ENH: Bound trade amount with asset specific min trade size

catalyst/algorithm.py

@@ -125,6 +125,7 @@ from catalyst.utils.factory import create_simulation_parameters
 from catalyst.utils.math_utils import (
     tolerant_equals,
     round_if_near_integer,
+    round_nearest
 )
 from catalyst.utils.pandas_utils import clear_dataframe_indexer_caches
 from catalyst.utils.preprocess import preprocess
@@ -1488,7 +1489,7 @@ class TradingAlgorithm(object):
 
     def _calculate_order(self, asset, amount,
                          limit_price=None, stop_price=None, style=None):
-        amount = self.round_order(amount)
+        amount = self.round_order(amount, asset)
 
         # Raises a ZiplineError if invalid parameters are detected.
         self.validate_order_params(asset,
@@ -1505,16 +1506,13 @@ class TradingAlgorithm(object):
         return amount, style
 
     @staticmethod
-    def round_order(amount):
+    def round_order(amount, asset):
         """
-        Convert number of shares to an integer.
-
-        By default, truncates to the integer share count that's either within
-        .0001 of amount or closer to zero.
-
-        E.g. 3.9999 -> 4.0; 5.5 -> 5.0; -5.5 -> -5.0
+        Converts the number of shares to the smallest tradable lot size for
+        the asset being ordered.
+        
         """
-        return int(round_if_near_integer(amount))
+        return round_nearest(amount, asset.min_trade_size)
 
     def validate_order_params(self,
                               asset,
@@ -1550,7 +1548,6 @@ class TradingAlgorithm(object):
                              self.updated_portfolio(),
                              self.get_datetime(),
                              self.trading_client.current_data)
-
     @staticmethod
     def __convert_order_params_for_blotter(limit_price, stop_price, style):
         """

catalyst/assets/_assets.pyx

@@ -59,6 +59,7 @@ cdef class Asset:
 
     cdef readonly object exchange
     cdef readonly object exchange_full
+    cdef readonly object min_trade_size
 
     _kwargnames = frozenset({
         'sid',
@@ -70,6 +71,7 @@ cdef class Asset:
         'auto_close_date',
         'exchange',
         'exchange_full',
+        'min_trade_size',
     })
 
     def __init__(self,
@@ -81,7 +83,8 @@ cdef class Asset:
                  object end_date=None,
                  object first_traded=None,
                  object auto_close_date=None,
-                 object exchange_full=None):
+                 object exchange_full=None,
+                 object min_trade_size=None):
 
         self.sid = sid
         self.sid_hash = hash(sid)
@@ -94,6 +97,7 @@ cdef class Asset:
         self.end_date = end_date
         self.first_traded = first_traded
         self.auto_close_date = auto_close_date
+        self.min_trade_size = min_trade_size
 
     def __int__(self):
         return self.sid
@@ -148,7 +152,8 @@ cdef class Asset:
 
     def __repr__(self):
         attrs = ('symbol', 'asset_name', 'exchange',
-                 'start_date', 'end_date', 'first_traded', 'auto_close_date')
+                 'start_date', 'end_date', 'first_traded', 'auto_close_date',
+                 'min_trade_size')
         tuples = ((attr, repr(getattr(self, attr, None)))
                   for attr in attrs)
         strings = ('%s=%s' % (t[0], t[1]) for t in tuples)
@@ -170,7 +175,8 @@ cdef class Asset:
                                  self.end_date,
                                  self.first_traded,
                                  self.auto_close_date,
-                                 self.exchange_full))
+                                 self.exchange_full,
+                                 self.min_trade_size))
 
     cpdef to_dict(self):
         """
@@ -186,6 +192,7 @@ cdef class Asset:
             'auto_close_date': self.auto_close_date,
             'exchange': self.exchange,
             'exchange_full': self.exchange_full,
+            'min_trade_size': self.min_trade_size
         }
 
     @classmethod
@@ -234,7 +241,7 @@ cdef class Equity(Asset):
     def __repr__(self):
         attrs = ('symbol', 'asset_name', 'exchange',
                  'start_date', 'end_date', 'first_traded', 'auto_close_date',
-                 'exchange_full')
+                 'exchange_full', 'min_trade_size')
         tuples = ((attr, repr(getattr(self, attr, None)))
                   for attr in attrs)
         strings = ('%s=%s' % (t[0], t[1]) for t in tuples)

catalyst/assets/asset_db_schema.py

@@ -39,7 +39,8 @@ equities = sa.Table(
     sa.Column('first_traded', sa.Integer),
     sa.Column('auto_close_date', sa.Integer),
     sa.Column('exchange', sa.Text),
-    sa.Column('exchange_full', sa.Text)
+    sa.Column('exchange_full', sa.Text),
+    sa.Column('min_trade_size', sa.Float)
 )
 
 equity_symbol_mappings = sa.Table(

catalyst/assets/asset_writer.py

@@ -73,6 +73,7 @@ _equities_defaults = {
     'exchange': None,
     # optional, something like "New York Stock Exchange"
     'exchange_full': None,
+    'min_trade_size': None
 }
 
 # Default values for the futures DataFrame

catalyst/finance/slippage.py

@@ -41,6 +41,7 @@ DEFAULT_EQUITY_VOLUME_SLIPPAGE_BAR_LIMIT = 0.025
 DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT = 0.05
 
 
+
 class LiquidityExceeded(Exception):
     pass
 
@@ -205,12 +206,14 @@ class VolumeShareSlippage(SlippageModel):
     def process_order(self, data, order):
         volume = data.current(order.asset, "volume")
 
+        min_trade_size = order.asset.min_trade_size
+
         max_volume = self.volume_limit * volume
 
         # price impact accounts for the total volume of transactions
         # created against the current minute bar
         remaining_volume = max_volume - self.volume_for_bar
-        if remaining_volume < 1:
+        if remaining_volume < min_trade_size:
             # we can't fill any more transactions
             raise LiquidityExceeded()
 
@@ -218,7 +221,7 @@ class VolumeShareSlippage(SlippageModel):
         # volume available in the bar or the open amount.
         cur_volume = int(min(remaining_volume, abs(order.open_amount)))
 
-        if cur_volume < 1:
+        if cur_volume < min_trade_size:
             return None, None
 
         # tally the current amount into our total amount ordered.

catalyst/finance/transaction.py

@@ -65,14 +65,10 @@ def create_transaction(order, dt, price, amount):
     # floor the amount to protect against non-whole number orders
     # TODO: Investigate whether we can add a robust check in blotter
     # and/or tradesimulation, as well.
-    amount_magnitude = int(abs(amount))
-
-    if amount_magnitude < 1:
-        raise Exception("Transaction magnitude must be at least 1.")
 
     transaction = Transaction(
         asset=order.asset,
-        amount=int(amount),
+        amount=amounts,
         dt=dt,
         price=price,
         order_id=order.id

catalyst/utils/math_utils.py

@@ -17,6 +17,8 @@ import math
 
 from numpy import isnan
 
+def round_nearest(x, a):
+    return round(round(x / a) * a, -int(math.floor(math.log10(a))))
 
 def tolerant_equals(a, b, atol=10e-7, rtol=10e-7, equal_nan=False):
     """Check if a and b are equal with some tolerance.