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Vest: a crypto leg's stop holds back the engine's default slippage, not NDX's

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Crypto (exchangeInfo asset "crypto": BTC, ETH, SOL, HYPE) trades on weekends
when NDX, SPX and GC are shut, but its stop slippage on Vest is unmeasured, and
its book is a fraction of NDX's: about $10M an hour on a weekend against $600M,
with a batch's stops firing together. Its stops now leave 0.1% of the
position unspent (the engine's default) instead of the 0.02% measured on NDX
stop-outs; every other symbol keeps 0.02%.

The share rides on the picked contract and is used wherever a Vest leg's stop
is sized: the batch's plan, the leg's own stop, the dashboard's next stop, and
the 7:55 PM ET reset guard, which now sums each open position's own share.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-10-30 17:26:53 -05:00
co-authored by Claude Opus 5.5
parent 618976bf5f
commit 10da0ca83e
8 changed files with 94 additions and 16 deletions
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app/api/state/route.ts
+10 -3
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@@ -4,7 +4,7 @@ import { getClients } from '@/lib/clients';
import { getAccountTypeById, getCachedCatalog } from '@/lib/firm-catalog';
import { ruleDiffs } from '@/lib/kept-rules';
import { getAccountConfig, getInferredSize, matchAccountType } from '@/lib/account-type-resolver';
import { historyFresh } from '@/lib/platform-client';
import { historyFresh, type PlatformContract } from '@/lib/platform-client';
import { rankNextLeg, dayLossRoom } from '@/lib/leg-estimate';
import { obfuscationDayBooked } from '@/lib/auto-trade';
import type { AccountState } from '@/types';
@@ -176,9 +176,16 @@ export async function GET() {
if (plan && !dayBooked && botStopsActive(cfg, effective)) {
const obf = obfuscationStopDollars(cfg, dailyPnL, plan, combined.tradeDate, plan.remainingToday);
// The reserve grows with the position (dllReserve): at
// the size the next leg would trade, where it's known.
// the size the next leg would trade, on its instrument,
// where it's known.
const nextContract = holdEstimate
? (client as { lastCandidates?: PlatformContract[] }).lastCandidates?.find((c) => String(c.id) === holdEstimate!.symbol)
: undefined;
const hard = dllRoom !== null && !lastStandNext
? dllStopDollars({ room: dllRoom, dailyLossLimit: dll, entryFee: 0, commissionPct: 0, notional: holdEstimate?.notional, slippageFraction: client.stopSlippageFraction })
? dllStopDollars({
room: dllRoom, dailyLossLimit: dll, entryFee: 0, commissionPct: 0, notional: holdEstimate?.notional,
slippageFraction: nextContract?.stopSlippageFraction ?? client.stopSlippageFraction,
})
: Infinity;
const stop = Math.min(Number.isFinite(obf) && obf > 0 ? obf : Infinity, hard);
if (Number.isFinite(stop) && stop > 0) nextStop = Math.round(stop * 100) / 100;