Production hardening: kill switch, circuit breaker, trailing stops, log level, holiday calendar

.kilocode/rules/project_context.md

@@ -1,200 +1,96 @@
-# Project Context - Phase 2
+# Project Context — NT8 SDK (Production Hardening Phase)
 
-You are working on the **NT8 SDK** - an institutional-grade trading SDK for NinjaTrader 8.
+You are working on the **NT8 SDK** — an institutional-grade algorithmic trading framework for NinjaTrader 8.
+This is production trading software. Bugs cause real financial losses.
 
-## Project Purpose
+---
 
-This is production trading software used for automated futures trading (ES, NQ, MES, MNQ, CL, GC). Code quality is critical because:
-- Bugs can cause real financial losses
-- System runs 24/5 during market hours
-- Performance requirements are strict (<200ms latency)
-- This is institutional-grade, not hobbyist code
+## What Is Already Built (Do Not Touch)
 
-## Current Phase: Phase 2 - Enhanced Risk & Sizing
+All core trading logic is complete and has 240+ passing tests:
 
-You are implementing **advanced risk management and intelligent position sizing**.
+| Layer | Status | Key Files |
+|---|---|---|
+| Risk (Tier 1-3) | ✅ Complete | `src/NT8.Core/Risk/` |
+| Position Sizing | ✅ Complete | `src/NT8.Core/Sizing/` |
+| OMS / Order Lifecycle | ✅ Complete | `src/NT8.Core/OMS/` |
+| Intelligence | ✅ Complete | `src/NT8.Core/Intelligence/` |
+| Analytics | ✅ Complete | `src/NT8.Core/Analytics/` |
+| Execution Utilities | ✅ Complete | `src/NT8.Core/Execution/` |
+| Market Data | ✅ Complete | `src/NT8.Core/MarketData/` |
 
-### Phase 2 Responsibilities
-- Advanced risk rules (Tiers 2-3)
-- Optimal-f position sizing (Ralph Vince method)
-- Volatility-adjusted sizing
-- Enhanced OMS features (partial fills, retry, reconciliation)
+**NT8 Order Execution is ALREADY WIRED.**
+`NT8StrategyBase.SubmitOrderToNT8()` calls `EnterLong`, `EnterShort`, `SetStopLoss`, and
+`SetProfitTarget` directly. The execution path works end-to-end. Do not re-implement it.
 
-### What Phase 2 Does NOT Do (Other Components Handle)
-- Basic risk validation (BasicRiskManager handles this - Phase 1)
-- Strategy logic (IStrategy handles this - Phase 1)
-- Order lifecycle management (BasicOrderManager handles this - Phase 1)
-- Direct NT8 calls (NT8Adapter handles this - Future)
+---
 
