Changes
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Square-root market impact. Every fill pays impact on top of the half-spread and the commission: Y × daily volatility × sqrt(order / 20-day average volume). Y defaults to 1.0. Volatility is the sample sigma of daily log returns over those same bars. A name with no history, or fewer than three bars, pays no impact. A minute fund's order is measured against a whole day's volume. The orders table splits the cost into spread, impact, and commission, and shows the order as a percent of ADV.
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No-trade band. An add smaller than
min_trade_pctof equity waits and is retried next cycle. The default is 0.5%. A trim, a close, or a flip always goes through.
Both are defaults, so an existing mandate picks them up on upgrade. Set impact_coefficient: 0 and min_trade_pct: 0 to get the previous behavior back.