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Strategy Elements


Specifies how to interpret the Quantity formula


Shares - Quantity represents the number of shares or contracts (default if not specified)

Value - Quantity represents the notional value of the position (e.g. dollars) based on entry fill price

Percent - Quantity represents a percentage of current allocation (S.Alloc)


In the default top-down setup selection mode, Quantity is calculated and constraints (such as MaxInvested) are applied based on the OrderPrice of the EntrySetup.

In Legacy Mode, Quantity is based instead on FillPrice, implying that orders are placed when the market is open or about to open and the likely actual entry price can be known and used to calculate the position size.

To override either of the above defaults specify the QtyPrice choice explicitly.

The following are all equal position sizes in top-down mode:

For Legacy mode substitute FillPrice for OrderPrice above.




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