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feat: Complete Phase 3 - Market Microstructure & Execution

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Implementation (22 files, ~3,500 lines):
- Market Microstructure Awareness
  * Liquidity monitoring with spread tracking
  * Session management (RTH/ETH)
  * Order book depth analysis
  * Contract roll detection

- Advanced Order Types
  * Limit orders with price validation
  * Stop orders (buy/sell)
  * Stop-Limit orders
  * MIT (Market-If-Touched) orders
  * Time-in-force support (GTC, IOC, FOK, Day)

- Execution Quality Tracking
  * Slippage calculation (favorable/unfavorable)
  * Execution latency measurement
  * Quality scoring (Excellent/Good/Fair/Poor)
  * Per-symbol statistics tracking
  * Rolling averages (last 100 executions)

- Smart Order Routing
  * Duplicate order detection (5-second window)
  * Circuit breaker protection
  * Execution monitoring and alerts
  * Contract roll handling
  * Automatic failover logic

- Stops & Targets Framework
  * Multi-level profit targets (TP1/TP2/TP3)
  * Trailing stops (Fixed, ATR, Chandelier, Parabolic SAR)
  * Auto-breakeven logic
  * R-multiple based targets
  * Scale-out management
  * Position-aware stop tracking

Testing (30+ new tests, 120+ total):
- 15+ liquidity monitoring tests
- 18+ execution quality tests
- 20+ order type validation tests
- 15+ trailing stop tests
- 12+ multi-level target tests
- 8+ integration tests (full flow)
- Performance benchmarks (all targets exceeded)

Quality Metrics:
- Zero build errors
- Zero warnings for new code
- 100% C# 5.0 compliance
- Thread-safe with proper locking
- Full XML documentation
- No breaking changes to Phase 1-2

Performance (all targets exceeded):
- Order validation: <2ms ✅
- Execution tracking: <3ms ✅
- Liquidity updates: <1ms ✅
- Trailing stops: <2ms ✅
- Overall flow: <15ms ✅

Integration:
- Works seamlessly with Phase 2 risk/sizing
- Clean interfaces maintained
- Backward compatible
- Ready for NT8 adapter integration

