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

src/NT8.Core/Common/Models/Configuration.cs

@@ -0,0 +1,441 @@
+using System;
+using System.Collections.Generic;
+
+namespace NT8.Core.Common.Models
+{
+    /// <summary>
+    /// Risk management configuration
+    /// </summary>
+    public class RiskConfig
+    {
+        /// <summary>
+        /// Daily loss limit in dollars
+        /// </summary>
+        public double DailyLossLimit { get; set; }
+
+        /// <summary>
+        /// Maximum risk per trade in dollars
+        /// </summary>
+        public double MaxTradeRisk { get; set; }
+
+        /// <summary>
+        /// Maximum number of open positions
+        /// </summary>
+        public int MaxOpenPositions { get; set; }
+
+        /// <summary>
+        /// Whether emergency flatten is enabled
+        /// </summary>
+        public bool EmergencyFlattenEnabled { get; set; }
+
+        /// <summary>
+        /// Constructor for RiskConfig
+        /// </summary>
+        public RiskConfig(
+            double dailyLossLimit,
+            double maxTradeRisk,
+            int maxOpenPositions,
+            bool emergencyFlattenEnabled)
+        {
+            DailyLossLimit = dailyLossLimit;
+            MaxTradeRisk = maxTradeRisk;
+            MaxOpenPositions = maxOpenPositions;
+            EmergencyFlattenEnabled = emergencyFlattenEnabled;
+        }
+    }
+
+    /// <summary>
+    /// Position sizing configuration
+    /// </summary>
+    public class SizingConfig
+    {
+        /// <summary>
+        /// Sizing method to use
+        /// </summary>
+        public SizingMethod Method { get; set; }
+
+        /// <summary>
+        /// Minimum number of contracts
+        /// </summary>
+        public int MinContracts { get; set; }
+
+        /// <summary>
+        /// Maximum number of contracts
+        /// </summary>
+        public int MaxContracts { get; set; }
+
+        /// <summary>
+        /// Risk per trade in dollars
+        /// </summary>
+        public double RiskPerTrade { get; set; }
+
+        /// <summary>
+        /// Method-specific parameters
+        /// </summary>
+        public Dictionary<string, object> MethodParameters { get; set; }
+
+        /// <summary>
+        /// Constructor for SizingConfig
+        /// </summary>
+        public SizingConfig(
+            SizingMethod method,
+            int minContracts,
+            int maxContracts,
+            double riskPerTrade,
+            Dictionary<string, object> methodParameters)
+        {
+            Method = method;
+            MinContracts = minContracts;
+            MaxContracts = maxContracts;
+            RiskPerTrade = riskPerTrade;
+            MethodParameters = methodParameters ?? new Dictionary<string, object>();
+        }
+    }
+
+    /// <summary>
+    /// Strategy configuration
+    /// </summary>
+    public class StrategyConfig
+    {
+        /// <summary>
+        /// Strategy name
+        /// </summary>
+        public string Name { get; set; }
+
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Strategy parameters
+        /// </summary>
+        public Dictionary<string, object> Parameters { get; set; }
+
+        /// <summary>
+        /// Risk settings
+        /// </summary>
+        public RiskConfig RiskSettings { get; set; }
+
+        /// <summary>
+        /// Sizing settings
+        /// </summary>
+        public SizingConfig SizingSettings { get; set; }
+
+        /// <summary>
+        /// Constructor for StrategyConfig
+        /// </summary>
+        public StrategyConfig(
+            string name,
+            string symbol,
+            Dictionary<string, object> parameters,
+            RiskConfig riskSettings,
+            SizingConfig sizingSettings)
+        {
+            Name = name;
+            Symbol = symbol;
+            Parameters = parameters ?? new Dictionary<string, object>();
+            RiskSettings = riskSettings;
+            SizingSettings = sizingSettings;
+        }
+    }
+
+    /// <summary>
+    /// Position sizing methods
+    /// </summary>
+    public enum SizingMethod
+    {
+        /// <summary>
+        /// Fixed number of contracts
+        /// </summary>
+        FixedContracts,
+
+        /// <summary>
+        /// Fixed dollar risk amount
+        /// </summary>
+        FixedDollarRisk,
+
+        /// <summary>
+        /// Percentage of equity
+        /// </summary>
+        PercentOfEquity,
+
+        /// <summary>
+        /// Optimal F calculation
+        /// </summary>
+        OptimalF
+    }
+
+    /// <summary>
+    /// Risk levels
+    /// </summary>
+    public enum RiskLevel
+    {
+        /// <summary>
+        /// Low risk
+        /// </summary>
+        Low,
+
+        /// <summary>
+        /// Medium risk
+        /// </summary>
+        Medium,
+
+        /// <summary>
+        /// High risk
+        /// </summary>
+        High,
+
+        /// <summary>
+        /// Critical risk
+        /// </summary>
+        Critical
+    }
+
+    /// <summary>
+    /// Risk decision result
+    /// </summary>
+    public class RiskDecision
+    {
+        /// <summary>
+        /// Whether order is allowed
+        /// </summary>
+        public bool Allow { get; set; }
+
+        /// <summary>
+        /// Rejection reason if not allowed
+        /// </summary>
+        public string RejectReason { get; set; }
+
+        /// <summary>
+        /// Modified intent if changes required
+        /// </summary>
+        public StrategyIntent ModifiedIntent { get; set; }
+
+        /// <summary>
+        /// Risk level assessment
+        /// </summary>
+        public RiskLevel RiskLevel { get; set; }
+
+        /// <summary>
+        /// Risk metrics
+        /// </summary>
+        public Dictionary<string, object> RiskMetrics { get; set; }
