My strategy is based on an indicator that is the spread between two equities but I do actually trade the underlying shares. How can I access the quantities of those shares when I want to close the positions. getsizing(data) does not seem to work.
PS: The sizes have been fixed by a fix $ value sizer (eg $500k) so i could not use the sizer again (as the prices change it would give me a new quantity). Thanks in advance.