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>
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
+1 -1
View File
@@ -100,7 +100,7 @@ export function rankNextLeg(o: {
maxLossRoom: floorRoom,
obfuscationDollars: o.obfuscationDollars,
availableFunds: funds,
slippageFraction: o.client.stopSlippageFraction,
slippageFraction: c.stopSlippageFraction ?? o.client.stopSlippageFraction,
});
const p = plan(true);
if (!p.sizing || p.cost === null) return [];