Tokyo stock exchange trades in 100 share units. Out of the box Moonshot seems to be generating orders in single share increments.
Is there a hook in Moonshot for quantizing orders to the trading unit for backtesting?
Tokyo stock exchange trades in 100 share units. Out of the box Moonshot seems to be generating orders in single share increments.
Is there a hook in Moonshot for quantizing orders to the trading unit for backtesting?
You can do this in order_stubs_to_orders
with something like this:
orders["TotalQuantity"] = orders.TotalQuantity.div(100).round() * 100