senofy/autofirmer-expanded
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

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

Browse Source 
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
Download Patch File Download Diff File Expand all files Collapse all files
lib/reporter.ts
+12 -8
View File
@@ -17,7 +17,7 @@ import { getClients } from './clients';
import { getTradableFirms } from './firm-catalog';
import { getAccountConfig } from './account-type-resolver';
import { getSchedulerStatus } from './auto-trade';
import { computeDayPlan, currentTradeDateCT, LEG_COMPLETION_EPSILON } from './trading-logic';
import { combineCmeSessions, computeDayPlan, currentTradeDateCT, LEG_COMPLETION_EPSILON } from './trading-logic';
import type { AccountTypeStats } from './master-protocol';
function collectFirmStats() {
@@ -90,23 +90,27 @@ function collectFirmStats() {
// Check if target was hit today
if (cfg) {
const dailyPnL = client.dailyPnL[acc.id] ?? [];
// Same combined-day view as the trade path: for a combining
// firm, "today" spans the holiday stretch.
const combined = combineCmeSessions(
cfg.combineCmeHolidays, client.dailyPnL[acc.id] ?? [], currentTradeDateCT(), cash.realizedPnL,
);
const equityProfit = cash.amount - cfg.accountSize;
const plan = computeDayPlan(
acc.id, currentTradeDateCT(), cfg.profitTarget, cfg.consistency,
dailyPnL, cfg.minDayPnL, cfg.minTradingDays, equityProfit, cash.realizedPnL,
acc.id, combined.tradeDate, cfg.profitTarget, cfg.consistency,
combined.dailyPnL, cfg.minDayPnL, cfg.minTradingDays, equityProfit, combined.realizedPnL,
cfg.splitEnabled
);
const targetHit = !plan ? false :
((plan.dayTarget === 0 && Math.abs(cash.realizedPnL) > 0 && (client.daysTraded[acc.id] ?? 0) <= cfg.minTradingDays) ||
(cash.realizedPnL > 0 && plan.remainingToday <= LEG_COMPLETION_EPSILON));
((plan.dayTarget === 0 && Math.abs(combined.realizedPnL) > 0 && combined.daysTraded <= cfg.minTradingDays) ||
(combined.realizedPnL > 0 && plan.remainingToday <= LEG_COMPLETION_EPSILON));
if (targetHit || cash.realizedPnL !== 0) {
if (targetHit || combined.realizedPnL !== 0) {
accountsTraded++;
slice.accountsTraded++;
// A grind-day fill (dayTarget 0) can flag targetHit on a
// negative day — a loss is still a loss, so red wins.
if (cash.realizedPnL < 0) {
if (combined.realizedPnL < 0) {
lossCount++;
slice.loss = (slice.loss ?? 0) + 1;
} else if (targetHit) {