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Vest: only a long closure holds entries back; the maintenance hour is ridden

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The close gate held every Vest entry within four holds of any close,
which with a 2 h hold meant no weekday entry from about 9 AM to 5 PM ET
for the one-hour maintenance break. That hour reopens before the reset,
as CME's daily break does for futures legs, so only a weekend or holiday
closure gates an entry now.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-10-27 14:51:00 -05:00
co-authored by Claude Opus 5.5
parent ef15200e5e
commit b5939a06a0
3 changed files with 28 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/platform-client.ts
+4 -3
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@@ -48,9 +48,10 @@ export interface PlatformContract {
/** Margin posted per dollar of notional (0.2 = 5:1 leverage), where the
* broker says — caps a position at available funds ÷ this. */
marginRate?: number;
/** When the instrument's market next closes (epoch ms), where the
* platform says: no leg starts that wouldn't be done by then
* (clearsClose), each account's at its own size (fireLeg). */
/** When the instrument's market next closes for long (epoch ms; Vest: a
* weekend or holiday, not the maintenance hour), where the platform
* says: no leg starts that wouldn't be done by then (clearsClose), each
* account's at its own size (fireLeg). */
closesAt?: number;
}
lib/vest-class.ts
+11 -7
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@@ -1625,10 +1625,11 @@ export class VestClient implements PlatformClient {
if (known.length > 0) await this.refreshMarks(known);
const vols = await this.volatility(known);
const now = Date.now();
// A leg its symbol's market close (the weekend, the daily maintenance
// hour) catches open can't be exited until the market reopens, and
// meets the reopen's gap with its stop: none starts under
// RESET_CLEAR_HOLDS holds of the close — the daily reset's clearance.
// A leg a long closure (a weekend, a holiday) catches open can't be
// exited until the market reopens, and meets the reopen's gap with
// its stop: none starts under RESET_CLEAR_HOLDS holds of one — the
// daily reset's clearance. The daily maintenance hour reopens before
// the reset and is ridden, as futures legs ride CME's daily break.
// Such a symbol stays on the board (the dashboard's candidates) but
// isn't picked (legCloseNote); fireLeg holds each account's own leg
// to it too.
@@ -1648,8 +1649,11 @@ export class VestClient implements PlatformClient {
const mark = this.marks.get(symbol);
const vol = vols.get(symbol);
let hours: { open: boolean; closesAt: number | null };
let gateAt: number | null;
try {
hours = marketOpen(await this.marketHours(spec.assetId), now);
const periods = await this.marketHours(spec.assetId);
hours = marketOpen(periods, now);
gateAt = hours.closesAt !== null && longClosure(periods, hours.closesAt) ? hours.closesAt : null;
} catch (err) {
board.push({ symbol, score: null, note: `market hours unknown (${errorMessage(err)})` });
continue;
@@ -1673,7 +1677,7 @@ export class VestClient implements PlatformClient {
volatilityPerHour: vol?.vol ?? null,
});
if (score === null) { board.push({ symbol, score: null, note: 'no volatility' }); continue; }
const closing = legCloseNote(hours.closesAt, hold, now);
const closing = legCloseNote(gateAt, hold, now);
board.push({
symbol,
score,
@@ -1692,7 +1696,7 @@ export class VestClient implements PlatformClient {
spreadFraction: spread,
minContracts: 1,
marginRate: spec.marginRate || undefined,
closesAt: hours.closesAt ?? undefined,
closesAt: gateAt ?? undefined,
},
});
}
scripts/check-vest-client.mjs
+13 -4
View File
@@ -137,22 +137,31 @@ test('the market-close guard closes a bot leg whose open came back unknown, not
}
});
test('a symbol the close gate holds back stays on the board, and isn\'t picked', async () => {
test('a symbol the close gate holds back stays on the board, and isn\'t picked; the maintenance hour is ridden', async () => {
const client = testClient((method, path) => {
throw new Error(`no gateway in this test: ${method} ${path}`);
});
client.refreshMarks = async () => {};
client.volatility = async (symbols) => new Map(symbols.map((s) => [s, { vol: 0.004, candles: 168 }]));
const marked = () => { for (const s of ['NDX-USD', 'BTC-PERP']) client.marks.set(s, { mark: s === 'NDX-USD' ? 20000 : 70000, at: Date.now() }); };
try {
// Thursday 2 PM ET: NDX's maintenance hour is 3 h off, crypto never closes.
// Thursday 2 PM ET: NDX's maintenance hour is 3 h off, and reopens
// before the reset — no gate.
clockAt('2026-10-29T18:00:00Z');
for (const s of ['NDX-USD', 'BTC-PERP']) client.marks.set(s, { mark: s === 'NDX-USD' ? 20000 : 70000, at: Date.now() });
marked();
await client.pickCandidate('Auto', ['NDX-USD', 'BTC-PERP'], false);
const thursday = client.lastCandidates.find((c) => c.id === 'NDX-USD');
assert.equal(thursday.closesAt, undefined);
// Friday 2 PM ET: the weekly close is 3 h off; crypto never closes.
clockAt('2026-10-30T18:00:00Z');
marked();
const pick = await client.pickCandidate('Auto', ['NDX-USD', 'BTC-PERP'], false);
assert.equal(pick.id, 'BTC-PERP');
assert.equal(pick.closesAt, undefined);
assert.deepEqual(client.lastCandidates.map((c) => c.id).sort(), ['BTC-PERP', 'NDX-USD']);
const ndx = client.lastCandidates.find((c) => c.id === 'NDX-USD');
assert.equal(ndx.closesAt, iso('2026-10-29T21:00:00Z'));
assert.equal(ndx.closesAt, iso('2026-10-30T21:00:00Z'));
// The survey keeps it up for the dashboard, though nothing is picked.
assert.equal(await client.pickCandidate('survey', ['NDX-USD'], false), null);
assert.deepEqual(client.lastCandidates.map((c) => c.id), ['NDX-USD']);