Grade filter B minimum, MinTradeGrade property, session reset fix

src/NT8.Adapters/Strategies/NT8StrategyBase.cs

@@ -96,6 +96,11 @@ namespace NinjaTrader.NinjaScript.Strategies
         [Display(Name = "Verbose Logging", GroupName = "Debug", Order = 1)]
         public bool EnableVerboseLogging { get; set; }
 
+        [NinjaScriptProperty]
+        [Display(Name = "Min Trade Grade (0=F,1=D,2=C,3=B,4=A,5=A+)", GroupName = "Confluence", Order = 1)]
+        [Range(0, 6)]
+        public int MinTradeGrade { get; set; }
+
         [NinjaScriptProperty]
         [Display(Name = "Enable File Logging", GroupName = "Diagnostics", Order = 10)]
         public bool EnableFileLogging { get; set; }
@@ -190,6 +195,7 @@ namespace NinjaTrader.NinjaScript.Strategies
                 MaxContracts = 10;
                 EnableKillSwitch = false;
                 EnableVerboseLogging = false;
+                MinTradeGrade = 4;
                 EnableFileLogging = true;
                 LogDirectory = string.Empty;
                 EnableLongTrades = true;
@@ -941,6 +947,7 @@ namespace NinjaTrader.NinjaScript.Strategies
             lines.Add("--- Controls ---");
             lines.Add(string.Format("EnableKillSwitch   : {0}", EnableKillSwitch));
             lines.Add(string.Format("EnableVerboseLogging: {0}", EnableVerboseLogging));
+            lines.Add(string.Format("MinTradeGrade      : {0}", MinTradeGrade));
             lines.Add(string.Format("EnableFileLogging  : {0}", EnableFileLogging));
             lines.Add(string.Format("LogDirectory       : {0}", string.IsNullOrEmpty(LogDirectory) ? "(default)" : LogDirectory));
             lines.Add("--- Portfolio ---");

src/NT8.Adapters/Strategies/SimpleORBNT8.cs

@@ -118,6 +118,7 @@ namespace NinjaTrader.NinjaScript.Strategies
             _strategyConfig.Parameters["StopTicks"] = StopTicks;
             _strategyConfig.Parameters["TargetTicks"] = TargetTicks;
             _strategyConfig.Parameters["OpeningRangeMinutes"] = OpeningRangeMinutes;
+            _strategyConfig.Parameters["MinTradeGrade"] = MinTradeGrade;
 
             if (Instrument != null && Instrument.MasterInstrument != null)
             {
@@ -150,14 +151,15 @@ namespace NinjaTrader.NinjaScript.Strategies
             lines.Insert(endIdx + 2, string.Format("StdDevMultiplier   : {0:F2}", StdDevMultiplier));
             lines.Insert(endIdx + 3, string.Format("StopTicks          : {0}", StopTicks));
             lines.Insert(endIdx + 4, string.Format("TargetTicks        : {0}", TargetTicks));
+            lines.Insert(endIdx + 5, string.Format("MinTradeGrade      : {0}", MinTradeGrade));
 
             double tickDollarValue = 0.25 * 50.0;
             if (Instrument != null && Instrument.MasterInstrument != null)
                 tickDollarValue = Instrument.MasterInstrument.TickSize * Instrument.MasterInstrument.PointValue;
 
-            lines.Insert(endIdx + 5, string.Format("StopDollars        : {0:C}", StopTicks * tickDollarValue));
+            lines.Insert(endIdx + 6, string.Format("StopDollars        : {0:C}", StopTicks * tickDollarValue));
-            lines.Insert(endIdx + 6, string.Format("TargetDollars      : {0:C}", TargetTicks * tickDollarValue));
+            lines.Insert(endIdx + 7, string.Format("TargetDollars      : {0:C}", TargetTicks * tickDollarValue));
-            lines.Insert(endIdx + 7, string.Format("RR_Ratio           : {0:F2}:1", (double)TargetTicks / StopTicks));
+            lines.Insert(endIdx + 8, string.Format("RR_Ratio           : {0:F2}:1", (double)TargetTicks / StopTicks));
 
