Multiple orders in a single tick of Portfolio

[beamjet]

Hi,

I'm using Portfolio.from_order_func to generate portfolio of my strategy. But in each iteration/tick, order_func_nb() returns only one order.
When price fluctuates significantly, my strategy may create multiple orders.
Is there any way to generate multiple orders in a single tick?
Thanks!

[polakowo]

This is a known limitation of vectorbt to be able to proceed one order per tick and symbol. You either need to resample your data to a higher frequency or just wait until this feature gets implemented (near future, probably 0.20.2).

[polakowo]

Implemented in 0.21.0.

[piotryordanov]

@polakowo how exactly should I have multiple orders returned in the order_func_nb() ?

[polakowo]

@piotryordanov see example under https://vectorbt.dev/api/portfolio/nb/#vectorbt.portfolio.nb.flex_simulate_nb

[piotryordanov]

Got it. Thx a lot!