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

docs/architecture/phase1_project_plan.md

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+# NT8 Institutional SDK - Phase 1 Project Plan
+
+## Project Overview
+This document outlines the Phase 1 development plan for the NT8 Institutional SDK. Phase 1 builds upon the completed Phase 0 foundation to deliver a more complete trading system with Order Management System (OMS), NinjaTrader 8 integration, enhanced risk controls, and market data handling.
+
+## Project Information
+- **Project ID**: 5652a2b1-20b2-442f-9800-d166acf5cd1d
+- **Title**: NT8 Institutional SDK
+- **Phase**: Phase 1 Development
+- **Status**: In Progress
+
+## Phase 1 Objectives
+1. Implement Order Management System (OMS) with smart order routing
+2. Develop NinjaTrader 8 adapter for integration
+3. Enhance risk controls with Tier 2 functionality
+4. Implement market data handling and validation
+5. Optimize system performance and add advanced algorithms
+
+## Created Tasks
+
+### 1. Order Management System (OMS)
+**Task ID**: 074d41ec-2947-4efd-9d77-d85ed24c29bf
+**Status**: todo
+**Feature**: oms
+
+Implementation of a comprehensive OMS with smart order routing and execution algorithms:
+- IOrderManager interface and OrderManager class
+- Support for Market, Limit, StopMarket, and StopLimit orders
+- Order validation logic
+- Smart order routing based on liquidity and cost
+- Multiple execution venues support
+- Routing configuration system and performance metrics
+- Execution algorithms (TWAP, VWAP, Iceberg)
+- Algorithm configuration and parameterization
+- Integration with existing risk management system
+- Order rate limiting and value limits
+- Circuit breaker functionality
+
+### 2. NinjaTrader 8 Adapter
+**Task ID**: e5771a2f-e7bf-46ad-962e-b2ceb757e184
+**Status**: todo
+**Feature**: nt8-adapter
+
+Development of a robust adapter for integrating with NinjaTrader 8 platform:
+- INT8Adapter interface and NT8Adapter class
+- Connection state management
+- Error handling and recovery
+- Real-time market data reception
+- Market data subscription mechanism
+- Support for different bar types and intervals
+- Data quality checks and validation
+- Buffering and throttling for high-frequency data
+- Order execution through NT8
+- Order submission, status tracking, and updates
+- Order cancellation and modification
+- Execution reporting and fill handling
+- NT8-specific data formats and conventions
+- Data type conversions and instrument definitions
+- Session and trading hours handling
+- NT8-specific error codes and handling
+
+### 3. Enhanced Risk Controls (Tier 2)
+**Task ID**: 655c0a70-a5e4-49f-bad1-3f6bac9e70a6
+**Status**: todo
+**Feature**: risk-management-tier2
+
+Extension of the risk management system with advanced Tier 2 controls:
+- Portfolio-level risk controls
+  - Cross-symbol correlation analysis
+  - Portfolio VaR (Value at Risk) calculations
+  - Concentration limits by sector/asset class
+  - Portfolio-level stop-losses
+- Advanced position tracking and management
+  - Enhanced position tracking with Greeks and risk metrics
+  - Position reconciliation mechanisms
+  - Position flattening algorithms
+  - Position reporting and visualization
+- Transaction cost analysis
+  - Slippage tracking and analysis
+  - Commission and fee tracking
+  - Transaction cost reporting
+  - Cost vs. benefit analysis tools
+- Scenario analysis and stress testing
+  - Historical scenario analysis
+ - Monte Carlo simulation capabilities
+  - Stress testing framework
+  - Scenario result visualization
+
+### 4. Market Data Handling
+**Task ID**: 8d6c7fa7-9b97-41be-a44c-d26079ae04e7
+**Status**: todo
+**Feature**: market-data
+
+Implementation of comprehensive market data handling and validation:
+- Market data provider interface and MarketDataProvider base class
+- Support for multiple data sources
+- Data source failover mechanisms
+- Market data quality validation
+  - Data quality checks (gaps, spikes, etc.)
+  - Data freshness monitoring
+  - Data validation rules engine
+  - Alerts for data quality issues
+- Historical data handling
+  - Historical data retrieval support
+  - Data storage and caching
+  - Data compression and archiving
+  - Historical data analysis tools
+- Real-time market data analytics
+  - Real-time volatility calculations
+  - Volume and liquidity analytics
+  - Market regime detection
+  - Real-time data visualization
+
+### 5. Performance Optimization
+**Task ID**: 597edb61-d818-4ed0-b6f0-6d55ec06a470
+**Status**: todo
+**Feature**: performance
+
+System performance optimization and advanced algorithms:
+- Core system performance optimization
+  - Profiling and optimization of critical code paths
+  - Object pooling for frequently used objects
+  - Caching mechanisms for expensive calculations
+  - Memory usage and garbage collection optimization
+- Advanced position sizing algorithms
+  - Optimal f algorithm
+  - Kelly criterion sizing
+  - Volatility-adjusted sizing methods
+  - Machine learning-based sizing approaches
+- Comprehensive monitoring and logging
+  - Performance counters and metrics
+  - Distributed tracing support
+ - Enhanced logging with structured data
+  - Monitoring dashboard
+- Parallel processing implementation
+  - Opportunities for parallelization
+  - Thread-safe data structures
+  - Async/await patterns
+  - Resource utilization optimization
+
+## Success Criteria
+- OMS implemented with smart order routing and execution algorithms
+- NT8 adapter successfully integrated and tested
+- Tier 2 risk controls operational with portfolio-level management
+- Market data handling robust with quality validation
+- System performance optimized with measurable improvements
+- All new functionality covered by automated tests (>90% coverage)
+- Documentation updated for all new components
+
+## Next Steps
+1. Begin implementation of Phase 1 tasks following the Archon workflow
+2. Update task status from "todo" to "doing" when work begins
+3. Conduct research for each task using Archon's research capabilities
+4. Implement solutions based on research findings
+5. Update task status to "review" upon completion
+6. Create new tasks as needed for Phase 2 development