Brandon LiandClaude Opus 5.5
a2d9df5ba4
- Transfers: a close books its SETTLEMENT and COMMISSION under one transaction code, and keying by the code alone let the commission overwrite the P&L. Keys now carry the type, so the day-start balance, daily-loss room, realized P&L, daily history and books check all see closed-trade profit and loss. - Volatility from a week of hourly closes (was 48 h), still measured once per trade date, so one quiet weekend can't triple a hold estimate. - Each symbol's margin rate from the account's instrument details caps the position at available funds / rate (Tradeify: 5:1 crypto, 2:1 stocks); the account type's max notional stays as an optional ceiling. - Firms with overnight financing add the swap a winning leg is expected to pay (the winners' mean hold, (A²+2AB)/3σ²) to its take-profit, and the sizing and hold estimate count it. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
305 lines
18 KiB
TypeScript
305 lines
18 KiB
TypeScript
import { NextResponse } from 'next/server';
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import { loadDailyPnL } from '@/lib/db';
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import { getClients } from '@/lib/clients';
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import { getCachedCatalog } from '@/lib/firm-catalog';
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import { getAccountConfig, getInferredSize, matchAccountType } from '@/lib/account-type-resolver';
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import { historyFresh, type PlatformContract } from '@/lib/platform-client';
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import type { AccountState } from '@/types';
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import {
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combineCmeSessions, computeDayPlan, cycleCompletion, resolveEffectiveConfig, currentTradeDateCT,
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obfuscationStopDollars, dllRoom as computeDllRoom, dllStopDollars, botStopsActive, sizeNotional, notionalCap,
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DEFAULT_TARGET_HOLD_HOURS,
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LEG_COMPLETION_EPSILON,
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} from '@/lib/trading-logic';
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export async function GET() {
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try {
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const firms = getCachedCatalog();
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const clients = getClients();
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const tradeDate = currentTradeDateCT();
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const state = firms.map((f) => {
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const client = clients.get(f.id);
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// connected == the Tradovate sync has come back, NOT "has accounts".
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// A firm with no accounts is a real, settled state and must not be
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// reported the same way as one that is still authenticating.
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const connected = !!client && client.syncComplete;
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if (!client || client.accountList.length === 0) {
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return { firmId: f.id, firm: f.name, connected, accounts: [] };
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}
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const accounts = client.accountList.map((acc) => {
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const cash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
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// One lookup against the assignment table — no prefix matching
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// here any more. An unassigned account gets no targets, which
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// is also what stops it being traded.
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const resolved = getAccountConfig(acc.id);
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const cfg = resolved.accountType;
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const inferredAccountSize = getInferredSize(acc.id, client);
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// A combining firm records holiday sessions with the next full
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// trading day — everything below reads the account through that
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// view (the identity view when the account type doesn't combine).
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const combined = combineCmeSessions(
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cfg?.combineCmeHolidays === true,
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client.dailyPnL[acc.id] ?? [],
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tradeDate,
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cash.realizedPnL,
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);
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const dailyPnL = combined.dailyPnL;
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const totalProfit = dailyPnL.reduce((sum, d) => sum + d.pnl, 0);
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const autoLiqThreshold = client.autoLiqThresholds[acc.id] ?? 0;
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// 0 = no floor; negative floors are reconstructed TopstepX MLLs.
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const isDead = autoLiqThreshold !== 0 && cash.amount <= autoLiqThreshold;
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const allFundTxns = client.fundTransactions?.[acc.id] ?? [];
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const priorProfit = client.priorProfit?.[acc.id] ?? 0;
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// Stage = 1 + number of withdrawals (negative fund transactions)
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const stage = 1 + allFundTxns.filter((f) => f.amount < 0).length;
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// Stage-resolved config: a drain stage swaps in its own min-day
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// (default $5) and no profit target.
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const effective = cfg ? resolveEffectiveConfig(
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cfg.profitTarget,
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cfg.consistency,
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cfg.minTradingDays,
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cfg.targetSameEquity,
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cfg.withdrawalStages,
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priorProfit,
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allFundTxns,
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cfg.minDayPnL
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) : null;
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// Days traded counts only days that hit minDayPnL (when set) — that's what
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// the firm requires toward the min trading day rule.
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const daysTraded: number = effective && effective.minDayPnL > 0
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? dailyPnL.filter((d) => d.pnl >= effective.minDayPnL).length
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: combined.daysTraded;
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// Hide initial funding (amount === accountSize) from display
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const fundingAmount = cfg?.accountSize ?? inferredAccountSize;
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const displayFundTxns = fundingAmount !== null
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? allFundTxns.filter((f) => f.amount !== fundingAmount)
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: allFundTxns;
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// Surfaced so the dashboard can flag an account whose type was
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// picked out of several equally valid matches.