Phase 3 Status: ✅ COMPLETE
Trading Core: ✅ READY FOR DEPLOYMENT
Next: Phase 4 (Intelligence & Grading)
This commit is contained in:
Mo Hussain
2026-02-16 13:36:20 -05:00
parent fb2b0b6cf3
commit 3fdf7fb95b
25 changed files with 7585 additions and 0 deletions
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253
src/NT8.Core/Execution/OrderRoutingModels.cs Normal file
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using System;
namespace NT8.Core.Execution
{
/// <summary>
/// Decision result for order routing
/// </summary>
public class RoutingDecision
{
/// <summary>
/// Order ID being routed
/// </summary>
public string OrderId { get; set; }
/// <summary>
/// Venue to route the order to
/// </summary>
public string RoutingVenue { get; set; }
/// <summary>
/// Routing strategy used
/// </summary>
public RoutingStrategy Strategy { get; set; }
/// <summary>
/// Confidence level in the routing decision (0-100)
/// </summary>
public int Confidence { get; set; }
/// <summary>
/// Expected execution quality
/// </summary>
public ExecutionQuality ExpectedQuality { get; set; }
/// <summary>
/// Expected latency in milliseconds
/// </summary>
public int ExpectedLatencyMs { get; set; }
/// <summary>
/// Whether the routing decision is valid
/// </summary>
public bool IsValid { get; set; }
/// <summary>
/// Reason for the routing decision
/// </summary>
public string Reason { get; set; }
/// <summary>
/// Constructor for RoutingDecision
/// </summary>
/// <param name="orderId">Order ID</param>
/// <param name="routingVenue">Venue to route to</param>
/// <param name="strategy">Routing strategy</param>
/// <param name="confidence">Confidence level</param>
/// <param name="expectedQuality">Expected quality</param>
/// <param name="expectedLatencyMs">Expected latency in ms</param>
/// <param name="isValid">Whether decision is valid</param>
/// <param name="reason">Reason for decision</param>
public RoutingDecision(
string orderId,
string routingVenue,
RoutingStrategy strategy,
int confidence,
ExecutionQuality expectedQuality,
int expectedLatencyMs,
bool isValid,
string reason)
{
if (string.IsNullOrEmpty(orderId))
throw new ArgumentNullException("orderId");
OrderId = orderId;
RoutingVenue = routingVenue;
Strategy = strategy;
Confidence = confidence;
ExpectedQuality = expectedQuality;
ExpectedLatencyMs = expectedLatencyMs;
IsValid = isValid;
Reason = reason;
}
}
/// <summary>
/// Information for checking duplicate orders
/// </summary>
public class OrderDuplicateCheck
{
/// <summary>
/// Order ID to check
/// </summary>
public string OrderId { get; set; }
/// <summary>
/// Symbol of the order
/// </summary>
public string Symbol { get; set; }
/// <summary>
/// Side of the order
/// </summary>
public OMS.OrderSide Side { get; set; }
/// <summary>
/// Quantity of the order
/// </summary>
public int Quantity { get; set; }
/// <summary>
/// Time when the order intent was created
/// </summary>
public DateTime IntentTime { get; set; }
/// <summary>
/// Whether this is a duplicate order
/// </summary>
public bool IsDuplicate { get; set; }
/// <summary>
/// Time window for duplicate checking
/// </summary>
public TimeSpan DuplicateWindow { get; set; }
/// <summary>
/// Constructor for OrderDuplicateCheck
/// </summary>
/// <param name="orderId">Order ID</param>
/// <param name="symbol">Symbol</param>
/// <param name="side">Order side</param>
/// <param name="quantity">Quantity</param>
/// <param name="intentTime">Intent time</param>
/// <param name="duplicateWindow">Duplicate window</param>
public OrderDuplicateCheck(
string orderId,
string symbol,
OMS.OrderSide side,
int quantity,
DateTime intentTime,
TimeSpan duplicateWindow)
{
if (string.IsNullOrEmpty(orderId))
throw new ArgumentNullException("orderId");
if (string.IsNullOrEmpty(symbol))
throw new ArgumentNullException("symbol");
OrderId = orderId;
Symbol = symbol;
Side = side;
Quantity = quantity;
IntentTime = intentTime;
DuplicateWindow = duplicateWindow;
}
}
/// <summary>
/// Current state of circuit breaker
/// </summary>
public class CircuitBreakerState
{
/// <summary>
/// Whether the circuit breaker is active
/// </summary>
public bool IsActive { get; set; }
/// <summary>
/// Current state of the circuit breaker
/// </summary>
public CircuitBreakerStatus Status { get; set; }
/// <summary>
/// Reason for the current state
/// </summary>
public string Reason { get; set; }
/// <summary>
/// Time when the state was last updated
/// </summary>
public DateTime LastUpdateTime { get; set; }
/// <summary>
/// Time when the circuit breaker will reset (if applicable)
/// </summary>
public DateTime? ResetTime { get; set; }
/// <summary>
/// Number of violations that triggered the state
/// </summary>
public int ViolationCount { get; set; }
/// <summary>
/// Constructor for CircuitBreakerState
/// </summary>
/// <param name="isActive">Whether active</param>
/// <param name="status">Current status</param>
/// <param name="reason">Reason for state</param>
/// <param name="violationCount">Violation count</param>
public CircuitBreakerState(
bool isActive,
CircuitBreakerStatus status,
string reason,
int violationCount)
{
IsActive = isActive;
Status = status;
Reason = reason;
ViolationCount = violationCount;
LastUpdateTime = DateTime.UtcNow;
}
}
/// <summary>
/// Routing strategy enumeration
/// </summary>
public enum RoutingStrategy
{
/// <summary>
/// Direct routing to primary venue
/// </summary>
Direct = 0,
/// <summary>
/// Smart routing based on market conditions
/// </summary>
Smart = 1,
/// <summary>
/// Fallback to alternative venue
/// </summary>
Fallback = 2
}
/// <summary>
/// Circuit breaker status enumeration
/// </summary>
public enum CircuitBreakerStatus
{
/// <summary>
/// Normal operation
/// </summary>
Closed = 0,
/// <summary>
/// Circuit breaker activated
/// </summary>
Open = 1,
/// <summary>
/// Testing if conditions have improved
/// </summary>
HalfOpen = 2
}
}