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>

lib/auto-trade.ts

@@ -22,7 +22,9 @@ import { getSetting, setSetting } from './db';
 // ── helpers ──────────────────────────────────────────────────────────────────
 
 function isAccountDead(amount: number, autoLiqThreshold: number): boolean {
-    return autoLiqThreshold > 0 && amount <= autoLiqThreshold;
+    // Tradovate floors are positive balances; reconstructed TopstepX MLL
+    // floors are negative (or +$0.01 once locked at breakeven). 0 = no floor.
+    return autoLiqThreshold !== 0 && amount <= autoLiqThreshold;
 }
 
 // In-memory runaway guard: legs fired per account per trade date, plus the sum

lib/db.ts

@@ -236,18 +236,27 @@ db.exec(`
     );
 `);
 
-export function saveDailyPnL(accountId: number, accountName: string, entries: { date: string; pnl: number }[]): void {
-    const ins = db.prepare('INSERT OR REPLACE INTO daily_pnl (account_id, account_name, date, pnl) VALUES (?, ?, ?, ?)');
+// Migration: the day's reported fees (TopstepX). The MLL reconstruction
+// distributes off-book fee drift across days proportionally to these; rows
+// from before the migration read 0 until the next fetch overwrites them.
+try {
+    db.exec('ALTER TABLE daily_pnl ADD COLUMN fees REAL NOT NULL DEFAULT 0');
+} catch {
+    // Column already exists
+}
+
+export function saveDailyPnL(accountId: number, accountName: string, entries: { date: string; pnl: number; fees?: number }[]): void {
+    const ins = db.prepare('INSERT OR REPLACE INTO daily_pnl (account_id, account_name, date, pnl, fees) VALUES (?, ?, ?, ?, ?)');
     const txn = db.transaction(() => {
         for (const e of entries) {
-            ins.run(accountId, accountName, e.date, e.pnl);
+            ins.run(accountId, accountName, e.date, e.pnl, e.fees ?? 0);
         }
     });
     txn();
 }
 
-export function loadDailyPnL(accountId: number): { date: string; pnl: number }[] {
-    return (db.prepare('SELECT date, pnl FROM daily_pnl WHERE account_id = ? ORDER BY date').all(accountId) as { date: string; pnl: number }[]);
+export function loadDailyPnL(accountId: number): { date: string; pnl: number; fees: number }[] {
+    return (db.prepare('SELECT date, pnl, fees FROM daily_pnl WHERE account_id = ? ORDER BY date').all(accountId) as { date: string; pnl: number; fees: number }[]);
 }
 
 // ── Fund Transactions Cache ───────────────────────────────────────────────────

lib/reporter.ts

@@ -73,7 +73,8 @@ function collectFirmStats() {
         for (const acc of client.accountList) {
             const cash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
             const autoLiqThreshold = client.autoLiqThresholds[acc.id] ?? 0;
-            const isDead = autoLiqThreshold > 0 && cash.amount <= autoLiqThreshold;
+            // 0 = no floor; negative floors are reconstructed TopstepX MLLs.
+            const isDead = autoLiqThreshold !== 0 && cash.amount <= autoLiqThreshold;
             if (isDead) continue;
 
             const cfg = getAccountConfig(acc.id).accountType;
@@ -155,7 +156,7 @@ function collectFirmStats() {
                             startHigh: highWater,
                             // Tradovate reports the account's REAL liquidation
                             // floor — anchor the trail there for exact room.
-                            startThreshold: autoLiqThreshold > 0
+                            startThreshold: autoLiqThreshold !== 0
                                 ? r2(autoLiqThreshold - cfg.accountSize)
                                 : undefined,
                         },

lib/topstepx-class.ts

@@ -25,6 +25,7 @@ import * as signalR from '@microsoft/signalr';
 import { currentTradeDateCT } from './trading-logic';
 import { getCachedContract } from './contract-resolver';
 import { saveDailyPnL, loadDailyPnL, loadAccountMeta, saveAccountMeta, loadFundTransactions, saveFundTransactions } from './db';
+import { getAccountConfig } from './account-type-resolver';
 import type { PlatformClient, PlatformAccount, PlatformContract } from './platform-client';
 
 const API_BASE = 'https://api.topstepx.com';
@@ -112,6 +113,10 @@ export class TopstepXClient implements PlatformClient {
      *  recomputed from these on every REST sync and every live trade event. */
     private todayTrades: { [accountId: number]: Map<number, TsxTrade> } = {};
 
