ENH: wrapping up asset min_trade_size for fractional coinsup to 1/100000000th of a coin

catalyst/assets/asset_writer.py

@@ -73,7 +73,7 @@ _equities_defaults = {
     'exchange': None,
     # optional, something like "New York Stock Exchange"
     'exchange_full': None,
-    'min_trade_size': None
+    'min_trade_size': 1
 }
 
 # Default values for the futures DataFrame
@@ -391,6 +391,8 @@ class AssetDBWriter(object):
                   The date on which to close any positions in this asset.
               exchange : str
                   The exchange where this asset is traded.
+              min_trade_size: float, optional
+                  The minimum denomination this asset can be traded.
 
             The index of this dataframe should contain the sids.
         futures : pd.DataFrame, optional

catalyst/data/bundles/base_pricing.py

@@ -24,6 +24,7 @@ class BasePricingBundle(BaseBundle):
             ('start_date', 'datetime64[ns]'),
             ('end_date', 'datetime64[ns]'),
             ('ac_date', 'datetime64[ns]'),
+            ('min_trade_size', 'float'),
         ]
 
     @lazyval

catalyst/data/bundles/poloniex.py

@@ -75,12 +75,14 @@ class PoloniexBundle(BaseCryptoPricingBundle):
         start_date = sym_data.index[0]
         end_date = sym_data.index[-1]
         ac_date = end_date + pd.Timedelta(days=1)
+        min_trade_size = 0.00000001
 
         return (
             sym_md.symbol,
             start_date,
             end_date,
             ac_date,
+            min_trade_size,
         )
 
     def fetch_raw_symbol_frame(self,

catalyst/finance/slippage.py

@@ -219,7 +219,7 @@ class VolumeShareSlippage(SlippageModel):
 
         # the current order amount will be the min of the
         # volume available in the bar or the open amount.
-        cur_volume = int(min(remaining_volume, abs(order.open_amount)))
+        cur_volume = min(remaining_volume, abs(order.open_amount))
 
         if cur_volume < min_trade_size:
             return None, None

catalyst/finance/transaction.py

@@ -68,7 +68,7 @@ def create_transaction(order, dt, price, amount):
 
     transaction = Transaction(
         asset=order.asset,
-        amount=amounts,
+        amount=amount,
         dt=dt,
         price=price,
         order_id=order.id