-## Architecture Overview
+## What You Are Fixing (The Active Task List)
+
+### CRITICAL — `NT8StrategyBase.cs`
+
+**Gap 1 — No kill switch**
+`NT8StrategyBase` has no `EnableKillSwitch` NinjaScript parameter and no early-exit in `OnBarUpdate()`.
+A runaway strategy cannot be stopped without killing NinjaTrader.
+**Fix:** Add `EnableKillSwitch` (bool NinjaScript property) and `EnableVerboseLogging` property.
+Add kill switch check as the FIRST thing in `OnBarUpdate()`.
+→ See `TASK-01-kill-switch.md`
+
+**Gap 2 — `ExecutionCircuitBreaker` not wired**
+`src/NT8.Core/Execution/ExecutionCircuitBreaker.cs` is complete and tested.
+It is never instantiated. Orders submit regardless of latency or rejection conditions.
+**Fix:** Instantiate in `InitializeSdkComponents()`, gate orders in `SubmitOrderToNT8()`, wire rejections in `OnOrderUpdate()`.
+→ See `TASK-02-circuit-breaker.md`
+
+### HIGH — `TrailingStopManager.cs`
+
+**Gap 3 — Placeholder stop math returns zero**
+`CalculateNewStopPrice()` FixedTrailing branch: `marketPrice - (x - x)` = always zero movement.
+ATRTrailing and Chandelier also have meaningless placeholder formulas.
+**Fix:** Replace with real calculations using `TrailingStopConfig.TrailingAmountTicks` and `AtrMultiplier`.
+→ See `TASK-03-trailing-stop.md`
+
+### HIGH — `BasicLogger.cs`
+
+**Gap 4 — No log-level filter**
+Every log statement writes to console unconditionally. Cannot suppress debug noise in production.
+**Fix:** Add `MinimumLevel` property (defaults to `Information`). Suppress messages below threshold.
+→ See `TASK-04-log-level.md`
+
+### MEDIUM — `SessionManager.cs`
+
+**Gap 5 — No holiday awareness**
+`IsRegularTradingHours()` checks session times only. Will attempt to trade on Christmas, Thanksgiving, etc.
+**Fix:** Add static CME holiday set for 2025/2026. Return `false` on those dates.
+→ See `TASK-05-session-holidays.md`
+
+---
+
+## Architecture (Read Before Touching Anything)
 
 ```
-Strategy Layer (IStrategy) - Phase 1 ✅
-        ↓ generates StrategyIntent
-Risk Layer (IRiskManager)
-        ├─ BasicRiskManager - Phase 1 ✅
-        └─ AdvancedRiskManager - Phase 2 ← YOU ARE HERE
-        ↓ validates and produces RiskDecision
-Sizing Layer (IPositionSizer)
-        ├─ BasicPositionSizer - Phase 1 ✅
-        └─ EnhancedPositionSizer - Phase 2 ← YOU ARE HERE
-        ↓ calculates contracts and produces SizingResult
-OMS Layer (IOrderManager) - Phase 1 ✅ (enhancing in Phase 2)
-        ↓ manages order lifecycle
-NT8 Adapter Layer (INT8OrderAdapter) - Future
-        ↓ bridges to NinjaTrader 8
-NinjaTrader 8 Platform
+SimpleORBStrategy.OnBar()
+    ↓ returns StrategyIntent
+NT8StrategyBase.OnBarUpdate()
+    ↓ [TASK-01: kill switch check here, first]
+    ↓ calls ProcessStrategyIntent()
+    ↓ calls _riskManager.ValidateOrder()
+    ↓ calls _positionSizer.CalculateSize()
+    ↓ calls SubmitOrderToNT8()
+    ↓ [TASK-02: circuit breaker gate here]
+    ↓ calls EnterLong/EnterShort/SetStopLoss/SetProfitTarget (already works)
+NT8 callbacks → OnOrderUpdate / OnExecutionUpdate
+    ↓ [TASK-02: record rejections in circuit breaker here]
 ```
 
-## Your Current Task
-
-Implement **Enhanced Risk & Sizing** with these deliverables:
-
-### Phase 2 Deliverables
-**Risk Management:**
-1. ✅ `AdvancedRiskModels.cs` - Weekly tracking, drawdown, exposure
-2. ✅ `AdvancedRiskManager.cs` - All Tier 2-3 risk rules
-3. ✅ Update `RiskConfig.cs` - Add new configuration properties
-
-**Position Sizing:**
-4. ✅ `SizingModels.cs` - Optimal-f, volatility models
-5. ✅ `OptimalFCalculator.cs` - Ralph Vince algorithm
-6. ✅ `VolatilityAdjustedSizer.cs` - ATR/StdDev sizing
-7. ✅ `EnhancedPositionSizer.cs` - All advanced sizing methods
-
-**Enhanced OMS:**
-8. ✅ `OrderStateMachine.cs` - Formal state machine
-9. ✅ Update `OrderModels.cs` - Add partial fill models
-10. ✅ Update `BasicOrderManager.cs` - Add enhanced methods
-
-**Testing:**
-11. ✅ Comprehensive unit tests (90+ tests total)
-12. ✅ Integration tests (risk + sizing flow)
-13. ✅ Performance benchmarks (<5ms risk, <3ms sizing)
-
-### Out of Scope (Future Phases)
-- ❌ Market microstructure (Phase 3)
-- ❌ Advanced order types (Phase 3)
-- ❌ Confluence scoring (Phase 4)
-- ❌ ML-based features (Phase 6)
-
-## Key Design Principles
-
-### 1. Risk-First Architecture
-ALL trading operations flow through risk management before execution.
-The pattern is: Strategy → Risk → Sizing → OMS → NT8
-**NEVER bypass risk checks.**
-
-### 2. Backward Compatibility
-Phase 2 MUST NOT break Phase 1:
-- BasicRiskManager still works
-- BasicPositionSizer still works
-- BasicOrderManager still works
-- No interface signature changes
-
-### 3. Thread Safety
-This system will run with:
-- Multiple strategies executing simultaneously
-- Multiple NT8 callbacks firing
-- UI queries happening during trading
-- State changes from external events
-
-ALL shared state MUST be protected with locks.
-
-### 4. Performance Targets
-- Risk validation: <5ms (was <10ms in Phase 1)
-- Sizing calculation: <3ms (was <5ms in Phase 1)
-- Overall tick-to-trade: <200ms (unchanged)
-- No degradation to Phase 1 performance
-
-### 5. Determinism
-All calculations must be deterministic for:
-- Backtesting accuracy
-- Replay debugging
-- Audit trails
+---
 
