Legs: cheapest symbol that reaches the target hold, last stands, a reserve that grows with size
- A batch sizes its leg on every mapped candidate, each at the leverage the broker states for it, and trades the cheapest (spread, commissions, expected swap) that reaches the target hold — else the quickest. The dashboard ranks the same way from a half-hourly candidate survey. - Last stand: when a daily-loss stop-out would leave the account within 15% of that loss above its max-drawdown floor (the account type's static max loss, or the broker's liquidation floor), the leg carries no daily-loss stop and is sized against the firm's own breach. - The daily-loss reserve is 10% of the limit or 0.1% of the position, whichever is more, since a stop's slippage grows with the position. - The account type's max notional is gone: the broker's margin rates cap each symbol. planLegSize holds the one sizing rule fireLeg, the pick and the dashboard share. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
co-authored by
Claude Opus 5.5
Claude Opus 5.5
parent
a2d9df5ba4
commit
a2cd3a94c9
@@ -45,7 +45,6 @@ export async function GET() {
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combineCmeHolidays: a.combineCmeHolidays,
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withdrawalStages: a.withdrawalStages,
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dailyLossLimit: a.dailyLossLimit ?? 0,
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maxNotional: a.maxNotional ?? 0,
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tradesEveryDay: a.tradesEveryDay === true,
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})),
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catalogUpdatedAt: firm.updatedAt,
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+46
-37
@@ -7,7 +7,8 @@ import { historyFresh, type PlatformContract } from '@/lib/platform-client';
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import type { AccountState } from '@/types';
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import {
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combineCmeSessions, computeDayPlan, cycleCompletion, resolveEffectiveConfig, currentTradeDateCT,
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obfuscationStopDollars, dllRoom as computeDllRoom, dllStopDollars, botStopsActive, sizeNotional, notionalCap,
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obfuscationStopDollars, dllRoom as computeDllRoom, dllStopDollars, botStopsActive, planLegSize, rankForTarget,
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maxLossRoom, lastStand as isLastStand,
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DEFAULT_TARGET_HOLD_HOURS,
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LEG_COMPLETION_EPSILON,
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} from '@/lib/trading-logic';
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@@ -89,6 +90,7 @@ export async function GET() {
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let nextStop: number | null = null;
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let dllRoom: number | null = null;
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let holdEstimate: AccountState['holdEstimate'] = null;
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let lastStandNext = false;
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if (cfg && effective && !isDead) {
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const equityProfit = cash.amount - cfg.accountSize;
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const plan = computeDayPlan(
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@@ -115,54 +117,60 @@ export async function GET() {
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realizedToday: Math.min(cash.realizedPnL, combined.realizedPnL),
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});
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}
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// The max-drawdown floor, and whether the next leg is a last
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// stand — no daily-loss stop — as fireLeg decides it.
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const floorRoom = maxLossRoom({
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balance: cash.amount, accountSize: cfg.accountSize, maxLoss: cfg.maxLoss ?? 0,
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autoLiqThreshold: client.autoLiqThresholds?.[acc.id],
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});
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lastStandNext = dllRoom !== null && isLastStand({ dllRoom, dailyLossLimit: dll, maxLossRoom: floorRoom });
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if (plan && (botStopsActive(cfg))) {
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const obf = obfuscationStopDollars(cfg, dailyPnL, plan, combined.tradeDate, plan.remainingToday);
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const hard = dllRoom !== null
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const hard = dllRoom !== null && !lastStandNext
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? dllStopDollars({ room: dllRoom, dailyLossLimit: dll, entryFee: 0, commissionPct: 0 })
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: Infinity;
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const stop = Math.min(Number.isFinite(obf) && obf > 0 ? obf : Infinity, hard);
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if (Number.isFinite(stop) && stop > 0) nextStop = Math.round(stop * 100) / 100;
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}
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// DXtrade: size the next leg the way fireLeg would, on the
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// instrument the selector last picked and today's measured
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// volatility — under the same notional and margin caps —
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// to show how long it is expected to hold.
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const pick = (client as { lastPickedContract?: PlatformContract | null }).lastPickedContract;
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if (plan && plan.remainingToday > 0 && pick?.stepNotional && pick.volatilityPerHour) {
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const pct = pick.commissionPct ?? f.commissionPct ?? 0;
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// DXtrade: size the next leg the way fireLeg would on each
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// instrument the client last surveyed — at its leverage and
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// measured volatility — and take the one the batch would:
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// the cheapest that reaches the target hold. The next leg
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// opens flat, so while one is open (its margin tied up) it
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// sizes against the balance.
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const candidates = (client as { lastCandidates?: PlatformContract[] }).lastCandidates ?? [];
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if (plan && plan.remainingToday > 0 && candidates.length > 0) {
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const obf = obfuscationStopDollars(cfg, dailyPnL, plan, combined.tradeDate, plan.remainingToday);
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const room = dllRoom;
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const sizing = sizeNotional({
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leg: plan.remainingToday,
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stopDollarsAt: (n) => Math.min(
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Number.isFinite(obf) && obf > 0 ? obf : Infinity,
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room !== null && dll > 0
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? dllStopDollars({ room, dailyLossLimit: dll, entryFee: (pct / 100) * n, commissionPct: pct })
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: Infinity,
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),
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volatilityPerHour: pick.volatilityPerHour,
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targetHoldHours: f.targetHoldHours || DEFAULT_TARGET_HOLD_HOURS,
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commissionPct: pct,
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spreadFraction: pick.spreadFraction,
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financingPctPerDay: f.financingPctPerDay ?? 0,
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// The next leg opens flat: while this one is open its
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// margin is tied up, so size against the balance.
