nt8-sdk/TASK-03-trailing-stop.md

TASK-03: Fix TrailingStopManager Placeholder Math

File: src/NT8.Core/Execution/TrailingStopManager.cs Priority: HIGH No dependencies Estimated time: 1 hour

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Background

CalculateNewStopPrice() has three broken cases:

FixedTrailing (broken):

return marketPrice - (position.AverageFillPrice - position.AverageFillPrice); // always 0

ATRTrailing (placeholder):

return marketPrice - (position.AverageFillPrice * 0.01m); // uses fill price as ATR proxy

Chandelier (placeholder):

return marketPrice - (position.AverageFillPrice * 0.01m); // same placeholder

The TrailingStopConfig class has these fields available — use them:

• TrailingAmountTicks — integer, tick count for fixed trailing distance
• AtrMultiplier — decimal, multiplier for ATR-based methods
• Type — StopType enum

Look at TrailingStopConfig in the same file or nearby to confirm field names before editing.

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Exact Changes Required

Replace the entire switch body inside CalculateNewStopPrice() with correct math.

Use tick size = 0.25m as the default (ES/NQ standard). The config should ideally carry tick size, but since it currently does not, use 0.25m as the constant for now with a comment explaining it.

switch (type)
{
    case StopType.FixedTrailing:
    {
        // Trail by a fixed number of ticks from current market price.
        // TrailingAmountTicks comes from config; default 8 if zero.
        var tickSize = 0.25m;
        var trailingTicks = config.TrailingAmountTicks > 0 ? config.TrailingAmountTicks : 8;
        var distance = trailingTicks * tickSize;

        return position.Side == OMS.OrderSide.Buy
            ? marketPrice - distance
            : marketPrice + distance;
    }

    case StopType.ATRTrailing:
    {
        // Trail by AtrMultiplier * estimated ATR.
        // We do not have live ATR here, so approximate ATR as (EntryPrice * 0.005)
        // which is ~0.5% — a conservative proxy for ES/NQ.
        // TODO: pass actual ATR value via config when available.
        var atrMultiplier = config.AtrMultiplier > 0 ? config.AtrMultiplier : 2.0m;
        var estimatedAtr = position.AverageFillPrice * 0.005m;
        var distance = atrMultiplier * estimatedAtr;

        return position.Side == OMS.OrderSide.Buy
            ? marketPrice - distance
            : marketPrice + distance;
    }

    case StopType.Chandelier:
    {
        // Chandelier exit: trail from highest high (approximated as marketPrice)
        // minus AtrMultiplier * ATR.
        // Full implementation requires bar history; use same ATR proxy for now.
        // TODO: pass highest-high and actual ATR via config.
        var chanMultiplier = config.AtrMultiplier > 0 ? config.AtrMultiplier : 3.0m;
        var estimatedAtr = position.AverageFillPrice * 0.005m;
        var distance = chanMultiplier * estimatedAtr;

        return position.Side == OMS.OrderSide.Buy
            ? marketPrice - distance
            : marketPrice + distance;
    }

    case StopType.PercentageTrailing:
    {
        // Existing logic is correct — percentage of current price.
        var pctTrail = 0.02m;
        return position.Side == OMS.OrderSide.Buy
            ? marketPrice * (1 - pctTrail)
            : marketPrice * (1 + pctTrail);
    }

    default:
    {
        // Fixed trailing as fallback
        var tickSize = 0.25m;
        var ticks = config.TrailingAmountTicks > 0 ? config.TrailingAmountTicks : 8;
        return position.Side == OMS.OrderSide.Buy
            ? marketPrice - (ticks * tickSize)
            : marketPrice + (ticks * tickSize);
    }
}

IMPORTANT: The config variable is NOT currently a parameter to CalculateNewStopPrice(). The current signature is:

public decimal CalculateNewStopPrice(StopType type, OMS.OrderStatus position, decimal marketPrice)

You need to add config as a parameter:

public decimal CalculateNewStopPrice(StopType type, OMS.OrderStatus position, decimal marketPrice, TrailingStopConfig config)

Then fix the ONE call site inside UpdateTrailingStop():

var newStopPrice = CalculateNewStopPrice(trailingStop.Config.Type, trailingStop.Position, currentPrice, trailingStop.Config);

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Also Create: New Unit Tests

Create tests/NT8.Core.Tests/Execution/TrailingStopManagerFixedTests.cs

// Tests that verify FixedTrailing actually moves the stop
// Test 1: Long position, FixedTrailing 8 ticks → stop = marketPrice - (8 * 0.25) = marketPrice - 2.0
// Test 2: Short position, FixedTrailing 8 ticks → stop = marketPrice + 2.0
// Test 3: ATRTrailing multiplier 2 → stop distance > 0
// Test 4: Stop only updates when favorable (existing UpdateTrailingStop logic test)

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Acceptance Criteria

• FixedTrailing for a long position at price 5100 with 8 ticks returns 5100 - 2.0 = 5098.0
• FixedTrailing for a short position at price 5100 with 8 ticks returns 5100 + 2.0 = 5102.0
• ATRTrailing returns a value meaningfully below market price for longs (not zero, not equal to price)
• Chandelier returns a value meaningfully below market price for longs (not zero)
• CalculateNewStopPrice signature updated — call site in UpdateTrailingStop() updated
• New unit tests pass
• All existing tests still pass
• verify-build.bat passes