mo/nt8-sdk
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Add ORB confluence factors (NR4/NR7, gap alignment, breakout volume, prior close) + session file logger
Some checks failed
Build and Test / build (push) Has been cancelled
Details

Browse Source
This commit is contained in:
Mo Hussain
2026-03-19 12:16:39 -04:00
parent ee4da1b607
commit 498f298975
11 changed files with 1569 additions and 76 deletions
Download Patch File Download Diff File Expand all files Collapse all files

60
src/NT8.Strategies/Examples/SimpleORBStrategy.cs
View File

@@ -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;
}
}
}