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

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;
+        }
     }
 }