Notional Volume (Clip Size) in addition to just "size"

[sergejlazuk]

Hi,
comming from commodities side, it seems the whole notion of "Notional Volume" is not being paid attention to?

For example, if I buy 1MW of monthly Gas TTF.Dec24 contract, I actually get 24x31MWh volume (it delivers 1MW per hour during month of Dec24). And PnL need to be calculated accordingly - 1Eur change in contract price will lead to 24x31=744 Eur PnL on the long position in 1 contract.

One idea how to cater for this:

• introduce "clip_size" arg (in addition to "size")
• add "contract|units|volume" mapping to settings config (where e.g. one can define that 1 clip of TTF.Dec24 contract means trading 744MWh volume)

If user supplies "clip_size" instead of "size" (e.g. in from_signals), and provides a mapping config specifying the standard units and volume for all contracts in "close" dataframe, then those volumes should be applied when placing orders.

Ideally, orders and trades records then need to be extended to contain both "volume" and "size" values, so for example once 1 clip of TTF.Dec24 contract is traded, one gets position of size 1MW and volume of 744MWh.

Would be a great extention, openning the door to vectorbt for commodity traders out there?

Regards