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DXtrade: count closed-trade P&L, week-long volatility, broker leverage caps, swap in the take-profit

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- Transfers: a close books its SETTLEMENT and COMMISSION under one
  transaction code, and keying by the code alone let the commission
  overwrite the P&L. Keys now carry the type, so the day-start balance,
  daily-loss room, realized P&L, daily history and books check all see
  closed-trade profit and loss.
- Volatility from a week of hourly closes (was 48 h), still measured once
  per trade date, so one quiet weekend can't triple a hold estimate.
- Each symbol's margin rate from the account's instrument details caps
  the position at available funds / rate (Tradeify: 5:1 crypto, 2:1
  stocks); the account type's max notional stays as an optional ceiling.
- Firms with overnight financing add the swap a winning leg is expected
  to pay (the winners' mean hold, (A²+2AB)/3σ²) to its take-profit, and
  the sizing and hold estimate count it.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-09-26 18:11:42 -05:00
co-authored by Claude Opus 5.5
parent 675b4c89f8
commit a2d9df5ba4
10 changed files with 309 additions and 81 deletions
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lib/dxtrade-class.ts
+13 -40
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@@ -44,8 +44,9 @@ import { OrderNotPlacedError, isOrderNotPlaced, errorMessage } from './platform-
import {
dxAccountId, accountDisplayName, accountCodeOf, encodeContractName, decodeContractName, roundToStep,
lastUtcReset, ctTradeDayStart, timeOf, parseDurationMs, ciNum, isFundType, signedFundValue, newOrderCode,
inTradingHours, realizedVolPerHour, scoreCandidate, candidateRejection,
inTradingHours, realizedVolPerHour, scoreCandidate, candidateRejection, parseTransfers, marginRateOf,
} from './dxtrade-helpers';
import type { DxTxn } from './dxtrade-helpers';
import { hyperliquidCoins, hyperliquidCoinFor, hyperliquidQuote, hyperliquidHourlyCloses } from './hyperliquid-feed';
// ── timings ──────────────────────────────────────────────────────────────────
@@ -80,7 +81,9 @@ const PICK_TTL_MS = 45_000;
const INSTRUMENT_TTL_MS = 60 * 60_000;
const ACCOUNT_INSTRUMENT_TTL_MS = 10 * 60_000;
const CANDLE_TTL_MS = 15 * 60_000;
const CANDLE_HOURS = 48;
/** Volatility lookback: a week, so one quiet weekend (or one busy day) can't
* swing a multi-day hold estimate — the week's rhythm is priced in. */
const CANDLE_HOURS = 7 * 24;
/** History is fetched this far back at most (or from registration). */
const HISTORY_MAX_DAYS = 180;
/** Balance the books can't explain by this much holds the account. */
@@ -129,15 +132,6 @@ interface DxOrder {
rejectReason: string | undefined;
}
interface DxTxn {
key: string;
account: string;
type: string;
value: number;
time: number;
orderCode: string | undefined;
}
/** DXtrade answered with an error body. */
class DxApiError extends Error {
constructor(message: string, readonly status: number, readonly code: number | undefined) {
@@ -191,32 +185,6 @@ function parseOrder(raw: unknown): DxOrder | null {
};
}
function parseTransfers(body: unknown): DxTxn[] {
const transfers = (body as { cashTransfers?: unknown[] })?.cashTransfers ?? [];
const out: DxTxn[] = [];
for (const t of transfers) {
const transfer = t as Record<string, unknown>;
const txns = Array.isArray(transfer.cashTransactions) ? transfer.cashTransactions : [];
for (const x of txns) {
const tx = x as Record<string, unknown>;
const account = accountCodeOf(tx.account) ?? accountCodeOf(transfer.account);
const value = ciNum(tx, 'value');
const time = timeOf(tx.transactionTime ?? transfer.transactionTime);
if (!account || value === undefined || !Number.isFinite(time) || typeof tx.type !== 'string') continue;
const code = typeof tx.transactionCode === 'string' ? tx.transactionCode : '';
out.push({
key: code || `${transfer.transferCode ?? ''}|${tx.type}|${time}|${value}|${tx.orderCode ?? ''}|${tx.tradeCode ?? ''}`,
account,
type: tx.type,
value,
time,
orderCode: typeof tx.orderCode === 'string' ? tx.orderCode : undefined,
});
}
}
return out;
}
function chunks<T>(items: T[], size: number): T[][] {
const out: T[][] = [];
for (let i = 0; i < items.length; i += size) out.push(items.slice(i, i + size));
@@ -249,7 +217,7 @@ export class DXTradeClient implements PlatformClient {
private userPath: string | null = null;
public accountList: PlatformAccount[] = [];
public accountCashBalances: { [accountId: number]: { amount: number; realizedPnL: number; equity?: number } } = {};
public accountCashBalances: { [accountId: number]: { amount: number; realizedPnL: number; equity?: number; availableFunds?: number } } = {};
public positions: {
[accountId: number]: { contractId: string; netPos: number; netPrice: number; timestamp: Date };
} = {};
@@ -689,7 +657,9 @@ export class DXTradeClient implements PlatformClient {
for (const t of map.values()) {
if (!isFundType(t.type) && currentTradeDateCT(new Date(t.time)) === today) realized += t.value;
}
this.accountCashBalances[acc.id] = { amount: balance, realizedPnL: round2(realized), equity: ciNum(m, 'equity') };
this.accountCashBalances[acc.id] = {
amount: balance, realizedPnL: round2(realized), equity: ciNum(m, 'equity'), availableFunds: ciNum(m, 'availableFunds'),
};
// No floor to report — except for an account the firm has
// closed for good (a breach): the balance itself, so the
// dashboards and the reporter count it dead, not just inactive.
@@ -1256,6 +1226,7 @@ export class DXTradeClient implements PlatformClient {
: Math.floor((maxOrder.value * (ciNum(inst, 'lotSize') || 1)) / step);
}
const minContracts = minOrder > 0 ? Math.ceil(minOrder / step - 1e-9) : 1;
const marginRate = marginRateOf(det);
const rejection = !(tick > 0)
? 'no price increment'
: candidateRejection({
@@ -1281,7 +1252,8 @@ export class DXTradeClient implements PlatformClient {
board.push({
symbol: cand.symbol,
score,
note: `spread ${(spread * 100).toFixed(3)}%${vol?.vol ? `, σ ${(vol.vol * Math.sqrt(24) * 100).toFixed(2)}%/day` : ''}`,
note: `spread ${(spread * 100).toFixed(3)}%${vol?.vol ? `, σ ${(vol.vol * Math.sqrt(24) * 100).toFixed(2)}%/day` : ''}`
+ (marginRate ? `, ${+(1 / marginRate).toFixed(1)}:1` : ''),
contract: {
id: cand.symbol,
name: encodeContractName(cand.symbol, step),
@@ -1293,6 +1265,7 @@ export class DXTradeClient implements PlatformClient {
spreadFraction: spread,
maxContracts,
minContracts,
marginRate,
},
});
}