Count CME holiday sessions as one combined trading day when the type opts in
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
co-authored by
Claude Fable 5
Claude Fable 5
parent
57846d2b5f
commit
f07721019b
@@ -105,6 +105,139 @@ export function pickLegAmount(remainingToday: number, rand: () => number = Math.
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return Math.min(Math.max(leg, lo), hi);
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}
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// ── CME holiday session combining ────────────────────────────────────────────
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const fmtUTC = (d: Date) => d.toISOString().slice(0, 10);
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/** The nth given weekday of a month, e.g. (2026, 8, 1, 1) = first Monday of September. */
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function nthWeekday(year: number, month: number, weekday: number, n: number): string {
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const first = new Date(Date.UTC(year, month, 1));
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const offset = (weekday - first.getUTCDay() + 7) % 7;
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return fmtUTC(new Date(Date.UTC(year, month, 1 + offset + (n - 1) * 7)));
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}
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/** The last given weekday of a month, e.g. (2026, 4, 1) = last Monday of May. */
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function lastWeekday(year: number, month: number, weekday: number): string {
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const last = new Date(Date.UTC(year, month + 1, 0));
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const offset = (last.getUTCDay() - weekday + 7) % 7;
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return fmtUTC(new Date(Date.UTC(year, month + 1, 0 - offset)));
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}
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/** A fixed-date holiday as observed: Saturday moves to Friday, Sunday to Monday. */
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function observed(year: number, month: number, day: number): string {
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const d = new Date(Date.UTC(year, month, day));
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if (d.getUTCDay() === 6) d.setUTCDate(d.getUTCDate() - 1);
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else if (d.getUTCDay() === 0) d.setUTCDate(d.getUTCDate() + 1);
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return fmtUTC(d);
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}
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const holidayCache = new Map<number, Set<string>>();
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/**
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* Trade dates in the given year whose CME session does not clear on its own:
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* the exchange runs a shortened holiday session (opened the prior evening) and
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* clearing folds it into the next full trading day. Firms that follow CME
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* reporting count the whole stretch as ONE trading day — e.g. Apex on Labor
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* Day 2026: "Sunday, Monday, and Tuesday trading activity will be combined
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* and recorded as a single trading day on Tuesday, September 8."
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*
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* Computed from the federal-holiday rules rather than a hand-kept table so
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* every year works. Full-closure days (Good Friday, Christmas, New Year's
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* Day) have no session and produce no P&L rows, so they aren't included.
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*/
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function cmeUnsettledDates(year: number): Set<string> {
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let dates = holidayCache.get(year);
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if (!dates) {
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dates = new Set([
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nthWeekday(year, 0, 1, 3), // MLK Day — 3rd Monday of January
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nthWeekday(year, 1, 1, 3), // Presidents' Day — 3rd Monday of February
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lastWeekday(year, 4, 1), // Memorial Day — last Monday of May
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observed(year, 5, 19), // Juneteenth
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observed(year, 6, 4), // Independence Day
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nthWeekday(year, 8, 1, 1), // Labor Day — 1st Monday of September
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nthWeekday(year, 10, 4, 4), // Thanksgiving — 4th Thursday of November
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]);
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holidayCache.set(year, dates);
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}
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return dates;
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}
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function isUnsettledTradeDate(date: string): boolean {
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return cmeUnsettledDates(Number(date.slice(0, 4))).has(date);
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}
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/** The trade date a session clears under: holiday sessions roll forward, past
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* weekends and any consecutive holiday, to the next date that settles. */
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export function combinedTradeDate(date: string): string {
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if (!/^\d{4}-\d{2}-\d{2}$/.test(date) || !isUnsettledTradeDate(date)) return date;
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const d = new Date(`${date}T00:00:00Z`);
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for (let i = 0; i < 7; i++) {
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d.setUTCDate(d.getUTCDate() + 1);
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const next = fmtUTC(d);
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const dow = d.getUTCDay();
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if (dow === 0 || dow === 6) continue; // weekends never settle
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if (!isUnsettledTradeDate(next)) return next;
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}
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return date; // unreachable: no holiday stretch spans a week
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}
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export interface CombinedSessionView {
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/** Daily P&L with holiday-session entries folded into their clearing date. */
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dailyPnL: { date: string; pnl: number }[];
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/** The trade date mapped to its clearing date. */
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tradeDate: string;
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/** Live realizedPnL plus P&L already booked on earlier sessions of the same combined day. */
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realizedPnL: number;
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/** Trading days as the firm counts them (nonzero combined entries). */
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daysTraded: number;
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}
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/**
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* The account's day-based state as its firm records it. With `enabled` false
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* this is the identity view, so callers can apply it unconditionally.
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*
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* On the later sessions of a combined day (e.g. the Tuesday after a Monday
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* holiday), Tradovate's live realizedPnL covers only the current session; the
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* earlier sessions' booked P&L is added back so day targets, already-traded
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* gates and the day's displayed P&L all treat the stretch as one day. Entries
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* dated `tradeDate` itself are never added — computeDayPlan excludes that row
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* and live realizedPnL already covers it.
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*/
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export function combineCmeSessions(
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enabled: boolean,
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dailyPnL: { date: string; pnl: number }[],
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tradeDate: string,
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realizedPnL: number,
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): CombinedSessionView {
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if (!enabled) {
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return {
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dailyPnL, tradeDate, realizedPnL,
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daysTraded: dailyPnL.filter((d) => d.pnl !== 0).length,
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};
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}
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const merged = new Map<string, number>();
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for (const entry of dailyPnL) {
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const date = combinedTradeDate(entry.date);
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merged.set(date, round2((merged.get(date) ?? 0) + entry.pnl));
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}
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const combined = [...merged.entries()]
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.map(([date, pnl]) => ({ date, pnl }))
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.sort((a, b) => a.date.localeCompare(b.date));
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const effectiveTradeDate = combinedTradeDate(tradeDate);
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const carry = dailyPnL
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.filter((d) => d.date !== tradeDate && combinedTradeDate(d.date) === effectiveTradeDate)
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.reduce((sum, d) => sum + d.pnl, 0);
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return {
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dailyPnL: combined,
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tradeDate: effectiveTradeDate,
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realizedPnL: round2(realizedPnL + carry),
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daysTraded: combined.filter((d) => d.pnl !== 0).length,
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};
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}
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/** Dollar-per-point value for common futures products. */
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export const POINT_VALUES: { [symbol: string]: number } = {
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NQ: 20, MNQ: 2, ES: 50, MES: 5,
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