Add ORB confluence factors (NR4/NR7, gap alignment, breakout volume, prior close) + session file logger

src/NT8.Adapters/NinjaTrader/INT8ExecutionBridge.cs

@@ -0,0 +1,26 @@
+using System;
+
+namespace NT8.Adapters.NinjaTrader
+{
+    /// <summary>
+    /// Provides NT8OrderAdapter access to NinjaScript execution methods.
+    /// Implemented by NT8StrategyBase.
+    /// </summary>
+    public interface INT8ExecutionBridge
+    {
+        /// <summary>Submit a long entry with stop and target.</summary>
+        void EnterLongManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize);
+
+        /// <summary>Submit a short entry with stop and target.</summary>
+        void EnterShortManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize);
+
+        /// <summary>Exit all long positions.</summary>
+        void ExitLongManaged(string signalName);
+
+        /// <summary>Exit all short positions.</summary>
+        void ExitShortManaged(string signalName);
+
+        /// <summary>Flatten the full position immediately.</summary>
+        void FlattenAll();
+    }
+}

src/NT8.Adapters/NinjaTrader/NT8Adapter.cs

@@ -27,11 +27,34 @@ namespace NT8.Adapters.NinjaTrader
         public NT8Adapter()
         {
             _dataAdapter = new NT8DataAdapter();
-            _orderAdapter = new NT8OrderAdapter();
+            _orderAdapter = new NT8OrderAdapter(new NullExecutionBridge());
             _loggingAdapter = new NT8LoggingAdapter();
             _executionHistory = new List<NT8OrderExecutionRecord>();
         }
 
+        private class NullExecutionBridge : INT8ExecutionBridge
+        {
+            public void EnterLongManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize)
+            {
+            }
+
+            public void EnterShortManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize)
+            {
+            }
+
+            public void ExitLongManaged(string signalName)
+            {
+            }
+
+            public void ExitShortManaged(string signalName)
+            {
+            }
+
+            public void FlattenAll()
+            {
+            }
+        }
+
         /// <summary>
         /// Initialize the adapter with required components
         /// </summary>

src/NT8.Adapters/NinjaTrader/NT8OrderAdapter.cs

@@ -12,6 +12,7 @@ namespace NT8.Adapters.NinjaTrader
     public class NT8OrderAdapter
     {
         private readonly object _lock = new object();
+        private readonly INT8ExecutionBridge _bridge;
         private IRiskManager _riskManager;
         private IPositionSizer _positionSizer;
         private readonly List<NT8OrderExecutionRecord> _executionHistory;
@@ -19,8 +20,11 @@ namespace NT8.Adapters.NinjaTrader
         /// <summary>
         /// Constructor for NT8OrderAdapter.
         /// </summary>
-        public NT8OrderAdapter()
+        public NT8OrderAdapter(INT8ExecutionBridge bridge)
         {
+            if (bridge == null)
+                throw new ArgumentNullException("bridge");
+            _bridge = bridge;
             _executionHistory = new List<NT8OrderExecutionRecord>();
         }
 
@@ -127,18 +131,30 @@ namespace NT8.Adapters.NinjaTrader
         private void ExecuteInNT8(StrategyIntent intent, SizingResult sizing)
         {
             if (intent == null)
-            {
                 throw new ArgumentNullException("intent");
-            }
-
             if (sizing == null)
-            {
                 throw new ArgumentNullException("sizing");
-            }
 
-            // This is where the actual NT8 order execution would happen
-            // In a real implementation, this would call NT8's EnterLong/EnterShort methods
-            // along with SetStopLoss, SetProfitTarget, etc.
+            var signalName = string.Format("SDK_{0}_{1}", intent.Symbol, intent.Side);
+
+            if (intent.Side == OrderSide.Buy)
+            {
+                _bridge.EnterLongManaged(
+                    sizing.Contracts,
+                    signalName,
+                    intent.StopTicks,
+                    intent.TargetTicks.HasValue ? intent.TargetTicks.Value : 0,
+                    0.25);
+            }
+            else if (intent.Side == OrderSide.Sell)
+            {
+                _bridge.EnterShortManaged(
+                    sizing.Contracts,
+                    signalName,
+                    intent.StopTicks,
+                    intent.TargetTicks.HasValue ? intent.TargetTicks.Value : 0,
+                    0.25);
+            }
 
             lock (_lock)
             {
@@ -151,28 +167,6 @@ namespace NT8.Adapters.NinjaTrader
                     intent.TargetTicks,
                     DateTime.UtcNow));
             }
-
-            // Example of what this might look like in NT8:
-            /*
-            if (intent.Side == OrderSide.Buy)
-            {
-                EnterLong(sizing.Contracts, "SDK_Entry");
-                SetStopLoss("SDK_Entry", CalculationMode.Ticks, intent.StopTicks);
-                if (intent.TargetTicks.HasValue)
-                {
-                    SetProfitTarget("SDK_Entry", CalculationMode.Ticks, intent.TargetTicks.Value);
-                }
-            }
-            else if (intent.Side == OrderSide.Sell)
-            {
-                EnterShort(sizing.Contracts, "SDK_Entry");
-                SetStopLoss("SDK_Entry", CalculationMode.Ticks, intent.StopTicks);
-                if (intent.TargetTicks.HasValue)
-                {
-                    SetProfitTarget("SDK_Entry", CalculationMode.Ticks, intent.TargetTicks.Value);
-                }
-            }
-            */
         }
 
         /// <summary>

src/NT8.Adapters/Strategies/NT8StrategyBase.cs

@@ -32,7 +32,7 @@ namespace NinjaTrader.NinjaScript.Strategies
     /// <summary>
     /// Base class for strategies that integrate NT8 SDK components.
     /// </summary>
-    public abstract class NT8StrategyBase : Strategy
+    public abstract class NT8StrategyBase : Strategy, INT8ExecutionBridge
     {
         private readonly object _lock = new object();
 
@@ -54,6 +54,8 @@ namespace NinjaTrader.NinjaScript.Strategies
         private DateTime _lastBarTime;
         private bool _killSwitchTriggered;
         private ExecutionCircuitBreaker _circuitBreaker;
+        private System.IO.StreamWriter _fileLog;
+        private readonly object _fileLock = new object();
 
         #region User-Configurable Properties
 
@@ -93,8 +95,59 @@ namespace NinjaTrader.NinjaScript.Strategies
         [Display(Name = "Verbose Logging", GroupName = "Debug", Order = 1)]
         public bool EnableVerboseLogging { get; set; }
 
