Specify size granularity

tests/test_data.py

@@ -2,9 +2,11 @@
 import pandas as pd
 from datetime import datetime, timedelta, timezone
 import pytest
+import pytz
 
 import vectorbt as vbt
 from vectorbt.utils.config import merge_dicts
+from vectorbt.utils.datetime_ import to_timezone
 
 seed = 42
 
@@ -210,15 +212,15 @@ def test_download(self):
         )
         index2 = pd.DatetimeIndex(
             [
-                '2020-01-01 02:00:00',
-                '2020-01-02 02:00:00',
-                '2020-01-03 02:00:00',
-                '2020-01-04 02:00:00',
-                '2020-01-05 02:00:00'
+                '2020-01-01 00:00:00',
+                '2020-01-02 00:00:00',
+                '2020-01-03 00:00:00',
+                '2020-01-04 00:00:00',
+                '2020-01-05 00:00:00'
             ],
             freq='D',
-            tz=timezone(timedelta(hours=2))
-        )
+            tz=pytz.utc
+        ).tz_convert(to_timezone('Europe/Berlin'))
         pd.testing.assert_series_equal(
             MyData.download(0, shape=(5,), tz_localize='UTC', tz_convert='Europe/Berlin').data[0],
             pd.Series(
@@ -458,15 +460,15 @@ def test_update(self):
         )
         index2 = pd.DatetimeIndex(
             [
-                '2020-01-01 02:00:00',
-                '2020-01-02 02:00:00',
-                '2020-01-03 02:00:00',
-                '2020-01-04 02:00:00',
-                '2020-01-05 02:00:00'
+                '2020-01-01 00:00:00',
+                '2020-01-02 00:00:00',
+                '2020-01-03 00:00:00',
+                '2020-01-04 00:00:00',
+                '2020-01-05 00:00:00'
             ],
             freq='D',
-            tz=timezone(timedelta(hours=2))
-        )
+            tz=pytz.utc
+        ).tz_convert(to_timezone('Europe/Berlin'))
         pd.testing.assert_series_equal(
             MyData.download(0, shape=(5,), tz_localize='UTC', tz_convert='Europe/Berlin')
                 .update(tz_localize=None).data[0],

tests/test_records.py

@@ -3365,13 +3365,29 @@ def test_records_readable(self):
                 np.inf, np.inf, np.inf, np.inf, np.inf, np.inf
             ])
         )
+        np.testing.assert_array_equal(
+            records_readable['Request Size Granularity'].values,
+            np.array([
+                np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan,
+                np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan,
+                np.nan, np.nan, np.nan, np.nan, np.nan, np.nan
+            ])
+        )
         np.testing.assert_array_equal(
             records_readable['Request Rejection Prob'].values,
             np.array([
                 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
                 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0
             ])
         )
+        np.testing.assert_array_equal(
+            records_readable['Request Lock Cash'].values,
+            np.array([
+                False, False, False, False, False, False, False, False, False, False, False, False, False, False, False,
+                False, False, False, False, False, False, False, False, False, False, False, False, False, False, False,
+                False, False
+            ])
+        )
         np.testing.assert_array_equal(
             records_readable['Request Allow Partial'].values,
             np.array([

vectorbt/_settings.py

@@ -479,6 +479,7 @@ def reset_theme(self) -> None:
             reject_prob=0.,
             min_size=1e-8,
             max_size=np.inf,
+            size_granularity=np.nan,
             lock_cash=False,
             allow_partial=True,
             raise_reject=False,

vectorbt/portfolio/base.py

@@ -1609,6 +1609,7 @@ def from_orders(cls: tp.Type[PortfolioT],
                     slippage: tp.Optional[tp.ArrayLike] = None,
                     min_size: tp.Optional[tp.ArrayLike] = None,
                     max_size: tp.Optional[tp.ArrayLike] = None,
+                    size_granularity: tp.Optional[tp.ArrayLike] = None,
                     reject_prob: tp.Optional[tp.ArrayLike] = None,
                     lock_cash: tp.Optional[tp.ArrayLike] = None,
                     allow_partial: tp.Optional[tp.ArrayLike] = None,
@@ -1670,6 +1671,8 @@ def from_orders(cls: tp.Type[PortfolioT],
                 See `vectorbt.portfolio.enums.Order.max_size`. Will broadcast.
 
