strategies - is a mess.
For example,

1) you send a long order for 10 lots at bar 1.
2) you are allowed to send a sell order at bar 2 to sell 5 - so you CAN scale-out, but you are not allowed to scale-in (send another buy order) with default settings.

To fix this, you need to specify a "Position limits" setting of "allow up to N" orders in the same direction:
a) when the order is generated by a different entry order.
b) regardless of the entry that generated the order.

There is an option missing in there: "when the order is generated by the same entry order" ...

Nonetheless, a more intuitive way, is to have a "Trade" or "Position" object that would own EVERY aspect of its position and order generation/management.