# NT8 Institutional SDK - Phase 1 Sprint Plan

## Overview
This document outlines the sprint plan for Phase 1 development of the NT8 Institutional SDK. Phase 1 builds upon the completed Phase 0 foundation to deliver a more complete trading system with Order Management System (OMS), NinjaTrader 8 integration, enhanced risk controls, and market data handling.

## Sprint Goals
1. Implement Order Management System (OMS) with smart order routing
2. Develop NinjaTrader 8 adapter for integration
3. Enhance risk controls with Tier 2 functionality
4. Implement market data handling and validation
5. Optimize performance and add advanced position sizing algorithms

## Sprint Timeline
- **Duration**: 3 weeks
- **Start Date**: 2025-09-15
- **End Date**: 2025-10-06
- **Review Date**: 2025-10-07

## Team Composition
- 1 Architect
- 2 Senior Developers
- 1 QA Engineer
- 1 DevOps Engineer

## Sprint Backlog

### Epic 1: Order Management System (OMS)
**Objective**: Implement a comprehensive OMS with smart order routing and execution algorithms.

#### User Stories:
1. **As a developer, I want to create an OMS interface that supports multiple order types**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Define IOrderManager interface
     - Implement OrderManager class with basic functionality
     - Add support for Market, Limit, StopMarket, and StopLimit orders
     - Implement order validation logic

2. **As a trader, I want the OMS to support smart order routing**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Implement routing logic based on liquidity and cost
     - Add support for multiple execution venues
     - Create routing configuration system
     - Add routing performance metrics

3. **As a developer, I want to implement execution algorithms**
   - Priority: Medium
   - Story Points: 8
   - Tasks:
     - Implement TWAP (Time Weighted Average Price) algorithm
     - Implement VWAP (Volume Weighted Average Price) algorithm
     - Implement Iceberg order algorithm
     - Add algorithm configuration and parameterization

4. **As a risk manager, I want the OMS to enforce order limits and controls**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Integrate with existing risk management system
     - Add order rate limiting
     - Implement order value limits
     - Add circuit breaker functionality

### Epic 2: NinjaTrader 8 Adapter
**Objective**: Develop a robust adapter for integrating with NinjaTrader 8 platform.

#### User Stories:
1. **As a developer, I want to create an adapter interface for NT8 integration**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Define INT8Adapter interface
     - Implement NT8Adapter class with basic connectivity
     - Add connection state management
     - Implement error handling and recovery

2. **As a trader, I want to receive real-time market data from NT8**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Implement market data subscription mechanism
     - Add support for different bar types and intervals
     - Implement data quality checks and validation
     - Add buffering and throttling for high-frequency data

3. **As a trader, I want to execute orders through NT8**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Implement order submission to NT8
     - Add order status tracking and updates
     - Implement order cancellation and modification
     - Add execution reporting and fill handling

4. **As a developer, I want to handle NT8-specific data formats and conventions**
   - Priority: Medium
   - Story Points: 5
   - Tasks:
     - Implement data type conversions
     - Add support for NT8 instrument definitions
     - Handle NT8 session and trading hours
     - Implement NT8-specific error codes and handling

### Epic 3: Enhanced Risk Controls (Tier 2)
**Objective**: Extend the risk management system with advanced Tier 2 controls.

#### User Stories:
1. **As a risk manager, I want to implement portfolio-level risk controls**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Add cross-symbol correlation analysis
     - Implement portfolio VaR (Value at Risk) calculations
     - Add concentration limits by sector/asset class
     - Implement portfolio-level stop-losses

2. **As a risk manager, I want advanced position tracking and management**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Enhance position tracking with Greeks and risk metrics
     - Add position reconciliation mechanisms
     - Implement position flattening algorithms
     - Add position reporting and visualization

3. **As a compliance officer, I want transaction cost analysis**
   - Priority: Medium
   - Story Points: 5
   - Tasks:
     - Implement slippage tracking and analysis
     - Add commission and fee tracking
     - Create transaction cost reporting
     - Add cost vs. benefit analysis tools

4. **As a risk manager, I want scenario analysis and stress testing**
   - Priority: Medium
   - Story Points: 8
   - Tasks:
     - Implement historical scenario analysis
     - Add Monte Carlo simulation capabilities
     - Create stress testing framework
     - Add scenario result visualization

### Epic 4: Market Data Handling
**Objective**: Implement comprehensive market data handling and validation.

#### User Stories:
1. **As a developer, I want to create a market data provider interface**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Define IMarketDataProvider interface
     - Implement MarketDataProvider base class
     - Add support for multiple data sources
     - Implement data source failover mechanisms

2. **As a trader, I want to validate market data quality**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Implement data quality checks (gaps, spikes, etc.)
     - Add data freshness monitoring
     - Create data validation rules engine
     - Add alerts for data quality issues

3. **As a developer, I want to implement historical data handling**
   - Priority: Medium
   - Story Points: 5
   - Tasks:
     - Add support for historical data retrieval
     - Implement data storage and caching
     - Add data compression and archiving
     - Create historical data analysis tools

4. **As a trader, I want real-time market data analytics**
   - Priority: Medium
   - Story Points: 8
   - Tasks:
     - Implement real-time volatility calculations
     - Add volume and liquidity analytics
     - Create market regime detection
     - Add real-time data visualization

### Epic 5: Performance Optimization
**Objective**: Optimize system performance and add advanced algorithms.

#### User Stories:
1. **As a developer, I want to optimize core system performance**
   - Priority: High
   - Story Points: 8
   - Tasks:
     - Profile and optimize critical code paths
     - Implement object pooling for frequently used objects
     - Add caching mechanisms for expensive calculations
     - Optimize memory usage and garbage collection

2. **As a developer, I want to implement advanced position sizing algorithms**
   - Priority: Medium
   - Story Points: 8
   - Tasks:
     - Implement Optimal f algorithm
     - Add Kelly criterion sizing
     - Create volatility-adjusted sizing methods
     - Add machine learning-based sizing approaches

3. **As a system administrator, I want comprehensive monitoring and logging**
   - Priority: High
   - Story Points: 5
   - Tasks:
     - Implement performance counters and metrics
     - Add distributed tracing support
     - Enhance logging with structured data
     - Create monitoring dashboard

4. **As a developer, I want to implement parallel processing where appropriate**
   - Priority: Medium
   - Story Points: 5
   - Tasks:
     - Identify opportunities for parallelization
     - Implement thread-safe data structures
     - Add async/await patterns where beneficial
     - Optimize resource utilization

## Success Criteria
1. OMS implemented with smart order routing and execution algorithms
2. NT8 adapter successfully integrated and tested
3. Tier 2 risk controls operational with portfolio-level management
4. Market data handling robust with quality validation
5. System performance optimized with measurable improvements
6. All new functionality covered by automated tests (>90% coverage)
7. Documentation updated for all new components

## Risks and Mitigations
1. **Risk**: Complexity of NT8 integration
   - **Mitigation**: Start with basic connectivity and incrementally add features
   
2. **Risk**: Performance bottlenecks in OMS
   - **Mitigation**: Continuous profiling and optimization throughout development
   
3. **Risk**: Data quality issues affecting risk calculations
   - **Mitigation**: Implement comprehensive data validation and quality monitoring

## Dependencies
1. Completion of Phase 0 (already completed)
2. Access to NT8 development environment
3. Market data feeds for testing
4. Risk management team for validation of new controls

## Definition of Done
- Code implemented and reviewed
- Unit tests written and passing (>90% coverage)
- Integration tests completed
- Documentation updated
- Performance benchmarks met
- Security review completed
- Deployment package created
