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
+1
View File
@@ -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 [];