chore: add deployment/backups and DLLs to .gitignore
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using System;
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using System.Collections.Generic;
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using NT8.Core.Common.Interfaces;
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using NT8.Core.Common.Models;
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using NT8.Core.Logging;
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using NT8.Core.Risk;
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using NT8.Core.Sizing;
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using NT8.Adapters.NinjaTrader;
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namespace NT8.Adapters.Wrappers
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{
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/// <summary>
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/// Base wrapper class for NT8 strategies that integrate with the SDK
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/// This is a template that would be extended in actual NT8 strategy files
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/// </summary>
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public abstract class BaseNT8StrategyWrapper
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{
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private readonly object _lock = new object();
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#region SDK Components
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protected IStrategy _sdkStrategy;
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protected IRiskManager _riskManager;
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protected IPositionSizer _positionSizer;
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protected NT8Adapter _nt8Adapter;
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protected StrategyConfig _strategyConfig;
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protected ILogger _logger;
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#endregion
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#region Properties
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/// <summary>
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/// Stop loss in ticks
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/// </summary>
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public int StopTicks { get; set; }
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/// <summary>
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/// Profit target in ticks (optional)
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/// </summary>
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public int TargetTicks { get; set; }
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/// <summary>
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/// Risk amount per trade in dollars
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/// </summary>
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public double RiskAmount { get; set; }
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#endregion
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#region Constructor
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/// <summary>
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/// Constructor for BaseNT8StrategyWrapper
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/// </summary>
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public BaseNT8StrategyWrapper()
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{
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// Set default values
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StopTicks = 10;
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TargetTicks = 20;
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RiskAmount = 100.0;
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// Initialize SDK components with default implementations.
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// Derived wrappers can replace these through InitializeSdkComponents.
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_logger = new BasicLogger("BaseNT8StrategyWrapper");
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_riskManager = new BasicRiskManager(_logger);
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_positionSizer = new BasicPositionSizer(_logger);
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InitializeSdkComponents(_riskManager, _positionSizer, _logger);
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}
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#endregion
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#region Abstract Methods
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/// <summary>
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/// Create the SDK strategy implementation
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/// </summary>
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protected abstract IStrategy CreateSdkStrategy();
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#endregion
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#region Public Methods
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/// <summary>
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/// Process a bar update (would be called from NT8's OnBarUpdate)
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/// </summary>
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public void ProcessBarUpdate(BarData barData, StrategyContext context)
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{
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if (barData == null)
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throw new ArgumentNullException("barData");
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if (context == null)
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throw new ArgumentNullException("context");
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try
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{
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StrategyIntent intent;
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lock (_lock)
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{
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if (_sdkStrategy == null)
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{
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throw new InvalidOperationException("SDK strategy has not been initialized.");
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}
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intent = _sdkStrategy.OnBar(barData, context);
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}
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if (intent != null)
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{
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ExecuteIntent(intent, context);
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}
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}
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catch (Exception ex)
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{
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if (_logger != null)
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{
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_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
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}
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throw;
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}
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}
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#endregion
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#region Private Methods
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/// <summary>
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/// Initialize SDK components
