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
+3 -2
View File
@@ -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,
},