Symbol stats: the win chance with no commission, spread or swap beside the real one

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

lib/leg-estimate.ts

@@ -14,7 +14,11 @@ import {
     planLegSize, rankForTarget, maxLossRoom, lastStand, DEFAULT_TARGET_HOLD_HOURS,
 } from './trading-logic';
 
-export type CandidateLeg = SymbolStats['symbols'][number] & { swapReserve: number; leverage: number | null };
+export type CandidateLeg = SymbolStats['symbols'][number] & {
+    swapReserve: number;
+    leverage: number | null;
+    winProbabilityNoFees: number | null;
+};
 
 interface FirmSizing {
     commissionPct?: number;
@@ -47,18 +51,21 @@ export function rankNextLeg(o: {
     const funds = o.client.positions?.[o.accountId] ? o.cash.amount : (o.cash.availableFunds ?? o.cash.amount);
     const sized = candidates.flatMap((c): CandidateLeg[] => {
         if (!c.volatilityPerHour) return [];
-        const p = planLegSize({
+        const plan = (costs: boolean) => planLegSize({
             leg: o.leg,
-            contract: c,
-            commissionPct: c.commissionPct ?? o.firm.commissionPct ?? 0,
+            contract: costs ? c : { ...c, spreadFraction: 0 },
+            commissionPct: costs ? (c.commissionPct ?? o.firm.commissionPct ?? 0) : 0,
             targetHoldHours: target,
-            financingPctPerDay: o.firm.financingPctPerDay ?? 0,
+            financingPctPerDay: costs ? (o.firm.financingPctPerDay ?? 0) : 0,
             dailyLossLimit: o.cfg.dailyLossLimit ?? 0,
+            // Without fees the day's room would also have its fees back — but
+            // only this leg's are known, so the room stays as it is.
             dllRoom: o.dllRoom ?? Infinity,
             maxLossRoom: floorRoom,
             obfuscationDollars: o.obfuscationDollars,
             availableFunds: funds,
         });
+        const p = plan(true);
         if (!p.sizing || p.cost === null) return [];
         const leverage = c.marginRate ? Math.round(10 / c.marginRate) / 10 : null;
         return [{
@@ -70,6 +77,7 @@ export function rankNextLeg(o: {
             holdHours: Math.round(p.sizing.predictedHoldHours * 10) / 10,
             cost: Math.round(p.cost),
             winProbability: p.sizing.winProbability,
+            winProbabilityNoFees: plan(false).sizing?.winProbability ?? null,
             volatilityPerDay: c.volatilityPerHour * Math.sqrt(24),
             spreadFraction: c.spreadFraction ?? 0,
             swapReserve: p.sizing.swapReserve,

lib/master-protocol.ts

@@ -139,6 +139,9 @@ export interface SymbolStats {
         /** Expected spread, commissions and swap. */
         cost: number;
         winProbability: number | null;
+        /** The same leg and daily room with no commission, spread or swap —
+         *  what the costs take off the win chance. Optional. */
+        winProbabilityNoFees?: number | null;
         volatilityPerDay: number;
         spreadFraction: number;
     }[];

lib/reporter.ts

@@ -427,7 +427,7 @@ function symbolStatsFor(
                     at: new Date().toISOString(),
                     symbols: next.candidates.map((c) => ({
                         symbol: c.symbol, notional: c.notional, multiplier: c.multiplier, maxMultiplier: c.maxMultiplier,
-                        holdHours: c.holdHours, cost: c.cost, winProbability: c.winProbability,
+                        holdHours: c.holdHours, cost: c.cost, winProbability: c.winProbability, winProbabilityNoFees: c.winProbabilityNoFees,
                         volatilityPerDay: c.volatilityPerDay, spreadFraction: c.spreadFraction,
                     })),
                 },