> ⚠️ HISTORICAL — see docs/00-governance/ for current state

This file may contain outdated or mixed historical information.
Canonical current-state documentation lives in docs/00-governance/.
This file is retained for history/reference only.

# NT8-SDK — Gap Analysis & Roadmap
**Version:** 3.0 | **Date:** 2026-03-27 | Supersedes all previous gap analysis documents.

---

## Open Gaps

| ID | Description | Priority | Sprint |
|---|---|---|---|
| GAP-001 | Runner leg backtest validation (Qty=2 check). EntriesPerDirection=2 restored but not backtested. | CRITICAL | S2-05 |
| GAP-002 | orbRangeTicks not wired in DailyBarContext (hardcoded 0.0 in SimpleORBNT8.OnBarUpdate) | LOW | Sprint 3 |
| GAP-003 | Risk parameter consistency: RiskPerTrade can exceed MaxTradeRisk silently. No assertion. | HIGH | S2-06 |
| GAP-004 | GetRiskStatus() returns hardcoded limit rather than registered strategy config value | LOW | Sprint 3 |
| GAP-005 | No Gitea CI pipeline. Build and test are manual. | MEDIUM | Sprint 3 |
| GAP-006 | No n8n webhook alerts for fills, risk events, connection loss | MEDIUM | Sprint 3 |
| GAP-007 | No walk-forward / out-of-sample validation. All backtests are in-sample. | HIGH | S2-08 |
| GAP-008 | Short-side profitable only in crash regimes. No regime filter. | MEDIUM | Sprint 3 |
| GAP-009 | No tick replay backtest. OnBarClose simulation compresses trade duration. | LOW | Sprint 3 |

---

## Sprint Roadmap

### Sprint 2 (ACTIVE) — SIM Validation
Goal: 2+ weeks unattended SIM with dual-leg execution confirmed.
Key pending: GAP-001 (runner validation), GAP-003 (risk consistency), GAP-007 (walk-forward).

### Sprint 3 — Production Hardening
Goal: 30-day SIM clean. CI and alerts wired.
Key work: GAP-004 through GAP-009, VWAPMeanReversion skeleton.

### Sprint 4 — Live Capital
Gate: 30-day SIM PF > 2.0, max DD < $500.
Key work: Go live 1 NQ contract, OvernightGap strategies, ops runbook.

### Sprint 5 — ML Inference
Prerequisite: 60 days live data.
Key work: FastAPI /predict, MLSignalFactorCalculator as 11th factor.

---

## Strategy Backlog

| ID | Strategy | Priority | Notes |
|---|---|---|---|
| STRAT_079 | Liquidity Sweep Reversal | Medium | Potential short-trade improvement |
| STRAT_154 | Overnight Gap Continuation | High | Leverages existing SessionManager |
| STRAT_214 | Overnight Gap Reversion | High | Counter to STRAT_154 |
| LondonORB | London ORB (3:00 AM ET) | Medium | Separate LondonORBNT8 strategy file |
| VWAP-MR | VWAP Mean Reversion | High | Sprint 3 build target |

---

## Backtest Performance Reference

| Date | Period | Trades | Win% | PF | Net | Config |
|---|---|---|---|---|---|---|
| 2026-03-27 | Jan–Mar 2026 | 20 | 75% | **7.00** | $1,200 | trail=20 ✅ Production config |
| 2026-03-27 | Jan–Mar 2026 | 40 | 75% | 3.69 | $1,075 | trail=12 |
| 2026-03-27 | Mar 2025–Mar 2026 | 148 | 51% | 3.15 | $71,303 | 9 cts experimental |

Note: 148-trade run used RiskPerTrade=$500 + EntriesPerDirection=1 (runner blocked). Not a production reference.

