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

src/NT8.Core/Orders/OrderModels.cs

@@ -0,0 +1,951 @@
+using NT8.Core.Common.Models;
+using System;
+using System.Collections.Generic;
+
+namespace NT8.Core.Orders
+{
+    #region Core Order Models
+
+    /// <summary>
+    /// Order request parameters
+    /// </summary>
+    public class OrderRequest
+    {
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Order side
+        /// </summary>
+        public OrderSide Side { get; set; }
+
+        /// <summary>
+        /// Order type
+        /// </summary>
+        public OrderType Type { get; set; }
+
+        /// <summary>
+        /// Order quantity
+        /// </summary>
+        public int Quantity { get; set; }
+
+        /// <summary>
+        /// Limit price (if applicable)
+        /// </summary>
+        public decimal? LimitPrice { get; set; }
+
+        /// <summary>
+        /// Stop price (if applicable)
+        /// </summary>
+        public decimal? StopPrice { get; set; }
+
+        /// <summary>
+        /// Time in force
+        /// </summary>
+        public TimeInForce TimeInForce { get; set; }
+
+        /// <summary>
+        /// Algorithm to use (TWAP, VWAP, Iceberg, or null for regular order)
+        /// </summary>
+        public string Algorithm { get; set; }
+
+        /// <summary>
+        /// Algorithm-specific parameters
+        /// </summary>
+        public Dictionary<string, object> AlgorithmParameters { get; set; }
+
+        /// <summary>
+        /// Constructor for OrderRequest
+        /// </summary>
+        public OrderRequest(
+            string symbol,
+            OrderSide side,
+            OrderType type,
+            int quantity,
+            decimal? limitPrice,
+            decimal? stopPrice,
+            TimeInForce timeInForce,
+            string algorithm,
+            Dictionary<string, object> algorithmParameters)
+        {
+            Symbol = symbol;
+            Side = side;
+            Type = type;
+            Quantity = quantity;
+            LimitPrice = limitPrice;
+            StopPrice = stopPrice;
+            TimeInForce = timeInForce;
+            Algorithm = algorithm;
+            AlgorithmParameters = algorithmParameters ?? new Dictionary<string, object>();
+        }
+    }
+
+    /// <summary>
+    /// Order submission result
+    /// </summary>
+    public class OrderResult
+    {
+        /// <summary>
+        /// Whether the order submission was successful
+        /// </summary>
+        public bool Success { get; set; }
+
+        /// <summary>
+        /// Order ID if successful
+        /// </summary>
+        public string OrderId { get; set; }
+
+        /// <summary>
+        /// Message describing the result
+        /// </summary>
+        public string Message { get; set; }
+
+        /// <summary>
+        /// Order status if successful
+        /// </summary>
+        public OrderStatus Status { get; set; }
+
+        /// <summary>
+        /// Constructor for OrderResult
+        /// </summary>
+        public OrderResult(
+            bool success,
+            string orderId,
+            string message,
+            OrderStatus status)
+        {
+            Success = success;
+            OrderId = orderId;
+            Message = message;
+            Status = status;
+        }
+    }
+
+    /// <summary>
+    /// Current order status
+    /// </summary>
+    public class OrderStatus
+    {
+        /// <summary>
+        /// Order ID
+        /// </summary>
+        public string OrderId { get; set; }
+
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Order side
+        /// </summary>
+        public OrderSide Side { get; set; }
+
+        /// <summary>
+        /// Order type
+        /// </summary>
+        public OrderType Type { get; set; }
+
+        /// <summary>
+        /// Order quantity
+        /// </summary>
+        public int Quantity { get; set; }
+
+        /// <summary>
+        /// Filled quantity
+        /// </summary>
+        public int FilledQuantity { get; set; }
+
+        /// <summary>
+        /// Limit price (if applicable)
+        /// </summary>
+        public decimal? LimitPrice { get; set; }
+
+        /// <summary>
+        /// Stop price (if applicable)
