Is it possible for a Strategy to call another program? I want to use some libraries that are only available in python to create indicators. Therefore, my ideal would be to start executing the Strategy, call the python program to generate the indicators and then return to the Strategy to generate the orders and size the position.

Obviously, I can divide the Strategy up into two parts, run one part, save the results to a file, run the python program, save those results to a file and then run the second part of the Strategy. I am just wondering if it is possible to automate this.

Sure it's possible - if you call Process.Start:

Executing an External Program from WL 6.2

P.S. I wonder what kind of indicator in Python is this? IronPython is meant to run Python code in .NET (disclaimer: I never tried it).

Excellent.

Thank you Eugene.

I'm using linear algebra functions that I can't get from Math.NET Numerics.

Have you tried Accord.Net?

I've also had luck using ALGLIB.