I would like to recommend a trade limit based constraint in OptimizeAPI. For ex: Constraint trade in AAPL to 5% of daily volume or constraint trade in all stocks to 10% of daily volume.
*Currently, it can be done by modifying max/min weights based on initial position and stock's daily volume.
However to keep optimization as a mechanical step, it's important that Q exposes enough APIs and prevents elaborate computations (prone to errors) in the user algorithm. Also, it will make optimization step consistent across most researchers (which it is to a great extent).
Let me know what you think! Thanks!