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

src/NT8.Adapters/NinjaTrader/NT8ExecutionAdapter.cs

@@ -0,0 +1,365 @@
+using System;
+using System.Collections.Generic;
+using NT8.Core.OMS;
+
+namespace NT8.Adapters.NinjaTrader
+{
+    /// <summary>
+    /// Adapter for executing orders through NinjaTrader 8 platform.
+    /// Bridges SDK order requests to NT8 order submission and handles callbacks.
+    /// Thread-safe for concurrent NT8 callbacks.
+    /// </summary>
+    public class NT8ExecutionAdapter
+    {
+        private readonly object _lock = new object();
+        private readonly Dictionary<string, OrderTrackingInfo> _orderTracking;
+        private readonly Dictionary<string, string> _nt8ToSdkOrderMap;
+
+        /// <summary>
+        /// Creates a new NT8 execution adapter.
+        /// </summary>
+        public NT8ExecutionAdapter()
+        {
+            _orderTracking = new Dictionary<string, OrderTrackingInfo>();
+            _nt8ToSdkOrderMap = new Dictionary<string, string>();
+        }
+
+        /// <summary>
+        /// Submit an order to NinjaTrader 8.
+        /// NOTE: This method tracks order state only. Actual NT8 submission is performed by strategy wrapper code.
+        /// </summary>
+        /// <param name="request">SDK order request.</param>
+        /// <param name="sdkOrderId">Unique SDK order ID.</param>
+        /// <returns>Tracking info for the submitted order.</returns>
+        /// <exception cref="ArgumentNullException">Thrown when request or sdkOrderId is invalid.</exception>
+        /// <exception cref="InvalidOperationException">Thrown when the same order ID is submitted twice.</exception>
+        public OrderTrackingInfo SubmitOrder(OrderRequest request, string sdkOrderId)
+        {
+            if (request == null)
+            {
+                throw new ArgumentNullException("request");
+            }
+
+            if (string.IsNullOrWhiteSpace(sdkOrderId))
+            {
+                throw new ArgumentNullException("sdkOrderId");
+            }
+
+            try
+            {
+                lock (_lock)
+                {
+                    if (_orderTracking.ContainsKey(sdkOrderId))
+                    {
+                        throw new InvalidOperationException(string.Format("Order {0} already exists", sdkOrderId));
+                    }
+
+                    var trackingInfo = new OrderTrackingInfo();
+                    trackingInfo.SdkOrderId = sdkOrderId;
+                    trackingInfo.Nt8OrderId = null;
+                    trackingInfo.OriginalRequest = request;
+                    trackingInfo.CurrentState = OrderState.Pending;
+                    trackingInfo.FilledQuantity = 0;
+                    trackingInfo.AverageFillPrice = 0.0;
+                    trackingInfo.LastUpdate = DateTime.UtcNow;
+                    trackingInfo.ErrorMessage = null;
+
+                    _orderTracking.Add(sdkOrderId, trackingInfo);
+
+                    return trackingInfo;
+                }
+            }
+            catch (Exception)
+            {
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Process order update callback from NinjaTrader 8.
+        /// Called by NT8 strategy wrapper OnOrderUpdate.
+        /// </summary>
+        /// <param name="nt8OrderId">NT8 order ID.</param>
+        /// <param name="sdkOrderId">SDK order ID.</param>
+        /// <param name="orderState">NT8 order state string.</param>
+        /// <param name="filled">Filled quantity.</param>
+        /// <param name="averageFillPrice">Average fill price.</param>
+        /// <param name="errorCode">Error code if rejected.</param>
+        /// <param name="errorMessage">Error message if rejected.</param>
+        public void ProcessOrderUpdate(
+            string nt8OrderId,
+            string sdkOrderId,
+            string orderState,
+            int filled,
+            double averageFillPrice,
+            int errorCode,
+            string errorMessage)
+        {
+            if (string.IsNullOrWhiteSpace(sdkOrderId))
+            {
+                return;
+            }
+
+            try
+            {
+                lock (_lock)
+                {
+                    if (!_orderTracking.ContainsKey(sdkOrderId))
+                    {
+                        return;
+                    }
+
+                    var info = _orderTracking[sdkOrderId];
+
+                    if (!string.IsNullOrWhiteSpace(nt8OrderId) && info.Nt8OrderId == null)
+                    {
+                        info.Nt8OrderId = nt8OrderId;
+                        _nt8ToSdkOrderMap[nt8OrderId] = sdkOrderId;
+                    }
+
+                    info.CurrentState = MapNT8OrderState(orderState);
+                    info.FilledQuantity = filled;
+                    info.AverageFillPrice = averageFillPrice;
+                    info.LastUpdate = DateTime.UtcNow;
+
+                    if (errorCode != 0 && !string.IsNullOrWhiteSpace(errorMessage))
+                    {
+                        info.ErrorMessage = string.Format("[{0}] {1}", errorCode, errorMessage);
+                        info.CurrentState = OrderState.Rejected;
+                    }
+                }
+            }
+            catch (Exception)
+            {
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Process execution callback from NinjaTrader 8.
+        /// Called by NT8 strategy wrapper OnExecutionUpdate.