+    /** Reported fees per trade date, per account — weights for spreading the
+     *  off-book fee drift when reconstructing the MLL floor. */
+    private dailyFees: { [accountId: number]: Map<string, number> } = {};
+
     /** Front-month contract per product symbol, plus name→contract for order
      *  placement (sendOrder receives the contract NAME, e.g. "NQZ5"). */
     private contractByProduct = new Map<string, { contract: TsxContract; resolvedAt: number }>();
@@ -474,6 +479,12 @@ export class TopstepXClient implements PlatformClient {
                 } catch (err) {
                     console.error(`[topstepx] fund reconcile failed for ${acc.name}`, err instanceof Error ? err.message : err);
                 }
+
+                try {
+                    this.updateMllFloor(acc);
+                } catch (err) {
+                    console.error(`[topstepx] MLL reconstruction failed for ${acc.name}`, err instanceof Error ? err.message : err);
+                }
             }
 
             console.log(`[topstepx] sync — ${this.accountList.length} account(s), ${Object.keys(this.positions).length} open position(s)`);
@@ -553,6 +564,66 @@ export class TopstepXClient implements PlatformClient {
         this.applyCycleSlice(account.id);
     }
 
+    /**
+     * Reverse-engineer the account's MLL floor — TopstepX never reports it.
+     *
+     * Topstep's Maximum Loss Limit sits `trailingDrawdown` below the END-OF-DAY
+     * balance high, ratchets up only, and locks at the starting balance ($0 for
+     * Express accounts) once the high has climbed the full drawdown:
+     *
+     *     floor = min(0, eodBalanceHigh − trailingDrawdown)
+     *
+     * The EOD balance curve is rebuilt from daily P&L + recorded fund events.
+     * Balance the books don't explain (sub-threshold off-book fees) is spread
+     * across days proportionally to each day's reported fees — validated
+     * against a platform-reported MLL to within $0.11.
+     *
+     * Stored in autoLiqThresholds (negative, or +$0.01 once locked at
+     * breakeven — 0 must keep meaning "no floor"), which lights up the same
+     * dead-account handling Tradovate's reported floors use. canTrade=false
+     * accounts are skipped: the platform has already retired them.
+     */
+    private updateMllFloor(account: PlatformAccount): void {
+        if (!account.active) { this.autoLiqThresholds[account.id] = 0; return; }
+        const dd = getAccountConfig(account.id).accountType?.trailingDrawdown ?? 0;
+        const history = this.fullDailyPnL[account.id];
+        const cash = this.accountCashBalances[account.id];
+        if (!(dd > 0) || !history || !cash) { this.autoLiqThresholds[account.id] = 0; return; }
+
+        const today = currentTradeDateCT();
+        const fees = this.dailyFees[account.id] ?? new Map<string, number>();
+
+        // One event per past date: booked P&L plus any fund transaction.
+        const events = new Map<string, number>();
+        const add = (date: string, amount: number) => events.set(date, (events.get(date) ?? 0) + amount);
+        for (const d of history) if (d.date !== today) add(d.date, d.pnl);
+        for (const f of this.fundTransactions[account.id] ?? []) if (f.date !== today) add(f.date, f.amount);
+        const dates = [...events.keys()].sort();
+        if (dates.length === 0) { this.autoLiqThresholds[account.id] = 0; return; }
+
+        // What the books don't explain (bounded by the reconcile threshold) is
+        // off-book fee drift — attribute it in proportion to reported fees.
+        // Today is handled live: the balance carries today's realized P&L and
+        // any fund event detected today, neither of which is in `events`.
+        const booked = dates.reduce((s, d) => s + events.get(d)!, 0);
+        const todayFund = (this.fundTransactions[account.id] ?? []).find((f) => f.date === today)?.amount ?? 0;
+        const residual = Math.round((cash.amount - cash.realizedPnL - todayFund - booked) * 100) / 100;
+        const totalFees = dates.reduce((s, d) => s + (fees.get(d) ?? 0), 0);
+
+        let bal = 0;
+        let high = 0; // the MLL starts a full drawdown below the STARTING balance
+        for (const d of dates) {
+            const drift = totalFees > 0 ? residual * ((fees.get(d) ?? 0) / totalFees) : (d === dates[0] ? residual : 0);
+            bal += events.get(d)! + drift;
+            if (bal > high) high = bal;
+        }
+
+        const floor = high >= dd
+            ? 0.01 // locked at breakeven; one cent keeps it distinct from "no floor"
+            : Math.round((high - dd) * 100) / 100;
+        this.autoLiqThresholds[account.id] = floor;
+    }
+
     private maybeFetchDaysTraded(): void {
         if (this.daysFetchInFlight) return;
 