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/// </summary>
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protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
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{
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if (riskManager == null)
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throw new ArgumentNullException("riskManager");
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if (positionSizer == null)
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throw new ArgumentNullException("positionSizer");
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if (logger == null)
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throw new ArgumentNullException("logger");
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_riskManager = riskManager;
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_positionSizer = positionSizer;
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_logger = logger;
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_nt8Adapter = new NT8Adapter();
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_nt8Adapter.Initialize(_riskManager, _positionSizer);
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CreateSdkConfiguration();
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_sdkStrategy = CreateSdkStrategy();
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if (_sdkStrategy == null)
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throw new InvalidOperationException("CreateSdkStrategy returned null.");
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_sdkStrategy.Initialize(_strategyConfig, null, _logger);
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_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
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}
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/// <summary>
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/// Create SDK configuration from parameters
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/// </summary>
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private void CreateSdkConfiguration()
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{
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// Create risk configuration
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var riskConfig = new RiskConfig(
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dailyLossLimit: 500.0,
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maxTradeRisk: RiskAmount,
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maxOpenPositions: 5,
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emergencyFlattenEnabled: true
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);
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// Create sizing configuration
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var sizingConfig = new SizingConfig(
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method: SizingMethod.FixedDollarRisk,
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minContracts: 1,
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maxContracts: 100,
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riskPerTrade: RiskAmount,
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methodParameters: new Dictionary<string, object>()
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);
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// Create strategy configuration
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_strategyConfig = new StrategyConfig(
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name: "NT8Strategy",
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symbol: "Unknown",
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parameters: new Dictionary<string, object>(),
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riskSettings: riskConfig,
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sizingSettings: sizingConfig
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);
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}
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/// <summary>
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/// Execute strategy intent through NT8
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/// </summary>
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private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
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{
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if (intent == null)
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throw new ArgumentNullException("intent");
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if (context == null)
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throw new ArgumentNullException("context");
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try
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{
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SizingResult sizingResult;
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lock (_lock)
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{
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if (_positionSizer == null)
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{
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throw new InvalidOperationException("Position sizer has not been initialized.");
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}
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sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
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}
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_nt8Adapter.ExecuteIntent(intent, sizingResult);
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}
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catch (Exception ex)
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{
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if (_logger != null)
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{
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_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
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}
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throw;
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}
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}
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#endregion
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}
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}
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using System;
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using System.Collections.Generic;
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using NT8.Core.Common.Interfaces;
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using NT8.Core.Common.Models;
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using NT8.Core.Logging;
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using NT8.Adapters.NinjaTrader;
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namespace NT8.Adapters.Wrappers
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{
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/// <summary>
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/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
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/// This demonstrates how to implement a strategy that works with the SDK
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/// </summary>
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public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
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{
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#region Strategy Parameters
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/// <summary>
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/// Opening range period in minutes
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/// </summary>
