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
2026-09-26 18:26:12 -05:00
co-authored by Claude Opus 5.5
parent a2d9df5ba4
commit a2cd3a94c9
12 changed files with 477 additions and 172 deletions
+11 -1
View File
@@ -18,6 +18,13 @@ export interface PlatformAccount {
active: boolean;
}
/** How the batch's leg would size on a candidate instrument (see planLegSize):
* null when it can't be sized there. */
export interface PickContext {
targetHoldHours: number;
evaluate(contract: PlatformContract): { notional: number; holdHours: number; cost: number } | null;
}
export interface PlatformContract {
id: number | string;
name: string;
@@ -105,7 +112,10 @@ export interface PlatformClient {
/** Drop the account's history from memory (the wipe routes), so it reads
* unloaded until the next fetch rebuilds it. */
forgetHistory(accountId: number, accountName: string): void;
findFrontMonthContract(productName: string): Promise<PlatformContract | null>;
/** The contract a product trades as. A platform that chooses between
* instruments (DXTrade's symbol map) ranks them with `pick` when given —
* how a leg would size on each — and platforms that don't, ignore it. */
findFrontMonthContract(productName: string, pick?: PickContext): Promise<PlatformContract | null>;
fetchInstrumentFees(symbols: string[]): Promise<{ [symbol: string]: number }>;
sendOrder(