Phase 0 completion: NT8 SDK core framework with risk management and position sizing

2025-09-09 17:06:37 -04:00
parent 97e5050d3e
commit 92f3732b3d
109 changed files with 38593 additions and 380 deletions
--- a/Specs/SDK/repository_setup_package.md
+++ b/Specs/SDK/repository_setup_package.md
@@ -0,0 +1,432 @@
+# **Repository Setup Package**
+
+## **SETUP INSTRUCTIONS**
+
+### **Step 1: Create Repository Structure**
+Create this exact directory structure in your repository:
+
+```
+nt8-institutional-sdk/
+├── .gitea/
+│   └── workflows/
+│       ├── build.yml
+│       ├── test.yml
+│       └── release.yml
+├── .devcontainer/
+│   ├── devcontainer.json
+│   └── Dockerfile
+├── src/
+│   ├── NT8.Core/
+│   │   ├── Common/
+│   │   │   ├── Configuration/
+│   │   │   ├── Interfaces/
+│   │   │   └── Models/
+│   │   ├── Risk/
+│   │   ├── Sizing/
+│   │   ├── Logging/
+│   │   └── OMS/
+│   ├── NT8.Adapters/
+│   │   └── NinjaTrader/
+│   ├── NT8.Strategies/
+│   │   └── Examples/
+│   └── NT8.Contracts/
+│       └── V1/
+├── tests/
+│   ├── NT8.Core.Tests/
+│   ├── NT8.Integration.Tests/
+│   └── NT8.Performance.Tests/
+├── tools/
+│   ├── replay/
+│   └── market-data/
+├── docs/
+│   ├── architecture/
+│   ├── api/
+│   └── deployment/
+├── deployment/
+│   ├── dev/
+│   ├── staging/
+│   └── prod/
+├── .gitignore
+├── .editorconfig
+├── Directory.Build.props
+├── NT8-SDK.sln
+└── README.md
+```
+
+### **Step 2: Copy Starter Files**
+Copy these files to the exact locations shown:
+
+**`.gitignore`**
+```gitignore
+# Build results
+[Dd]ebug/
+[Dd]ebugPublic/
+[Rr]elease/
+[Rr]eleases/
+x64/
+x86/
+[Ww][Ii][Nn]32/
+[Aa][Rr][Mm]/
+[Aa][Rr][Mm]64/
+bld/
+[Bb]in/
+[Oo]bj/
+[Oo]ut/
+[Ll]og/
+[Ll]ogs/
+
+# Visual Studio / VSCode
+.vs/
+.vscode/settings.json
+.vscode/tasks.json
+.vscode/launch.json
+.vscode/extensions.json
+*.rsuser
+*.suo
+*.user
+*.userosscache
+*.sln.docstates
+
+# Test Results
+[Tt]est[Rr]esult*/
+[Bb]uild[Ll]og.*
+*.VisualState.xml
+TestResult.xml
+nunit-*.xml
+*.trx
+*.coverage
+*.coveragexml
+coverage*.json
+coverage*.xml
+coverage*.info
+
+# NuGet
+*.nupkg
+*.snupkg
+.nuget/
+packages/
+!packages/build/
+*.nuget.props
+*.nuget.targets
+
+# .NET Core
+project.lock.json
+project.fragment.lock.json
+artifacts/
+
+# Development containers
+.devcontainer/.env
+
+# Local configuration files
+appsettings.local.json
+appsettings.*.local.json
+config/local.json
+
+# Temporary files
+*.tmp
+*.temp
+.tmp/
+.temp/
+
+# IDE specific
+*.swp
+*.swo
+*~
+
+# OS specific
+.DS_Store
+Thumbs.db
+
+# NinjaTrader specific
+*.ninjatrader
+*.nt8addon
+
+# Custom tools and scripts output
+tools/output/
+market-data/*.csv
+replay-data/
+```
+
+**`Directory.Build.props`**
+```xml
+<Project>
+  <PropertyGroup>
+    <TargetFramework>net6.0</TargetFramework>
+    <LangVersion>10.0</LangVersion>
+    <Nullable>enable</Nullable>
+    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
+    <EnforceCodeStyleInBuild>true</EnforceCodeStyleInBuild>
+    <GenerateDocumentationFile>true</GenerateDocumentationFile>
+    <Company>NT8 Institutional</Company>
+    <Product>NT8 SDK</Product>
+    <Copyright>Copyright © 2025</Copyright>
+    <Version>0.1.0</Version>
+    <AssemblyVersion>0.1.0.0</AssemblyVersion>
+    <FileVersion>0.1.0.0</FileVersion>
+    
+    <!-- Code Analysis -->
+    <EnableNETAnalyzers>true</EnableNETAnalyzers>
+    <AnalysisLevel>6.0</AnalysisLevel>
+  </PropertyGroup>
+
+  <PropertyGroup Condition="'$(Configuration)' == 'Debug'">
