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

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>());
+        }
+    }
 }