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const ambiguous = cfg
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? matchAccountType(acc.name, inferredAccountSize, f.accountTypes).ambiguous
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: false;
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let targetHit = false;
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let dailyTarget: { amount: number; path: 'first_day' | 'normal_day' | 'reduced_day' } | null = null;
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let remainingToday: number | null = null;
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let effectiveProfitTarget: number | null = null;
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let nextStop: number | null = null;
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let dllRoom: number | null = null;
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let holdEstimate: AccountState['holdEstimate'] = null;
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if (cfg && effective && !isDead) {
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const equityProfit = cash.amount - cfg.accountSize;
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const plan = computeDayPlan(
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acc.id, combined.tradeDate, effective.profitTarget, effective.consistency,
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dailyPnL, effective.minDayPnL, effective.minTradingDays, equityProfit, combined.realizedPnL,
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cfg.splitEnabled, effective.drain
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);
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dailyTarget = plan ? { amount: plan.dayTarget, path: plan.path } : null;
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remainingToday = plan?.remainingToday ?? null;
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// The stop the next trade would carry, from the same helpers
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// the fire path uses: the obfuscation stop (day 1 keeps the
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// day's net floor at −$1,000, min days stop at 2× the leg,
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// the day after a loss rides stopless) against the hard
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// daily-loss stop, before fees. A min day trades its whole
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// remaining target as one leg.
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const dll = cfg.dailyLossLimit ?? 0;
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if (dll > 0) {
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const dayStart = client.dayStartBalance?.(acc.id);
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dllRoom = dayStart === null ? null : computeDllRoom({
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dailyLossLimit: dll,
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closedBalance: cash.amount,
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dayStartBalance: dayStart,
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realizedToday: Math.min(cash.realizedPnL, combined.realizedPnL),
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});
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}
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if (plan && (botStopsActive(cfg))) {
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const obf = obfuscationStopDollars(cfg, dailyPnL, plan, combined.tradeDate, plan.remainingToday);
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const hard = dllRoom !== null
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? dllStopDollars({ room: dllRoom, dailyLossLimit: dll, entryFee: 0, commissionPct: 0 })
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: Infinity;
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const stop = Math.min(Number.isFinite(obf) && obf > 0 ? obf : Infinity, hard);
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if (Number.isFinite(stop) && stop > 0) nextStop = Math.round(stop * 100) / 100;
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}
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// DXtrade: size the next leg the way fireLeg would, on the
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// instrument the selector last picked and today's measured
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// volatility — under the same notional and margin caps —
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// to show how long it is expected to hold.
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const pick = (client as { lastPickedContract?: PlatformContract | null }).lastPickedContract;
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if (plan && plan.remainingToday > 0 && pick?.stepNotional && pick.volatilityPerHour) {
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const pct = pick.commissionPct ?? f.commissionPct ?? 0;
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const obf = obfuscationStopDollars(cfg, dailyPnL, plan, combined.tradeDate, plan.remainingToday);
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const room = dllRoom;
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const sizing = sizeNotional({
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leg: plan.remainingToday,
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stopDollarsAt: (n) => Math.min(
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Number.isFinite(obf) && obf > 0 ? obf : Infinity,
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room !== null && dll > 0
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? dllStopDollars({ room, dailyLossLimit: dll, entryFee: (pct / 100) * n, commissionPct: pct })
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: Infinity,
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),
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volatilityPerHour: pick.volatilityPerHour,
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targetHoldHours: f.targetHoldHours || DEFAULT_TARGET_HOLD_HOURS,
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commissionPct: pct,
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spreadFraction: pick.spreadFraction,
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financingPctPerDay: f.financingPctPerDay ?? 0,
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// The next leg opens flat: while this one is open its
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// margin is tied up, so size against the balance.
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maxNotional: notionalCap({
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maxNotional: cfg.maxNotional ?? 0,
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marginRate: pick.marginRate,
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availableFunds: client.positions[acc.id] ? cash.amount : (cash.availableFunds ?? cash.amount),
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}),
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});
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if (sizing) {
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holdEstimate = {
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hours: Math.round(sizing.predictedHoldHours * 10) / 10,
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symbol: String(pick.id),
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notional: Math.round(sizing.notional),
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volatilityPerDay: pick.volatilityPerHour * Math.sqrt(24),
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winProbability: sizing.winProbability,
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swapReserve: sizing.swapReserve,
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leverage: pick.marginRate ? Math.round(10 / pick.marginRate) / 10 : null,
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};
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}
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}
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// Effective profit target = max(stage target, consistency realTarget).
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// If a big day forces the consistency rule, the account must reach maxDay/consistency
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// in total trading profit for the stage, not just profitTarget.
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const qualifying = effective.minDayPnL === 0 ? dailyPnL : dailyPnL.filter((d) => d.pnl >= effective.minDayPnL);
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const maxDay = qualifying.length > 0 ? Math.max(...qualifying.map((d) => d.pnl)) : 0;
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const consistencyReal = (effective.consistency > 0 && effective.consistency < 1 && maxDay > 0)
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? maxDay / effective.consistency : 0;
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effectiveProfitTarget = Math.max(effective.profitTarget, consistencyReal);
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// ── Double-count diagnostic ───────────────────────────────
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// computeDayPlan reconstructs day-start equity as
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// equityProfit − realizedPnL, then treats every dailyPnL row
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// NOT dated today as a prior day. Those two views must agree:
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// day-start equity should equal priorProfit + sum(prior days).
