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>
This commit is contained in:
Brandon Li
2026-10-27 11:34:27 -05:00
co-authored by Claude Opus 5.5
parent f0c1569d96
commit beddbdcf6c
11 changed files with 75 additions and 18 deletions
+2 -1
View File
@@ -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) {