+        /// </summary>
+        public decimal? StopPrice { get; set; }
+
+        /// <summary>
+        /// Current order state
+        /// </summary>
+        public OrderState State { get; set; }
+
+        /// <summary>
+        /// Order creation time
+        /// </summary>
+        public DateTime CreatedTime { get; set; }
+
+        /// <summary>
+        /// Order fill time (if filled)
+        /// </summary>
+        public DateTime? FilledTime { get; set; }
+
+        /// <summary>
+        /// Order fills
+        /// </summary>
+        public List<OrderFill> Fills { get; set; }
+
+        /// <summary>
+        /// Constructor for OrderStatus
+        /// </summary>
+        public OrderStatus(
+            string orderId,
+            string symbol,
+            OrderSide side,
+            OrderType type,
+            int quantity,
+            int filledQuantity,
+            decimal? limitPrice,
+            decimal? stopPrice,
+            OrderState state,
+            DateTime createdTime,
+            DateTime? filledTime,
+            List<OrderFill> fills)
+        {
+            OrderId = orderId;
+            Symbol = symbol;
+            Side = side;
+            Type = type;
+            Quantity = quantity;
+            FilledQuantity = filledQuantity;
+            LimitPrice = limitPrice;
+            StopPrice = stopPrice;
+            State = state;
+            CreatedTime = createdTime;
+            FilledTime = filledTime;
+            Fills = fills ?? new List<OrderFill>();
+        }
+    }
+
+    /// <summary>
+    /// Order modification parameters
+    /// </summary>
+    public class OrderModification
+    {
+        /// <summary>
+        /// New quantity (if changing)
+        /// </summary>
+        public int? NewQuantity { get; set; }
+
+        /// <summary>
+        /// New limit price (if changing)
+        /// </summary>
+        public decimal? NewLimitPrice { get; set; }
+
+        /// <summary>
+        /// New stop price (if changing)
+        /// </summary>
+        public decimal? NewStopPrice { get; set; }
+
+        /// <summary>
+        /// New time in force (if changing)
+        /// </summary>
+        public TimeInForce? NewTimeInForce { get; set; }
+
+        /// <summary>
+        /// Constructor for OrderModification
+        /// </summary>
+        public OrderModification(
+            int? newQuantity,
+            decimal? newLimitPrice,
+            decimal? newStopPrice,
+            TimeInForce? newTimeInForce)
+        {
+            NewQuantity = newQuantity;
+            NewLimitPrice = newLimitPrice;
+            NewStopPrice = newStopPrice;
+            NewTimeInForce = newTimeInForce;
+        }
+    }
+
+    #endregion
+
+    #region Algorithm Parameters
+
+    /// <summary>
+    /// TWAP algorithm parameters
+    /// </summary>
+    public class TwapParameters
+    {
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Order side
+        /// </summary>
+        public OrderSide Side { get; set; }
+
+        /// <summary>
+        /// Total quantity to trade
+        /// </summary>
+        public int TotalQuantity { get; set; }
+
+        /// <summary>
+        /// Total duration for execution
+        /// </summary>
+        public TimeSpan Duration { get; set; }
+
+        /// <summary>
+        /// Interval between order slices in seconds
+        /// </summary>
+        public int IntervalSeconds { get; set; }
+
+        /// <summary>
+        /// Limit price (if applicable)
+        /// </summary>
+        public decimal? LimitPrice { get; set; }
+
+        /// <summary>
+        /// Constructor for TwapParameters
+        /// </summary>
+        public TwapParameters(
+            string symbol,
+            OrderSide side,
+            int totalQuantity,
+            TimeSpan duration,
+            int intervalSeconds,
+            decimal? limitPrice)
+        {
+            Symbol = symbol;
+            Side = side;
+            TotalQuantity = totalQuantity;
+            Duration = duration;
+            IntervalSeconds = intervalSeconds;
+            LimitPrice = limitPrice;
+        }
+    }
+
+    /// <summary>
+    /// VWAP algorithm parameters
+    /// </summary>
