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Category
Strategy Elements
Description
Specifies how to interpret the Quantity formula
Choices
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)
ValueOrder - Same as Value but based previous close for market orders, limit price for limit orders, or stop price for stop orders
PercentOrder - Same as Percent but based previous close for market orders, limit price for limit orders, or stop price for stop orders
Notes
The following are all equal position sizes, based on entry fill price:
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The following are all equal position sizes, based on previous close price or (if applicable) limit price:
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The following are all equal position sizes, based on an EntryLimit price:
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As a general rule, basing Quantity on FillPrice implies an ability to place orders using realtime market data to calculate the number of shares based on the most likely fill price as of that moment (for example, after a gap opening). If you are placing your orders before the market has opened then it is more realistic to use PercentOrder or ValueOrder or use an equivalent shares-type formula.
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