+        [NinjaScriptProperty]
+        [Display(Name = "Enable File Logging", GroupName = "Diagnostics", Order = 10)]
+        public bool EnableFileLogging { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Log Directory", GroupName = "Diagnostics", Order = 11)]
+        public string LogDirectory { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Enable Long Trades", GroupName = "Trade Direction", Order = 1)]
+        public bool EnableLongTrades { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Enable Short Trades", GroupName = "Trade Direction", Order = 2)]
+        public bool EnableShortTrades { get; set; }
+
         #endregion
 
+        // INT8ExecutionBridge implementation
+        public void EnterLongManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize)
+        {
+            if (stopTicks > 0)
+                SetStopLoss(signalName, CalculationMode.Ticks, stopTicks, false);
+            if (targetTicks > 0)
+                SetProfitTarget(signalName, CalculationMode.Ticks, targetTicks);
+            EnterLong(quantity, signalName);
+        }
+
+        public void EnterShortManaged(int quantity, string signalName, int stopTicks, int targetTicks, double tickSize)
+        {
+            if (stopTicks > 0)
+                SetStopLoss(signalName, CalculationMode.Ticks, stopTicks, false);
+            if (targetTicks > 0)
+                SetProfitTarget(signalName, CalculationMode.Ticks, targetTicks);
+            EnterShort(quantity, signalName);
+        }
+
+        public void ExitLongManaged(string signalName)
+        {
+            ExitLong(signalName);
+        }
+
+        public void ExitShortManaged(string signalName)
+        {
+            ExitShort(signalName);
+        }
+
+        public void FlattenAll()
+        {
+            ExitLong("EmergencyFlatten");
+            ExitShort("EmergencyFlatten");
+        }
+
         /// <summary>
         /// Create the SDK strategy instance.
         /// </summary>
@@ -136,6 +189,10 @@ namespace NinjaTrader.NinjaScript.Strategies
                 MaxContracts = 10;
                 EnableKillSwitch = false;
                 EnableVerboseLogging = false;
+                EnableFileLogging = true;
+                LogDirectory = string.Empty;
+                EnableLongTrades = true;
+                EnableShortTrades = true;
                 _killSwitchTriggered = false;
             }
             else if (State == State.DataLoaded)
@@ -156,11 +213,35 @@ namespace NinjaTrader.NinjaScript.Strategies
                     }
                 }
             }
+            else if (State == State.Realtime)
+            {
+                InitFileLog();
+                WriteSessionHeader();
+            }
+            else if (State == State.Terminated)
+            {
+                WriteSessionFooter();
+            }
         }
 
         protected override void OnBarUpdate()
         {
-            // Kill switch check — must be first
+            if (!_sdkInitialized || _sdkStrategy == null)
+            {
+                return;
+            }
+
+            if (CurrentBar < BarsRequiredToTrade)
+            {
+                return;
+            }
+
+            if (Time[0] == _lastBarTime)
+                return;
+
+            _lastBarTime = Time[0];
+
+            // Kill switch — checked AFTER bar guards so ExitLong/ExitShort are valid
             if (EnableKillSwitch)
             {
                 if (!_killSwitchTriggered)
@@ -177,29 +258,9 @@ namespace NinjaTrader.NinjaScript.Strategies
                         Print(string.Format("[SDK] Kill switch flatten error: {0}", ex.Message));
                     }
                 }
-
                 return;
             }
 
-            if (!_sdkInitialized || _sdkStrategy == null)
-            {
-                if (CurrentBar == 0)
-                    Print(string.Format("[SDK] Not initialized: sdkInit={0}, strategy={1}", _sdkInitialized, _sdkStrategy != null));
-                return;
-            }
-
-            if (CurrentBar < BarsRequiredToTrade)
-            {
-                if (CurrentBar == 0)
-                    Print(string.Format("[SDK] Waiting for bars: current={0}, required={1}", CurrentBar, BarsRequiredToTrade));
-                return;
-            }
-
-            if (Time[0] == _lastBarTime)
-                return;
-
-            _lastBarTime = Time[0];
-
             // Log first processable bar and every 100th bar.
             if (CurrentBar == BarsRequiredToTrade || CurrentBar % 100 == 0)
             {
@@ -290,9 +351,98 @@ namespace NinjaTrader.NinjaScript.Strategies
             if (string.IsNullOrEmpty(execution.Order.Name) || !execution.Order.Name.StartsWith("SDK_"))
                 return;
 
+            FileLog(string.Format("FILL {0} {1} @ {2:F2} | OrderId={3}",
+                execution.MarketPosition,
+                execution.Quantity,
+                execution.Price,
+                execution.OrderId));
+
             _executionAdapter.ProcessExecution(orderId, executionId, price, quantity, time);
         }
 
+        private void InitFileLog()
+        {
+            if (!EnableFileLogging)
+                return;
+
+            try
+            {
+                string dir = string.IsNullOrEmpty(LogDirectory)
+                    ? System.IO.Path.Combine(
+                        Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments),
+                        "NinjaTrader 8", "log", "nt8-sdk")
+                    : LogDirectory;
+
+                System.IO.Directory.CreateDirectory(dir);
+
+                string path = System.IO.Path.Combine(
+                    dir,
+                    string.Format("session_{0}.log", DateTime.Now.ToString("yyyyMMdd_HHmmss")));
+
+                _fileLog = new System.IO.StreamWriter(path, false);
+                _fileLog.AutoFlush = true;
+                Print(string.Format("[NT8-SDK] File log started: {0}", path));
+            }
+            catch (Exception ex)
+            {
+                Print(string.Format("[NT8-SDK] Failed to open file log: {0}", ex.Message));
+            }
+        }
+
+        private void FileLog(string message)
+        {
+            if (_fileLog == null)
+                return;
+
+            lock (_fileLock)
+            {
+                try
+                {
+                    _fileLog.WriteLine(string.Format("[{0:HH:mm:ss.fff}] {1}", DateTime.Now, message));
+                }
+                catch
+                {
+                }
+            }
+        }
+
+        private void WriteSessionHeader()
+        {
+            FileLog("=== SESSION START " + DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss") + " ===");
+            FileLog(string.Format("Strategy   : {0}", Name));
+            FileLog(string.Format("Account    : {0}", Account != null ? Account.Name : "N/A"));
+            FileLog(string.Format("Symbol     : {0}", Instrument != null ? Instrument.FullName : "N/A"));
+            FileLog(string.Format("Risk       : DailyLimit=${0} MaxTradeRisk=${1} RiskPerTrade=${2}",
+                DailyLossLimit,
+                MaxTradeRisk,
+                RiskPerTrade));
+            FileLog(string.Format("Sizing     : MinContracts={0} MaxContracts={1}", MinContracts, MaxContracts));
+            FileLog(string.Format("VerboseLog : {0}  FileLog: {1}", EnableVerboseLogging, EnableFileLogging));
+            FileLog("---");
+        }
+
+        private void WriteSessionFooter()
+        {
+            FileLog("---");
+            FileLog("=== SESSION END " + DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss") + " ===");
+
+            if (_fileLog != null)
+            {
+                lock (_fileLock)
+                {
+                    try
+                    {
+                        _fileLog.Close();
+                    }
+                    catch
+                    {
+                    }
+
+                    _fileLog = null;
+                }
+            }
+        }
+
         private void InitializeSdkComponents()
         {
             _logger = new BasicLogger(Name);
@@ -354,6 +504,17 @@ namespace NinjaTrader.NinjaScript.Strategies
 