+    public class VwapParameters
+    {
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Order side
+        /// </summary>
+        public OrderSide Side { get; set; }
+
+        /// <summary>
+        /// Total quantity to trade
+        /// </summary>
+        public int TotalQuantity { get; set; }
+
+        /// <summary>
+        /// Start time for execution
+        /// </summary>
+        public DateTime StartTime { get; set; }
+
+        /// <summary>
+        /// End time for execution
+        /// </summary>
+        public DateTime EndTime { get; set; }
+
+        /// <summary>
+        /// Limit price (if applicable)
+        /// </summary>
+        public decimal? LimitPrice { get; set; }
+
+        /// <summary>
+        /// Participation rate (0.0 to 1.0)
+        /// </summary>
+        public double ParticipationRate { get; set; }
+
+        /// <summary>
+        /// Constructor for VwapParameters
+        /// </summary>
+        public VwapParameters(
+            string symbol,
+            OrderSide side,
+            int totalQuantity,
+            DateTime startTime,
+            DateTime endTime,
+            decimal? limitPrice,
+            double participationRate)
+        {
+            Symbol = symbol;
+            Side = side;
+            TotalQuantity = totalQuantity;
+            StartTime = startTime;
+            EndTime = endTime;
+            LimitPrice = limitPrice;
+            ParticipationRate = participationRate;
+        }
+    }
+
+    /// <summary>
+    /// Iceberg algorithm parameters
+    /// </summary>
+    public class IcebergParameters
+    {
+        /// <summary>
+        /// Trading symbol
+        /// </summary>
+        public string Symbol { get; set; }
+
+        /// <summary>
+        /// Order side
+        /// </summary>
+        public OrderSide Side { get; set; }
+
+        /// <summary>
+        /// Total quantity to trade
+        /// </summary>
+        public int TotalQuantity { get; set; }
+
+        /// <summary>
+        /// Visible quantity for each slice
+        /// </summary>
+        public int VisibleQuantity { get; set; }
+
+        /// <summary>
+        /// Limit price (if applicable)
+        /// </summary>
+        public decimal? LimitPrice { get; set; }
+
+        /// <summary>
+        /// Constructor for IcebergParameters
+        /// </summary>
+        public IcebergParameters(
+            string symbol,
+            OrderSide side,
+            int totalQuantity,
+            int visibleQuantity,
+            decimal? limitPrice)
+        {
+            Symbol = symbol;
+            Side = side;
+            TotalQuantity = totalQuantity;
+            VisibleQuantity = visibleQuantity;
+            LimitPrice = limitPrice;
+        }
+    }
+
+    #endregion
+
+    #region Routing Models
+
+    /// <summary>
+    /// Order routing result
+    /// </summary>
+    public class RoutingResult
+    {
+        /// <summary>
+        /// Whether routing was successful
+        /// </summary>
+        public bool Success { get; set; }
+
+        /// <summary>
+        /// Order ID
+        /// </summary>
+        public string OrderId { get; set; }
+
+        /// <summary>
+        /// Selected execution venue
+        /// </summary>
+        public ExecutionVenue SelectedVenue { get; set; }
+
+        /// <summary>
+        /// Message describing the result
+        /// </summary>
+        public string Message { get; set; }
+
+        /// <summary>
+        /// Routing details
+        /// </summary>
+        public Dictionary<string, object> RoutingDetails { get; set; }
+
+        /// <summary>
+        /// Constructor for RoutingResult
+        /// </summary>
+        public RoutingResult(
+            bool success,
+            string orderId,
+            ExecutionVenue selectedVenue,
+            string message,
+            Dictionary<string, object> routingDetails)
+        {
+            Success = success;
+            OrderId = orderId;
+            SelectedVenue = selectedVenue;
+            Message = message;
+            RoutingDetails = routingDetails ?? new Dictionary<string, object>();
+        }
+    }
+
+    /// <summary>
+    /// Execution venue information
+    /// </summary>
+    public class ExecutionVenue