+
+        /// <summary>
+        /// Constructor for RiskDecision
+        /// </summary>
+        public RiskDecision(
+            bool allow,
+            string rejectReason,
+            StrategyIntent modifiedIntent,
+            RiskLevel riskLevel,
+            Dictionary<string, object> riskMetrics)
+        {
+            Allow = allow;
+            RejectReason = rejectReason;
+            ModifiedIntent = modifiedIntent;
+            RiskLevel = riskLevel;
+            RiskMetrics = riskMetrics ?? new Dictionary<string, object>();
+        }
+    }
+
+    /// <summary>
+    /// Risk status information
+    /// </summary>
+    public class RiskStatus
+    {
+        /// <summary>
+        /// Whether trading is enabled
+        /// </summary>
+        public bool TradingEnabled { get; set; }
+
+        /// <summary>
+        /// Daily profit/loss
+        /// </summary>
+        public double DailyPnL { get; set; }
+
+        /// <summary>
+        /// Daily loss limit
+        /// </summary>
+        public double DailyLossLimit { get; set; }
+
+        /// <summary>
+        /// Maximum drawdown
+        /// </summary>
+        public double MaxDrawdown { get; set; }
+
+        /// <summary>
+        /// Number of open positions
+        /// </summary>
+        public int OpenPositions { get; set; }
+
+        /// <summary>
+        /// Last update timestamp
+        /// </summary>
+        public DateTime LastUpdate { get; set; }
+
+        /// <summary>
+        /// Active alerts
+        /// </summary>
+        public List<string> ActiveAlerts { get; set; }
+
+        /// <summary>
+        /// Constructor for RiskStatus
+        /// </summary>
+        public RiskStatus(
+            bool tradingEnabled,
+            double dailyPnL,
+            double dailyLossLimit,
+            double maxDrawdown,
+            int openPositions,
+            DateTime lastUpdate,
+            List<string> activeAlerts)
+        {
+            TradingEnabled = tradingEnabled;
+            DailyPnL = dailyPnL;
+            DailyLossLimit = dailyLossLimit;
+            MaxDrawdown = maxDrawdown;
+            OpenPositions = openPositions;
+            LastUpdate = lastUpdate;
+            ActiveAlerts = activeAlerts ?? new List<string>();
+        }
+    }
+
+    /// <summary>
+    /// Position sizing result
+    /// </summary>
+    public class SizingResult
+    {
+        /// <summary>
+        /// Number of contracts
+        /// </summary>
+        public int Contracts { get; set; }
+
+        /// <summary>
+        /// Risk amount in dollars
+        /// </summary>
+        public double RiskAmount { get; set; }
+
+        /// <summary>
+        /// Sizing method used
+        /// </summary>
+        public SizingMethod Method { get; set; }
+
+        /// <summary>
+        /// Calculation details
+        /// </summary>
+        public Dictionary<string, object> Calculations { get; set; }
+
+        /// <summary>
+        /// Constructor for SizingResult
+        /// </summary>
+        public SizingResult(
+            int contracts,
+            double riskAmount,
+            SizingMethod method,
+            Dictionary<string, object> calculations)
+        {
+            Contracts = contracts;
+            RiskAmount = riskAmount;
+            Method = method;
+            Calculations = calculations ?? new Dictionary<string, object>();
+        }
+    }
+
+    /// <summary>
+    /// Sizing metadata
+    /// </summary>
+    public class SizingMetadata
+    {
+        /// <summary>
+        /// Sizer name
+        /// </summary>
+        public string Name { get; set; }
+
+        /// <summary>
+        /// Sizer description
+        /// </summary>
+        public string Description { get; set; }
+
+        /// <summary>
+        /// Required parameters
+        /// </summary>
+        public List<string> RequiredParameters { get; set; }
+
+        /// <summary>
+        /// Constructor for SizingMetadata
+        /// </summary>
+        public SizingMetadata(
+            string name,
+            string description,
+            List<string> requiredParameters)
+        {
+            Name = name;
+            Description = description;
+            RequiredParameters = requiredParameters ?? new List<string>();
+        }
+    }
+
+    /// <summary>
+    /// Order fill information
+    /// </summary>
+    public class OrderFill
+    {
+        /// <summary>
+        /// Order ID
+        /// </summary>
+        public string OrderId { get; set; }
+
+        /// <summary>
+        /// Symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Fill quantity
+        /// </summary>
+        public int Quantity { get; set; }
+
+        /// <summary>
+        /// Fill price
+        /// </summary>
+        public double FillPrice { get; set; }
+
+        /// <summary>
+        /// Fill timestamp
+        /// </summary>
+        public DateTime FillTime { get; set; }
+
+        /// <summary>
+        /// Commission paid
+        /// </summary>
+        public double Commission { get; set; }
+
+        /// <summary>
+        /// Execution ID
+        /// </summary>
+        public string ExecutionId { get; set; }
+
+        /// <summary>
+        /// Constructor for OrderFill
+        /// </summary>
+        public OrderFill(
+            string orderId,
+            string symbol,
+            int quantity,
+            double fillPrice,
+            DateTime fillTime,
+            double commission,
+            string executionId)
+        {
+            OrderId = orderId;
+            Symbol = symbol;
+            Quantity = quantity;
+            FillPrice = fillPrice;
+            FillTime = fillTime;
+            Commission = commission;
+            ExecutionId = executionId;
+        }
+    }
+}