DXtrade sizing: volatility only (12h default hold); fees and every-day only for DXtrade

The symbol map's fixed notional per contract is gone: every DXtrade leg is
sized from the instrument's recent volatility for the firm's target hold
(blank = 12 h), and a candidate without a volatility isn't picked. Percent
commission and every-day trading are ignored on non-DXtrade firms, which keep
measured per-contract fees and the CME calendar.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-09-26 17:29:32 -05:00
co-authored by Claude Opus 5.5
parent 28f465508d
commit d01f03b293
9 changed files with 87 additions and 100 deletions
-2
View File
@@ -30,8 +30,6 @@ export interface PlatformContract {
/** Notional of one engine contract at the current mid — present where the
* platform prices positions, which is what enables notional sizing. */
stepNotional?: number;
/** Fixed sizing: notional per $1,000 of leg (the symbol map's setting). */
fixedNotional?: number;
/** σ of log returns per √hour, from recent candles. */
volatilityPerHour?: number;
/** (ask − bid) / mid when the contract was picked. */