Thanks for the responses. I should have been more specific regarding what I meant when I said the "average number of open trades".

I do not care if there are no trades at all open. I also do not care about how long a trade is open. If two trades are open at the same time even for 1 minute I consider that two trades open at once. So I'm not exactly sure the best calculation to use.. Perlbotics your asynchronously at open/close times seems to be what I'm looking for. So far the testing shows that it's pretty accurate. Thanks! Let me know if you have any update considering the definition I presented for average number of open trades.