Is the Optimize Api open source? I haven't found it. Also I couldn't interpret what's on the help page. So asking here:
How does this determine that in the factor-ranked list stock A hits the exposure limit, but the next-best stock B won't?
Doesn't it need a time window to determine "exposure" between two time series? How large is that window?
Since we don't know the forward daily return of SPY (no peeping into the future), there is no way to determine for the next day that stock A will indeed breach the limit but B won't.