Vest: stops reserve 0.02% of the position for slippage, not 0.1%

A platform may now state its own stop slippage share
(PlatformClient.stopSlippageFraction); the daily-loss reserve is the
larger of 10% of the limit and that share of the position. Vest's 9
measured stop-outs filled 0.9 points past the trigger on average and
2.25 at worst, against the ~30 points 0.1% held back. On a $1,400 day
with ~$495k of NDX the stop goes from ~$880 to ~$1,230, and the leg
sizes up for the same hold. Sizing, the placed stop, the dashboard's
next stop and the reset guard all use it; other platforms keep 0.1%.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

lib/auto-trade.ts

@@ -1399,6 +1399,7 @@ function sizeLeg(item: SizingItem, contract: LegContract, legAmount: number, tra
         maxLossRoom: floorRoom,
         obfuscationDollars: obfuscation,
         availableFunds: live.availableFunds ?? live.amount,
+        slippageFraction: item.client.stopSlippageFraction,
     });
     return { ...plan, pct, obfuscation, maxLossRoom: floorRoom };
 }
@@ -1545,7 +1546,7 @@ async function fireLeg(
     const dllFee = pct > 0 ? entryFee : (measured ?? MAX_COMMISSION_PER_CONTRACT * contracts);
     const notional = fill.price * pv * contracts;
     const dllDollars = dllOn && !plan.lastStand
-        ? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional })
+        ? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional, slippageFraction: client.stopSlippageFraction })
         : Infinity;
     const ticks = stopTicks({ obfuscationDollars: obfuscation, dllDollars, pointValue: pv, contracts, tickSize: legContract.tickSize });
     if (ticks === 0) {

lib/leg-estimate.ts

@@ -100,6 +100,7 @@ export function rankNextLeg(o: {
             maxLossRoom: floorRoom,
             obfuscationDollars: o.obfuscationDollars,
             availableFunds: funds,
+            slippageFraction: o.client.stopSlippageFraction,
         });
         const p = plan(true);
         if (!p.sizing || p.cost === null) return [];

lib/person-size.ts

@@ -1,9 +1,9 @@
 /**
- * The hold this machine sizes DXtrade legs for. Every person's machine would
- * otherwise size a like account in a like state to the same position as
- * everyone else's; each person's own draw (personHoldHours) puts their sizes
- * within ±PERSON_SIZE_SPREAD of the plan instead, the same for all of their
- * accounts and new each trade date.
+ * The hold this machine sizes DXtrade and Vest legs for. Every person's
+ * machine would otherwise size a like account in a like state to the same
+ * position as everyone else's; each person's own draw (personHoldHours) puts
+ * their sizes within ±PERSON_SIZE_SPREAD of the plan instead, the same for
+ * all of their accounts and new each trade date.
  */
 
 import { getSetting } from './db';
@@ -15,7 +15,7 @@ function personKey(): string {
     return getSetting('instance_id') || getSetting('instance_name') || '';
 }
 
-/** The hold a DXtrade firm's legs are sized for on this machine today. */
+/** The hold a DXtrade or Vest firm's legs are sized for on this machine today. */
 export function sizingHoldHours(
     firm: { targetHoldHours?: number } | null | undefined,
     tradeDate: string = currentTradeDateCT(),

lib/platform-client.ts

@@ -74,6 +74,11 @@ export interface PlatformClient {
     fundTransactions: { [accountId: number]: { date: string; amount: number }[] };
     priorProfit: { [accountId: number]: number };
     autoLiqThresholds: { [accountId: number]: number };
+    /** Share of a position's notional a stop may fill past its price — the
+     *  part of the daily-loss reserve that grows with size (dllReserve).
+     *  Only where this platform's stops are measured to fill closer than
+     *  DLL_SLIPPAGE_FRACTION, the default. */
+    stopSlippageFraction?: number;
 
     fetchDaysComplete: boolean;
     syncComplete: boolean;

lib/trading-logic.ts

@@ -1327,12 +1327,14 @@ export function obfuscationStopDollars(
  *  that fills worse than its price (gaps, thin weekend books). */
 export const DLL_RESERVE_FRACTION = 0.10;
 /** …or this share of the position's notional, when that is more: a stop's
- *  slippage grows with the position, a flat reserve doesn't. */
+ *  slippage grows with the position, a flat reserve doesn't. A platform whose
+ *  stops are known to fill closer states its own (stopSlippageFraction). */
 export const DLL_SLIPPAGE_FRACTION = 0.001;
 
