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

docs/architecture/phase1_sprint_plan.md

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+# NT8 Institutional SDK - Phase 1 Sprint Plan
+
+## Overview
+This document outlines the sprint plan for Phase 1 development of 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.
+
+## Sprint Goals
+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 performance and add advanced position sizing algorithms
+
+## Sprint Timeline
+- **Duration**: 3 weeks
+- **Start Date**: 2025-09-15
+- **End Date**: 2025-10-06
+- **Review Date**: 2025-10-07
+
+## Team Composition
+- 1 Architect
+- 2 Senior Developers
+- 1 QA Engineer
+- 1 DevOps Engineer
+
+## Sprint Backlog
+
+### Epic 1: Order Management System (OMS)
+**Objective**: Implement a comprehensive OMS with smart order routing and execution algorithms.
+
+#### User Stories:
+1. **As a developer, I want to create an OMS interface that supports multiple order types**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Define IOrderManager interface
+     - Implement OrderManager class with basic functionality
+     - Add support for Market, Limit, StopMarket, and StopLimit orders
+     - Implement order validation logic
+
+2. **As a trader, I want the OMS to support smart order routing**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Implement routing logic based on liquidity and cost
+     - Add support for multiple execution venues
+     - Create routing configuration system
+     - Add routing performance metrics
+
+3. **As a developer, I want to implement execution algorithms**
+   - Priority: Medium
+   - Story Points: 8
+   - Tasks:
+     - Implement TWAP (Time Weighted Average Price) algorithm
+     - Implement VWAP (Volume Weighted Average Price) algorithm
+     - Implement Iceberg order algorithm
+     - Add algorithm configuration and parameterization
+
+4. **As a risk manager, I want the OMS to enforce order limits and controls**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Integrate with existing risk management system
+     - Add order rate limiting
+     - Implement order value limits
+     - Add circuit breaker functionality
+
+### Epic 2: NinjaTrader 8 Adapter
+**Objective**: Develop a robust adapter for integrating with NinjaTrader 8 platform.
+
+#### User Stories:
+1. **As a developer, I want to create an adapter interface for NT8 integration**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Define INT8Adapter interface
+     - Implement NT8Adapter class with basic connectivity
+     - Add connection state management
+     - Implement error handling and recovery
+
+2. **As a trader, I want to receive real-time market data from NT8**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Implement market data subscription mechanism
+     - Add support for different bar types and intervals
+     - Implement data quality checks and validation
+     - Add buffering and throttling for high-frequency data
+
+3. **As a trader, I want to execute orders through NT8**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Implement order submission to NT8
+     - Add order status tracking and updates
+     - Implement order cancellation and modification
+     - Add execution reporting and fill handling
+
+4. **As a developer, I want to handle NT8-specific data formats and conventions**
+   - Priority: Medium
+   - Story Points: 5
+   - Tasks:
+     - Implement data type conversions
+     - Add support for NT8 instrument definitions
+     - Handle NT8 session and trading hours
+     - Implement NT8-specific error codes and handling
+
+### Epic 3: Enhanced Risk Controls (Tier 2)
+**Objective**: Extend the risk management system with advanced Tier 2 controls.
+
+#### User Stories:
+1. **As a risk manager, I want to implement portfolio-level risk controls**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Add cross-symbol correlation analysis
+     - Implement portfolio VaR (Value at Risk) calculations
+     - Add concentration limits by sector/asset class
+     - Implement portfolio-level stop-losses
+
+2. **As a risk manager, I want advanced position tracking and management**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Enhance position tracking with Greeks and risk metrics
+     - Add position reconciliation mechanisms
+     - Implement position flattening algorithms
+     - Add position reporting and visualization
+
+3. **As a compliance officer, I want transaction cost analysis**
+   - Priority: Medium
+   - Story Points: 5
+   - Tasks:
+     - Implement slippage tracking and analysis
+     - Add commission and fee tracking
+     - Create transaction cost reporting
+     - Add cost vs. benefit analysis tools
+
+4. **As a risk manager, I want scenario analysis and stress testing**
+   - Priority: Medium
+   - Story Points: 8
+   - Tasks:
+     - Implement historical scenario analysis
+     - Add Monte Carlo simulation capabilities
+     - Create stress testing framework
+     - Add scenario result visualization
+
+### Epic 4: Market Data Handling
+**Objective**: Implement comprehensive market data handling and validation.