+    {
+        /// <summary>
+        /// Venue name
+        /// </summary>
+        public string Name { get; set; }
+
+        /// <summary>
+        /// Venue description
+        /// </summary>
+        public string Description { get; set; }
+
+        /// <summary>
+        /// Whether venue is active
+        /// </summary>
+        public bool IsActive { get; set; }
+
+        /// <summary>
+        /// Relative cost factor (1.0 = baseline)
+        /// </summary>
+        public double CostFactor { get; set; }
+
+        /// <summary>
+        /// Relative speed factor (1.0 = baseline)
+        /// </summary>
+        public double SpeedFactor { get; set; }
+
+        /// <summary>
+        /// Reliability score (0.0 to 1.0)
+        /// </summary>
+        public double ReliabilityFactor { get; set; }
+
+        /// <summary>
+        /// Constructor for ExecutionVenue
+        /// </summary>
+        public ExecutionVenue(
+            string name,
+            string description,
+            bool isActive,
+            double costFactor,
+            double speedFactor,
+            double reliabilityFactor)
+        {
+            Name = name;
+            Description = description;
+            IsActive = isActive;
+            CostFactor = costFactor;
+            SpeedFactor = speedFactor;
+            ReliabilityFactor = reliabilityFactor;
+        }
+    }
+
+    /// <summary>
+    /// Routing performance metrics
+    /// </summary>
+    public class RoutingMetrics
+    {
+        /// <summary>
+        /// Performance metrics by venue
+        /// </summary>
+        public Dictionary<string, VenueMetrics> VenuePerformance { get; set; }
+
+        /// <summary>
+        /// Total number of routed orders
+        /// </summary>
+        public int TotalRoutedOrders { get; set; }
+
+        /// <summary>
+        /// Average routing time in milliseconds
+        /// </summary>
+        public double AverageRoutingTimeMs { get; set; }
+
+        /// <summary>
+        /// Last update timestamp
+        /// </summary>
+        public DateTime LastUpdated { get; set; }
+
+        /// <summary>
+        /// Constructor for RoutingMetrics
+        /// </summary>
+        public RoutingMetrics(
+            Dictionary<string, VenueMetrics> venuePerformance,
+            int totalRoutedOrders,
+            double averageRoutingTimeMs,
+            DateTime lastUpdated)
+        {
+            VenuePerformance = venuePerformance ?? new Dictionary<string, VenueMetrics>();
+            TotalRoutedOrders = totalRoutedOrders;
+            AverageRoutingTimeMs = averageRoutingTimeMs;
+            LastUpdated = lastUpdated;
+        }
+    }
+
+    /// <summary>
+    /// Metrics for a specific execution venue
+    /// </summary>
+    public class VenueMetrics
+    {
+        /// <summary>
+        /// Venue name
+        /// </summary>
+        public string VenueName { get; set; }
+
+        /// <summary>
+        /// Number of orders routed to this venue
+        /// </summary>
+        public int OrdersRouted { get; set; }
+
+        /// <summary>
+        /// Fill rate for this venue
+        /// </summary>
+        public double FillRate { get; set; }
+
+        /// <summary>
+        /// Average slippage for this venue
+        /// </summary>
+        public double AverageSlippage { get; set; }
+
+        /// <summary>
+        /// Average execution time in milliseconds
+        /// </summary>
+        public double AverageExecutionTimeMs { get; set; }
+
+        /// <summary>
+        /// Total value routed through this venue
+        /// </summary>
+        public decimal TotalValueRouted { get; set; }
+
+        /// <summary>
+        /// Constructor for VenueMetrics
+        /// </summary>
+        public VenueMetrics(
+            string venueName,
+            int ordersRouted,
+            double fillRate,
+            double averageSlippage,
+            double averageExecutionTimeMs,
+            decimal totalValueRouted)
+        {
+            VenueName = venueName;
+            OrdersRouted = ordersRouted;
+            FillRate = fillRate;
+            AverageSlippage = averageSlippage;
+            AverageExecutionTimeMs = averageExecutionTimeMs;