+        /// </summary>
+        /// <param name="nt8OrderId">NT8 order ID.</param>
+        /// <param name="executionId">Execution identifier.</param>
+        /// <param name="price">Execution price.</param>
+        /// <param name="quantity">Execution quantity.</param>
+        /// <param name="time">Execution time.</param>
+        public void ProcessExecution(
+            string nt8OrderId,
+            string executionId,
+            double price,
+            int quantity,
+            DateTime time)
+        {
+            if (string.IsNullOrWhiteSpace(nt8OrderId))
+            {
+                return;
+            }
+
+            try
+            {
+                lock (_lock)
+                {
+                    if (!_nt8ToSdkOrderMap.ContainsKey(nt8OrderId))
+                    {
+                        return;
+                    }
+
+                    var sdkOrderId = _nt8ToSdkOrderMap[nt8OrderId];
+                    if (!_orderTracking.ContainsKey(sdkOrderId))
+                    {
+                        return;
+                    }
+
+                    var info = _orderTracking[sdkOrderId];
+                    info.LastUpdate = time;
+
+                    if (info.FilledQuantity >= info.OriginalRequest.Quantity)
+                    {
+                        info.CurrentState = OrderState.Filled;
+                    }
+                    else if (info.FilledQuantity > 0)
+                    {
+                        info.CurrentState = OrderState.PartiallyFilled;
+                    }
+                }
+            }
+            catch (Exception)
+            {
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Request to cancel an order.
+        /// NOTE: Actual cancellation is performed by strategy wrapper code.
+        /// </summary>
+        /// <param name="sdkOrderId">SDK order ID to cancel.</param>
+        /// <returns>True when cancel request is accepted; otherwise false.</returns>
+        public bool CancelOrder(string sdkOrderId)
+        {
+            if (string.IsNullOrWhiteSpace(sdkOrderId))
+            {
+                throw new ArgumentNullException("sdkOrderId");
+            }
+
+            try
+            {
+                lock (_lock)
+                {
+                    if (!_orderTracking.ContainsKey(sdkOrderId))
+                    {
+                        return false;
+                    }
+
+                    var info = _orderTracking[sdkOrderId];
+                    if (info.CurrentState == OrderState.Filled ||
+                        info.CurrentState == OrderState.Cancelled ||
+                        info.CurrentState == OrderState.Rejected)
+                    {
+                        return false;
+                    }
+
+                    info.LastUpdate = DateTime.UtcNow;
+                    return true;
+                }
+            }
+            catch (Exception)
+            {
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Get current status of an order.
+        /// </summary>
+        /// <param name="sdkOrderId">SDK order ID.</param>
+        /// <returns>Order status snapshot; null when not found.</returns>
+        public OrderStatus GetOrderStatus(string sdkOrderId)
+        {
+            if (string.IsNullOrWhiteSpace(sdkOrderId))
+            {
+                return null;
+            }
+
+            try
+            {
+                lock (_lock)
+                {
+                    if (!_orderTracking.ContainsKey(sdkOrderId))
+                    {
+                        return null;
+                    }
+
+                    var info = _orderTracking[sdkOrderId];
+                    var status = new OrderStatus();
+                    status.OrderId = info.SdkOrderId;
+                    status.Symbol = info.OriginalRequest.Symbol;
+                    status.Side = info.OriginalRequest.Side;
+                    status.Quantity = info.OriginalRequest.Quantity;
+                    status.Type = info.OriginalRequest.Type;
+                    status.State = info.CurrentState;
+                    status.FilledQuantity = info.FilledQuantity;
+                    status.AverageFillPrice = info.FilledQuantity > 0 ? (decimal)info.AverageFillPrice : 0m;
+                    status.CreatedTime = info.LastUpdate;
+                    status.FilledTime = info.FilledQuantity > 0 ? (DateTime?)info.LastUpdate : null;
+                    return status;
+                }
+            }
+            catch (Exception)
+            {
+                throw;
+            }
+        }
+
+        /// <summary>
+        /// Maps NinjaTrader order state string to SDK order state.
+        /// </summary>
+        /// <param name="nt8State">NT8 order state string.</param>
+        /// <returns>Mapped SDK state.</returns>
+        private OrderState MapNT8OrderState(string nt8State)
+        {
+            if (string.IsNullOrWhiteSpace(nt8State))
+            {
+                return OrderState.Expired;
+            }
+
+            switch (nt8State.ToUpperInvariant())
+            {
+                case "ACCEPTED":
+                case "WORKING":
+                    return OrderState.Working;
+
+                case "FILLED":
+                    return OrderState.Filled;
+
+                case "PARTFILLED":
+                case "PARTIALLYFILLED":
+                    return OrderState.PartiallyFilled;
+
+                case "CANCELLED":
+                case "CANCELED":
+                    return OrderState.Cancelled;
+
+                case "REJECTED":
+                    return OrderState.Rejected;
+
+                case "PENDINGCANCEL":
+                    return OrderState.Working;
+
+                case "PENDINGCHANGE":
+                case "PENDINGSUBMIT":
+                    return OrderState.Pending;
+
+                default:
+                    return OrderState.Expired;
+            }
+        }
+    }
+
+    /// <summary>
+    /// Internal tracking information for orders managed by NT8ExecutionAdapter.
+    /// </summary>
+    public class OrderTrackingInfo
+    {
+        /// <summary>
+        /// SDK order identifier.
+        /// </summary>
+        public string SdkOrderId { get; set; }
+
+        /// <summary>
+        /// NinjaTrader order identifier.
+        /// </summary>
+        public string Nt8OrderId { get; set; }
+
+        /// <summary>
+        /// Original order request.
+        /// </summary>
+        public OrderRequest OriginalRequest { get; set; }
+
+        /// <summary>
+        /// Current SDK order state.
+        /// </summary>
+        public OrderState CurrentState { get; set; }
+
+        /// <summary>
+        /// Filled quantity.
+        /// </summary>
+        public int FilledQuantity { get; set; }
+
+        /// <summary>
+        /// Average fill price.
+        /// </summary>
+        public double AverageFillPrice { get; set; }
+
+        /// <summary>
+        /// Last update timestamp.
+        /// </summary>
+        public DateTime LastUpdate { get; set; }
+
+        /// <summary>
+        /// Last error message.
+        /// </summary>
+        public string ErrorMessage { get; set; }
+    }
+}