         private StrategyContext BuildStrategyContext()
         {
+            DateTime etTime;
+            try
+            {
+                var easternZone = TimeZoneInfo.FindSystemTimeZoneById("Eastern Standard Time");
+                etTime = TimeZoneInfo.ConvertTime(Time[0], easternZone);
+            }
+            catch
+            {
+                etTime = Time[0];
+            }
+
             var customData = new Dictionary<string, object>();
             customData.Add("CurrentBar", CurrentBar);
             customData.Add("BarsRequiredToTrade", BarsRequiredToTrade);
@@ -361,7 +522,7 @@ namespace NinjaTrader.NinjaScript.Strategies
 
             return NT8DataConverter.ConvertContext(
                 Instrument.MasterInstrument.Name,
-                Time[0],
+                etTime,
                 BuildPositionInfo(),
                 BuildAccountInfo(),
                 BuildSessionInfo(),
@@ -391,20 +552,42 @@ namespace NinjaTrader.NinjaScript.Strategies
 
         private MarketSession BuildSessionInfo()
         {
-            if (_currentSession != null && _currentSession.SessionStart.Date == Time[0].Date)
-                return _currentSession;
+            DateTime etTime;
+            try
+            {
+                var easternZone = TimeZoneInfo.FindSystemTimeZoneById("Eastern Standard Time");
+                etTime = TimeZoneInfo.ConvertTime(Time[0], easternZone);
+            }
+            catch
+            {
+                etTime = Time[0];
+            }
 
-            var sessionStart = Time[0].Date.AddHours(9).AddMinutes(30);
-            var sessionEnd = Time[0].Date.AddHours(16);
-            var isRth = Time[0].Hour >= 9 && Time[0].Hour < 16;
-            var sessionName = isRth ? "RTH" : "ETH";
+            var sessionStart = etTime.Date.AddHours(9).AddMinutes(30);
+            var sessionEnd = etTime.Date.AddHours(16);
+            var isRth = etTime.TimeOfDay >= TimeSpan.FromHours(9.5)
+                        && etTime.TimeOfDay < TimeSpan.FromHours(16.0);
 
-            _currentSession = NT8DataConverter.ConvertSession(sessionStart, sessionEnd, isRth, sessionName);
+            _currentSession = NT8DataConverter.ConvertSession(sessionStart, sessionEnd, isRth, isRth ? "RTH" : "ETH");
             return _currentSession;
         }
 
         private void ProcessStrategyIntent(StrategyIntent intent, StrategyContext context)
         {
+            // Direction filter — checked before risk to avoid unnecessary processing
+            if (intent.Side == SdkOrderSide.Buy && !EnableLongTrades)
+            {
+                if (EnableVerboseLogging)
+                    Print(string.Format("[SDK] Long trade filtered by direction setting: {0}", intent.Symbol));
+                return;
+            }
+            if (intent.Side == SdkOrderSide.Sell && !EnableShortTrades)
+            {
+                if (EnableVerboseLogging)
+                    Print(string.Format("[SDK] Short trade filtered by direction setting: {0}", intent.Symbol));
+                return;
+            }
+
             if (EnableVerboseLogging)
                 Print(string.Format("[SDK] Validating intent: {0} {1}", intent.Side, intent.Symbol));
 
@@ -461,7 +644,11 @@ namespace NinjaTrader.NinjaScript.Strategies
         private void SubmitOrderToNT8(OmsOrderRequest request, StrategyIntent intent)
         {
             // Circuit breaker gate
-            if (_circuitBreaker != null && !_circuitBreaker.ShouldAllowOrder())
+            if (State == State.Historical)
+            {
+                // Skip circuit breaker during backtest — wall-clock timeout is meaningless on historical data.
+            }
+            else if (_circuitBreaker != null && !_circuitBreaker.ShouldAllowOrder())
             {
                 var state = _circuitBreaker.GetState();
                 Print(string.Format("[SDK] Circuit breaker OPEN — order blocked: {0}", state.Reason));
@@ -472,7 +659,39 @@ namespace NinjaTrader.NinjaScript.Strategies
 
             try
             {
-                var orderName = string.Format("SDK_{0}_{1}", intent.Symbol, DateTime.Now.Ticks);
+                var orderName = string.Format("SDK_{0}_{1}", intent.Symbol, Guid.NewGuid().ToString("N").Substring(0, 12));
+
+                if (EnableFileLogging)
+                {
+                    string grade = "N/A";
+                    string score = "N/A";
+                    string factors = string.Empty;
+
+                    if (intent.Metadata != null && intent.Metadata.ContainsKey("confluence_score"))
+                    {
+                        var cs = intent.Metadata["confluence_score"] as NT8.Core.Intelligence.ConfluenceScore;
+                        if (cs != null)
+                        {
+                            grade = cs.Grade.ToString();
+                            score = cs.WeightedScore.ToString("F3");
+
+                            var sb = new System.Text.StringBuilder();
+                            foreach (var f in cs.Factors)
+                                sb.Append(string.Format("{0}={1:F2} ", f.Type, f.Score));
+                            factors = sb.ToString().TrimEnd();
+                        }
+                    }
+
+                    FileLog(string.Format("SIGNAL {0} | Grade={1} | Score={2}", intent.Side, grade, score));
+                    if (!string.IsNullOrEmpty(factors))
+                        FileLog(string.Format("  Factors: {0}", factors));
+                    FileLog(string.Format("SUBMIT {0} {1} @ Market | Stop={2} Target={3}",
+                        intent.Side,
+                        request.Quantity,
+                        intent.StopTicks,
+                        intent.TargetTicks));
+                }
+
                 _executionAdapter.SubmitOrder(request, orderName);
 