+            TotalValueRouted = totalValueRouted;
+        }
+    }
+
+    /// <summary>
+    /// Routing configuration parameters
+    /// </summary>
+    public class RoutingConfig
+    {
+        /// <summary>
+        /// Whether smart routing is enabled
+        /// </summary>
+        public bool SmartRoutingEnabled { get; set; }
+
+        /// <summary>
+        /// Default venue to use when smart routing is disabled
+        /// </summary>
+        public string DefaultVenue { get; set; }
+
+        /// <summary>
+        /// Venue preferences (venue name -> preference weight)
+        /// </summary>
+        public Dictionary<string, double> VenuePreferences { get; set; }
+
+        /// <summary>
+        /// Maximum allowed slippage percentage
+        /// </summary>
+        public double MaxSlippagePercent { get; set; }
+
+        /// <summary>
+        /// Maximum time allowed for routing
+        /// </summary>
+        public TimeSpan MaxRoutingTime { get; set; }
+
+        /// <summary>
+        /// Whether to route based on cost
+        /// </summary>
+        public bool RouteByCost { get; set; }
+
+        /// <summary>
+        /// Whether to route based on speed
+        /// </summary>
+        public bool RouteBySpeed { get; set; }
+
+        /// <summary>
+        /// Whether to route based on reliability
+        /// </summary>
+        public bool RouteByReliability { get; set; }
+
+        /// <summary>
+        /// Constructor for RoutingConfig
+        /// </summary>
+        public RoutingConfig(
+            bool smartRoutingEnabled,
+            string defaultVenue,
+            Dictionary<string, double> venuePreferences,
+            double maxSlippagePercent,
+            TimeSpan maxRoutingTime,
+            bool routeByCost,
+            bool routeBySpeed,
+            bool routeByReliability)
+        {
+            SmartRoutingEnabled = smartRoutingEnabled;
+            DefaultVenue = defaultVenue;
+            VenuePreferences = venuePreferences ?? new Dictionary<string, double>();
+            MaxSlippagePercent = maxSlippagePercent;
+            MaxRoutingTime = maxRoutingTime;
+            RouteByCost = routeByCost;
+            RouteBySpeed = routeBySpeed;
+            RouteByReliability = routeByReliability;
+        }
+    }
+
+    /// <summary>
+    /// Algorithm configuration parameters
+    /// </summary>
+    public class AlgorithmParameters
+    {
+        /// <summary>
+        /// TWAP settings
+        /// </summary>
+        public TwapConfig TwapSettings { get; set; }
+
+        /// <summary>
+        /// VWAP settings
+        /// </summary>
+        public VwapConfig VwapSettings { get; set; }
+
+        /// <summary>
+        /// Iceberg settings
+        /// </summary>
+        public IcebergConfig IcebergSettings { get; set; }
+
+        /// <summary>
+        /// Constructor for AlgorithmParameters
+        /// </summary>
+        public AlgorithmParameters(
+            TwapConfig twapSettings,
+            VwapConfig vwapSettings,
+            IcebergConfig icebergSettings)
+        {
+            TwapSettings = twapSettings;
+            VwapSettings = vwapSettings;
+            IcebergSettings = icebergSettings;
+        }
+    }
+
+    /// <summary>
+    /// TWAP configuration
+    /// </summary>
+    public class TwapConfig
+    {
+        /// <summary>
+        /// Default duration for TWAP orders
+        /// </summary>
+        public TimeSpan DefaultDuration { get; set; }
+
+        /// <summary>
+        /// Default interval between slices in seconds
+        /// </summary>
+        public int DefaultIntervalSeconds { get; set; }
+
+        /// <summary>
+        /// Whether TWAP is enabled
+        /// </summary>
+        public bool Enabled { get; set; }
+
+        /// <summary>
+        /// Constructor for TwapConfig
+        /// </summary>
+        public TwapConfig(
+            TimeSpan defaultDuration,
+            int defaultIntervalSeconds,
+            bool enabled)
+        {
+            DefaultDuration = defaultDuration;
+            DefaultIntervalSeconds = defaultIntervalSeconds;
+            Enabled = enabled;
+        }
+    }
+
+    /// <summary>
+    /// VWAP configuration
+    /// </summary>
+    public class VwapConfig