+    <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <DebugType>portable</DebugType>
+  </PropertyGroup>
+
+  <PropertyGroup Condition="'$(Configuration)' == 'Release'">
+    <DefineConstants>TRACE</DefineConstants>
+    <Optimize>true</Optimize>
+    <DebugType>pdbonly</DebugType>
+  </PropertyGroup>
+  
+  <ItemGroup>
+    <PackageReference Include="Microsoft.CodeAnalysis.NetAnalyzers" Version="6.0.0">
+      <PrivateAssets>all</PrivateAssets>
+      <IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
+    </PackageReference>
+  </ItemGroup>
+</Project>
+```
+
+**`.editorconfig`**
+```ini
+# EditorConfig is awesome: https://EditorConfig.org
+
+# top-most EditorConfig file
+root = true
+
+[*]
+indent_style = space
+charset = utf-8
+trim_trailing_whitespace = true
+insert_final_newline = true
+
+[*.{cs,csx,vb,vbx}]
+indent_size = 4
+end_of_line = crlf
+
+[*.{json,js,yml,yaml,xml}]
+indent_size = 2
+
+[*.md]
+trim_trailing_whitespace = false
+
+# C# formatting rules
+[*.cs]
+# Organize usings
+dotnet_sort_system_directives_first = true
+dotnet_separate_import_directive_groups = false
+
+# this. preferences
+dotnet_style_qualification_for_field = false:suggestion
+dotnet_style_qualification_for_property = false:suggestion
+dotnet_style_qualification_for_method = false:suggestion
+dotnet_style_qualification_for_event = false:suggestion
+
+# Language keywords vs BCL types preferences
+dotnet_style_predefined_type_for_locals_parameters_members = true:suggestion
+dotnet_style_predefined_type_for_member_access = true:suggestion
+
+# Modifier preferences
+dotnet_style_require_accessibility_modifiers = for_non_interface_members:suggestion
+dotnet_style_readonly_field = true:suggestion
+
+# Expression-level preferences
+dotnet_style_object_initializer = true:suggestion
+dotnet_style_collection_initializer = true:suggestion
+dotnet_style_explicit_tuple_names = true:suggestion
+dotnet_style_null_propagation = true:suggestion
+dotnet_style_coalesce_expression = true:suggestion
+dotnet_style_prefer_is_null_check_over_reference_equality_method = true:suggestion
+dotnet_style_prefer_inferred_tuple_names = true:suggestion
+dotnet_style_prefer_inferred_anonymous_type_member_names = true:suggestion
+
+# C# preferences
+csharp_prefer_var_for_built_in_types = false:suggestion
+csharp_prefer_var_when_type_is_apparent = true:suggestion
+csharp_prefer_var_elsewhere = false:suggestion
+```
+
+**`.gitea/workflows/build.yml`**
+```yaml
+name: Build and Test
+
+on:
+  push:
+    branches: [ main, develop ]
+  pull_request:
+    branches: [ main ]
+
+jobs:
+  build:
+    runs-on: ubuntu-latest
+    
+    steps:
+    - uses: actions/checkout@v3
+    
+    - name: Setup .NET
+      uses: actions/setup-dotnet@v3
+      with:
+        dotnet-version: '6.0.x'
+        
+    - name: Restore dependencies
+      run: dotnet restore
+      
+    - name: Build
+      run: dotnet build --no-restore --configuration Release
+      
+    - name: Test
+      run: dotnet test --no-build --configuration Release --verbosity normal --collect:"XPlat Code Coverage"
+      
+    - name: Upload coverage reports
+      uses: codecov/codecov-action@v3
+      with:
+        files: ./coverage.cobertura.xml
+```
+
+**`README.md`**
+```markdown
+# NT8 Institutional SDK
+
+Professional-grade algorithmic trading SDK for NinjaTrader 8, built for institutional use with comprehensive risk management and deterministic execution.
