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Category
Settings
Description
Process setups and apply constraints as was done prior to the introduction of top-down mode in release 2.0.26
Choices
True - use legacy mode
False - use top-down mode (default)
Notes
In Legacy mode, there was no support for Combined or StatsGroup constraints. Each strategy had to calculate its individual constraints with explicit references to other strategy's current investment levels to model any kind of multi-strategy caps.
Also in Legacy mode, position sizes for strategy constraint checks were based on FillPrice, implying that share Quantity could be calculated at the moment of entry.
In the newer top-down mode, constraints are checked at multiple levels -- Strategy, StatsGroup and Combined -- and are based on the OrderPrice of each setup
See Also: Backtest Engine Details and Capacity Constraints
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