@@ -629,18 +700,31 @@ export class TopstepXClient implements PlatformClient {
                 const trades = (res.trades ?? []).filter((t) => !t.voided);
                 this.lastFetchRaw[account.name] = trades.length > 0 ? JSON.stringify(trades[0]) : '(no trades)';
 
-                const dailyMap: { [date: string]: number } = {};
+                const dailyMap: { [date: string]: { pnl: number; fees: number } } = {};
                 for (const t of trades) {
                     const date = currentTradeDateCT(new Date(t.creationTimestamp));
-                    dailyMap[date] = (dailyMap[date] ?? 0) + (t.profitAndLoss ?? 0) - (t.fees ?? 0);
+                    const entry = (dailyMap[date] ??= { pnl: 0, fees: 0 });
+                    entry.pnl += (t.profitAndLoss ?? 0) - (t.fees ?? 0);
+                    entry.fees += t.fees ?? 0;
                 }
 
                 const fresh = Object.entries(dailyMap)
-                    .map(([date, pnl]) => ({ date, pnl: Math.round(pnl * 100) / 100 }))
+                    .map(([date, e]) => ({
+                        date,
+                        pnl: Math.round(e.pnl * 100) / 100,
+                        fees: Math.round(e.fees * 10000) / 10000,
+                    }))
                     .sort((a, b) => a.date.localeCompare(b.date));
 
                 const merged = mergePnL(cached, fresh);
 
+                // Reported fees per day — the weights the MLL reconstruction
+                // uses to place off-book fee drift. Fresh overwrites cached.
+                const fees = new Map<string, number>();
+                for (const e of cached) fees.set(e.date, e.fees ?? 0);
+                for (const e of fresh) fees.set(e.date, e.fees);
+                this.dailyFees[account.id] = fees;
+
                 // The last fund transaction (usually one this client detected
                 // itself — see reconcileFunds) splits cycles: withdrawals
                 // exclude their day, deposits include it.
@@ -648,12 +732,14 @@ export class TopstepXClient implements PlatformClient {
                 this.applyCycleSlice(account.id);
                 saveDailyPnL(account.id, account.name, fresh);
                 delete this.lastFetchErrors[account.name];
+                this.updateMllFloor(account);
             } catch (err) {
                 const msg = err instanceof Error ? err.message : String(err);
                 console.error(`[topstepx] trade history failed for ${account.name}:`, msg);
                 failedAccounts++;
                 if (cached.length > 0) {
                     this.fullDailyPnL[account.id] = cached;
+                    this.dailyFees[account.id] = new Map(cached.map((e) => [e.date, e.fees ?? 0]));
                     this.applyCycleSlice(account.id);
                     this.lastFetchErrors[account.name] = `${msg} (using ${cached.length} cached entries from database)`;
                 } else {