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>

app/api/state/route.ts

@@ -149,6 +149,7 @@ export async function GET() {
                                 multiplier: best.multiplier,
                                 volatilityPerDay: best.volatilityPerDay,
                                 winProbability: best.winProbability,
+                                winProbabilityNoFees: best.winProbabilityNoFees,
                                 swapReserve: best.swapReserve,
                                 leverage: best.leverage,
                                 cost: best.cost,

app/page.tsx

@@ -400,6 +400,7 @@ function AccountRow({ account, firm, hideDead, privacy, onAssigned }: {
                                         + (account.holdEstimate.leverage !== null ? ` (${account.holdEstimate.leverage}× max)` : '')
                                         + ` at a measured volatility of ${(account.holdEstimate.volatilityPerDay * 100).toFixed(2)}%/day over the past week`
                                         + (account.holdEstimate.winProbability !== null ? `, wins ~${Math.round(account.holdEstimate.winProbability * 100)}% of the time` : '')
+                                        + (account.holdEstimate.winProbabilityNoFees !== null ? ` (~${Math.round(account.holdEstimate.winProbabilityNoFees * 100)}% with no commission, spread or swap)` : '')
                                         + (account.holdEstimate.swapReserve > 0 ? `; its take-profit carries ~$${fmt(account.holdEstimate.swapReserve)} of expected swap` : '')
                                         + `. Expected cost ~$${fmt(account.holdEstimate.cost)} (spread, commissions, swap) — the cheapest candidate that reaches the target hold`}
                                 >

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,
+            contract: costs ? c : { ...c, spreadFraction: 0 },
-            commissionPct: c.commissionPct ?? o.firm.commissionPct ?? 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,
                     })),
                 },

types.ts

@@ -103,6 +103,8 @@ export interface AccountState {
         multiplier: number;
         volatilityPerDay: number;
         winProbability: number | null;
+        /** The same leg with no commission, spread or swap. */
+        winProbabilityNoFees: number | null;
         /** Expected swap a winning leg pays, added to its take-profit. */
         swapReserve: number;
         /** The broker's leverage on the symbol (5 = 5:1); null when unstated. */