Vest: a crypto leg's stop holds back the engine's default slippage, not NDX's
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>
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co-authored by
Claude Opus 5.5
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618976bf5f
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10da0ca83e
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@@ -1426,7 +1426,7 @@ function sizeLeg(item: SizingItem, contract: LegContract, legAmount: number, tra
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maxLossRoom: floorRoom,
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obfuscationDollars: obfuscation,
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availableFunds: live.availableFunds ?? live.amount,
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slippageFraction: item.client.stopSlippageFraction,
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slippageFraction: contract.stopSlippageFraction ?? item.client.stopSlippageFraction,
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});
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return { ...plan, pct, obfuscation, maxLossRoom: floorRoom };
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}
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@@ -1577,7 +1577,7 @@ async function fireLeg(
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const dllFee = pct > 0 ? entryFee : (measured ?? MAX_COMMISSION_PER_CONTRACT * contracts);
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const notional = fill.price * pv * contracts;
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const dllDollars = dllOn && !plan.lastStand
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? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional, slippageFraction: client.stopSlippageFraction })
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? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional, slippageFraction: legContract.stopSlippageFraction ?? client.stopSlippageFraction })
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: Infinity;
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const ticks = stopTicks({ obfuscationDollars: obfuscation, dllDollars, pointValue: pv, contracts, tickSize: legContract.tickSize });
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if (ticks === 0) {
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