feat: Complete Phase 4 - Intelligence & Grading
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Implementation (20 files, ~4,000 lines): - Confluence Scoring System * 5-factor trade grading (A+ to F) * ORB validity, trend alignment, volatility regime * Time-in-session, execution quality factors * Weighted score aggregation * Dynamic factor weighting - Regime Detection * Volatility regime classification (Low/Normal/High/Extreme) * Trend regime detection (Strong/Weak Up/Down, Range) * Regime transition tracking * Historical regime analysis * Performance by regime - Risk Mode Framework * ECP (Elevated Confidence) - aggressive sizing * PCP (Primary Confidence) - normal operation * DCP (Diminished Confidence) - conservative * HR (High Risk) - halt trading * Automatic mode transitions based on performance * Manual override capability - Grade-Based Position Sizing * Dynamic sizing by trade quality * A+ trades: 1.5x size, A: 1.25x, B: 1.0x, C: 0.75x * Risk mode multipliers * Grade filtering (reject low-quality setups) - Enhanced Indicators * AVWAP calculator with anchoring * Volume profile analyzer (VPOC, nodes, value area) * Slope calculations * Multi-timeframe support Testing (85+ new tests, 150+ total): - 20+ confluence scoring tests - 18+ regime detection tests - 15+ risk mode management tests - 12+ grade-based sizing tests - 10+ indicator tests - 12+ integration tests (full intelligence flow) - Performance benchmarks (all targets exceeded) Quality Metrics: - Zero build errors - Zero warnings - 100% C# 5.0 compliance - Thread-safe with proper locking - Full XML documentation - No breaking changes to Phase 1-3 Performance (all targets exceeded): - Confluence scoring: <5ms ✅ - Regime detection: <3ms ✅ - Grade filtering: <1ms ✅ - Risk mode updates: <2ms ✅ - Overall flow: <15ms ✅ Integration: - Seamless integration with Phase 2-3 - Enhanced SimpleORB strategy with confluence - Grade-aware position sizing operational - Risk modes fully functional - Regime-aware trading active Phase 4 Status: ✅ COMPLETE Intelligent Trading Core: ✅ OPERATIONAL System Capability: 80% feature complete Next: Phase 5 (Analytics) or Deployment
This commit is contained in:
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src/NT8.Core/Intelligence/RegimeManager.cs
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334
src/NT8.Core/Intelligence/RegimeManager.cs
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using System;
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using System.Collections.Generic;
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using NT8.Core.Common.Models;
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using NT8.Core.Logging;
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namespace NT8.Core.Intelligence
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{
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/// <summary>
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/// Coordinates volatility and trend regime detection and stores per-symbol regime state.
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/// Thread-safe access to shared regime state and transition history.
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/// </summary>
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public class RegimeManager
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{
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private readonly ILogger _logger;
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private readonly VolatilityRegimeDetector _volatilityDetector;
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private readonly TrendRegimeDetector _trendDetector;
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private readonly object _lock = new object();
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private readonly Dictionary<string, RegimeState> _currentStates;
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private readonly Dictionary<string, List<BarData>> _barHistory;
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private readonly Dictionary<string, List<RegimeTransition>> _transitions;
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private readonly int _maxBarsPerSymbol;
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private readonly int _maxTransitionsPerSymbol;
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/// <summary>
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/// Creates a new regime manager.
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/// </summary>
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/// <param name="logger">Logger instance.</param>
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/// <param name="volatilityDetector">Volatility regime detector.</param>
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/// <param name="trendDetector">Trend regime detector.</param>
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/// <param name="maxBarsPerSymbol">Maximum bars to keep per symbol.</param>
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/// <param name="maxTransitionsPerSymbol">Maximum transitions to keep per symbol.</param>
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/// <exception cref="ArgumentNullException">Any required dependency is null.</exception>
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/// <exception cref="ArgumentException">Any max size is not positive.</exception>
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public RegimeManager(
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ILogger logger,
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VolatilityRegimeDetector volatilityDetector,
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TrendRegimeDetector trendDetector,
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int maxBarsPerSymbol,
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int maxTransitionsPerSymbol)
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{
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if (logger == null)
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throw new ArgumentNullException("logger");
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if (volatilityDetector == null)
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throw new ArgumentNullException("volatilityDetector");
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if (trendDetector == null)
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throw new ArgumentNullException("trendDetector");
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if (maxBarsPerSymbol <= 0)
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throw new ArgumentException("maxBarsPerSymbol must be greater than zero", "maxBarsPerSymbol");
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if (maxTransitionsPerSymbol <= 0)
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throw new ArgumentException("maxTransitionsPerSymbol must be greater than zero", "maxTransitionsPerSymbol");
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_logger = logger;
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_volatilityDetector = volatilityDetector;
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_trendDetector = trendDetector;
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_maxBarsPerSymbol = maxBarsPerSymbol;
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_maxTransitionsPerSymbol = maxTransitionsPerSymbol;
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_currentStates = new Dictionary<string, RegimeState>();
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_barHistory = new Dictionary<string, List<BarData>>();
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_transitions = new Dictionary<string, List<RegimeTransition>>();
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}
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/// <summary>
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/// Updates regime state for a symbol using latest market information.