                 if (request.Side == OmsOrderSide.Buy)
@@ -541,4 +760,3 @@ namespace NinjaTrader.NinjaScript.Strategies
         }
     }
 }
-

src/NT8.Adapters/Strategies/SimpleORBNT8.cs

@@ -12,6 +12,7 @@ using NinjaTrader.NinjaScript;
 using NinjaTrader.NinjaScript.Indicators;
 using NinjaTrader.NinjaScript.Strategies;
 using NT8.Core.Common.Interfaces;
+using NT8.Core.Intelligence;
 using NT8.Strategies.Examples;
 using SdkSimpleORB = NT8.Strategies.Examples.SimpleORBStrategy;
 
@@ -49,6 +50,8 @@ namespace NinjaTrader.NinjaScript.Strategies
                 Name = "Simple ORB NT8";
                 Description = "Opening Range Breakout with NT8 SDK integration";
 
+                // Daily bar series is added automatically via AddDataSeries in Configure.
+
                 OpeningRangeMinutes = 30;
                 StdDevMultiplier = 1.0;
                 StopTicks = 8;
@@ -63,11 +66,28 @@ namespace NinjaTrader.NinjaScript.Strategies
 
                 Calculate = Calculate.OnBarClose;
                 BarsRequiredToTrade = 50;
+                EnableLongTrades = true;
+                EnableShortTrades = false;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Day, 1);
             }
 
             base.OnStateChange();
         }
 
+        protected override void OnBarUpdate()
+        {
+            if (_strategyConfig != null && BarsArray != null && BarsArray.Length > 1)
+            {
+                DailyBarContext dailyContext = BuildDailyBarContext(0, 0.0, (double)Volume[0]);
+                _strategyConfig.Parameters["daily_bars"] = dailyContext;
+            }
+
+            base.OnBarUpdate();
+        }
+
         protected override IStrategy CreateSdkStrategy()
         {
             return new SdkSimpleORB(OpeningRangeMinutes, StdDevMultiplier);
@@ -98,15 +118,82 @@ namespace NinjaTrader.NinjaScript.Strategies
             _strategyConfig.Parameters["TargetTicks"] = TargetTicks;
             _strategyConfig.Parameters["OpeningRangeMinutes"] = OpeningRangeMinutes;
 
+            if (Instrument != null && Instrument.MasterInstrument != null)
+            {
+                _strategyConfig.Parameters["TickSize"] = Instrument.MasterInstrument.TickSize;
+            }
+
             if (_logger != null)
             {
                 _logger.LogInformation(
-                    "Simple ORB configured: OR={0}min, Stop={1}ticks, Target={2}ticks",
+                    "Simple ORB configured: OR={0}min, Stop={1}ticks, Target={2}ticks, Long={3}, Short={4}",
                     OpeningRangeMinutes,
                     StopTicks,
-                    TargetTicks);
+                    TargetTicks,
+                    EnableLongTrades,
+                    EnableShortTrades);
             }
         }
+
+        /// <summary>
+        /// Builds a DailyBarContext from the secondary daily bar series.
+        /// Returns a context with Count=0 if fewer than 2 daily bars are available.
+        /// </summary>
+        /// <param name="tradeDirection">1 for long, -1 for short.</param>
+        /// <param name="orbRangeTicks">ORB range in ticks for ORB range factor.</param>
+        /// <param name="breakoutBarVolume">Volume of the current breakout bar.</param>
+        /// <returns>Populated daily context for confluence scoring.</returns>
+        private DailyBarContext BuildDailyBarContext(int tradeDirection, double orbRangeTicks, double breakoutBarVolume)
+        {
+            DailyBarContext ctx = new DailyBarContext();
+            ctx.TradeDirection = tradeDirection;
+            ctx.BreakoutBarVolume = breakoutBarVolume;
+            ctx.TodayOpen = Open[0];
+
+            if (BarsArray == null || BarsArray.Length < 2 || CurrentBars == null || CurrentBars.Length < 2)
+            {
+                ctx.Count = 0;
+                return ctx;
+            }
+
+            int dailyBarsAvailable = CurrentBars[1] + 1;
+            int lookback = Math.Min(10, dailyBarsAvailable);
+
+            if (lookback < 2)
+            {
+                ctx.Count = 0;
+                return ctx;
+            }
+
+            ctx.Highs = new double[lookback];
+            ctx.Lows = new double[lookback];
+            ctx.Closes = new double[lookback];
+            ctx.Opens = new double[lookback];
+            ctx.Volumes = new long[lookback];
+            ctx.Count = lookback;
+
+            for (int i = 0; i < lookback; i++)
+            {
+                int barsAgo = lookback - 1 - i;
+                ctx.Highs[i] = Highs[1][barsAgo];
+                ctx.Lows[i] = Lows[1][barsAgo];
+                ctx.Closes[i] = Closes[1][barsAgo];
+                ctx.Opens[i] = Opens[1][barsAgo];
+                ctx.Volumes[i] = (long)Volumes[1][barsAgo];
+            }
+
+            double sumVol = 0.0;
+            int intradayCount = 0;
+            int maxBars = Math.Min(78, CurrentBar + 1);
+            for (int i = 0; i < maxBars; i++)
+            {
+                sumVol += Volume[i];
+                intradayCount++;
+            }
+
+            ctx.AvgIntradayBarVolume = intradayCount > 0 ? sumVol / intradayCount : Volume[0];
+            return ctx;
+        }
     }
 }
 

src/NT8.Core/Intelligence/ConfluenceModels.cs

@@ -43,6 +43,31 @@ namespace NT8.Core.Intelligence
         /// </summary>
         Risk = 6,
 
