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
+4
View File
@@ -53,6 +53,10 @@ export interface PlatformContract {
* says: no leg starts that wouldn't be done by then (clearsClose), each
* account's at its own size (fireLeg). */
closesAt?: number;
/** This instrument's share of notional a stop may fill past its price,
* where it differs from the client's stopSlippageFraction (Vest: crypto,
* unmeasured, keeps the engine's default). */
stopSlippageFraction?: number;
}
/** What an order is for, where the caller knows (see sendOrder). */