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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@@ -148,6 +148,18 @@ export function nextVestResetMs(now: number): number {
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* past the trigger on average, 2.25 at worst — the 0.1% default held back
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* about 30. The flat 10% of the limit still applies under it. */
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export const VEST_STOP_SLIPPAGE_FRACTION = 0.0002;
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/** Crypto's (asset "crypto" in exchangeInfo: BTC, ETH, SOL, HYPE): unmeasured,
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* so the engine's default share (trading-logic's DLL_SLIPPAGE_FRACTION).
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* Vest's BTC book trades ~$10M an hour on a weekend against NDX's ~$600M, and
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* a batch's stops fire together: a square-root impact estimate scaled to the
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* NDX measurement puts the worst fill near 7bp. To come down once crypto
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* stop-outs are measured, as NDX's was. */
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export const VEST_CRYPTO_STOP_SLIPPAGE_FRACTION = 0.001;
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/** The stop-slippage share for a symbol of this exchangeInfo asset class. */
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export function vestStopSlippageFraction(asset: string | undefined): number {
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return asset === 'crypto' ? VEST_CRYPTO_STOP_SLIPPAGE_FRACTION : VEST_STOP_SLIPPAGE_FRACTION;
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}
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/**
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* What to do with an open position before the daily reset so the reset can't
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