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Category
Current Position Information
Description
Equity fraction of current position size at time of initial entry order (or actual entry)
Notes
FillFraction returns the initially ordered position size as a fraction of S.Alloc at the time of the order.
This was the same fraction used to check the potential entry against the MaxExposure constraint.
FillFraction is the same as the actual position size fraction unless a gap causes a difference between order price and entry price.
If QtyPrice is FillPrice rather than the default OrderPrice or if the test was run in LegacyMode then FillFraction will always be the entry price.
The FillFraction of each trade becomes the T.Fraction value in the trade list.
The S.Exposure and S.Usage stats are the sum of FillFraction values of open positions each day, so they also will depend on how FillFraction is calculated.
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