+        /// <summary>
+        /// Narrow range contraction quality (NR4/NR7 concepts).
+        /// </summary>
+        NarrowRange = 7,
+
+        /// <summary>
+        /// Opening range size relative to average daily ATR/range.
+        /// </summary>
+        OrbRangeVsAtr = 8,
+
+        /// <summary>
+        /// Alignment between overnight gap direction and trade direction.
+        /// </summary>
+        GapDirectionAlignment = 9,
+
+        /// <summary>
+        /// Breakout bar volume strength relative to intraday average volume.
+        /// </summary>
+        BreakoutVolumeStrength = 10,
+
+        /// <summary>
+        /// Prior day close location strength in prior day range.
+        /// </summary>
+        PriorDayCloseStrength = 11,
+
         /// <summary>
         /// Additional custom factor.
         /// </summary>

src/NT8.Core/Intelligence/FactorCalculators.cs

@@ -1,6 +1,7 @@
 using System;
 using System.Collections.Generic;
 using NT8.Core.Common.Models;
+using NT8.Core.Logging;
 
 namespace NT8.Core.Intelligence
 {
@@ -398,4 +399,625 @@ namespace NT8.Core.Intelligence
             return defaultValue;
         }
     }
+
+    /// <summary>
+    /// Daily bar data passed to ORB-specific factor calculators.
+    /// Contains a lookback window of recent daily bars in chronological order,
+    /// oldest first, with index [Count-1] being the most recent completed day.
+    /// </summary>
+    public struct DailyBarContext
+    {
+        /// <summary>Daily high prices, oldest first.</summary>
+        public double[] Highs;
+
+        /// <summary>Daily low prices, oldest first.</summary>
+        public double[] Lows;
+
+        /// <summary>Daily close prices, oldest first.</summary>
+        public double[] Closes;
+
+        /// <summary>Daily open prices, oldest first.</summary>
+        public double[] Opens;
+
+        /// <summary>Daily volume values, oldest first.</summary>
+        public long[] Volumes;
+
+        /// <summary>Number of valid bars populated.</summary>
+        public int Count;
+
+        /// <summary>Today's RTH open price.</summary>
+        public double TodayOpen;
+
+        /// <summary>Volume of the breakout bar (current intraday bar).</summary>
+        public double BreakoutBarVolume;
+
+        /// <summary>Average intraday volume per bar for today's session so far.</summary>
+        public double AvgIntradayBarVolume;
+
+        /// <summary>Trade direction: 1 for long, -1 for short.</summary>
+        public int TradeDirection;
+    }
+
+    /// <summary>
+    /// Scores the setup based on narrow range day concepts.
+    /// An NR7 (range is the narrowest of the last 7 days) scores highest,
+    /// indicating volatility contraction and likely expansion on breakout.
+    /// Requires at least 7 completed daily bars in DailyBarContext.
+    /// </summary>
+    public class NarrowRangeFactorCalculator : IFactorCalculator
+    {
+        private readonly ILogger _logger;
+
+        /// <summary>
+        /// Initializes a new instance of the NarrowRangeFactorCalculator class.
+        /// </summary>
+        /// <param name="logger">Logger instance.</param>
+        public NarrowRangeFactorCalculator(ILogger logger)
+        {
+            if (logger == null)
+                throw new ArgumentNullException("logger");
+
+            _logger = logger;
+        }
+
+        /// <summary>
+        /// Gets the factor type identifier.
+        /// </summary>
+        public FactorType Type
+        {
+            get { return FactorType.NarrowRange; }
+        }
+
+        /// <summary>
+        /// Calculates narrow range score. Expects DailyBarContext in
+        /// intent.Metadata["daily_bars"]. Returns 0.3 if context is missing.
+        /// </summary>
+        /// <param name="intent">Current strategy intent.</param>
+        /// <param name="context">Current strategy context.</param>
+        /// <param name="bar">Current bar data.</param>
+        /// <returns>Calculated confluence factor.</returns>
+        public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
+        {
+            double score = 0.3;
+            string reason = "No daily bar context available";
+
+            if (intent != null && intent.Metadata != null && intent.Metadata.ContainsKey("daily_bars"))
+            {
+                DailyBarContext daily = (DailyBarContext)intent.Metadata["daily_bars"];
+
+                if (daily.Count >= 7 && daily.Highs != null && daily.Lows != null)
+                {
+                    double todayRange = daily.Highs[daily.Count - 1] - daily.Lows[daily.Count - 1];
+
+                    bool isNR4 = true;
+                    int start4 = daily.Count - 4;
+                    int end = daily.Count - 2;
+                    for (int i = start4; i <= end; i++)
+                    {
+                        double r = daily.Highs[i] - daily.Lows[i];
+                        if (todayRange >= r)
+                        {
+                            isNR4 = false;
+                            break;
+                        }
+                    }
+
+                    bool isNR7 = true;
+                    int start7 = daily.Count - 7;
+                    for (int i = start7; i <= end; i++)
+                    {
+                        double r = daily.Highs[i] - daily.Lows[i];
+                        if (todayRange >= r)
+                        {
+                            isNR7 = false;
+                            break;
+                        }
+                    }
+
+                    if (isNR7)
+                    {
+                        score = 1.0;
+                        reason = "NR7: Narrowest range in 7 days — strong volatility contraction";
+                    }
+                    else if (isNR4)
+                    {
+                        score = 0.75;
+                        reason = "NR4: Narrowest range in 4 days — moderate volatility contraction";
+                    }
+                    else
+                    {
+                        double sumRanges = 0.0;
+                        int lookback = Math.Min(7, daily.Count - 1);
+                        int start = daily.Count - 1 - lookback;
+                        int finish = daily.Count - 2;
+                        for (int i = start; i <= finish; i++)
+                            sumRanges += daily.Highs[i] - daily.Lows[i];
+
+                        double avgRange = lookback > 0 ? sumRanges / lookback : todayRange;
+                        double ratio = avgRange > 0.0 ? todayRange / avgRange : 1.0;
+
+                        if (ratio <= 0.7)
+                        {
+                            score = 0.6;
+                            reason = "Range below 70% of avg — mild contraction";
+                        }
+                        else if (ratio <= 0.9)
+                        {
+                            score = 0.45;
+                            reason = "Range near avg — no significant contraction";
+                        }
+                        else
+                        {
+                            score = 0.2;
+                            reason = "Range above avg — expansion day, low NR score";
+                        }
+                    }
+                }
+                else
+                {
+                    reason = String.Format("Insufficient daily bars: {0} of 7 required", daily.Count);
+                }
+            }
+
+            return new ConfluenceFactor(
+                FactorType.NarrowRange,
+                "Narrow Range (NR4/NR7)",
+                score,
+                0.20,
+                reason,
+                new Dictionary<string, object>());
+        }
+    }
+
+    /// <summary>
+    /// Scores the ORB range relative to average daily range.
+    /// Prevents trading when the ORB has already consumed most of the
+    /// day's expected range, leaving little room for continuation.
+    /// </summary>
+    public class OrbRangeVsAtrFactorCalculator : IFactorCalculator
+    {
+        private readonly ILogger _logger;
+
+        /// <summary>
+        /// Initializes a new instance of the OrbRangeVsAtrFactorCalculator class.
+        /// </summary>
+        /// <param name="logger">Logger instance.</param>
+        public OrbRangeVsAtrFactorCalculator(ILogger logger)
+        {
+            if (logger == null)
+                throw new ArgumentNullException("logger");
+
+            _logger = logger;
+        }
+
+        /// <summary>
+        /// Gets the factor type identifier.
+        /// </summary>
+        public FactorType Type
+        {
+            get { return FactorType.OrbRangeVsAtr; }
+        }
+
+        /// <summary>
