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
+6
View File
@@ -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,