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Count CME holiday sessions as one combined trading day when the type opts in

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Account types with the catalog's new combineCmeHolidays flag are read
through a combined-day view: holiday-session P&L entries fold into the
next full trading day (computed from the federal-holiday rules, so any
year works), the day count matches how the firm records it (Apex: Sun/
Mon/Tue around a Monday holiday is ONE day), and on the later sessions
of the stretch the earlier sessions' booked P&L carries into realized —
so day targets, already-traded gates, target-hit status and the panel's
day P&L all treat the stretch as a single day. Off by default; older
masters that don't send the flag behave exactly as before.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-09-08 21:12:37 -05:00
co-authored by Claude Fable 5
parent 57846d2b5f
commit f07721019b
9 changed files with 212 additions and 31 deletions
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lib/auto-trade.ts
+21 -10
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@@ -12,7 +12,7 @@ import { getClients } from './clients';
import { getTradableFirms } from './firm-catalog';
import { getAccountConfig } from './account-type-resolver';
import {
computeDayPlan, pickLegAmount, resolveEffectiveConfig, currentTradeDateCT,
combineCmeSessions, computeDayPlan, pickLegAmount, resolveEffectiveConfig, currentTradeDateCT,
LEG_COMPLETION_EPSILON, MAX_LEGS_PER_DAY, POINT_VALUES,
type DayPlan,
} from './trading-logic';
@@ -62,8 +62,18 @@ function evaluateAccountForTrade(client: any, acc: { id: number; name: string; a
const cash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
const autoLiqThreshold = client.autoLiqThresholds[acc.id] ?? 0;
const dailyPnL: { date: string; pnl: number }[] = client.dailyPnL[acc.id] ?? [];
const daysTraded: number = client.daysTraded[acc.id] ?? 0;
// A combining firm records holiday sessions with the next full trading day,
// so the plan and the already-traded gates below must see the whole stretch
// as one day: Sunday's booked P&L folds into Tuesday's realized, and the
// day target stays anchored to the combined (clearing) trade date. `cash`
// itself stays raw — the commission delta in the fire path compares live
// Tradovate values.
const combined = combineCmeSessions(
cfg.combineCmeHolidays, client.dailyPnL[acc.id] ?? [], tradeDate, cash.realizedPnL,
);
const dailyPnL = combined.dailyPnL;
const daysTraded = combined.daysTraded;
const base = { plan: null, isExtraDay: false, cash, dailyPnL, daysTraded };
if (isAccountDead(cash.amount, autoLiqThreshold)) return { ...base, eligible: false, reason: 'dead' };
@@ -78,8 +88,8 @@ function evaluateAccountForTrade(client: any, acc: { id: number; name: string; a
const equityProfit = cash.amount - cfg.accountSize;
const plan = computeDayPlan(
acc.id, tradeDate, effective.profitTarget, effective.consistency,
dailyPnL, cfg.minDayPnL, effective.minTradingDays, equityProfit, cash.realizedPnL,
acc.id, combined.tradeDate, effective.profitTarget, effective.consistency,
dailyPnL, cfg.minDayPnL, effective.minTradingDays, equityProfit, combined.realizedPnL,
cfg.splitEnabled
);
if (!plan) return { ...base, eligible: false, reason: 'invalid balance' };
@@ -92,9 +102,10 @@ function evaluateAccountForTrade(client: any, acc: { id: number; name: string; a
const evaluated = { plan, isExtraDay, cash, dailyPnL, daysTraded };
if (isExtraDay || !plan.splitAllowed) {
// Legacy one-and-done gate: any realized PnL today means this account is finished.
if (cash.realizedPnL !== 0) {
return { ...evaluated, eligible: false, reason: `already traded today (realizedPnL=${cash.realizedPnL})` };
// Legacy one-and-done gate: any realized PnL today means this account is
// finished — for a combining account, "today" spans the holiday stretch.
if (combined.realizedPnL !== 0) {
return { ...evaluated, eligible: false, reason: `already traded today (realizedPnL=${combined.realizedPnL})` };
}
if (!isExtraDay && plan.remainingToday <= 0) {
return { ...evaluated, eligible: false, reason: `target=$${plan.dayTarget} (challenge complete)` };
@@ -102,9 +113,9 @@ function evaluateAccountForTrade(client: any, acc: { id: number; name: string; a
} else {
// Split-leg mode: keep trading until the day's remaining target is used up.
// The epsilon only applies once a leg has completed, so tiny day-start targets still trade.
const doneThreshold = cash.realizedPnL === 0 ? 0 : LEG_COMPLETION_EPSILON;
const doneThreshold = combined.realizedPnL === 0 ? 0 : LEG_COMPLETION_EPSILON;
if (plan.remainingToday <= doneThreshold) {
const reason = cash.realizedPnL === 0
const reason = combined.realizedPnL === 0
? `target=$${plan.dayTarget} (challenge complete)`
: `day done ($${plan.remainingToday} left of $${plan.dayTarget})`;
return { ...evaluated, eligible: false, reason };