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public int OpeningRangeMinutes { get; set; }
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/// <summary>
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/// Number of standard deviations for breakout threshold
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/// </summary>
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public double StdDevMultiplier { get; set; }
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#endregion
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#region Constructor
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/// <summary>
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/// Constructor for SimpleORBNT8Wrapper
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/// </summary>
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public SimpleORBNT8Wrapper()
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{
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OpeningRangeMinutes = 30;
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StdDevMultiplier = 1.0;
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}
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#endregion
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#region Base Class Implementation
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/// <summary>
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/// Exposes adapter reference for integration test assertions.
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/// </summary>
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public NT8Adapter GetAdapterForTesting()
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{
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return _nt8Adapter;
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}
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/// <summary>
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/// Create the SDK strategy implementation
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/// </summary>
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protected override IStrategy CreateSdkStrategy()
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{
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var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
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var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
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return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
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}
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#endregion
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#region Strategy Logic
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/// <summary>
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/// Simple ORB strategy implementation
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/// </summary>
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private class SimpleORBStrategy : IStrategy
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{
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private readonly int _openingRangeMinutes;
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private readonly double _stdDevMultiplier;
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private ILogger _logger;
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private DateTime _currentSessionDate;
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private DateTime _openingRangeStart;
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private DateTime _openingRangeEnd;
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private double _openingRangeHigh;
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private double _openingRangeLow;
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private bool _openingRangeReady;
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private bool _tradeTaken;
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public StrategyMetadata Metadata { get; private set; }
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public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
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{
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if (openingRangeMinutes <= 0)
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{
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throw new ArgumentException("openingRangeMinutes");
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}
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if (stdDevMultiplier <= 0.0)
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{
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throw new ArgumentException("stdDevMultiplier");
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}
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_openingRangeMinutes = openingRangeMinutes;
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_stdDevMultiplier = stdDevMultiplier;
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_currentSessionDate = DateTime.MinValue;
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_openingRangeStart = DateTime.MinValue;
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_openingRangeEnd = DateTime.MinValue;
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_openingRangeHigh = Double.MinValue;
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_openingRangeLow = Double.MaxValue;
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_openingRangeReady = false;
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_tradeTaken = false;
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Metadata = new StrategyMetadata(
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name: "Simple ORB",
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description: "Opening Range Breakout strategy",
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version: "1.0",
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author: "NT8 SDK Team",
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symbols: new string[] { "ES", "NQ", "YM" },
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requiredBars: 20
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);
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}
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public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
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{
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if (logger == null)
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{
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throw new ArgumentNullException("logger");
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}
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_logger = logger;
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_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
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}
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public StrategyIntent OnBar(BarData bar, StrategyContext context)
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{
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if (bar == null)
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{
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throw new ArgumentNullException("bar");
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}
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if (context == null)
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{
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throw new ArgumentNullException("context");
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}
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try
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{
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if (_currentSessionDate != context.CurrentTime.Date)
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{
