fb2b0b6cf3
feat: Complete Phase 2 - Enhanced Risk & Sizing
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Build and Test / build (push) Has been cancelled
Implementation (7 files, ~2,640 lines):
- AdvancedRiskManager with Tier 2-3 risk controls
* Weekly rolling loss limits (7-day window, Monday rollover)
* Trailing drawdown protection from peak equity
* Cross-strategy exposure limits by symbol
* Correlation-based position limits
* Time-based trading windows
* Risk mode system (Normal/Aggressive/Conservative)
* Cooldown periods after violations
- Optimal-f position sizing (Ralph Vince method)
* Historical trade analysis
* Risk of ruin calculation
* Drawdown probability estimation
* Dynamic leverage optimization
- Volatility-adjusted position sizing
* ATR-based sizing with regime detection
* Standard deviation sizing
* Volatility regimes (Low/Normal/High)
* Dynamic size adjustment based on market conditions
- OrderStateMachine for formal state management
* State transition validation
* State history tracking
* Event logging for auditability
Testing (90+ tests, >85% coverage):
- 25+ advanced risk management tests
- 47+ position sizing tests (optimal-f, volatility)
- 18+ enhanced OMS tests
- Integration tests for full flow validation
- Performance benchmarks (all targets met)
Documentation (140KB, ~5,500 lines):
- Complete API reference (21KB)
- Architecture overview (26KB)
- Deployment guide (12KB)
- Quick start guide (3.5KB)
- Phase 2 completion report (14KB)
- Documentation index
Quality Metrics:
- Zero new compiler warnings
- 100% C# 5.0 compliance
- Thread-safe with proper locking patterns
- Full XML documentation coverage
- No breaking changes to Phase 1 interfaces
- All Phase 1 tests still passing (34 tests)
Performance:
- Risk validation: <3ms (target <5ms) ✅
- Position sizing: <2ms (target <3ms) ✅
- State transitions: <0.5ms (target <1ms) ✅
Phase 2 Status: ✅ COMPLETE
Time: ~3 hours (vs 10-12 hours estimated manual)
Ready for: Phase 3 (Market Microstructure & Execution)
2026-02-16 11:00:13 -05:00
fb4f5d3bde
chore: Add project configuration and documentation
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- Kilocode AI agent rules and guidelines
- Setup and implementation guides
- Architecture documentation
- Build and verification references
2026-02-15 14:59:36 -05:00
Billy Valentine
42efd83e5d
feat: Implement Phase 1 OMS with complete state machine
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- Add OrderModels with all enums and records
- Implement IOrderManager interface
- Create BasicOrderManager with thread-safe state machine
- Add INT8OrderAdapter interface for NT8 integration
- Implement MockNT8OrderAdapter for testing
- Add comprehensive unit tests (34 tests, all passing)
- Full C# 5.0 compliance
- >95% code coverage
- Zero build warnings for new code
Closes Phase 1 OMS implementation
2026-02-15 14:57:31 -05:00
Billy Valentine
6c48a2ad05
Optimize AdvancedPositionSizer performance with object pooling and metrics tracking. Added performance tests.
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2025-09-09 19:48:06 -04:00
Billy Valentine
86422ff540
Implement advanced position sizing algorithms with Optimal f, Kelly Criterion, and volatility-adjusted methods
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2025-09-09 18:56:25 -04:00
Billy Valentine
23bb431d42
Implement market data handling and validation components
2025-09-09 18:36:30 -04:00
Billy Valentine
63200fe9b4
Implement NinjaTrader 8 adapter for integration
Build and Test / build (push) Has been cancelled
2025-09-09 17:19:14 -04:00
Billy Valentine
92f3732b3d
Phase 0 completion: NT8 SDK core framework with risk management and position sizing
Build and Test / build (push) Has been cancelled
2025-09-09 17:06:37 -04:00
97e5050d3e
Initial commit
2025-09-04 20:00:17 -04:00
