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

2026-02-24 15:00:41 -05:00
parent 0e36fe5d23
commit a87152effb
50 changed files with 12849 additions and 752 deletions
--- a/src/NT8.Adapters/Strategies/SimpleORBNT8.cs
+++ b/src/NT8.Adapters/Strategies/SimpleORBNT8.cs
@@ -0,0 +1,112 @@
+// File: SimpleORBNT8.cs
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Gui.Tools;
+using NinjaTrader.NinjaScript;
+using NinjaTrader.NinjaScript.Indicators;
+using NinjaTrader.NinjaScript.Strategies;
+using NT8.Core.Common.Interfaces;
+using NT8.Strategies.Examples;
+using SdkSimpleORB = NT8.Strategies.Examples.SimpleORBStrategy;
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    /// <summary>
+    /// Simple Opening Range Breakout strategy integrated with NT8 SDK.
+    /// </summary>
+    public class SimpleORBNT8 : NT8StrategyBase
+    {
+        [NinjaScriptProperty]
+        [Display(Name = "Opening Range Minutes", GroupName = "ORB Strategy", Order = 1)]
+        [Range(5, 120)]
+        public int OpeningRangeMinutes { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Std Dev Multiplier", GroupName = "ORB Strategy", Order = 2)]
+        [Range(0.5, 3.0)]
+        public double StdDevMultiplier { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Stop Loss Ticks", GroupName = "ORB Risk", Order = 1)]
+        [Range(1, 50)]
+        public int StopTicks { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Profit Target Ticks", GroupName = "ORB Risk", Order = 2)]
+        [Range(1, 100)]
+        public int TargetTicks { get; set; }
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Simple ORB NT8";
+                Description = "Opening Range Breakout with NT8 SDK integration";
+
+                OpeningRangeMinutes = 30;
+                StdDevMultiplier = 1.0;
+                StopTicks = 8;
+                TargetTicks = 16;
+
+                DailyLossLimit = 1000.0;
+                MaxTradeRisk = 200.0;
+                MaxOpenPositions = 1;
+                RiskPerTrade = 100.0;
+                MinContracts = 1;
+                MaxContracts = 3;
+
+                Calculate = Calculate.OnBarClose;
+                BarsRequiredToTrade = 50;
+            }
+
+            base.OnStateChange();
+        }
+
+        protected override IStrategy CreateSdkStrategy()
+        {
+            return new SdkSimpleORB(OpeningRangeMinutes, StdDevMultiplier);
+        }
+
+        protected override void ConfigureStrategyParameters()
+        {
+            _strategyConfig.RiskSettings.DailyLossLimit = DailyLossLimit;
+            _strategyConfig.RiskSettings.MaxTradeRisk = MaxTradeRisk;
+            _strategyConfig.RiskSettings.MaxOpenPositions = MaxOpenPositions;
+
+            // Guard: Instrument may be null during strategy list loading
+            if (Instrument != null && Instrument.MasterInstrument != null)
+            {
+                var pointValue = Instrument.MasterInstrument.PointValue;
+                var tickSize = Instrument.MasterInstrument.TickSize;
+                var dollarRisk = StopTicks * tickSize * pointValue;
+
+                if (dollarRisk > _strategyConfig.RiskSettings.MaxTradeRisk)
+                    _strategyConfig.RiskSettings.MaxTradeRisk = dollarRisk;
+            }
+
+            _strategyConfig.SizingSettings.RiskPerTrade = RiskPerTrade;
+            _strategyConfig.SizingSettings.MinContracts = MinContracts;
+            _strategyConfig.SizingSettings.MaxContracts = MaxContracts;
+
+            _strategyConfig.Parameters["StopTicks"] = StopTicks;
+            _strategyConfig.Parameters["TargetTicks"] = TargetTicks;
+            _strategyConfig.Parameters["OpeningRangeMinutes"] = OpeningRangeMinutes;
+
+            if (_logger != null)
+            {
+                _logger.LogInformation(
+                    "Simple ORB configured: OR={0}min, Stop={1}ticks, Target={2}ticks",
+                    OpeningRangeMinutes,
+                    StopTicks,
+                    TargetTicks);
+            }
+        }
+    }
+}
+