---

# ARCHIVED BELOW — Original Gap Analysis (2026-02-17, superseded)

**Date:** February 17, 2026  
**Status:** Post Phase A-B-C NT8 Integration  
**Purpose:** Identify what was designed but never implemented  

---

## 🎯 Critical Finding

You're absolutely right - several **designed features were never implemented**. This happened during the rush to get the NT8 integration working.

---

## ❌ **MISSING: Debug Logging Configuration**

### What Was Designed
- **`EnableDebugLogging` property** on NT8StrategyBase
- **`LogLevel` configuration** (Trace/Debug/Info/Warning/Error)
- **Runtime toggle** to turn verbose logging on/off
- **Conditional logging** based on log level

### What Was Actually Implemented
- ❌ No debug toggle property
- ❌ No log level configuration
- ❌ No conditional logging
- ✅ Only basic `Print()` statements hardcoded

### Impact
- **CRITICAL** - Cannot debug strategies without recompiling
- Cannot see what's happening inside strategy logic
- No way to reduce log spam in production

### Status
🔴 **NOT IMPLEMENTED**

---

## ❌ **MISSING: Configuration Export/Import**

### What Was Designed
- **Export settings as JSON** for review/backup
- **Import settings from JSON** for consistency
- **Configuration templates** for different scenarios
- **Validation on import** to catch errors

### What Was Actually Implemented
- ❌ No export functionality
- ❌ No import functionality
- ❌ No JSON configuration support
- ✅ Only NT8 UI parameters (not exportable)

### Impact
- **HIGH** - Cannot share configurations between strategies
- Cannot version control settings
- Cannot review settings without running strategy
- Difficult to troubleshoot user configurations

### Status
🔴 **NOT IMPLEMENTED**

---

## ❌ **MISSING: Enhanced Logging Framework**

### What Was Designed
- **BasicLogger with log levels** (Trace/Debug/Info/Warn/Error/Critical)
- **Structured logging** with correlation IDs
- **Log file rotation** (daily files, keep 30 days)
- **Configurable log verbosity** per component
- **Performance logging** (latency tracking)

### What Was Actually Implemented
- ⚠️  PARTIAL - BasicLogger exists but minimal
- ❌ No log levels (everything logs at same level)
- ❌ No file rotation
- ❌ No structured logging
- ❌ No correlation IDs

### Impact
- **MEDIUM** - Logs are messy and hard to filter
- Cannot trace request flows through system
- Log files grow unbounded
- Difficult to diagnose production issues

### Status
🟡 **PARTIALLY IMPLEMENTED** (needs enhancement)

---

## ❌ **MISSING: Health Check System**

### What Was Designed
- **Health check endpoint** to query system status
- **Component status monitoring** (strategy, risk, OMS all healthy?)
- **Performance metrics** (average latency, error rates)
- **Alert on degradation** (performance drops, high error rates)

### What Was Actually Implemented
- ❌ No health check system
- ❌ No component monitoring
- ❌ No performance tracking
- ❌ No alerting

### Impact
- **HIGH** - Cannot monitor production system health
- No visibility into performance degradation
- Cannot detect issues until trades fail

### Status
🔴 **NOT IMPLEMENTED**

---

## ❌ **MISSING: Configuration Validation**

### What Was Designed
- **Schema validation** for configuration
- **Range validation** (e.g., DailyLossLimit > 0)
- **Dependency validation** (e.g., MaxTradeRisk < DailyLossLimit)
- **Helpful error messages** on invalid config

### What Was Actually Implemented
- ⚠️  PARTIAL - NT8 has `[Range]` attributes on some properties
- ❌ No cross-parameter validation
- ❌ No dependency checks
- ❌ No startup validation

### Impact
- **MEDIUM** - Users can configure invalid settings
- Runtime errors instead of startup errors
- Difficult to diagnose misconfiguration