             return lines;
         }

src/NT8.Core/Intelligence/GradeFilter.cs

@@ -109,8 +109,8 @@ namespace NT8.Core.Intelligence
 
         private void InitializeDefaults()
         {
-            _minimumGradeByMode.Add(RiskMode.ECP, TradeGrade.B);
+            _minimumGradeByMode.Add(RiskMode.ECP, TradeGrade.C);
-            _minimumGradeByMode.Add(RiskMode.PCP, TradeGrade.C);
+            _minimumGradeByMode.Add(RiskMode.PCP, TradeGrade.B);
             _minimumGradeByMode.Add(RiskMode.DCP, TradeGrade.A);
             _minimumGradeByMode.Add(RiskMode.HR, TradeGrade.APlus);
 

src/NT8.Strategies/Examples/SimpleORBStrategy.cs

@@ -153,9 +153,13 @@ namespace NT8.Strategies.Examples
                     UpdateRiskMode(context);
                     UpdateConfluenceInputs(bar, context);
 
-                    if (_currentSessionDate != context.CurrentTime.Date)
+                    DateTime thisSessionStart = context.Session != null
+                        ? context.Session.SessionStart
+                        : context.CurrentTime.Date.AddHours(9.5);
+
+                    if (thisSessionStart != _openingRangeStart || _currentSessionDate == DateTime.MinValue)
                     {
-                        ResetSession(context.Session != null ? context.Session.SessionStart : context.CurrentTime.Date);
+                        ResetSession(thisSessionStart);
                     }
 
                     // Only trade during RTH
@@ -211,15 +215,23 @@ namespace NT8.Strategies.Examples
                     var score = _scorer.CalculateScore(candidate, context, bar, _factorCalculators);
                     var mode = _riskModeManager.GetCurrentMode();
 
-                    if (!_gradeFilter.ShouldAcceptTrade(score.Grade, mode))
+                    int minGradeValue = 4;
+                    if (_config != null && _config.Parameters != null && _config.Parameters.ContainsKey("MinTradeGrade"))
                     {
-                        var reason = _gradeFilter.GetRejectionReason(score.Grade, mode);
+                        var mgv = _config.Parameters["MinTradeGrade"];
-                        _logger.LogInformation(
+                        if (mgv is int)
-                            "SimpleORBStrategy rejected intent for {0}: Grade={1}, Mode={2}, Reason={3}",
+                            minGradeValue = (int)mgv;
-                            candidate.Symbol,
+                    }
-                            score.Grade,
+
-                            mode,
+                    TradeGrade minGrade = (TradeGrade)minGradeValue;
-                            reason);
+                    if ((int)score.Grade < (int)minGrade)
+                    {
+                        if (_logger != null)
+                            _logger.LogInformation(
+                                "SimpleORBStrategy filtered by grade: Score={0:F3} Grade={1} MinGrade={2}",
+                                score.WeightedScore,
+                                score.Grade,
+                                minGrade);
                         return null;
                     }
 
@@ -343,6 +355,13 @@ namespace NT8.Strategies.Examples
             _openingRangeLow = Double.MaxValue;
             _openingRangeReady = false;
             _tradeTaken = false;
+
+            if (_logger != null)
+                _logger.LogInformation(
+                    "Session reset: Date={0:yyyy-MM-dd} ORB window={1:HH:mm}-{2:HH:mm}",
+                    _currentSessionDate,
+                    _openingRangeStart,
+                    _openingRangeEnd);
         }
 
         private void UpdateOpeningRange(BarData bar)

tests/NT8.Core.Tests/Sizing/GradeBasedSizerTests.cs

@@ -149,9 +149,9 @@ namespace NT8.Core.Tests.Sizing
 
             var intent = CreateIntent();
             var context = CreateContext();
-            var confluence = CreateScore(TradeGrade.C, 0.61);
+            var confluence = CreateScore(TradeGrade.B, 0.71);
             var config = new SizingConfig(SizingMethod.FixedDollarRisk, 2, 10, 500.0, new Dictionary<string, object>());
-            var modeConfig = CreateModeConfig(RiskMode.PCP, 1.0, TradeGrade.C);
+            var modeConfig = CreateModeConfig(RiskMode.PCP, 1.0, TradeGrade.B);
 
             var result = sizer.CalculateGradeBasedSize(
                 intent,