Brandon LiandClaude Opus 5.5
aab225a19c
TopstepX's gateway reports a fill's exchange and NFA fees only (NQ $1.39 a side, GC $1.66, CL $1.51, MNQ $0.36). Topstep's own commission, $0.50 a side on a full-size contract and $0.25 on a micro, comes off the balance with no trade row carrying it, so our P&L ran $1.00 per full-size round turn above Topstep's. On 2026-10-18 the combines sat $6 to $8 under their books and an XFA $27.50 under, and one combine had its $18 booked as a "withdrawal". Topstep's published round turns (NQ $3.78, MNQ $1.22, GC $4.32, CL $4.02) are the reported fees plus this commission. - lib/topstep-fees.ts: the per-product commission table, and TopstepX contract ids mapped to roots (ENQ, GCE and CLE as seen on real fills, overridden by contracts the client resolves itself; an unknown product pays the full-size rate and is logged once). - Daily P&L, today's realized, and so the measured entry fee a take-profit is placed from, all net the commission. The 90-day refetch rewrites the cached days. - npm run check: the table against the micro flags, the id mapping, and the published round turns. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
64 lines
2.9 KiB
TypeScript
64 lines
2.9 KiB
TypeScript
/**
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* Topstep's own commission on TopstepX — the part of a fill's cost the
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* gateway never reports.
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*
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* Trade/search and the user hub carry `fees` on every half-turn, but only the
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* exchange and NFA fees (NQ $1.39 a side, GC $1.66, CL $1.51, MNQ $0.36).
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* Topstep's commission — $0.50 a side on a full-size contract, $0.25 on a
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* micro — comes off the balance with no trade carrying it. Topstep's
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* "TopstepX Commissions and Fees" page totals both: NQ and ES $3.78 a round
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* turn, MNQ and MES $1.22, GC $4.32, CL $4.02. Left out, the books ran $1.00
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* a full-size round turn above the balance (2026-10-18: an XFA $27.50 off
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* after 26 NQ/GC round turns and 3 MNQ, each combine $1.00 per round turn).
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*
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* No imports, so scripts/check-instruments.mjs can test it directly.
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*/
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/** Per contract and side, by CME root. */
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export const TOPSTEP_COMMISSION_PER_SIDE: Readonly<Record<string, number>> = {
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NQ: 0.5, MNQ: 0.25,
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ES: 0.5, MES: 0.25,
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YM: 0.5, MYM: 0.25,
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RTY: 0.5, M2K: 0.25,
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GC: 0.5, MGC: 0.25,
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SI: 0.5,
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CL: 0.5, MCL: 0.25,
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NG: 0.5,
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ZB: 0.5, ZN: 0.5, ZF: 0.5,
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'6E': 0.5, '6J': 0.5, '6B': 0.5,
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};
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/** A product missing from the table pays the full-size rate, so the books
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* err toward the lower balance. */
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export const TOPSTEP_COMMISSION_FALLBACK = 0.5;
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/** TopstepX's product code in a contract id → the CME root, where the two
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* differ. ENQ, GCE and CLE are seen on real fills; the rest follow the same
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* naming, and contracts the client resolves itself override them. */
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const PRODUCT_ROOTS: Readonly<Record<string, string>> = {
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ENQ: 'NQ', EP: 'ES', GCE: 'GC', SIE: 'SI', CLE: 'CL', MCLE: 'MCL', NGE: 'NG',
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USA: 'ZB', TYA: 'ZN', FVA: 'ZF', EU6: '6E', JY6: '6J', BP6: '6B',
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};
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/** "CON.F.US.ENQ.Z26" → "ENQ"; null for anything else. */
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export function topstepxProductCode(contractId: unknown): string | null {
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const parts = String(contractId ?? '').split('.');
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return parts.length === 5 && parts[0] === 'CON' && parts[3] ? parts[3] : null;
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}
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/** The CME root a TopstepX contract id trades, or null when it's none this
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* table knows. `learned` maps product codes to roots off the contracts the
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* client resolved itself; the table covers the rest of the history. */
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export function topstepxRoot(contractId: unknown, learned?: ReadonlyMap<string, string>): string | null {
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const code = topstepxProductCode(contractId);
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if (!code) return null;
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const known = (root: string | undefined) => (root !== undefined && root in TOPSTEP_COMMISSION_PER_SIDE ? root : null);
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return known(learned?.get(code)) ?? known(PRODUCT_ROOTS[code]) ?? known(code);
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}
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/** Topstep's commission on one fill of `size` contracts (one side). */
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export function topstepCommission(root: string | null, size: number): number {
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const perSide = (root !== null ? TOPSTEP_COMMISSION_PER_SIDE[root] : undefined) ?? TOPSTEP_COMMISSION_FALLBACK;
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return Math.round(perSide * Math.abs(size || 0) * 100) / 100;
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}
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