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ResetSession(context.Session.SessionStart);
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}
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if (bar.Time <= _openingRangeEnd)
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{
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UpdateOpeningRange(bar);
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return null;
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}
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if (!_openingRangeReady)
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{
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if (_openingRangeHigh > _openingRangeLow)
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{
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_openingRangeReady = true;
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}
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else
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{
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return null;
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}
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}
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if (_tradeTaken)
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{
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return null;
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}
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var openingRange = _openingRangeHigh - _openingRangeLow;
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var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
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if (volatilityBuffer < 0)
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{
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volatilityBuffer = 0;
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}
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var longTrigger = _openingRangeHigh + volatilityBuffer;
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var shortTrigger = _openingRangeLow - volatilityBuffer;
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if (bar.Close > longTrigger)
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{
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_tradeTaken = true;
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return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
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}
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if (bar.Close < shortTrigger)
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{
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_tradeTaken = true;
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return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
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}
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return null;
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}
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catch (Exception ex)
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{
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if (_logger != null)
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{
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_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
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}
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throw;
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}
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}
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public StrategyIntent OnTick(TickData tick, StrategyContext context)
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{
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// Most strategies don't need tick-level logic
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return null;
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}
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public Dictionary<string, object> GetParameters()
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{
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var parameters = new Dictionary<string, object>();
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parameters.Add("opening_range_minutes", _openingRangeMinutes);
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parameters.Add("std_dev_multiplier", _stdDevMultiplier);
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return parameters;
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}
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public void SetParameters(Dictionary<string, object> parameters)
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{
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// Parameters are constructor-bound for deterministic behavior in this wrapper.
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// Method retained for interface compatibility.
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}
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private void ResetSession(DateTime sessionStart)
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{
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_currentSessionDate = sessionStart.Date;
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_openingRangeStart = sessionStart;
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_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
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_openingRangeHigh = Double.MinValue;
|
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_openingRangeLow = Double.MaxValue;
|
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_openingRangeReady = false;
|
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_tradeTaken = false;
|
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}
|
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|
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private void UpdateOpeningRange(BarData bar)
|
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{
|
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if (bar.High > _openingRangeHigh)
|
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{
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_openingRangeHigh = bar.High;
|
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}
|
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|
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if (bar.Low < _openingRangeLow)
|
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{
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_openingRangeLow = bar.Low;
|
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}
|
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}
|
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private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
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{
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var metadata = new Dictionary<string, object>();
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metadata.Add("orb_high", _openingRangeHigh);
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metadata.Add("orb_low", _openingRangeLow);
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metadata.Add("orb_range", openingRange);
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metadata.Add("trigger_price", lastPrice);
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metadata.Add("multiplier", _stdDevMultiplier);
|
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|
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if (_logger != null)
|
||||
{
|
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_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
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}
|
||||
|
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return new StrategyIntent(
|
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symbol,
|