                 Will be partially filled if exceeded.
+            size_granularity (float or array_like): Granularity of the size.
+                See `vectorbt.portfolio.enums.Order.size_granularity`. Will broadcast.
             reject_prob (float or array_like): Order rejection probability.
                 See `vectorbt.portfolio.enums.Order.reject_prob`. Will broadcast.
             lock_cash (bool or array_like): Whether to lock cash when shorting.
@@ -1887,6 +1890,8 @@ def from_orders(cls: tp.Type[PortfolioT],
             min_size = portfolio_cfg['min_size']
         if max_size is None:
             max_size = portfolio_cfg['max_size']
+        if size_granularity is None:
+            size_granularity = portfolio_cfg['size_granularity']
         if reject_prob is None:
             reject_prob = portfolio_cfg['reject_prob']
         if lock_cash is None:
@@ -1952,6 +1957,7 @@ def from_orders(cls: tp.Type[PortfolioT],
             slippage,
             min_size,
             max_size,
+            size_granularity,
             reject_prob,
             lock_cash,
             allow_partial,
@@ -2030,6 +2036,7 @@ def from_signals(cls: tp.Type[PortfolioT],
                      slippage: tp.Optional[tp.ArrayLike] = None,
                      min_size: tp.Optional[tp.ArrayLike] = None,
                      max_size: tp.Optional[tp.ArrayLike] = None,
+                     size_granularity: tp.Optional[tp.ArrayLike] = None,
                      reject_prob: tp.Optional[tp.ArrayLike] = None,
                      lock_cash: tp.Optional[tp.ArrayLike] = None,
                      allow_partial: tp.Optional[tp.ArrayLike] = None,
@@ -2151,6 +2158,7 @@ def from_signals(cls: tp.Type[PortfolioT],
 
                 Will be partially filled if exceeded. You might not be able to properly close
                 the position if accumulation is enabled and `max_size` is too low.
+            size_granularity (float or array_like): See `Portfolio.from_orders`.
             reject_prob (float or array_like): See `Portfolio.from_orders`.
             lock_cash (bool or array_like): See `Portfolio.from_orders`.
             allow_partial (bool or array_like): See `Portfolio.from_orders`.
@@ -2720,6 +2728,8 @@ def from_signals(cls: tp.Type[PortfolioT],
             min_size = portfolio_cfg['min_size']
         if max_size is None:
             max_size = portfolio_cfg['max_size']
+        if size_granularity is None:
+            size_granularity = portfolio_cfg['size_granularity']
         if reject_prob is None:
             reject_prob = portfolio_cfg['reject_prob']
         if lock_cash is None:
@@ -2844,6 +2854,7 @@ def from_signals(cls: tp.Type[PortfolioT],
             slippage=slippage,
             min_size=min_size,
             max_size=max_size,
+            size_granularity=size_granularity,
             reject_prob=reject_prob,
             lock_cash=lock_cash,
             allow_partial=allow_partial,

vectorbt/portfolio/enums.py

@@ -1396,6 +1396,7 @@ class Order(tp.NamedTuple):
     slippage: float = 0.0
     min_size: float = 0.0
     max_size: float = np.inf
+    size_granularity: float = np.nan
     reject_prob: float = 0.0
     lock_cash: bool = False
     allow_partial: bool = True
@@ -1452,6 +1453,13 @@ class Order(tp.NamedTuple):
 __pdoc__['Order.max_size'] = """Maximum size in both directions. 
 
 Higher than that will be partly filled."""
+__pdoc__['Order.size_granularity'] = """Granularity of the size.
+
+For example, granularity of 1.0 makes the quantity to behave like an integer. 
+Placing an order of 12.5 shares (in any direction) will order exactly 12.0 shares.
+
+!!! note
+    The filled size remains a floating number."""
 __pdoc__['Order.reject_prob'] = """Probability of rejecting this order to simulate a random rejection event.
 
 Not everything goes smoothly in real life. Use random rejections to test your order management for robustness."""
@@ -1472,20 +1480,21 @@ class Order(tp.NamedTuple):
 Remember to increase `max_logs`."""
 
 NoOrder = Order(
-    np.nan,
-    np.nan,
-    -1,
-    -1,
-    np.nan,
-    np.nan,
-    np.nan,
-    np.nan,
-    np.nan,
-    np.nan,
-    False,
-    False,
-    False,
-    False
+    size=np.nan,
+    price=np.nan,
+    size_type=-1,
+    direction=-1,
+    fees=np.nan,
+    fixed_fees=np.nan,
+    slippage=np.nan,
+    min_size=np.nan,
+    max_size=np.nan,
+    size_granularity=np.nan,
+    reject_prob=np.nan,
+    lock_cash=False,
+    allow_partial=False,
+    raise_reject=False,
+    log=False
 )
 """_"""
 
@@ -1658,6 +1667,7 @@ class SignalContext(tp.NamedTuple):
     ('req_slippage', np.float_),
     ('req_min_size', np.float_),
     ('req_max_size', np.float_),
+    ('req_size_granularity', np.float_),
     ('req_reject_prob', np.float_),
     ('req_lock_cash', np.bool_),
     ('req_allow_partial', np.bool_),

vectorbt/portfolio/logs.py

@@ -160,6 +160,9 @@
             req_max_size=dict(
                 title='Request Max Size'
             ),
+            req_size_granularity=dict(
+                title='Request Size Granularity'
+            ),
             req_reject_prob=dict(
                 title='Request Rejection Prob'
             ),