+
+## 🚀 Quick Start
+
+### Prerequisites
+- .NET 6.0 SDK
+- Visual Studio Code + Docker Desktop (recommended)
+- Git
+
+### Setup (5 minutes)
+```bash
+# Clone repository
+git clone <repository-url>
+cd nt8-institutional-sdk
+
+# Verify setup
+dotnet build && dotnet test
+```
+
+## 📋 Project Structure
+
+```
+src/
+├── NT8.Core/           # Core SDK functionality
+│   ├── Risk/           # Risk management system
+│   ├── Sizing/         # Position sizing algorithms  
+│   ├── Logging/        # Structured logging
+│   └── Common/         # Shared interfaces and models
+├── NT8.Strategies/     # Strategy implementations
+├── NT8.Adapters/       # NinjaTrader integration
+└── NT8.Contracts/      # API contracts
+
+tests/                  # Comprehensive test suite
+tools/                  # Development and deployment tools
+docs/                   # Technical documentation
+```
+
+## 🏗️ Architecture Principles
+
+- **Risk First**: All trades pass through risk management before execution
+- **Deterministic**: Identical inputs produce identical outputs for testing
+- **Modular**: Strategies are thin plugins, SDK handles infrastructure
+- **Observable**: Structured logging with correlation IDs throughout
+
+## 📊 Current Status: Phase 0 Development
+
+### ✅ Completed
+- Development environment and tooling
+- Core interfaces and models
+- Basic project structure
+
+### 🚧 In Progress
+- Risk management implementation
+- Position sizing algorithms
+- Basic strategy framework
+- Comprehensive unit testing
+
+### 📅 Next (Phase 1)
+- Order management system
+- NinjaTrader integration
+- Market data handling
+- Advanced testing and validation
+
+## 📄 License
+
+Proprietary - Internal use only
+```
+
+### **Step 3: Create Solution and Projects**
+
+Run these commands to create the .NET solution and projects:
+
+```bash
+# Create solution file
+dotnet new sln -n NT8-SDK
+
+# Create core projects
+dotnet new classlib -n NT8.Core -o src/NT8.Core --framework net6.0
+dotnet new classlib -n NT8.Adapters -o src/NT8.Adapters --framework net6.0
+dotnet new classlib -n NT8.Strategies -o src/NT8.Strategies --framework net6.0
+dotnet new classlib -n NT8.Contracts -o src/NT8.Contracts --framework net6.0
+
+# Create test projects
+dotnet new xunit -n NT8.Core.Tests -o tests/NT8.Core.Tests --framework net6.0
+dotnet new xunit -n NT8.Integration.Tests -o tests/NT8.Integration.Tests --framework net6.0
+
+# Add projects to solution
+dotnet sln add src/NT8.Core/NT8.Core.csproj
+dotnet sln add src/NT8.Adapters/NT8.Adapters.csproj
+dotnet sln add src/NT8.Strategies/NT8.Strategies.csproj
+dotnet sln add src/NT8.Contracts/NT8.Contracts.csproj
+dotnet sln add tests/NT8.Core.Tests/NT8.Core.Tests.csproj
+dotnet sln add tests/NT8.Integration.Tests/NT8.Integration.Tests.csproj
+```
+
+### **Step 4: Add Required NuGet Packages**
+
+```bash
+# Add packages to NT8.Core
+dotnet add src/NT8.Core/NT8.Core.csproj package Microsoft.Extensions.Configuration
+dotnet add src/NT8.Core/NT8.Core.csproj package Microsoft.Extensions.Configuration.Json
+dotnet add src/NT8.Core/NT8.Core.csproj package Microsoft.Extensions.Logging
+dotnet add src/NT8.Core/NT8.Core.csproj package Microsoft.Extensions.DependencyInjection
+dotnet add src/NT8.Core/NT8.Core.csproj package Newtonsoft.Json
+dotnet add src/NT8.Core/NT8.Core.csproj package FluentValidation
+
+# Add test packages
+dotnet add tests/NT8.Core.Tests/NT8.Core.Tests.csproj package FluentAssertions
+dotnet add tests/NT8.Core.Tests/NT8.Core.Tests.csproj package Bogus
+dotnet add tests/NT8.Core.Tests/NT8.Core.Tests.csproj package Moq
+
+dotnet add tests/NT8.Integration.Tests/NT8.Integration.Tests.csproj package FluentAssertions
+dotnet add tests/NT8.Integration.Tests/NT8.Integration.Tests.csproj package Bogus
+dotnet add tests/NT8.Integration.Tests/NT8.Integration.Tests.csproj package Moq
+```
+
+### **Step 5: Validation**
+
+Run this command to verify everything is set up correctly:
+
+```bash
+dotnet build --configuration Release
+```
+
+**Expected Result:** Build succeeds with 0 warnings and 0 errors
+
+If you see any errors, check:
+1. All directories were created correctly
+2. All files were copied to the right locations
+3. .NET 6.0 SDK is installed
+4. All NuGet packages were added successfully
+
+## **SUCCESS CRITERIA**
+
+✅ Repository structure matches specification exactly  
+✅ All starter files are in correct locations  
+✅ Solution builds successfully with 0 warnings  
+✅ All NuGet packages are properly referenced  
+✅ CI/CD pipeline configuration is in place  
+
+**Once this is complete, you're ready for Step 2: Core Interfaces**