177 lines
6.9 KiB
Markdown
177 lines
6.9 KiB
Markdown
# Project Context — NT8 SDK (Sprint 2: SIM Validation)
|
|
**Last Updated:** 2026-03-27
|
|
|
|
You are working on the **NT8 SDK** — an institutional-grade algorithmic futures trading system for NinjaTrader 8.
|
|
This is **production trading software**. Bugs cause real financial losses. Never take shortcuts.
|
|
|
|
---
|
|
|
|
## Onboarding / First Read (Canonical Order)
|
|
|
|
For every new Kilo session, start with `docs/00-governance/` as the primary source of truth:
|
|
1. `docs/00-governance/executive_summary.md`
|
|
2. `docs/00-governance/current_status.md`
|
|
3. `docs/00-governance/active_work.md`
|
|
4. `docs/00-governance/architecture.md`
|
|
5. `docs/00-governance/roadmap.md`
|
|
|
|
`PROJECT_HANDOVER.md` and `DESIGNED_VS_IMPLEMENTED_GAP_ANALYSIS.md` are historical/contextual references only. Use them for background, not for authoritative current direction.
|
|
|
|
---
|
|
|
|
## Critical Rules for Kilocode
|
|
|
|
1. **Only modify files listed in the task spec.** Never touch adjacent code.
|
|
2. **C# 5.0 only.** No `$""`, no `?.`, no `=>` bodies, no `nameof()`, no async/await.
|
|
3. **Never remove XML documentation or comments.**
|
|
4. **Never change interface signatures** — IStrategy, IRiskManager, IPositionSizer, INT8ExecutionBridge are frozen.
|
|
5. **Always build before deploying:** `dotnet build NT8-SDK.sln --configuration Release`
|
|
6. **Always deploy to BOTH paths** after every code change:
|
|
- Repo: `C:\dev\nt8-sdk\src\NT8.Adapters\Strategies\`
|
|
- NT8: `C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies\`
|
|
7. **Never guess NT8 API signatures.** Verify at `https://developer.ninjatrader.com/docs/desktop`.
|
|
|
|
---
|
|
|
|
## Current State (2026-03-27)
|
|
|
|
**What works end-to-end:**
|
|
- SimpleORBStrategy with 10-factor confluence scoring
|
|
- NT8StrategyBase with session management, kill switch, connection recovery
|
|
- Dual-leg scaler + runner architecture (EntriesPerDirection=2 restored)
|
|
- PortfolioRiskManager singleton (kill switch, daily loss, contract cap)
|
|
- File logging (session log + settings export)
|
|
- Historical replay guard (_realtimeBarSeen)
|
|
- Execution confirmed in SIM on 2026-03-27
|
|
|
|
**Pending validation:**
|
|
- Runner leg dual-fill (Qty=2) — run backtest to confirm
|
|
- Breakeven + trail in live multi-bar scenario
|
|
|
|
---
|
|
|
|
## Architecture
|
|
|
|
```
|
|
SimpleORBNT8.cs NT8 entry point
|
|
↓
|
|
NT8StrategyBase.cs Abstract base: bar routing, kill switch, breakeven, runner trail
|
|
↓
|
|
SimpleORBStrategy.cs Signal: ORB detection, 10-factor confluence, _tradeTaken lock
|
|
↓
|
|
NT8OrderAdapter.cs INT8ExecutionBridge: EnterLong/EnterShort/SetStopLoss
|
|
↓
|
|
PortfolioRiskManager.cs Singleton: cross-strategy risk
|
|
↓
|
|
NinjaTrader 8
|
|
```
|
|
|
|
## Key Files
|
|
|
|
| File | Path |
|
|
|---|---|
|
|
| NT8StrategyBase.cs | `src\NT8.Adapters\Strategies\` |
|
|
| SimpleORBNT8.cs | `src\NT8.Adapters\Strategies\` |
|
|
| SimpleORBStrategy.cs | `src\NT8.Strategies\Examples\` |
|
|
| NT8OrderAdapter.cs | `src\NT8.Adapters\NinjaTrader\` |
|
|
| PortfolioRiskManager.cs | `src\NT8.Core\Risk\` |
|
|
| deploy-to-nt8.bat | `deployment\` |
|
|
|
|
## Active Sprint Tasks
|
|
|
|
See `SPRINT_BOARD.md` (at `docs\architecture\phase1_sprint_plan.md`) for full task list.
|
|
|
|
Immediate next action: Run Strategy Analyzer backtest (NQ JUN26, Jan 1 2026 → Mar 27 2026) and confirm `PNL_UPDATE Position=Short Qty=2` in session log to validate runner leg.
