SenofyandClaude Sonnet 4.6
570a54fe60
- Replace fill/ldeps and fill/list approaches with Tradovate reports API - Add bearer auth to getreport polling (root cause of prior 404s) - Use endDate = tomorrow to ensure current-session fills are included - Count all traded days when minDayPnL is 0, otherwise count days >= minDayPnL - Add PATCH /api/debug endpoint for proxying raw Tradovate API calls Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
94 lines
4.0 KiB
TypeScript
94 lines
4.0 KiB
TypeScript
/** 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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YM: 5, MYM: 0.5, RTY: 50, M2K: 10,
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GC: 100, MGC: 10, SI: 50, CL: 1000,
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MCL: 100, NG: 10000, ZB: 1000, ZN: 1000,
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ZF: 1000, '6E': 125000, '6J': 12500000, '6B': 62500,
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};
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/**
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* Compute the next trading day's profit target for an account.
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*
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* Path 1 – No positive trading days yet:
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* target = profitTarget × consistency
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*
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* Path 2 – At least one positive day exists:
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* maxDay = highest single-day P&L so far
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* realTarget = maxDay / consistency (the total profit at which maxDay ≤ consistency% of total)
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* needed = realTarget − totalProfit
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*
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* if needed > maxDay → target maxDay (still a long way from the real target; trade a normal day)
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* else → target needed (close to the real target; aim for exactly what's left)
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*
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* Min-day reservation (only when minDayPnL > 0):
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* When there are still mandatory trading days remaining, today's target is capped so that
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* enough profit is reserved for each future mandatory day to meet minDayPnL.
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* Cap = (profitTarget - totalProfit) − (remainingDaysAfterToday × minDayPnL)
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* Floor = minDayPnL (we must make at least this today)
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*/
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export function computeDailyTarget(
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profitTarget: number,
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consistency: number,
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totalProfit: number,
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dailyPnL: { date: string; pnl: number }[],
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minDayPnL: number = 0, // -999 or 0 = no minimum per day
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minTradingDays: number = 0 // 0 = no minimum trading days
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): { amount: number; path: 'first_day' | 'normal_day' | 'reduced_day' } {
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const qualifyingDays = minDayPnL === 0 ? dailyPnL : dailyPnL.filter((d) => d.pnl >= minDayPnL);
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const daysTraded = qualifyingDays.length;
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// --- Base target via consistency logic ---
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let baseAmount: number;
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let path: 'first_day' | 'normal_day' | 'reduced_day';
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if (daysTraded === 0) {
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baseAmount = profitTarget * consistency;
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path = 'first_day';
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} else if (consistency === 0) {
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// 0% consistency means no consistency rule to satisfy — base amount is always $0.
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// The min-day reservation block below handles any mandatory-day targeting.
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baseAmount = 0;
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path = 'reduced_day';
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} else {
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const maxDay = Math.max(...qualifyingDays.map((d) => d.pnl));
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const realTarget = maxDay / consistency;
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const needed = realTarget - totalProfit;
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if (needed > maxDay) {
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baseAmount = maxDay;
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path = 'normal_day';
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} else {
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baseAmount = Math.max(0, needed);
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path = 'reduced_day';
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}
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}
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// --- Min-day reservation (only when minDayPnL is a positive value) ---
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const effectiveMinDay = minDayPnL > 0 ? minDayPnL : 0;
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if (effectiveMinDay > 0 && minTradingDays > daysTraded) {
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const remaining = profitTarget - totalProfit; // intentionally NOT clamped — can be negative
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if (remaining <= 0) {
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// Profit target already met but mandatory trading days not yet satisfied.
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// Trade exactly minDayPnL each remaining day.
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return { amount: effectiveMinDay, path };
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}
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const remainingMandatoryDays = minTradingDays - daysTraded; // includes today
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const futureReserve = (remainingMandatoryDays - 1) * effectiveMinDay;
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// Cap: don't take more than what's available after reserving future days
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const cappedByFuture = remaining - futureReserve;
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// Floor: must make at least minDayPnL today (or whatever is left if less)
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const floor = Math.min(effectiveMinDay, remaining);
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// 0% consistency → no upper bound, take cappedByFuture; otherwise cap at baseAmount
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const amount = Math.max(floor, baseAmount > 0 ? Math.min(baseAmount, cappedByFuture) : cappedByFuture);
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return { amount: Math.round(amount * 100) / 100, path };
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}
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return { amount: Math.round(baseAmount * 100) / 100, path };
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}
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