### Status
🟡 **PARTIALLY IMPLEMENTED**

---

## ❌ **MISSING: Session Management**

### What Was Designed
- **CME calendar integration** for accurate session times
- **Session state tracking** (pre-market, RTH, ETH, closed)
- **Session-aware risk limits** (different limits for RTH vs ETH)
- **Holiday detection** (don't trade on holidays)

### What Was Actually Implemented
- ⚠️  PARTIAL - Hardcoded session times (9:30-16:00)
- ❌ No CME calendar
- ❌ No dynamic session detection
- ❌ No holiday awareness

### Impact
- **MEDIUM** - Strategies use wrong session times
- May trade when market is closed
- Risk limits not session-aware

### Status
🟡 **PARTIALLY IMPLEMENTED** (hardcoded times only)

---

## ❌ **MISSING: Emergency Controls**

### What Was Designed
- **Emergency flatten** button/command
- **Kill switch** to stop all trading immediately
- **Position reconciliation** on restart
- **Safe shutdown** sequence

### What Was Actually Implemented
- ❌ No emergency flatten
- ❌ No kill switch
- ❌ No reconciliation
- ❌ No safe shutdown

### Impact
- **CRITICAL** - Cannot stop runaway strategies
- No way to flatten positions in emergency
- Dangerous for live trading

### Status
🔴 **NOT IMPLEMENTED**

---

## ⚠️  **PARTIAL: Performance Monitoring**

### What Was Designed
- **Latency tracking** (OnBarUpdate, risk validation, order submission)
- **Performance counters** (bars/second, orders/second)
- **Performance alerting** (when latency exceeds thresholds)
- **Performance reporting** (daily performance summary)

### What Was Actually Implemented
- ✅ Performance benchmarks exist in test suite
- ❌ No runtime latency tracking
- ❌ No performance counters
- ❌ No alerting
- ❌ No reporting

### Impact
- **MEDIUM** - Cannot monitor production performance
- Cannot detect performance degradation
- No visibility into system throughput

### Status
🟡 **PARTIALLY IMPLEMENTED** (tests only, not production)

---

## ⚠️  **PARTIAL: Error Recovery**

### What Was Designed
- **Connection loss recovery** (reconnect with exponential backoff)
- **Order state synchronization** after disconnect
- **Graceful degradation** (continue with reduced functionality)
- **Circuit breakers** (halt trading on repeated errors)

### What Was Actually Implemented
- ❌ No connection recovery
- ❌ No state synchronization
- ❌ No graceful degradation
- ❌ No circuit breakers

### Impact
- **CRITICAL** - System fails permanently on connection loss
- No automatic recovery
- Dangerous for production

### Status
🔴 **NOT IMPLEMENTED**

---

## ✅ **IMPLEMENTED: Core Trading Features**

### What Works Well
- ✅ Order state machine (complete)
- ✅ Multi-tier risk management (complete)
- ✅ Position sizing (complete)
- ✅ Confluence scoring (complete)
- ✅ Regime detection (complete)
- ✅ Analytics & reporting (complete)
- ✅ NT8 integration (basic - compiles and runs)

---

## 📊 Implementation Status Summary

| Category | Status | Impact | Priority |
|----------|--------|--------|----------|
| **Debug Logging** | 🔴 Missing | Critical | P0 |
| **Config Export** | 🔴 Missing | High | P1 |
| **Health Checks** | 🔴 Missing | High | P1 |
| **Emergency Controls** | 🔴 Missing | Critical | P0 |
| **Error Recovery** | 🔴 Missing | Critical | P0 |
| **Logging Framework** | 🟡 Partial | Medium | P2 |
| **Session Management** | 🟡 Partial | Medium | P2 |
| **Performance Mon** | 🟡 Partial | Medium | P2 |
| **Config Validation** | 🟡 Partial | Medium | P3 |
| **Core Trading** | ✅ Complete | N/A | Done |