|
|
|
|
---
|
|
|
|
## What Is Already Built (Do Not Touch)
|
|
|
|
All core trading logic is complete and has 240+ passing tests:
|
|
|
|
| Layer | Status | Key Files |
|
|
|---|---|---|
|
|
| Risk (Tier 1-3) | ✅ Complete | `src/NT8.Core/Risk/` |
|
|
| Position Sizing | ✅ Complete | `src/NT8.Core/Sizing/` |
|
|
| OMS / Order Lifecycle | ✅ Complete | `src/NT8.Core/OMS/` |
|
|
| Intelligence | ✅ Complete | `src/NT8.Core/Intelligence/` |
|
|
| Analytics | ✅ Complete | `src/NT8.Core/Analytics/` |
|
|
| Execution Utilities | ✅ Complete | `src/NT8.Core/Execution/` |
|
|
| Market Data | ✅ Complete | `src/NT8.Core/MarketData/` |
|
|
|
|
**NT8 Order Execution is ALREADY WIRED.**
|
|
`NT8StrategyBase.SubmitOrderToNT8()` calls `EnterLong`, `EnterShort`, `SetStopLoss`, and
|
|
`SetProfitTarget` directly. The execution path works end-to-end. Do not re-implement it.
|
|
|
|
---
|
|
|
|
## What You Are Fixing (The Active Task List)
|
|
|
|
### CRITICAL — `NT8StrategyBase.cs`
|
|
|
|
**Gap 1 — No kill switch**
|
|
`NT8StrategyBase` has no `EnableKillSwitch` NinjaScript parameter and no early-exit in `OnBarUpdate()`.
|
|
A runaway strategy cannot be stopped without killing NinjaTrader.
|
|
**Fix:** Add `EnableKillSwitch` (bool NinjaScript property) and `EnableVerboseLogging` property.
|
|
Add kill switch check as the FIRST thing in `OnBarUpdate()`.
|
|
→ See `TASK-01-kill-switch.md`
|
|
|
|
**Gap 2 — `ExecutionCircuitBreaker` not wired**
|
|
`src/NT8.Core/Execution/ExecutionCircuitBreaker.cs` is complete and tested.
|
|
It is never instantiated. Orders submit regardless of latency or rejection conditions.
|
|
**Fix:** Instantiate in `InitializeSdkComponents()`, gate orders in `SubmitOrderToNT8()`, wire rejections in `OnOrderUpdate()`.
|
|
→ See `TASK-02-circuit-breaker.md`
|
|
|
|
### HIGH — `TrailingStopManager.cs`
|
|
|
|
**Gap 3 — Placeholder stop math returns zero**
|
|
`CalculateNewStopPrice()` FixedTrailing branch: `marketPrice - (x - x)` = always zero movement.
|
|
ATRTrailing and Chandelier also have meaningless placeholder formulas.
|
|
**Fix:** Replace with real calculations using `TrailingStopConfig.TrailingAmountTicks` and `AtrMultiplier`.
|
|
→ See `TASK-03-trailing-stop.md`
|
|
|
|
### HIGH — `BasicLogger.cs`
|
|
|
|
**Gap 4 — No log-level filter**
|
|
Every log statement writes to console unconditionally. Cannot suppress debug noise in production.
|
|
**Fix:** Add `MinimumLevel` property (defaults to `Information`). Suppress messages below threshold.
|
|
→ See `TASK-04-log-level.md`
|
|
|
|
### MEDIUM — `SessionManager.cs`
|
|
|
|
**Gap 5 — No holiday awareness**
|
|
`IsRegularTradingHours()` checks session times only. Will attempt to trade on Christmas, Thanksgiving, etc.
|
|
**Fix:** Add static CME holiday set for 2025/2026. Return `false` on those dates.
|
|
→ See `TASK-05-session-holidays.md`
|
|
|
|
---
|
|
|
|
## Architecture (Read Before Touching Anything)
|
|
|
|
```
|
|
SimpleORBStrategy.OnBar()
|
|
↓ returns StrategyIntent
|
|
NT8StrategyBase.OnBarUpdate()
|
|
↓ [TASK-01: kill switch check here, first]
|
|
↓ calls ProcessStrategyIntent()
|
|
↓ calls _riskManager.ValidateOrder()
|
|
↓ calls _positionSizer.CalculateSize()
|
|
↓ calls SubmitOrderToNT8()
|
|
↓ [TASK-02: circuit breaker gate here]
|
|
↓ calls EnterLong/EnterShort/SetStopLoss/SetProfitTarget (already works)
|
|
NT8 callbacks → OnOrderUpdate / OnExecutionUpdate
|
|
↓ [TASK-02: record rejections in circuit breaker here]
|
|
```
|
|
|
|
---
|
|
|
|
## Technology Constraints
|
|
|
|
- **C# 5.0 only** — no `$""`, no `?.`, no `=>` on methods/properties, no `nameof()`, no `out var`
|
|
- **.NET Framework 4.8** — not .NET Core/5+/6+
|
|
- **NinjaScript managed orders** — `EnterLong`, `EnterShort`, `SetStopLoss`, `SetProfitTarget`
|
|
- `string.Format()` everywhere, never string interpolation
|
|
- All `Dictionary`, `HashSet` access inside `lock (_lock)` blocks
|
|
- XML doc comments on all public members
|
|
- `try/catch` on all public methods with `LogError` in the catch
|