Many strategies will not be allowed to trade unconstrained. Typically, constraints will include position sizing limits.
addPosLimit(portfolio, symbol, timestamp, maxpos, longlevels = 1,
minpos = -maxpos, shortlevels = longlevels)text name of the portfolio to place orders in
identifier of the instrument to place orders for. The name of any associated price objects (xts prices, usually OHLC) should match these
timestamp coercible to POSIXct that will be the time the order will be inserted on
numeric maximum long position for symbol
numeric number of levels
numeric minimum position, default -minpos (short allowed use negative number)
numeric number of short levels, default longlevels
addPosLimit works with osMaxPos to set
and enforce position sizing limits. If levels=1,
then all order sizing will be in the complete control of
the strategy rules, up to the maximum position specified
using addPosLimit's maxpos and minpos
arguments.
Simply setting a position limit will not do anything.
The strategy entry rules also need to specify an
the use of order sizing function osMaxPos,
most typically as an argument to ruleSignal.
levels are a simplification of more complex (proprietary) techniques sometimes used for order sizing. the max orderqty returned will be the limit/levels. Obviously the strategy rules could ask for smaller order sizes, but this is the default. If you don't want to use levels, set them to 1.
It is also important to note that position limits
may be time-varying.
If you only want one static maximum position limit, then
call addPosLimit with a timestamp argument
before your first trade. If you want time varying limits,
typically in response to some rebalancing rule or risk
rule, set the timestamp at the time which you wish
the limit to take effect.