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side,
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OrderType.Market,
|
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null,
|
||||
8,
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16,
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0.75,
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||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,229 +0,0 @@
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using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_154420
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_155513
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_160009
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_160457
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_165037
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
@@ -1,229 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Core.Risk;
|
||||
using NT8.Core.Sizing;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Base wrapper class for NT8 strategies that integrate with the SDK
|
||||
/// This is a template that would be extended in actual NT8 strategy files
|
||||
/// </summary>
|
||||
public abstract class BaseNT8StrategyWrapper
|
||||
{
|
||||
private readonly object _lock = new object();
|
||||
|
||||
#region SDK Components
|
||||
|
||||
protected IStrategy _sdkStrategy;
|
||||
protected IRiskManager _riskManager;
|
||||
protected IPositionSizer _positionSizer;
|
||||
protected NT8Adapter _nt8Adapter;
|
||||
protected StrategyConfig _strategyConfig;
|
||||
protected ILogger _logger;
|
||||
|
||||
#endregion
|
||||
|
||||
#region Properties
|
||||
|
||||
/// <summary>
|
||||
/// Stop loss in ticks
|
||||
/// </summary>
|
||||
public int StopTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Profit target in ticks (optional)
|
||||
/// </summary>
|
||||
public int TargetTicks { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Risk amount per trade in dollars
|
||||
/// </summary>
|
||||
public double RiskAmount { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for BaseNT8StrategyWrapper
|
||||
/// </summary>
|
||||
public BaseNT8StrategyWrapper()
|
||||
{
|
||||
// Set default values
|
||||
StopTicks = 10;
|
||||
TargetTicks = 20;
|
||||
RiskAmount = 100.0;
|
||||
|
||||
// Initialize SDK components with default implementations.
|
||||
// Derived wrappers can replace these through InitializeSdkComponents.
|
||||
_logger = new BasicLogger("BaseNT8StrategyWrapper");
|
||||
_riskManager = new BasicRiskManager(_logger);
|
||||
_positionSizer = new BasicPositionSizer(_logger);
|
||||
|
||||
InitializeSdkComponents(_riskManager, _positionSizer, _logger);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Abstract Methods
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected abstract IStrategy CreateSdkStrategy();
|
||||
|
||||
#endregion
|
||||
|
||||
#region Public Methods
|
||||
|
||||
/// <summary>
|
||||
/// Process a bar update (would be called from NT8's OnBarUpdate)
|
||||
/// </summary>
|
||||
public void ProcessBarUpdate(BarData barData, StrategyContext context)
|
||||
{
|
||||
if (barData == null)
|
||||
throw new ArgumentNullException("barData");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
StrategyIntent intent;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_sdkStrategy == null)
|
||||
{
|
||||
throw new InvalidOperationException("SDK strategy has not been initialized.");
|
||||
}
|
||||
|
||||
intent = _sdkStrategy.OnBar(barData, context);
|
||||
}
|
||||
|
||||
if (intent != null)
|
||||
{
|
||||
ExecuteIntent(intent, context);
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed processing bar update for {0}: {1}", context.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Private Methods
|
||||
|
||||
/// <summary>
|
||||
/// Initialize SDK components
|
||||
/// </summary>
|
||||
protected virtual void InitializeSdkComponents(IRiskManager riskManager, IPositionSizer positionSizer, ILogger logger)
|
||||
{
|
||||
if (riskManager == null)
|
||||
throw new ArgumentNullException("riskManager");
|
||||
if (positionSizer == null)
|
||||
throw new ArgumentNullException("positionSizer");
|
||||
if (logger == null)
|
||||
throw new ArgumentNullException("logger");
|
||||
|
||||
_riskManager = riskManager;
|
||||
_positionSizer = positionSizer;
|
||||
_logger = logger;
|
||||
|
||||
_nt8Adapter = new NT8Adapter();
|
||||
_nt8Adapter.Initialize(_riskManager, _positionSizer);
|
||||
|
||||
CreateSdkConfiguration();
|
||||
|
||||
_sdkStrategy = CreateSdkStrategy();
|
||||
if (_sdkStrategy == null)
|
||||
throw new InvalidOperationException("CreateSdkStrategy returned null.");
|
||||
|
||||
_sdkStrategy.Initialize(_strategyConfig, null, _logger);
|
||||
|
||||
_logger.LogInformation("Base NT8 strategy wrapper initialized for symbol {0}", _strategyConfig.Symbol);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create SDK configuration from parameters
|
||||
/// </summary>
|
||||
private void CreateSdkConfiguration()
|
||||
{
|
||||
// Create risk configuration
|
||||
var riskConfig = new RiskConfig(
|
||||
dailyLossLimit: 500.0,
|
||||
maxTradeRisk: RiskAmount,
|
||||
maxOpenPositions: 5,
|
||||
emergencyFlattenEnabled: true
|
||||
);
|
||||
|
||||
// Create sizing configuration
|
||||
var sizingConfig = new SizingConfig(
|
||||
method: SizingMethod.FixedDollarRisk,
|
||||
minContracts: 1,
|
||||
maxContracts: 100,
|
||||
riskPerTrade: RiskAmount,
|
||||
methodParameters: new Dictionary<string, object>()
|
||||
);
|
||||
|
||||
// Create strategy configuration
|
||||
_strategyConfig = new StrategyConfig(
|
||||
name: "NT8Strategy",
|
||||
symbol: "Unknown",
|
||||
parameters: new Dictionary<string, object>(),
|
||||
riskSettings: riskConfig,
|
||||
sizingSettings: sizingConfig
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Execute strategy intent through NT8
|
||||
/// </summary>
|
||||
private void ExecuteIntent(StrategyIntent intent, StrategyContext context)
|
||||
{
|
||||
if (intent == null)
|
||||
throw new ArgumentNullException("intent");
|
||||
if (context == null)
|
||||
throw new ArgumentNullException("context");
|
||||
|
||||
try
|
||||
{
|
||||
SizingResult sizingResult;
|
||||
|
||||
lock (_lock)
|
||||
{
|
||||
if (_positionSizer == null)
|
||||
{
|
||||
throw new InvalidOperationException("Position sizer has not been initialized.");
|
||||
}
|
||||
|
||||
sizingResult = _positionSizer.CalculateSize(intent, context, _strategyConfig.SizingSettings);
|
||||
}
|
||||
|
||||
_nt8Adapter.ExecuteIntent(intent, sizingResult);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("Failed executing intent for {0}: {1}", intent.Symbol, ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
@@ -1,280 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using NT8.Core.Common.Interfaces;
|
||||
using NT8.Core.Common.Models;
|
||||
using NT8.Core.Logging;
|
||||
using NT8.Adapters.NinjaTrader;
|
||||
|
||||
namespace NT8.Adapters.Wrappers
|
||||
{
|
||||
/// <summary>
|
||||
/// Simple ORB (Opening Range Breakout) strategy wrapper for NT8
|
||||
/// This demonstrates how to implement a strategy that works with the SDK
|
||||
/// </summary>
|
||||
public class SimpleORBNT8Wrapper : BaseNT8StrategyWrapper
|
||||
{
|
||||
#region Strategy Parameters
|
||||
|
||||
/// <summary>
|
||||
/// Opening range period in minutes
|
||||
/// </summary>
|
||||
public int OpeningRangeMinutes { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Number of standard deviations for breakout threshold
|
||||
/// </summary>
|
||||
public double StdDevMultiplier { get; set; }
|
||||
|
||||
#endregion
|
||||
|
||||
#region Constructor
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for SimpleORBNT8Wrapper
|
||||
/// </summary>
|
||||
public SimpleORBNT8Wrapper()
|
||||
{
|
||||
OpeningRangeMinutes = 30;
|
||||
StdDevMultiplier = 1.0;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Base Class Implementation
|
||||
|
||||
/// <summary>
|
||||
/// Exposes adapter reference for integration test assertions.