+
+#### User Stories:
+1. **As a developer, I want to create a market data provider interface**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Define IMarketDataProvider interface
+     - Implement MarketDataProvider base class
+     - Add support for multiple data sources
+     - Implement data source failover mechanisms
+
+2. **As a trader, I want to validate market data quality**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Implement data quality checks (gaps, spikes, etc.)
+     - Add data freshness monitoring
+     - Create data validation rules engine
+     - Add alerts for data quality issues
+
+3. **As a developer, I want to implement historical data handling**
+   - Priority: Medium
+   - Story Points: 5
+   - Tasks:
+     - Add support for historical data retrieval
+     - Implement data storage and caching
+     - Add data compression and archiving
+     - Create historical data analysis tools
+
+4. **As a trader, I want real-time market data analytics**
+   - Priority: Medium
+   - Story Points: 8
+   - Tasks:
+     - Implement real-time volatility calculations
+     - Add volume and liquidity analytics
+     - Create market regime detection
+     - Add real-time data visualization
+
+### Epic 5: Performance Optimization
+**Objective**: Optimize system performance and add advanced algorithms.
+
+#### User Stories:
+1. **As a developer, I want to optimize core system performance**
+   - Priority: High
+   - Story Points: 8
+   - Tasks:
+     - Profile and optimize critical code paths
+     - Implement object pooling for frequently used objects
+     - Add caching mechanisms for expensive calculations
+     - Optimize memory usage and garbage collection
+
+2. **As a developer, I want to implement advanced position sizing algorithms**
+   - Priority: Medium
+   - Story Points: 8
+   - Tasks:
+     - Implement Optimal f algorithm
+     - Add Kelly criterion sizing
+     - Create volatility-adjusted sizing methods
+     - Add machine learning-based sizing approaches
+
+3. **As a system administrator, I want comprehensive monitoring and logging**
+   - Priority: High
+   - Story Points: 5
+   - Tasks:
+     - Implement performance counters and metrics
+     - Add distributed tracing support
+     - Enhance logging with structured data
+     - Create monitoring dashboard
+
+4. **As a developer, I want to implement parallel processing where appropriate**
+   - Priority: Medium
+   - Story Points: 5
+   - Tasks:
+     - Identify opportunities for parallelization
+     - Implement thread-safe data structures
+     - Add async/await patterns where beneficial
+     - Optimize resource utilization
+
+## Success Criteria
+1. OMS implemented with smart order routing and execution algorithms
+2. NT8 adapter successfully integrated and tested
+3. Tier 2 risk controls operational with portfolio-level management
+4. Market data handling robust with quality validation
+5. System performance optimized with measurable improvements
+6. All new functionality covered by automated tests (>90% coverage)
+7. Documentation updated for all new components
+
+## Risks and Mitigations
+1. **Risk**: Complexity of NT8 integration
+   - **Mitigation**: Start with basic connectivity and incrementally add features
+   
+2. **Risk**: Performance bottlenecks in OMS
+   - **Mitigation**: Continuous profiling and optimization throughout development
+   
+3. **Risk**: Data quality issues affecting risk calculations
+   - **Mitigation**: Implement comprehensive data validation and quality monitoring
+
+## Dependencies
+1. Completion of Phase 0 (already completed)
+2. Access to NT8 development environment
+3. Market data feeds for testing
+4. Risk management team for validation of new controls
+
+## Definition of Done
+- Code implemented and reviewed
+- Unit tests written and passing (>90% coverage)
+- Integration tests completed
+- Documentation updated
+- Performance benchmarks met
+- Security review completed
+- Deployment package created