+    {
+        /// <summary>
+        /// Default participation rate for VWAP orders
+        /// </summary>
+        public double DefaultParticipationRate { get; set; }
+
+        /// <summary>
+        /// Whether VWAP is enabled
+        /// </summary>
+        public bool Enabled { get; set; }
+
+        /// <summary>
+        /// Constructor for VwapConfig
+        /// </summary>
+        public VwapConfig(
+            double defaultParticipationRate,
+            bool enabled)
+        {
+            DefaultParticipationRate = defaultParticipationRate;
+            Enabled = enabled;
+        }
+    }
+
+    /// <summary>
+    /// Iceberg configuration
+    /// </summary>
+    public class IcebergConfig
+    {
+        /// <summary>
+        /// Default visible ratio for Iceberg orders
+        /// </summary>
+        public double DefaultVisibleRatio { get; set; }
+
+        /// <summary>
+        /// Whether Iceberg is enabled
+        /// </summary>
+        public bool Enabled { get; set; }
+
+        /// <summary>
+        /// Constructor for IcebergConfig
+        /// </summary>
+        public IcebergConfig(
+            double defaultVisibleRatio,
+            bool enabled)
+        {
+            DefaultVisibleRatio = defaultVisibleRatio;
+            Enabled = enabled;
+        }
+    }
+
+    #endregion
+
+    #region Metrics Models
+
+    /// <summary>
+    /// OMS performance metrics
+    /// </summary>
+    public class OmsMetrics
+    {
+        /// <summary>
+        /// Total number of orders
+        /// </summary>
+        public int TotalOrders { get; set; }
+
+        /// <summary>
+        /// Number of active orders
+        /// </summary>
+        public int ActiveOrders { get; set; }
+
+        /// <summary>
+        /// Number of failed orders
+        /// </summary>
+        public int FailedOrders { get; set; }
+
+        /// <summary>
+        /// Fill rate (0.0 to 1.0)
+        /// </summary>
+        public double FillRate { get; set; }
+
+        /// <summary>
+        /// Average slippage
+        /// </summary>
+        public double AverageSlippage { get; set; }
+
+        /// <summary>
+        /// Average execution time in milliseconds
+        /// </summary>
+        public double AverageExecutionTimeMs { get; set; }
+
+        /// <summary>
+        /// Total value traded
+        /// </summary>
+        public decimal TotalValueTraded { get; set; }
+
+        /// <summary>
+        /// Last update timestamp
+        /// </summary>
+        public DateTime LastUpdated { get; set; }
+
+        /// <summary>
+        /// Constructor for OmsMetrics
+        /// </summary>
+        public OmsMetrics(
+            int totalOrders,
+            int activeOrders,
+            int failedOrders,
+            double fillRate,
+            double averageSlippage,
+            double averageExecutionTimeMs,
+            decimal totalValueTraded,
+            DateTime lastUpdated)
+        {
+            TotalOrders = totalOrders;
+            ActiveOrders = activeOrders;
+            FailedOrders = failedOrders;
+            FillRate = fillRate;
+            AverageSlippage = averageSlippage;
+            AverageExecutionTimeMs = averageExecutionTimeMs;
+            TotalValueTraded = totalValueTraded;
+            LastUpdated = lastUpdated;
+        }
+    }
+
+    #endregion
+
+    #region Enumerations
+
+    /// <summary>
+    /// Order side enumeration
+    /// </summary>
+    public enum OrderSide
+    {
+        Buy = 1,
+        Sell = -1
+    }
+
+    /// <summary>
+    /// Order type enumeration
+    /// </summary>
+    public enum OrderType
+    {
+        Market,
+        Limit,
+        StopMarket,
+        StopLimit
+    }
+
+    /// <summary>
+    /// Order state enumeration
+    /// </summary>
+    public enum OrderState
+    {
+        New,
+        Submitted,
+        Accepted,
+        PartiallyFilled,
+        Filled,
+        Cancelled,
+        Rejected,
+        Expired
+    }
+
+    /// <summary>
+    /// Time in force enumeration
+    /// </summary>
+    public enum TimeInForce
+    {
+        Day,
+        Gtc, // Good Till Cancelled
+        Ioc, // Immediate Or Cancel
+        Fok  // Fill Or Kill
+    }
+
+    #endregion
+}