+        /// Calculates ORB range vs ATR score. Expects DailyBarContext in
+        /// intent.Metadata["daily_bars"] and double in intent.Metadata["orb_range_ticks"].
+        /// </summary>
+        /// <param name="intent">Current strategy intent.</param>
+        /// <param name="context">Current strategy context.</param>
+        /// <param name="bar">Current bar data.</param>
+        /// <returns>Calculated confluence factor.</returns>
+        public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
+        {
+            double score = 0.5;
+            string reason = "No daily bar context available";
+
+            if (intent != null && intent.Metadata != null &&
+                intent.Metadata.ContainsKey("daily_bars") &&
+                intent.Metadata.ContainsKey("orb_range_ticks"))
+            {
+                DailyBarContext daily = (DailyBarContext)intent.Metadata["daily_bars"];
+                double orbRangeTicks = ToDouble(intent.Metadata["orb_range_ticks"], 0.0);
+
+                if (daily.Count >= 5 && daily.Highs != null && daily.Lows != null)
+                {
+                    double sumAtr = 0.0;
+                    int lookback = Math.Min(10, daily.Count - 1);
+                    int start = daily.Count - 1 - lookback;
+                    int end = daily.Count - 2;
+
+                    for (int i = start; i <= end; i++)
+                        sumAtr += daily.Highs[i] - daily.Lows[i];
+
+                    double avgDailyRange = lookback > 0 ? sumAtr / lookback : 0.0;
+                    double orbRangePoints = orbRangeTicks / 4.0;
+                    double ratio = avgDailyRange > 0.0 ? orbRangePoints / avgDailyRange : 0.5;
+
+                    if (ratio <= 0.20)
+                    {
+                        score = 1.0;
+                        reason = String.Format("ORB is {0:P0} of daily ATR — tight range, high expansion potential", ratio);
+                    }
+                    else if (ratio <= 0.35)
+                    {
+                        score = 0.80;
+                        reason = String.Format("ORB is {0:P0} of daily ATR — good room to run", ratio);
+                    }
+                    else if (ratio <= 0.50)
+                    {
+                        score = 0.60;
+                        reason = String.Format("ORB is {0:P0} of daily ATR — moderate room remaining", ratio);
+                    }
+                    else if (ratio <= 0.70)
+                    {
+                        score = 0.35;
+                        reason = String.Format("ORB is {0:P0} of daily ATR — limited room, caution", ratio);
+                    }
+                    else
+                    {
+                        score = 0.10;
+                        reason = String.Format("ORB is {0:P0} of daily ATR — range nearly exhausted", ratio);
+                    }
+                }
+            }
+
+            return new ConfluenceFactor(
+                FactorType.OrbRangeVsAtr,
+                "ORB Range vs ATR",
+                score,
+                0.15,
+                reason,
+                new Dictionary<string, object>());
+        }
+
+        private static double ToDouble(object value, double defaultValue)
+        {
+            if (value == null)
+                return defaultValue;
+
+            if (value is double)
+                return (double)value;
+            if (value is float)
+                return (double)(float)value;
+            if (value is int)
+                return (double)(int)value;
+            if (value is long)
+                return (double)(long)value;
+
+            return defaultValue;
+        }
+    }
+
+    /// <summary>
+    /// Scores alignment between today's overnight gap direction and the
+    /// trade direction. A gap-and-go setup (gap up + long trade) scores
+    /// highest. A gap fade setup penalizes the score.
+    /// </summary>
+    public class GapDirectionAlignmentCalculator : IFactorCalculator
+    {
+        private readonly ILogger _logger;
+
+        /// <summary>
+        /// Initializes a new instance of the GapDirectionAlignmentCalculator class.
+        /// </summary>
+        /// <param name="logger">Logger instance.</param>
+        public GapDirectionAlignmentCalculator(ILogger logger)
+        {
+            if (logger == null)
+                throw new ArgumentNullException("logger");
+
+            _logger = logger;
+        }
+
+        /// <summary>
+        /// Gets the factor type identifier.
+        /// </summary>
+        public FactorType Type
+        {
+            get { return FactorType.GapDirectionAlignment; }
+        }
+
+        /// <summary>
+        /// Calculates gap alignment score. Expects DailyBarContext in
+        /// intent.Metadata["daily_bars"] with TodayOpen and TradeDirection populated.
+        /// </summary>
+        /// <param name="intent">Current strategy intent.</param>
+        /// <param name="context">Current strategy context.</param>
+        /// <param name="bar">Current bar data.</param>
+        /// <returns>Calculated confluence factor.</returns>
+        public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
+        {
+            double score = 0.5;
+            string reason = "No daily bar context available";
+
+            if (intent != null && intent.Metadata != null && intent.Metadata.ContainsKey("daily_bars"))
+            {
+                DailyBarContext daily = (DailyBarContext)intent.Metadata["daily_bars"];
+
+                if (daily.Count >= 2 && daily.Closes != null)
+                {
+                    double prevClose = daily.Closes[daily.Count - 2];
+                    double todayOpen = daily.TodayOpen;
+                    double gapPoints = todayOpen - prevClose;
+                    int gapDirection = gapPoints > 0.25 ? 1 : (gapPoints < -0.25 ? -1 : 0);
+                    int tradeDir = daily.TradeDirection;
+
+                    if (gapDirection == 0)
+                    {
+                        score = 0.55;
+                        reason = "Flat open — no gap bias, neutral score";
+                    }
+                    else if (gapDirection == tradeDir)
+                    {
+                        double gapSize = Math.Abs(gapPoints);
+                        if (gapSize >= 5.0)
+                        {
+                            score = 1.0;
+                            reason = String.Format("Large gap {0:+0.00;-0.00} aligns with trade — strong gap-and-go", gapPoints);
+                        }
+                        else if (gapSize >= 2.0)
+                        {
+                            score = 0.85;
+                            reason = String.Format("Moderate gap {0:+0.00;-0.00} aligns with trade", gapPoints);
+                        }
+                        else
+                        {
+                            score = 0.65;
+                            reason = String.Format("Small gap {0:+0.00;-0.00} aligns with trade", gapPoints);
+                        }
+                    }
+                    else
+                    {
+                        double gapSize = Math.Abs(gapPoints);
+                        if (gapSize >= 5.0)
+                        {
+                            score = 0.10;
+                            reason = String.Format("Large gap {0:+0.00;-0.00} opposes trade — high fade risk", gapPoints);
+                        }
+                        else if (gapSize >= 2.0)
+                        {
+                            score = 0.25;
+                            reason = String.Format("Moderate gap {0:+0.00;-0.00} opposes trade", gapPoints);
+                        }
+                        else
+                        {
+                            score = 0.40;
+                            reason = String.Format("Small gap {0:+0.00;-0.00} opposes trade — minor headwind", gapPoints);
+                        }
+                    }
+                }
+            }
+
+            return new ConfluenceFactor(
+                FactorType.GapDirectionAlignment,
+                "Gap Direction Alignment",
+                score,
+                0.15,
+                reason,
+                new Dictionary<string, object>());
+        }
+    }
+
+    /// <summary>
+    /// Scores the volume of the breakout bar relative to the average
+    /// volume of bars seen so far in today's session.
+    /// A volume surge on the breakout bar strongly confirms the move.
+    /// </summary>
+    public class BreakoutVolumeStrengthCalculator : IFactorCalculator
+    {
+        private readonly ILogger _logger;
+
+        /// <summary>
+        /// Initializes a new instance of the BreakoutVolumeStrengthCalculator class.
