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

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
         }
     }
 }
-