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>
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Claude Opus 5.5
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@@ -1399,6 +1399,7 @@ function sizeLeg(item: SizingItem, contract: LegContract, legAmount: number, tra
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maxLossRoom: floorRoom,
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obfuscationDollars: obfuscation,
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availableFunds: live.availableFunds ?? live.amount,
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slippageFraction: item.client.stopSlippageFraction,
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});
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return { ...plan, pct, obfuscation, maxLossRoom: floorRoom };
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}
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@@ -1545,7 +1546,7 @@ async function fireLeg(
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const dllFee = pct > 0 ? entryFee : (measured ?? MAX_COMMISSION_PER_CONTRACT * contracts);
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const notional = fill.price * pv * contracts;
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const dllDollars = dllOn && !plan.lastStand
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? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional })
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? dllStopDollars({ room: item.dllRoom, dailyLossLimit: dll, entryFee: dllFee, commissionPct: pct, notional, slippageFraction: client.stopSlippageFraction })
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: Infinity;
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const ticks = stopTicks({ obfuscationDollars: obfuscation, dllDollars, pointValue: pv, contracts, tickSize: legContract.tickSize });
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if (ticks === 0) {
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