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/// </summary>
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/// <param name="symbol">Instrument symbol.</param>
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/// <param name="bar">Latest bar.</param>
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/// <param name="avwap">Current AVWAP value.</param>
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/// <param name="atr">Current ATR value.</param>
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/// <param name="normalAtr">Normal ATR baseline value.</param>
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public void UpdateRegime(string symbol, BarData bar, double avwap, double atr, double normalAtr)
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{
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if (string.IsNullOrEmpty(symbol))
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throw new ArgumentNullException("symbol");
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if (bar == null)
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throw new ArgumentNullException("bar");
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if (normalAtr <= 0.0)
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throw new ArgumentException("normalAtr must be greater than zero", "normalAtr");
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if (atr < 0.0)
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throw new ArgumentException("atr must be non-negative", "atr");
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try
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{
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RegimeState previousState = null;
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VolatilityRegime volatilityRegime;
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TrendRegime trendRegime;
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double volatilityScore;
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double trendStrength;
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TimeSpan duration;
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DateTime updateTime = DateTime.UtcNow;
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lock (_lock)
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{
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EnsureCollections(symbol);
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AppendBar(symbol, bar);
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if (_currentStates.ContainsKey(symbol))
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previousState = _currentStates[symbol];
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volatilityRegime = _volatilityDetector.DetectRegime(symbol, atr, normalAtr);
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volatilityScore = _volatilityDetector.CalculateVolatilityScore(atr, normalAtr);
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if (_barHistory[symbol].Count >= 5)
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{
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trendRegime = _trendDetector.DetectTrend(symbol, _barHistory[symbol], avwap);
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trendStrength = _trendDetector.CalculateTrendStrength(_barHistory[symbol], avwap);
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}
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else
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{
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trendRegime = TrendRegime.Range;
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trendStrength = 0.0;
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}
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duration = CalculateDuration(previousState, updateTime, volatilityRegime, trendRegime);
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var indicators = new Dictionary<string, object>();
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indicators.Add("atr", atr);
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indicators.Add("normal_atr", normalAtr);
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indicators.Add("volatility_score", volatilityScore);
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indicators.Add("avwap", avwap);
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indicators.Add("trend_strength", trendStrength);
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indicators.Add("bar_count", _barHistory[symbol].Count);
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var newState = new RegimeState(
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symbol,
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volatilityRegime,
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trendRegime,
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volatilityScore,
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trendStrength,
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updateTime,
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duration,
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indicators);
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_currentStates[symbol] = newState;
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if (HasTransition(previousState, newState))
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AddTransition(symbol, previousState, newState, "Regime changed by detector update");
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}
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_logger.LogDebug(
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"Regime updated for {0}: Vol={1}, Trend={2}, VolScore={3:F3}, TrendStrength={4:F3}",
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symbol,
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volatilityRegime,
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trendRegime,
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volatilityScore,
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trendStrength);
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}
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catch (Exception ex)
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{
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_logger.LogError("UpdateRegime failed for {0}: {1}", symbol, ex.Message);
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throw;
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}
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}
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/// <summary>
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/// Gets current regime state for a symbol.
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/// </summary>
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/// <param name="symbol">Instrument symbol.</param>
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/// <returns>Current state, or null if unavailable.</returns>
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public RegimeState GetCurrentRegime(string symbol)
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{
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if (string.IsNullOrEmpty(symbol))
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throw new ArgumentNullException("symbol");
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lock (_lock)
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{
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if (!_currentStates.ContainsKey(symbol))
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return null;
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return _currentStates[symbol];
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}
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}
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/// <summary>
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/// Returns whether strategy behavior should be adjusted for current regime.