|
||||
/// </summary>
|
||||
public NT8Adapter GetAdapterForTesting()
|
||||
{
|
||||
return _nt8Adapter;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create the SDK strategy implementation
|
||||
/// </summary>
|
||||
protected override IStrategy CreateSdkStrategy()
|
||||
{
|
||||
var openingRangeMinutes = OpeningRangeMinutes > 0 ? OpeningRangeMinutes : 30;
|
||||
var stdDevMultiplier = StdDevMultiplier > 0.0 ? StdDevMultiplier : 1.0;
|
||||
return new SimpleORBStrategy(openingRangeMinutes, stdDevMultiplier);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Strategy Logic
|
||||
|
||||
/// <summary>
|
||||
/// Simple ORB strategy implementation
|
||||
/// </summary>
|
||||
private class SimpleORBStrategy : IStrategy
|
||||
{
|
||||
private readonly int _openingRangeMinutes;
|
||||
private readonly double _stdDevMultiplier;
|
||||
|
||||
private ILogger _logger;
|
||||
private DateTime _currentSessionDate;
|
||||
private DateTime _openingRangeStart;
|
||||
private DateTime _openingRangeEnd;
|
||||
private double _openingRangeHigh;
|
||||
private double _openingRangeLow;
|
||||
private bool _openingRangeReady;
|
||||
private bool _tradeTaken;
|
||||
|
||||
public StrategyMetadata Metadata { get; private set; }
|
||||
|
||||
public SimpleORBStrategy(int openingRangeMinutes, double stdDevMultiplier)
|
||||
{
|
||||
if (openingRangeMinutes <= 0)
|
||||
{
|
||||
throw new ArgumentException("openingRangeMinutes");
|
||||
}
|
||||
|
||||
if (stdDevMultiplier <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("stdDevMultiplier");
|
||||
}
|
||||
|
||||
_openingRangeMinutes = openingRangeMinutes;
|
||||
_stdDevMultiplier = stdDevMultiplier;
|
||||
|
||||
_currentSessionDate = DateTime.MinValue;
|
||||
_openingRangeStart = DateTime.MinValue;
|
||||
_openingRangeEnd = DateTime.MinValue;
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
|
||||
Metadata = new StrategyMetadata(
|
||||
name: "Simple ORB",
|
||||
description: "Opening Range Breakout strategy",
|
||||
version: "1.0",
|
||||
author: "NT8 SDK Team",
|
||||
symbols: new string[] { "ES", "NQ", "YM" },
|
||||
requiredBars: 20
|
||||
);
|
||||
}
|
||||
|
||||
public void Initialize(StrategyConfig config, IMarketDataProvider dataProvider, ILogger logger)
|
||||
{
|
||||
if (logger == null)
|
||||
{
|
||||
throw new ArgumentNullException("logger");
|
||||
}
|
||||
|
||||
_logger = logger;
|
||||
_logger.LogInformation("SimpleORBStrategy initialized with OR period {0} minutes and multiplier {1:F2}", _openingRangeMinutes, _stdDevMultiplier);
|
||||
}
|
||||
|
||||
public StrategyIntent OnBar(BarData bar, StrategyContext context)
|
||||
{
|
||||
if (bar == null)
|
||||
{
|
||||
throw new ArgumentNullException("bar");
|
||||
}
|
||||
|
||||
if (context == null)
|
||||
{
|
||||
throw new ArgumentNullException("context");
|
||||
}
|
||||
|
||||
try
|
||||
{
|
||||
if (_currentSessionDate != context.CurrentTime.Date)
|
||||
{
|
||||
ResetSession(context.Session.SessionStart);
|
||||
}
|
||||
|
||||
if (bar.Time <= _openingRangeEnd)
|
||||
{
|
||||
UpdateOpeningRange(bar);
|
||||
return null;
|
||||
}
|
||||
|
||||
if (!_openingRangeReady)
|
||||
{
|
||||
if (_openingRangeHigh > _openingRangeLow)
|
||||
{
|
||||
_openingRangeReady = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
if (_tradeTaken)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var openingRange = _openingRangeHigh - _openingRangeLow;
|
||||
var volatilityBuffer = openingRange * (_stdDevMultiplier - 1.0);
