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

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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
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lib/vest-class.ts
+3 -2
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@@ -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;