+        /// </summary>
+        /// <param name="logger">Logger instance.</param>
+        public BreakoutVolumeStrengthCalculator(ILogger logger)
+        {
+            if (logger == null)
+                throw new ArgumentNullException("logger");
+
+            _logger = logger;
+        }
+
+        /// <summary>
+        /// Gets the factor type identifier.
+        /// </summary>
+        public FactorType Type
+        {
+            get { return FactorType.BreakoutVolumeStrength; }
+        }
+
+        /// <summary>
+        /// Calculates breakout volume score. Expects DailyBarContext in
+        /// intent.Metadata["daily_bars"] with BreakoutBarVolume and
+        /// AvgIntradayBarVolume populated.
+        /// </summary>
+        /// <param name="intent">Current strategy intent.</param>
+        /// <param name="context">Current strategy context.</param>
+        /// <param name="bar">Current bar data.</param>
+        /// <returns>Calculated confluence factor.</returns>
+        public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
+        {
+            double score = 0.4;
+            string reason = "No daily bar context available";
+
+            if (intent != null && intent.Metadata != null && intent.Metadata.ContainsKey("daily_bars"))
+            {
+                DailyBarContext daily = (DailyBarContext)intent.Metadata["daily_bars"];
+                double breakoutVol = daily.BreakoutBarVolume;
+                double avgVol = daily.AvgIntradayBarVolume;
+
+                if (avgVol > 0.0)
+                {
+                    double ratio = breakoutVol / avgVol;
+
+                    if (ratio >= 3.0)
+                    {
+                        score = 1.0;
+                        reason = String.Format("Breakout volume {0:F1}x avg — exceptional surge", ratio);
+                    }
+                    else if (ratio >= 2.0)
+                    {
+                        score = 0.85;
+                        reason = String.Format("Breakout volume {0:F1}x avg — strong confirmation", ratio);
+                    }
+                    else if (ratio >= 1.5)
+                    {
+                        score = 0.70;
+                        reason = String.Format("Breakout volume {0:F1}x avg — solid confirmation", ratio);
+                    }
+                    else if (ratio >= 1.0)
+                    {
+                        score = 0.50;
+                        reason = String.Format("Breakout volume {0:F1}x avg — average, neutral", ratio);
+                    }
+                    else if (ratio >= 0.7)
+                    {
+                        score = 0.25;
+                        reason = String.Format("Breakout volume {0:F1}x avg — below avg, low conviction", ratio);
+                    }
+                    else
+                    {
+                        score = 0.10;
+                        reason = String.Format("Breakout volume {0:F1}x avg — weak breakout, high false-break risk", ratio);
+                    }
+                }
+                else
+                {
+                    reason = "Avg intraday volume not available";
+                }
+            }
+
+            return new ConfluenceFactor(
+                FactorType.BreakoutVolumeStrength,
+                "Breakout Volume Strength",
+                score,
+                0.20,
+                reason,
+                new Dictionary<string, object>());
+        }
+    }
+
+    /// <summary>
+    /// Scores where the prior day closed within its own range.
+    /// A strong prior close (top 25% for longs, bottom 25% for shorts)
+    /// indicates momentum continuation into today's session.
+    /// </summary>
+    public class PriorDayCloseStrengthCalculator : IFactorCalculator
+    {
+        private readonly ILogger _logger;
+
+        /// <summary>
+        /// Initializes a new instance of the PriorDayCloseStrengthCalculator class.
+        /// </summary>
+        /// <param name="logger">Logger instance.</param>
+        public PriorDayCloseStrengthCalculator(ILogger logger)
+        {
+            if (logger == null)
+                throw new ArgumentNullException("logger");
+
+            _logger = logger;
+        }
+
+        /// <summary>
+        /// Gets the factor type identifier.
+        /// </summary>
+        public FactorType Type
+        {
+            get { return FactorType.PriorDayCloseStrength; }
+        }
+
+        /// <summary>
+        /// Calculates prior close strength score. Expects DailyBarContext in
+        /// intent.Metadata["daily_bars"] with at least 2 completed bars and
+        /// TradeDirection populated.
+        /// </summary>
+        /// <param name="intent">Current strategy intent.</param>
+        /// <param name="context">Current strategy context.</param>
+        /// <param name="bar">Current bar data.</param>
+        /// <returns>Calculated confluence factor.</returns>
+        public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
+        {
+            double score = 0.5;
+            string reason = "No daily bar context available";
+
+            if (intent != null && intent.Metadata != null && intent.Metadata.ContainsKey("daily_bars"))
+            {
+                DailyBarContext daily = (DailyBarContext)intent.Metadata["daily_bars"];
+
+                if (daily.Count >= 2 && daily.Highs != null && daily.Lows != null && daily.Closes != null)
+                {
+                    int prev = daily.Count - 2;
+                    double prevHigh = daily.Highs[prev];
+                    double prevLow = daily.Lows[prev];
+                    double prevClose = daily.Closes[prev];
+                    double prevRange = prevHigh - prevLow;
+                    int tradeDir = daily.TradeDirection;
+
+                    if (prevRange > 0.0)
+                    {
+                        double closePosition = (prevClose - prevLow) / prevRange;
+
+                        if (tradeDir == 1)
+                        {
+                            if (closePosition >= 0.75)
+                            {
+                                score = 1.0;
+                                reason = String.Format("Prior close in top {0:P0} — strong bullish close", 1.0 - closePosition);
+                            }
+                            else if (closePosition >= 0.50)
+                            {
+                                score = 0.70;
+                                reason = "Prior close in upper half — moderate bullish bias";
+                            }
+                            else if (closePosition >= 0.25)
+                            {
+                                score = 0.40;
+                                reason = "Prior close in lower half — weak prior close for long";
+                            }
+                            else
+                            {
+                                score = 0.15;
+                                reason = "Prior close near low — bearish close, headwind for long";
+                            }
+                        }
+                        else
+                        {
+                            if (closePosition <= 0.25)
+                            {
+                                score = 1.0;
+                                reason = String.Format("Prior close in bottom {0:P0} — strong bearish close", closePosition);
+                            }
+                            else if (closePosition <= 0.50)
+                            {
+                                score = 0.70;
+                                reason = "Prior close in lower half — moderate bearish bias";
+                            }
+                            else if (closePosition <= 0.75)
+                            {
+                                score = 0.40;
+                                reason = "Prior close in upper half — weak prior close for short";
+                            }
+                            else
+                            {
+                                score = 0.15;
+                                reason = "Prior close near high — bullish close, headwind for short";
+                            }
+                        }
+                    }
+                    else
+                    {
+                        reason = "Prior day range is zero — cannot score";
+                    }
+                }
+            }
+
+            return new ConfluenceFactor(
+                FactorType.PriorDayCloseStrength,
+                "Prior Day Close Strength",
+                score,
+                0.15,
+                reason,
+                new Dictionary<string, object>());
+        }
+    }
 }