---

## 🎯 Recommended Implementation Order

### **Phase 1: Critical Safety Features (P0) - 6-8 hours**

**Must have before ANY live trading:**

1. **Debug Logging Toggle** (1 hour)
   - Add `EnableDebugLogging` property
   - Add conditional logging throughout
   - Add log level configuration

2. **Emergency Flatten** (2 hours)
   - Add emergency flatten method
   - Add kill switch property
   - Add to UI as parameter

3. **Error Recovery** (3-4 hours)
   - Connection loss detection
   - Reconnect logic
   - State synchronization
   - Circuit breakers

---

### **Phase 2: Operations & Debugging (P1) - 4-6 hours**

**Makes debugging and operations possible:**

1. **Configuration Export/Import** (2 hours)
   - Export to JSON
   - Import from JSON
   - Validation on load

2. **Health Check System** (2-3 hours)
   - Component status checks
   - Performance metrics
   - Alert thresholds

3. **Enhanced Logging** (1 hour)
   - Log levels
   - Structured logging
   - Correlation IDs

---

### **Phase 3: Production Polish (P2-P3) - 4-6 hours**

**Nice to have for production:**

1. **Session Management** (2 hours)
   - CME calendar
   - Dynamic session detection

2. **Performance Monitoring** (2 hours)
   - Runtime latency tracking
   - Performance counters
   - Daily reports

3. **Config Validation** (1-2 hours)
   - Cross-parameter validation
   - Dependency checks
   - Startup validation

---

## 💡 Why This Happened

Looking at the timeline:
1. **Phases 0-5** focused on core trading logic (correctly)
2. **NT8 Integration (Phases A-C)** rushed to get it working
3. **Production readiness features** were designed but deferred
4. **Zero trades issue** exposed the gap (no debugging capability)

**This is actually NORMAL and GOOD:**
- ✅ Got the hard part (trading logic) right first
- ✅ Integration is working (compiles, loads, initializes)
- ⚠️  Now need production hardening before live trading

---

## ✅ Action Plan

### **Immediate (Right Now)**

Hand Kilocode **TWO CRITICAL SPECS:**

1. **`DEBUG_LOGGING_SPEC.md`** - Add debug toggle and enhanced logging
2. **`DIAGNOSTIC_LOGGING_SPEC.md`** (already created) - Add verbose output

**Time:** 2-3 hours for Kilocode to implement both

**Result:** You'll be able to see what's happening and debug the zero trades issue

---

### **This Week**

After debugging zero trades:

3. **`EMERGENCY_CONTROLS_SPEC.md`** - Emergency flatten, kill switch
4. **`ERROR_RECOVERY_SPEC.md`** - Connection recovery, circuit breakers

**Time:** 6-8 hours

**Result:** Safe for extended simulation testing

---

### **Next Week**

5. **`CONFIG_EXPORT_SPEC.md`** - JSON export/import
6. **`HEALTH_CHECK_SPEC.md`** - System monitoring

**Time:** 4-6 hours

**Result:** Ready for production deployment planning

---

## 🎉 Silver Lining

**The GOOD news:**
- ✅ Core trading engine is rock-solid (240+ tests, all passing)
- ✅ NT8 integration fundamentals work (compiles, loads, initializes)
- ✅ Architecture is sound (adding these features won't require redesign)

**The WORK:**
- 🔴 ~15-20 hours of production hardening features remain
- 🔴 Most are straightforward to implement
- 🔴 All are well-designed (specs exist or are easy to create)

---

## 📋 **What to Do Next**

**Option A: Debug First (Recommended)**
1. Give Kilocode the diagnostic logging spec
2. Get zero trades issue fixed
3. Then implement safety features

**Option B: Safety First**
1. Implement emergency controls and error recovery
2. Then debug zero trades with safety net in place

**My Recommendation:** **Option A** - fix zero trades first so you can validate the core logic works, THEN add safety features before extended testing.

---

**You were 100% right to call this out. These gaps need to be filled before production trading.**

Want me to create the specs for the critical missing features?