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

docs/architecture/implementation_approach.md

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+# NT8 Institutional SDK Implementation Approach
+
+## Component Breakdown
+
+### 1. Strategy Framework
+Located in `src/NT8.Core/Common/Interfaces/` and `src/NT8.Core/Common/Models/`:
+
+- **IStrategy.cs** - Core strategy interface for trading algorithms
+- **StrategyMetadata.cs** - Strategy metadata and configuration models
+- **StrategyIntent.cs** - Strategy trading intent models and enums
+- **StrategyContext.cs** - Strategy context information models
+- **MarketData.cs** - Market data models and provider interface
+
+### 2. Risk Management
+Located in `src/NT8.Core/Risk/`:
+
+- **IRiskManager.cs** - Risk management interface with validation methods
+- **BasicRiskManager.cs** - Implementation with Tier 1 risk controls
+
+Key features:
+- Daily loss cap enforcement
+- Per-trade risk limiting
+- Position count limiting
+- Emergency flatten functionality
+- Thread-safe implementation with locks
+- Risk level escalation (Low/Medium/High/Critical)
+
+### 3. Position Sizing
+Located in `src/NT8.Core/Sizing/`:
+
+- **IPositionSizer.cs** - Position sizing interface
+- **BasicPositionSizer.cs** - Implementation with fixed contracts and fixed dollar risk methods
+
+Key features:
+- Fixed contracts sizing method
+- Fixed dollar risk sizing method
+- Contract clamping (min/max limits)
+- Multi-symbol support with accurate tick values
+- Conservative rounding (floor) for contract quantities
+
+## Development Workflow
+
+### 1. Task Management
+Following Archon workflow principles:
+1. Check Current Task → Review task details and requirements
+2. Research for Task → Search relevant documentation and examples
+3. Implement the Task → Write code based on research
+4. Update Task Status → Move task from "todo" → "doing" → "review"
+5. Get Next Task → Check for next priority task
+6. Repeat Cycle
+
+### 2. Code Quality Standards
+- All code follows .NET 6.0 standards
+- Comprehensive unit testing with >90% coverage
+- Proper error handling and logging
+- Thread-safe implementations where required
+- Deterministic behavior for reliable testing
+
+### 3. Testing Strategy
+Located in `tests/NT8.Core.Tests/`:
+
+#### Risk Management Tests
+- **BasicRiskManagerTests.cs** - Unit tests for all risk management functionality
+- **RiskScenarioTests.cs** - Real-world scenario testing
+
+#### Position Sizing Tests
+- **BasicPositionSizerTests.cs** - Unit tests for position sizing functionality
+
+Key test coverage:
+- >90% code coverage for all components
+- Edge case testing
+- Multi-symbol validation
+- Thread safety verification
+- Risk escalation scenarios
+- Configuration validation
+
+## Risk Management Approach
+
+### Tier 1 Controls (Implemented)
+1. **Daily Loss Cap** - Trading automatically halts when daily losses exceed configured limit
+2. **Per-Trade Risk Limit** - Individual trades are rejected if they exceed maximum risk
+3. **Position Count Limiting** - Maximum number of concurrent positions enforced
+4. **Emergency Flatten** - Immediate halt and flatten capability for crisis situations
+
+### Risk Level Escalation
+- **Low** - Normal trading conditions
+- **Medium** - Elevated caution warranted
+- **High** - Limited trading allowed
+- **Critical** - Trading halted
+
+## Position Sizing Methods
+
+### Fixed Contracts
+- Simple approach where a fixed number of contracts are traded
+- Configurable with min/max clamping
+- Suitable for consistent position sizing
+
+### Fixed Dollar Risk
+- Calculates contract count based on target dollar risk per trade
+- Uses symbol-specific tick values for accurate calculations
+- Conservative rounding (floor) to ensure risk limits are not exceeded
+- Configurable with min/max clamping
+
+## Next Steps (Phase 1)
+
+### 1. Order Management System
+- Implement OMS with smart order routing
+- Add execution algorithm support
+- Create order book analysis capabilities
+
+### 2. NinjaTrader 8 Adapter
+- Develop NT8 integration layer
+- Implement market data handling
+- Create order execution bridge
+
+### 3. Enhanced Risk Controls
+- Implement Tier 2 risk controls
+- Add advanced correlation analysis
+- Develop portfolio-level risk management
+
+### 4. Advanced Position Sizing
+- Implement Optimal f algorithm
+- Add Kelly criterion sizing
+- Create volatility-adjusted methods