|
Category
Strategy Elements
Description
Specifies which price to use when calculating Quantity (Percent or Value types), trade fraction, and exposure
Choices
OrderPrice - use the order price (default in top-down mode)
FillPrice - use the entry price (default in legacy mode)
Notes
This new strategy-level setting replaces and augments the former PercentOrder and ValueOrder selections for QtyType.
The QtyPrice setting has several implications:
•which price to use when calculating Quantity for types other than shares
•how to interpret FillPrice on the day a position is entered, e.g. when used in ExitLimit or ExitStop
•which price to use when calculating T.Fraction
•which fraction value to therefore use when checking MaxExposure and calculating S.Exposure and S.Usage
In most cases the best practice will be to accept the default for this setting.
Using QtyPrice: FilPrice implies that you are able to size your positions and calculate your entry-day target and stop prices at the moment of entry based on the actual fill price or that you have automation software that can do so.
Using QtyPrice: FillPrice also implies that your rank-based final setup selection (depending on capacity constraints) is done at entry time.
|
