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risk_to_qty was reducing size by (1 - fee_rate * 3) and then passing fee_rate into size_to_qty, which applies the same haircut again.
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Fixes #614
Credit to @flyerswk for reporting this and pinpointing the double application.
risk_to_qtyreducedsizeby(1 - fee_rate * 3)and then calledsize_to_qty(..., fee_rate=fee_rate), which applies the same haircut again.On the reporter inputs that produced a double-haircut qty of 97.0225 instead of a single haircut of 98.5:
This drops the pre-adjust in
risk_to_qtyand letssize_to_qtyapply the fee once.size_to_qtyitself is unchanged, so other callers keep the same behavior.risk_to_qty(10000, 10, 100, 90, fee_rate=0.005)now returns 98.5.