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

rules/nt8compilespec.md

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+## Purpose
+A single source of truth to ensure **first-time compile** success for all NinjaTrader 8 strategies, indicators, and add-ons generated by an LLM.
+
+---
+
+## Golden Rules (Pin These)
+1. **NT8 only.** No NT7 APIs. If NT7 concepts appear, **silently upgrade** to NT8 (proper `OnStateChange()` and `protected override` signatures).
+2. **One file, one public class.** File name = class name. Put at the top: `// File: <ClassName>.cs`.
+3. **Namespaces:**  
+   - Strategies → `NinjaTrader.NinjaScript.Strategies`  
+   - Indicators → `NinjaTrader.NinjaScript.Indicators`
+4. **Correct override access:** All NT8 overrides are `protected override` (never `public` or `private`).
+5. **Lifecycle:** Use `OnStateChange()` with `State.SetDefaults`, `State.Configure`, `State.DataLoaded` to set defaults, add data series, and instantiate indicators/Series.
+6. **Indicator creation:** Instantiate indicators **once** in `State.DataLoaded`. Add to chart (if desired) in `State.Configure` via `AddChartIndicator()`.
+7. **Managed orders by default:** Use `SetStopLoss`/`SetProfitTarget` **before** entries on the same bar. Do **not** mix Managed & Unmanaged in the same file.
+8. **MTF discipline:** Add secondary series **only** in `State.Configure`. In `OnBarUpdate()`, gate logic with `BarsInProgress` and `CurrentBars[i]`.
+9. **No Order Flow+ by default:** Assume unavailable. If VWAP is needed, implement a **local fallback** or feature flag (OFF by default).
+10. **Valid enums only:** Use real NT8 members for `OrderState`, `MarketPosition`, etc.
+11. **Starter header in every strategy `OnBarUpdate()`:**
+   ```csharp
+   if (BarsInProgress != 0) return;
+   if (CurrentBar < BarsRequiredToTrade) return;
+
+Required Using Block (Strategy)
+Always show details
+using System;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using System.Windows.Media;
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Gui.Tools;
+using NinjaTrader.NinjaScript;
+using NinjaTrader.NinjaScript.Strategies;
+using NinjaTrader.NinjaScript.Indicators;
+using NinjaTrader.NinjaScript.DrawingTools;
+
+
+Indicators omit some GUI usings unless needed.
+
+Inputs Pattern
+
+Use DataAnnotations so properties render properly in the UI:
+
+Always show details
+[NinjaScriptProperty, Range(1, int.MaxValue)]
+[Display(Name = "Quantity", GroupName = "Parameters", Order = 0)]
+public int Quantity { get; set; } = 1;
+
+[NinjaScriptProperty]
+[Display(Name = "DebugMode", GroupName = "Parameters", Order = 999)]
+public bool DebugMode { get; set; } = false;
+
+Managed Order Rules
+
+Call SetStopLoss and SetProfitTarget before you place an entry order.
+
+Re-arm stops/targets when intended direction changes (e.g., flat→long or flat→short).
+
+Use unique signal names per direction to bind OCO correctly (e.g., "L1", "S1").
+
+Multi-Timeframe Rules
+
+Add secondary series in State.Configure:
+
+Always show details
+AddDataSeries(BarsPeriodType.Minute, 5);
+
+
+Guard in OnBarUpdate():
+
+Always show details
+if (BarsInProgress == 1) { /* 5-min logic */ }
+if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < 20) return;
+
+Price Rounding & Tick Math
+
+Always round to tick size to avoid rejections:
+
+Always show details
+private double Rt(double p) => Instrument.MasterInstrument.RoundToTickSize(p);
+double target = Rt(Close[0] + 10 * TickSize);
+
+Historical vs. Realtime
+Always show details
+private bool IsLive => State == State.Realtime;
+
+
+Avoid timers/threads/file I/O by default.
+
+Common Safety Defaults
+Always show details
+Calculate = Calculate.OnBarClose;
+IsOverlay = false;
+BarsRequiredToTrade = 20;
+IsSuspendedWhileInactive = true;
+IsInstantiatedOnEachOptimizationIteration = true;
+
+Valid NT8 Signatures (paste as needed)
+Always show details
+protected override void OnOrderUpdate(
+    Order order, double limitPrice, double stopPrice, int quantity,
+    int filled, double averageFillPrice, OrderState orderState,
+    DateTime time, ErrorCode error, string nativeError) { }
+
+protected override void OnExecutionUpdate(
+    Execution execution, string executionId, double price, int quantity,
+    MarketPosition marketPosition, string orderId, DateTime time) { }
+
+protected override void OnMarketData(MarketDataEventArgs e) { }
+protected override void OnMarketDepth(MarketDepthEventArgs e) { }
+protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition) { }
+
+Compile Checklist (Preflight)
+
+ NT8 only; no OnStartUp() or NT7 methods.
+
+ Exactly one public class; file name matches class name.
+
+ Required usings present.
+
+ Indicators/Series created in State.DataLoaded.
+
+ Starter header present in OnBarUpdate().
+
+ Managed orders only (unless explicitly asked otherwise).
+
+ Secondary series added only in State.Configure.
+
+ Enums & members verified against NT8.
+
+ Price rounding helper present for any custom prices.
+
+ DebugMode gating for Print() calls.
+""").format(date=datetime.date.today().isoformat())
+
+files["NT8_Templates.md"] = textwrap.dedent("""