# Order Management System (OMS) Design

## Overview

The Order Management System (OMS) is a critical component of the NT8 Institutional SDK that handles all aspects of order execution, including smart order routing, algorithmic trading strategies (TWAP, VWAP, Iceberg), and integration with risk management systems.

## Key Components

### 1. IOrderManager Interface

The core interface that defines all OMS functionality:

- Order submission and management
- Support for Market, Limit, StopMarket, and StopLimit orders
- Order validation integrated with risk management
- Smart order routing capabilities
- Algorithmic order execution (TWAP, VWAP, Iceberg)
- Performance metrics and monitoring
- Rate limiting and circuit breaker functionality

### 2. OrderManager Class

The primary implementation of the IOrderManager interface:

- Core order management functionality
- Integration with risk management system
- Order routing logic based on liquidity and cost
- Support for multiple execution venues
- Configuration system for routing parameters

### 3. Algorithmic Trading Strategies

#### TWAP (Time Weighted Average Price)
- Slices large orders into smaller ones over time
- Executes orders at regular intervals
- Minimizes market impact by spreading execution

#### VWAP (Volume Weighted Average Price)
- Executes orders based on trading volume patterns
- Participates in market volume proportionally
- Aims to achieve better than average execution prices

#### Iceberg Orders
- Hides large order sizes from the market
- Only shows a small portion of the total order
- Reduces market impact for large trades

## Algorithms Research

### TWAP Algorithm
The Time Weighted Average Price algorithm executes orders by dividing them into smaller slices and executing these slices at regular intervals throughout the trading day. This approach minimizes market impact by spreading the execution over time.

Key characteristics:
- Time-based slicing of large orders
- Equal participation rate over time
- Minimizes information leakage
- Suitable for less liquid instruments

### VWAP Algorithm
The Volume Weighted Average Price algorithm executes orders in proportion to the trading volume of the instrument. It aims to achieve execution prices close to the volume-weighted average price of the instrument over a specified period.

Key characteristics:
- Volume-based participation
- Aims to achieve VWAP benchmark
- Responsive to market liquidity patterns
- Suitable for liquid instruments

### Iceberg Algorithm
The Iceberg algorithm hides large order sizes by only displaying a small portion of the total order at any given time. As each displayed portion is filled, a new portion is revealed until the entire order is executed.

Key characteristics:
- Hides large order sizes
- Minimizes market impact
- Reduces information leakage
- Prevents adverse price movements

## Integration Points

### Risk Management Integration
- All orders must pass through the risk management system
- Real-time risk validation before order submission
- Risk metrics collection and reporting

### Position Sizing Integration
- Order quantities determined by position sizing system
- Contract clamping and validation
- Multi-symbol position management

### Execution Venues
- Support for multiple execution venues
- Routing logic based on cost and liquidity
- Performance metrics tracking per venue

## Configuration System

The OMS requires a flexible configuration system to support:

- Routing parameters (venue preferences, cost models)
- Algorithm parameters (TWAP intervals, VWAP participation rates)
- Risk limits (rate limits, value limits)
- Circuit breaker thresholds

## Performance Metrics

The OMS tracks and reports on:

- Execution quality metrics
- Routing performance per venue
- Algorithm performance benchmarks
- Risk metrics and compliance reporting

## Implementation Plan

1. Design IOrderManager interface based on requirements
2. Implement OrderManager class with basic functionality
3. Implement support for Market, Limit, StopMarket, and StopLimit orders
4. Implement order validation logic integrated with risk management
5. Design and implement smart order routing logic
6. Implement support for multiple execution venues
7. Create routing configuration system
8. Implement routing performance metrics
9. Implement TWAP algorithm
10. Implement VWAP algorithm
1. Implement Iceberg order algorithm
12. Create algorithm configuration and parameterization system
13. Implement order rate limiting
14. Implement order value limits
15. Implement circuit breaker functionality
16. Write unit tests for all OMS components
17. Validate implementation with test scenarios