|
||||
if (volatilityBuffer < 0)
|
||||
{
|
||||
volatilityBuffer = 0;
|
||||
}
|
||||
|
||||
var longTrigger = _openingRangeHigh + volatilityBuffer;
|
||||
var shortTrigger = _openingRangeLow - volatilityBuffer;
|
||||
|
||||
if (bar.Close > longTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Buy, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
if (bar.Close < shortTrigger)
|
||||
{
|
||||
_tradeTaken = true;
|
||||
return CreateIntent(context.Symbol, OrderSide.Sell, openingRange, bar.Close);
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogError("SimpleORBStrategy OnBar failed: {0}", ex.Message);
|
||||
}
|
||||
|
||||
throw;
|
||||
}
|
||||
}
|
||||
|
||||
public StrategyIntent OnTick(TickData tick, StrategyContext context)
|
||||
{
|
||||
// Most strategies don't need tick-level logic
|
||||
return null;
|
||||
}
|
||||
|
||||
public Dictionary<string, object> GetParameters()
|
||||
{
|
||||
var parameters = new Dictionary<string, object>();
|
||||
parameters.Add("opening_range_minutes", _openingRangeMinutes);
|
||||
parameters.Add("std_dev_multiplier", _stdDevMultiplier);
|
||||
return parameters;
|
||||
}
|
||||
|
||||
public void SetParameters(Dictionary<string, object> parameters)
|
||||
{
|
||||
// Parameters are constructor-bound for deterministic behavior in this wrapper.
|
||||
// Method retained for interface compatibility.
|
||||
}
|
||||
|
||||
private void ResetSession(DateTime sessionStart)
|
||||
{
|
||||
_currentSessionDate = sessionStart.Date;
|
||||
_openingRangeStart = sessionStart;
|
||||
_openingRangeEnd = sessionStart.AddMinutes(_openingRangeMinutes);
|
||||
_openingRangeHigh = Double.MinValue;
|
||||
_openingRangeLow = Double.MaxValue;
|
||||
_openingRangeReady = false;
|
||||
_tradeTaken = false;
|
||||
}
|
||||
|
||||
private void UpdateOpeningRange(BarData bar)
|
||||
{
|
||||
if (bar.High > _openingRangeHigh)
|
||||
{
|
||||
_openingRangeHigh = bar.High;
|
||||
}
|
||||
|
||||
if (bar.Low < _openingRangeLow)
|
||||
{
|
||||
_openingRangeLow = bar.Low;
|
||||
}
|
||||
}
|
||||
|
||||
private StrategyIntent CreateIntent(string symbol, OrderSide side, double openingRange, double lastPrice)
|
||||
{
|
||||
var metadata = new Dictionary<string, object>();
|
||||
metadata.Add("orb_high", _openingRangeHigh);
|
||||
metadata.Add("orb_low", _openingRangeLow);
|
||||
metadata.Add("orb_range", openingRange);
|
||||
metadata.Add("trigger_price", lastPrice);
|
||||
metadata.Add("multiplier", _stdDevMultiplier);
|
||||
|
||||
if (_logger != null)
|
||||
{
|
||||
_logger.LogInformation("SimpleORBStrategy generated {0} intent for {1}. OR High={2:F2}, OR Low={3:F2}, Last={4:F2}", side, symbol, _openingRangeHigh, _openingRangeLow, lastPrice);
|
||||
}
|
||||
|
||||
return new StrategyIntent(
|
||||
symbol,
|
||||
side,
|
||||
OrderType.Market,
|
||||
null,
|
||||
8,
|
||||
16,
|
||||
0.75,
|
||||
"ORB breakout signal",
|
||||
metadata);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,6 +0,0 @@
|
||||
Deployment manifest
|
||||
Timestamp: 20260224_165831
|
||||
Source Core DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Core\bin\Release\net48\NT8.Core.dll
|
||||
Source Adapters DLL: C:\dev\nt8-sdk\deployment\..\src\NT8.Adapters\bin\Release\net48\NT8.Adapters.dll
|
||||
Destination Custom Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom
|
||||
Destination Strategies Folder: C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies
|
||||
Reference in New Issue
Block a user