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

Reconstruct TopstepX MLL floors from the EOD balance curve

Browse Source 
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
Download Patch File Download Diff File Expand all files Collapse all files
lib/topstepx-class.ts
+89 -3
View File
@@ -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 {