I have read the documentation on Strategy properties for order quantity and find it lacking in NT. For Tradestation it is quite easy:
1) Set if quantity is in shares or dollars
2) Set how many shares or dollars for this strategy.
3) Set nearest round up/down value for shares or dollars per entry.
In NT I can't figure out what the settings are and trying some settings produced strange results. Is there better documentation somewhere than the user guide? Here is what is in the user guide:
Entries per direction
Sets the maximum number of entries allowed per direction while a position is active based on the "Entry handling" property
Entry handling
Sets the manner in how entry orders are handled. If set to "AllEntries", the strategy will process all entry orders until the maximum allowable entries set by the "Entries per direction" property has been reached while in an open position. If set to "UniqueEntries", strategy will process entry orders until the maximum allowable entries set by the "Entries per direction"
Set order quantity
Sets how the order size is determined, options are:
"by default quantity" - User defined order size
"by strategy" - Takes the order size specified programmatically within the strategy
"by account" - Allows you to set a virtual account value that is used to determine maximum order size based on margin settings per instrument set in the Instrument Manager
So for example, I set Entries per direction to 200, Entry Handling to "unique entries", the "Set order quantity" to "by account size" and the account size to 10000 (I assumed $). The shares traded (historically backtest) were 10 long and short for a $60 stock. That is only $600 per trade. What algorithm is it using for this and why is it not documented? I got the same result putting Entry Handling to "All entries."
1) Set if quantity is in shares or dollars
2) Set how many shares or dollars for this strategy.
3) Set nearest round up/down value for shares or dollars per entry.
In NT I can't figure out what the settings are and trying some settings produced strange results. Is there better documentation somewhere than the user guide? Here is what is in the user guide:
Entries per direction
Sets the maximum number of entries allowed per direction while a position is active based on the "Entry handling" property
Entry handling
Sets the manner in how entry orders are handled. If set to "AllEntries", the strategy will process all entry orders until the maximum allowable entries set by the "Entries per direction" property has been reached while in an open position. If set to "UniqueEntries", strategy will process entry orders until the maximum allowable entries set by the "Entries per direction"
Set order quantity
Sets how the order size is determined, options are:
"by default quantity" - User defined order size
"by strategy" - Takes the order size specified programmatically within the strategy
"by account" - Allows you to set a virtual account value that is used to determine maximum order size based on margin settings per instrument set in the Instrument Manager
So for example, I set Entries per direction to 200, Entry Handling to "unique entries", the "Set order quantity" to "by account size" and the account size to 10000 (I assumed $). The shares traded (historically backtest) were 10 long and short for a $60 stock. That is only $600 per trade. What algorithm is it using for this and why is it not documented? I got the same result putting Entry Handling to "All entries."
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