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// When a session's cached row is dated something other than
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// today's tradeDate, that session lands in BOTH the prior-day
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// list and realizedPnL — day-start equity reads too low while
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// the prior sum stays high, and the daily target inflates to
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// base + consistency×todayPnL (the $1,687.39 symptom). Fires
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// only when the books disagree by > $50, logging the exact
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// state needed to diagnose the trigger. Remove once resolved.
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const priorDaysSum = dailyPnL
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.filter((d) => d.date !== combined.tradeDate)
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.reduce((s, d) => s + d.pnl, 0);
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const dayStartEquity = equityProfit - combined.realizedPnL;
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const expectedDayStart = priorProfit + priorDaysSum;
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const drift = Math.round((dayStartEquity - expectedDayStart) * 100) / 100;
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if (Math.abs(drift) > 50) {
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console.warn('[day-plan][equity-drift] ' + JSON.stringify({
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account: acc.name,
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id: acc.id,
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serverNow: new Date().toISOString(),
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tradeDate: combined.tradeDate,
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drift,
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dayStartEquity,
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expectedDayStart,
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equityProfit,
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realizedPnL: combined.realizedPnL,
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priorProfit,
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priorDaysSum,
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dayTarget: plan?.dayTarget ?? null,
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remainingToday: plan?.remainingToday ?? null,
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consistency: effective.consistency,
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effectiveProfitTarget,
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hasTodayRow: dailyPnL.some((d) => d.date === combined.tradeDate),
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combineCmeHolidays: cfg.combineCmeHolidays === true,
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combinedDailyPnL: dailyPnL,
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rawDailyPnL: client.dailyPnL[acc.id] ?? [],
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}));
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}
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// Condition 1: profit target already exceeded (target=0), still need days → any activity counts
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// Condition 2: target > 0 → all legs done (day's remaining target used up)
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if (plan) {
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targetHit =
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(plan.dayTarget === 0 && Math.abs(combined.realizedPnL) > 0 && combined.daysTraded <= effective.minTradingDays) ||
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(combined.realizedPnL > 0 && plan.remainingToday <= LEG_COMPLETION_EPSILON);
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}
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}
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// Today finished the cycle — the reporter's check and guards,
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// so this pill and the master's purple count agree.
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let completed = false;
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const historyLoaded = client.dailyPnL[acc.id] !== undefined
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&& client.fundTransactions?.[acc.id] !== undefined;
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if (cfg && effective && historyLoaded && historyFresh(client, acc) && !client.positions[acc.id]) {
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completed = cycleCompletion({
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accountId: acc.id,
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rawTradeDate: tradeDate,
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cycleDailyPnL: client.dailyPnL[acc.id],
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rawRealizedPnL: cash.realizedPnL,
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combineCmeHolidays: cfg.combineCmeHolidays,
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tradesEveryDay: cfg.tradesEveryDay === true,
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effective,
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equityProfit: cash.amount - cfg.accountSize,
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splitEnabled: cfg.splitEnabled,
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}) === 'today';
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}
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return {
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id: acc.id,
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name: acc.name,
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active: acc.active,
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amount: cash.amount,
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// The combined day's P&L, not just the current session's —
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// on the Tuesday after a holiday this includes Sun/Mon.
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realizedPnL: combined.realizedPnL,
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daysTraded,
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// An account the bot puts stops on whose day booked red via
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// its own stop — the personal DLL. Firm DLL lockouts show
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// via !active instead.
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personalDll: !!cfg && botStopsActive(cfg)
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&& acc.active && !client.positions[acc.id]
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&& combined.realizedPnL <= -25,
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positionDirection: client.positions[acc.id]
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? (client.positions[acc.id].netPos > 0 ? 'long' as const : 'short' as const)
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: null,
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autoLiqThreshold,
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totalProfit,
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targetHit,
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completed,
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stage,
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// Current stage is a drain stage — dashboards label it "Stage N – Drain".
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stageDrain: effective?.drain ?? false,
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dailyTarget,
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nextStop,
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dllRoom,
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holdEstimate,
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remainingToday,
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effectiveProfitTarget,
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dailyPnL,
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fullDailyPnL: combineCmeSessions(
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cfg?.combineCmeHolidays === true,
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client.fullDailyPnL?.[acc.id] ?? loadDailyPnL(acc.id),
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tradeDate,
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0,
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).dailyPnL,
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fundTransactions: displayFundTxns,
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accountTypeId: resolved.accountTypeId,
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accountTypeLabel: cfg?.label ?? null,
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assignmentSource: resolved.source,
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accountType: cfg,
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inferredAccountSize,
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accountTypeAmbiguous: ambiguous,
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};
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});
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return { firmId: f.id, firm: f.name, connected, accounts };
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});
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return NextResponse.json(state);
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} catch (err) {
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console.error('[GET /api/state]', err);
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return NextResponse.json({ error: 'Failed to fetch state' }, { status: 500 });
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}
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}
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