Reconstruct TopstepX MLL floors from the EOD balance curve

TopstepX never reports the Maximum Loss Limit, but it's deterministic:
floor = min(0, eodBalanceHigh − trailingDrawdown), locking at the $0
starting balance. The EOD curve rebuilds from daily P&L + fund events,
with off-book fee drift spread across days proportionally to reported
fees (validated against a platform-reported MLL to ~$0.10). Stored in
autoLiqThresholds — negative, or +$0.01 once locked — so dead detection,
dashboards, and the ruin model's startThreshold all use the real room.
Guards move from '> 0' to '!== 0'; 0 still means no floor. canTrade=false
accounts are skipped. daily_pnl gains a fees column for the weighting.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-09-13 13:57:06 -05:00
co-authored by Claude Fable 5
parent 4edb771701
commit fc65b4340d
7 changed files with 121 additions and 18 deletions
+2 -1
View File
@@ -24,7 +24,8 @@ function fmt(value: number) {
/** Returns true when an account's balance has breached Tradovate's auto-liquidation floor. */
function isAccountDead(account: AccountState): boolean {
return account.autoLiqThreshold > 0 && account.amount <= account.autoLiqThreshold;
// 0 = no floor; negative floors are reconstructed TopstepX MLLs.
return account.autoLiqThreshold !== 0 && account.amount <= account.autoLiqThreshold;
}
function SettingsIcon() {