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maxNotional: notionalCap({
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maxNotional: cfg.maxNotional ?? 0,
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marginRate: pick.marginRate,
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const target = f.targetHoldHours || DEFAULT_TARGET_HOLD_HOURS;
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const sized = candidates.flatMap((c) => {
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const p = planLegSize({
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leg: plan.remainingToday,
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contract: c,
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commissionPct: c.commissionPct ?? f.commissionPct ?? 0,
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targetHoldHours: target,
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financingPctPerDay: f.financingPctPerDay ?? 0,
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dailyLossLimit: dll,
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dllRoom: dllRoom ?? Infinity,
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maxLossRoom: floorRoom,
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obfuscationDollars: obf,
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availableFunds: client.positions[acc.id] ? cash.amount : (cash.availableFunds ?? cash.amount),
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}),
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});
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return p.sizing && p.cost !== null && c.volatilityPerHour
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? [{ c, sizing: p.sizing, holdHours: p.sizing.predictedHoldHours, cost: p.cost, volatility: c.volatilityPerHour }]
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: [];
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});
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if (sizing) {
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const best = sized[rankForTarget(sized, target)[0]];
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if (best) {
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holdEstimate = {
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hours: Math.round(sizing.predictedHoldHours * 10) / 10,
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symbol: String(pick.id),
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notional: Math.round(sizing.notional),
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volatilityPerDay: pick.volatilityPerHour * Math.sqrt(24),
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winProbability: sizing.winProbability,
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swapReserve: sizing.swapReserve,
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leverage: pick.marginRate ? Math.round(10 / pick.marginRate) / 10 : null,
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hours: Math.round(best.holdHours * 10) / 10,
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symbol: String(best.c.id),
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notional: Math.round(best.sizing.notional),
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volatilityPerDay: best.volatility * Math.sqrt(24),
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winProbability: best.sizing.winProbability,
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swapReserve: best.sizing.swapReserve,
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leverage: best.c.marginRate ? Math.round(10 / best.c.marginRate) / 10 : null,
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cost: Math.round(best.cost),
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};
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}
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}
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@@ -275,6 +283,7 @@ export async function GET() {
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nextStop,
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dllRoom,
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holdEstimate,
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lastStand: lastStandNext,
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remainingToday,
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effectiveProfitTarget,
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dailyPnL,
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+6
-2
@@ -387,8 +387,11 @@ function AccountRow({ account, firm, hideDead, privacy, onAssigned }: {
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{account.nextStop !== null && (
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<span className="text-amber-600" title="The next trade's stop — dollars of price movement it may lose before booking the day (fees come on top; the daily-loss stop already reserves for them)"> · stop ${fmt(account.nextStop)}</span>
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)}
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{account.lastStand && (
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<span className="text-red-600" title="Last stand: a daily-loss stop-out would leave this account within 15% of that loss of its max-drawdown floor — nothing left to trade on — so the next leg carries no daily-loss stop and runs to its take-profit or the firm's breach"> · no stop (last stand)</span>
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)}
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{typeof account.dllRoom === 'number' && (
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<span className="text-slate-500" title="Hard daily loss limit: what the firm's day may still lose before a breach. 10% of the limit is never spent."> · DLL room ${fmt(account.dllRoom)}</span>
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<span className="text-slate-500" title="Hard daily loss limit: what the firm's day may still lose before a breach. A reserve — 10% of the limit, or 0.1% of the position if larger — is never spent."> · DLL room ${fmt(account.dllRoom)}</span>
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)}
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{account.holdEstimate && (
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<span
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@@ -397,7 +400,8 @@ function AccountRow({ account, firm, hideDead, privacy, onAssigned }: {
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+ (account.holdEstimate.leverage !== null ? ` (${account.holdEstimate.leverage}:1 max)` : '')
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+ ` at a measured volatility of ${(account.holdEstimate.volatilityPerDay * 100).toFixed(2)}%/day over the past week`
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+ (account.holdEstimate.winProbability !== null ? `, wins ~${Math.round(account.holdEstimate.winProbability * 100)}% of the time` : '')
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+ (account.holdEstimate.swapReserve > 0 ? `; its take-profit carries ~$${fmt(account.holdEstimate.swapReserve)} of expected swap` : '')}
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+ (account.holdEstimate.swapReserve > 0 ? `; its take-profit carries ~$${fmt(account.holdEstimate.swapReserve)} of expected swap` : '')
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+ `. Expected cost ~$${fmt(account.holdEstimate.cost)} (spread, commissions, swap) — the cheapest candidate that reaches the target hold`}
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>
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{' · hold ~'}{account.holdEstimate.hours < 48 ? `${Math.round(account.holdEstimate.hours)}h` : `${(account.holdEstimate.hours / 24).toFixed(1)}d`}
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</span>
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