src/NT8.Strategies/Examples/SimpleORBStrategy.cs

@@ -112,6 +112,11 @@ namespace NT8.Strategies.Examples
                 _factorCalculators.Add(new VolatilityRegimeFactorCalculator());
                 _factorCalculators.Add(new TimeInSessionFactorCalculator());
                 _factorCalculators.Add(new ExecutionQualityFactorCalculator());
+                _factorCalculators.Add(new NarrowRangeFactorCalculator(_logger));
+                _factorCalculators.Add(new OrbRangeVsAtrFactorCalculator(_logger));
+                _factorCalculators.Add(new GapDirectionAlignmentCalculator(_logger));
+                _factorCalculators.Add(new BreakoutVolumeStrengthCalculator(_logger));
+                _factorCalculators.Add(new PriorDayCloseStrengthCalculator(_logger));
 
                 _logger.LogInformation(
                     "SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}",
@@ -191,6 +196,8 @@ namespace NT8.Strategies.Examples
                     if (candidate == null)
                         return null;
 
+                    AttachDailyBarContext(candidate, bar, context);
+
                     var score = _scorer.CalculateScore(candidate, context, bar, _factorCalculators);
                     var mode = _riskModeManager.GetCurrentMode();
 
@@ -349,6 +356,24 @@ namespace NT8.Strategies.Examples
             metadata.Add("orb_high", _openingRangeHigh);
             metadata.Add("orb_low", _openingRangeLow);
             metadata.Add("orb_range", openingRange);
+
+            double tickSize = 0.25;
+            if (_config != null && _config.Parameters != null && _config.Parameters.ContainsKey("TickSize"))
+            {
+                var tickValue = _config.Parameters["TickSize"];
+                if (tickValue is double)
+                    tickSize = (double)tickValue;
+                else if (tickValue is decimal)
+                    tickSize = (double)(decimal)tickValue;
+                else if (tickValue is float)
+                    tickSize = (double)(float)tickValue;
+            }
+
+            if (tickSize <= 0.0)
+                tickSize = 0.25;
+
+            var orbRangeTicks = openingRange / tickSize;
+            metadata.Add("orb_range_ticks", orbRangeTicks);
             metadata.Add("trigger_price", lastPrice);
             metadata.Add("multiplier", _stdDevMultiplier);
             metadata.Add("opening_range_start", _openingRangeStart);
@@ -365,5 +390,40 @@ namespace NT8.Strategies.Examples
                 "ORB breakout signal",
                 metadata);
         }
+
+        private void AttachDailyBarContext(StrategyIntent intent, BarData bar, StrategyContext context)
+        {
+            if (intent == null || intent.Metadata == null)
+                return;
+
+            if (_config == null || _config.Parameters == null || !_config.Parameters.ContainsKey("daily_bars"))
+                return;
+
+            var source = _config.Parameters["daily_bars"];
+            if (!(source is DailyBarContext))
+                return;
+
+            DailyBarContext baseContext = (DailyBarContext)source;
+            DailyBarContext daily = baseContext;
+
+            daily.TradeDirection = intent.Side == OrderSide.Buy ? 1 : -1;
+            daily.BreakoutBarVolume = (double)bar.Volume;
+            daily.TodayOpen = bar.Open;
+
+            if (context != null && context.CustomData != null && context.CustomData.ContainsKey("avg_volume"))
+            {
+                var avg = context.CustomData["avg_volume"];
+                if (avg is double)
+                    daily.AvgIntradayBarVolume = (double)avg;
+                else if (avg is float)
+                    daily.AvgIntradayBarVolume = (double)(float)avg;
+                else if (avg is int)
+                    daily.AvgIntradayBarVolume = (double)(int)avg;
+                else if (avg is long)
+                    daily.AvgIntradayBarVolume = (double)(long)avg;
+            }
+
+            intent.Metadata["daily_bars"] = daily;
+        }
     }
 }