 /** The part of the day's room a stop leaves unspent. */
-export function dllReserve(dailyLossLimit: number, notional = 0): number {
-    return Math.max(DLL_RESERVE_FRACTION * dailyLossLimit, DLL_SLIPPAGE_FRACTION * Math.max(0, notional));
+export function dllReserve(dailyLossLimit: number, notional = 0, slippageFraction = DLL_SLIPPAGE_FRACTION): number {
+    const share = Number.isFinite(slippageFraction) && slippageFraction >= 0 ? slippageFraction : DLL_SLIPPAGE_FRACTION;
+    return Math.max(DLL_RESERVE_FRACTION * dailyLossLimit, share * Math.max(0, notional));
 }
 /** Smallest daily-loss stop worth trading. Under a fair walk a leg of L with a
  *  stop of S wins S/(S + L) of the time — about 9% for $50 against $500 — so
@@ -1454,10 +1456,10 @@ export function dllRoom(o: {
  * reset has its entry fee on the old day's books, and the swap takes no more
  * than that slot on the new day's.
  */
-export function dllStopDollars(o: { room: number; dailyLossLimit: number; entryFee: number; commissionPct: number; notional?: number }): number {
+export function dllStopDollars(o: { room: number; dailyLossLimit: number; entryFee: number; commissionPct: number; notional?: number; slippageFraction?: number }): number {
     if (!Number.isFinite(o.room)) return Infinity;
     const r = Math.max(0, o.commissionPct) / 100;
-    return (o.room - dllReserve(o.dailyLossLimit, o.notional) - 2 * o.entryFee - 0.01) / (1 + r);
+    return (o.room - dllReserve(o.dailyLossLimit, o.notional, o.slippageFraction) - 2 * o.entryFee - 0.01) / (1 + r);
 }
 
 /**
@@ -1765,6 +1767,8 @@ export function planLegSize(o: {
     /** Infinity (or ≤ 0) = no obfuscation stop. */
     obfuscationDollars: number;
     availableFunds?: number;
+    /** The platform's stopSlippageFraction; default DLL_SLIPPAGE_FRACTION. */
+    slippageFraction?: number;
 }): {
     lastStand: boolean;
     cap: number;
@@ -1780,7 +1784,7 @@ export function planLegSize(o: {
         obf,
         !dllOn ? Infinity
             : stand ? breachDistance({ dllRoom: o.dllRoom, maxLossRoom: o.maxLossRoom, entryFee: r * notional })
-                : dllStopDollars({ room: o.dllRoom, dailyLossLimit: o.dailyLossLimit, entryFee: r * notional, commissionPct: o.commissionPct, notional }),
+                : dllStopDollars({ room: o.dllRoom, dailyLossLimit: o.dailyLossLimit, entryFee: r * notional, commissionPct: o.commissionPct, notional, slippageFraction: o.slippageFraction }),
     );
     const cap = notionalCap({ marginRate: o.contract.marginRate, availableFunds: o.availableFunds });
     const step = o.contract.stepNotional ?? 0;

lib/vest-class.ts

@@ -53,7 +53,7 @@ import { vestSessionFor, dropVestSession, listVestSessions, refuseVestSession }
 import {
     vestAccountId, vestAccountName, vestDayOf, lastVestResetMs, nextVestResetMs, parseCapitalAccount, parsePosition, parseOpenOrder,
     parseTxn, bookTxns, awaitingLegs, unrealizedPnl, hourlyVolatility, marketOpen, num, toMs, formatDecimal, resetSafeStop,
-    parseHistoryPosition, jwtClaimStrings, accountScopedToken, VEST_STATUS_ACTIVE, VEST_TXN,
+    parseHistoryPosition, jwtClaimStrings, accountScopedToken, VEST_STATUS_ACTIVE, VEST_TXN, VEST_STOP_SLIPPAGE_FRACTION,
 } from './vest-helpers';
 import type { VestCapitalAccount, VestPosition, VestOpenOrder, VestTxn, VestTrade } from './vest-helpers';
 
@@ -174,6 +174,7 @@ export class VestClient implements PlatformClient {
     public fundTransactions: { [accountId: number]: { date: string; amount: number }[] } = {};
     public priorProfit: { [accountId: number]: number } = {};
     public autoLiqThresholds: { [accountId: number]: number } = {};
+    public readonly stopSlippageFraction = VEST_STOP_SLIPPAGE_FRACTION;
 
     public fetchDaysComplete = false;
     public syncComplete = false;
@@ -1010,7 +1011,7 @@ export class VestClient implements PlatformClient {
                         side: pos.side, quantity: pos.quantity, openPrice: pos.openPrice, mark,
                         balance: cash.amount - committed, dailyLossPct: a.maxDailyLossPct, maxDrawdownFloor: a.maxDrawdownLimit,
                         floorBalance: cash.amount,
-                        reserve: dllReserve(cash.amount * a.maxDailyLossPct, notionalSoFar),
+                        reserve: dllReserve(cash.amount * a.maxDailyLossPct, notionalSoFar, this.stopSlippageFraction),
                         exitFeeRate: spec.takerFee, currentStop, tick: spec.tick,
                     });
                     const stopAt = decision.action === 'stop' ? decision.price : decision.action === 'none' ? currentStop : null;

lib/vest-helpers.ts

@@ -101,6 +101,12 @@ export function nextVestResetMs(now: number): number {
     return NaN;
 }
 
+/** Vest's stopSlippageFraction: 0.02% of the position, about 6 NDX points.
+ *  Measured 2026-10-27 on 9 bot stop-outs (Me, $74k–$132k): fills 0.9 points
+ *  past the trigger on average, 2.25 at worst — the 0.1% default held back
+ *  about 30. The flat 10% of the limit still applies under it. */
+export const VEST_STOP_SLIPPAGE_FRACTION = 0.0002;
+
 /**
  * What to do with an open position before the daily reset so the reset can't
  * breach it. At 20:00 ET Vest captures the realized balance (collateral in,