 ## Technology Constraints
 
-### Language & Framework
-- C# 5.0 syntax ONLY (no C# 6+)
-- .NET Framework 4.8 (not .NET Core/5+/6+)
-- Target: Windows desktop environment
-
-### Libraries
-- ✅ Newtonsoft.Json (for serialization)
-- ✅ Microsoft.Extensions.Logging (for logging)
-- ✅ Microsoft.Extensions.DependencyInjection (for DI)
-- ❌ System.Text.Json (not available)
-- ❌ Any .NET Core/5+/6+ libraries
-
-### Testing
-- xUnit for test framework
-- FluentAssertions for assertions
-- Bogus for test data generation (if needed)
-- Mock adapters for isolation
-
-## Reference Documents
-
-You have access to these design documents:
-- `Phase2_Implementation_Guide.md` - Step-by-step tasks
-- `nt8_phasing_plan.md` - Overall project plan
-- `nt8_dev_spec.md` - Technical specifications
-
-When uncertain about design decisions, reference these documents.
-
-## Success Criteria
-
-Your implementation is complete when:
-- [ ] All 15 Phase 2 files created
-- [ ] `verify-build.bat` passes
-- [ ] >90 total tests passing
-- [ ] >80% test coverage for new code
-- [ ] No C# 6+ syntax
-- [ ] Thread safety verified
-- [ ] Performance targets met
-- [ ] No breaking changes to Phase 1
-- [ ] Integration tests pass
-- [ ] Documentation complete
-
-## Phase 1 Foundation (What You're Building On)
-
-### Already Complete ✅
-- OrderModels with all enums
-- IOrderManager interface
-- BasicOrderManager with state machine
-- BasicRiskManager with Tier 1 rules
-- BasicPositionSizer with fixed methods
-- 34 passing unit tests
-- Mock adapters for testing
-
-### Phase 1 Code You Can Reference
-- `src/NT8.Core/Risk/BasicRiskManager.cs` - Pattern to follow
-- `src/NT8.Core/Sizing/BasicPositionSizer.cs` - Pattern to follow
-- `src/NT8.Core/OMS/BasicOrderManager.cs` - Pattern to extend
-- `tests/NT8.Core.Tests/Risk/BasicRiskManagerTests.cs` - Test pattern
-
-## Communication
-
-When you need clarification:
-1. Check `Phase2_Implementation_Guide.md` first
-2. Check existing Phase 1 code patterns
-3. If still uncertain, ask before implementing
-
-**Remember:** This is production trading code. When in doubt, ask rather than guess.
-
-## Current Status
-
-**Completed:**
-- ✅ Phase 0: Foundation
-- ✅ Phase 1: Basic OMS, Risk, Sizing (34 tests passing)
-
-**In Progress:**
-- 🔄 Phase 2: Enhanced Risk & Sizing ← **YOU ARE HERE**
-
-**Next:**
-- ⏭️ Phase 3: Market Microstructure
-- ⏭️ Phase 4: Intelligence & Grading
-- ⏭️ Phase 5: Analytics
-- ⏭️ Phase 6: Advanced Features
-
-**Progress:** ~10% → ~20% (Phase 2 will double completed functionality)
+- **C# 5.0 only** — no `$""`, no `?.`, no `=>` on methods/properties, no `nameof()`, no `out var`
+- **.NET Framework 4.8** — not .NET Core/5+/6+
+- **NinjaScript managed orders** — `EnterLong`, `EnterShort`, `SetStopLoss`, `SetProfitTarget`
+- `string.Format()` everywhere, never string interpolation
+- All `Dictionary`, `HashSet` access inside `lock (_lock)` blocks
+- XML doc comments on all public members
+- `try/catch` on all public methods with `LogError` in the catch