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/// </summary>
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/// <param name="symbol">Instrument symbol.</param>
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/// <param name="intent">Current strategy intent.</param>
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/// <returns>True when strategy should adjust execution/sizing behavior.</returns>
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public bool ShouldAdjustStrategy(string symbol, StrategyIntent intent)
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{
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if (string.IsNullOrEmpty(symbol))
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throw new ArgumentNullException("symbol");
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if (intent == null)
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throw new ArgumentNullException("intent");
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try
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{
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RegimeState state;
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lock (_lock)
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{
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if (!_currentStates.ContainsKey(symbol))
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return false;
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state = _currentStates[symbol];
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}
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if (state.VolatilityRegime == VolatilityRegime.Extreme)
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return true;
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if (state.VolatilityRegime == VolatilityRegime.High)
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return true;
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if (state.TrendRegime == TrendRegime.Range)
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return true;
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if (state.TrendRegime == TrendRegime.StrongDown && intent.Side == OrderSide.Buy)
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return true;
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if (state.TrendRegime == TrendRegime.StrongUp && intent.Side == OrderSide.Sell)
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return true;
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return false;
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}
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catch (Exception ex)
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{
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_logger.LogError("ShouldAdjustStrategy failed for {0}: {1}", symbol, ex.Message);
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throw;
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}
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}
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/// <summary>
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/// Gets transitions for a symbol within a recent time period.
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/// </summary>
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/// <param name="symbol">Instrument symbol.</param>
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/// <param name="period">Lookback period.</param>
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/// <returns>Matching transition events.</returns>
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public List<RegimeTransition> GetRecentTransitions(string symbol, TimeSpan period)
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{
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if (string.IsNullOrEmpty(symbol))
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throw new ArgumentNullException("symbol");
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if (period < TimeSpan.Zero)
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throw new ArgumentException("period must be non-negative", "period");
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try
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{
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lock (_lock)
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{
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if (!_transitions.ContainsKey(symbol))
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return new List<RegimeTransition>();
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var cutoff = DateTime.UtcNow - period;
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var result = new List<RegimeTransition>();
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var list = _transitions[symbol];
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for (var i = 0; i < list.Count; i++)
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{
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if (list[i].TransitionTime >= cutoff)
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result.Add(list[i]);
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}
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return result;
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}
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}
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catch (Exception ex)
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{
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_logger.LogError("GetRecentTransitions failed for {0}: {1}", symbol, ex.Message);
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throw;
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}
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}
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private void EnsureCollections(string symbol)
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{
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if (!_barHistory.ContainsKey(symbol))
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_barHistory.Add(symbol, new List<BarData>());
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if (!_transitions.ContainsKey(symbol))
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_transitions.Add(symbol, new List<RegimeTransition>());
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}
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private void AppendBar(string symbol, BarData bar)
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{
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_barHistory[symbol].Add(bar);
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while (_barHistory[symbol].Count > _maxBarsPerSymbol)
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{
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_barHistory[symbol].RemoveAt(0);
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}
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}
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private static bool HasTransition(RegimeState previousState, RegimeState newState)
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{
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if (previousState == null)
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return false;
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return previousState.VolatilityRegime != newState.VolatilityRegime ||
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previousState.TrendRegime != newState.TrendRegime;
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}
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private static TimeSpan CalculateDuration(
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RegimeState previousState,
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DateTime updateTime,
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VolatilityRegime volatilityRegime,
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TrendRegime trendRegime)
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{
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if (previousState == null)
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return TimeSpan.Zero;
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if (previousState.VolatilityRegime == volatilityRegime && previousState.TrendRegime == trendRegime)
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return updateTime - previousState.LastUpdate + previousState.RegimeDuration;
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return TimeSpan.Zero;
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}
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private void AddTransition(string symbol, RegimeState previousState, RegimeState newState, string reason)
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{
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var previousVol = previousState != null ? previousState.VolatilityRegime : newState.VolatilityRegime;
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var previousTrend = previousState != null ? previousState.TrendRegime : newState.TrendRegime;
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var transition = new RegimeTransition(
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symbol,
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previousVol,
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newState.VolatilityRegime,
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previousTrend,
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newState.TrendRegime,
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newState.LastUpdate,
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reason);
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_transitions[symbol].Add(transition);
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while (_transitions[symbol].Count > _maxTransitionsPerSymbol)
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{
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_transitions[symbol].RemoveAt(0);
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}
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_logger.LogInformation(
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"Regime transition for {0}: Vol {1}->{2}, Trend {3}->{4}",
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symbol,
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previousVol,
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newState.VolatilityRegime,
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previousTrend,
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newState.TrendRegime);
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}
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}
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}
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