157 lines
5.8 KiB
Markdown
157 lines
5.8 KiB
Markdown
# NT8 Institutional SDK - Phase 1 Project Plan
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## Project Overview
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This document outlines the Phase 1 development plan for the NT8 Institutional SDK. Phase 1 builds upon the completed Phase 0 foundation to deliver a more complete trading system with Order Management System (OMS), NinjaTrader 8 integration, enhanced risk controls, and market data handling.
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## Project Information
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- **Project ID**: 5652a2b1-20b2-442f-9800-d166acf5cd1d
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- **Title**: NT8 Institutional SDK
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- **Phase**: Phase 1 Development
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- **Status**: In Progress
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## Phase 1 Objectives
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1. Implement Order Management System (OMS) with smart order routing
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2. Develop NinjaTrader 8 adapter for integration
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3. Enhance risk controls with Tier 2 functionality
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4. Implement market data handling and validation
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5. Optimize system performance and add advanced algorithms
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## Created Tasks
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### 1. Order Management System (OMS)
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**Task ID**: 074d41ec-2947-4efd-9d77-d85ed24c29bf
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**Status**: todo
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**Feature**: oms
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Implementation of a comprehensive OMS with smart order routing and execution algorithms:
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- IOrderManager interface and OrderManager class
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- Support for Market, Limit, StopMarket, and StopLimit orders
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- Order validation logic
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- Smart order routing based on liquidity and cost
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- Multiple execution venues support
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- Routing configuration system and performance metrics
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- Execution algorithms (TWAP, VWAP, Iceberg)
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- Algorithm configuration and parameterization
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- Integration with existing risk management system
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- Order rate limiting and value limits
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- Circuit breaker functionality
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### 2. NinjaTrader 8 Adapter
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**Task ID**: e5771a2f-e7bf-46ad-962e-b2ceb757e184
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**Status**: todo
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**Feature**: nt8-adapter
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Development of a robust adapter for integrating with NinjaTrader 8 platform:
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- INT8Adapter interface and NT8Adapter class
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- Connection state management
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- Error handling and recovery
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- Real-time market data reception
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- Market data subscription mechanism
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- Support for different bar types and intervals
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- Data quality checks and validation
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- Buffering and throttling for high-frequency data
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- Order execution through NT8
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- Order submission, status tracking, and updates
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- Order cancellation and modification
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- Execution reporting and fill handling
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- NT8-specific data formats and conventions
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- Data type conversions and instrument definitions
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- Session and trading hours handling
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- NT8-specific error codes and handling
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### 3. Enhanced Risk Controls (Tier 2)
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**Task ID**: 655c0a70-a5e4-49f-bad1-3f6bac9e70a6
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**Status**: todo
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**Feature**: risk-management-tier2
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Extension of the risk management system with advanced Tier 2 controls:
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- Portfolio-level risk controls
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- Cross-symbol correlation analysis
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- Portfolio VaR (Value at Risk) calculations
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- Concentration limits by sector/asset class
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- Portfolio-level stop-losses
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- Advanced position tracking and management
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- Enhanced position tracking with Greeks and risk metrics
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- Position reconciliation mechanisms
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- Position flattening algorithms
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- Position reporting and visualization
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- Transaction cost analysis
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- Slippage tracking and analysis
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- Commission and fee tracking
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- Transaction cost reporting
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- Cost vs. benefit analysis tools
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- Scenario analysis and stress testing
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- Historical scenario analysis
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- Monte Carlo simulation capabilities
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- Stress testing framework
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- Scenario result visualization
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### 4. Market Data Handling
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**Task ID**: 8d6c7fa7-9b97-41be-a44c-d26079ae04e7
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**Status**: todo
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**Feature**: market-data
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Implementation of comprehensive market data handling and validation:
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- Market data provider interface and MarketDataProvider base class
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- Support for multiple data sources
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- Data source failover mechanisms
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- Market data quality validation
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- Data quality checks (gaps, spikes, etc.)
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- Data freshness monitoring
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- Data validation rules engine
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- Alerts for data quality issues
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- Historical data handling
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- Historical data retrieval support
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- Data storage and caching
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- Data compression and archiving
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- Historical data analysis tools
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- Real-time market data analytics
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- Real-time volatility calculations
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- Volume and liquidity analytics
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- Market regime detection
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- Real-time data visualization
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### 5. Performance Optimization
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**Task ID**: 597edb61-d818-4ed0-b6f0-6d55ec06a470
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**Status**: todo
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**Feature**: performance
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System performance optimization and advanced algorithms:
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- Core system performance optimization
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- Profiling and optimization of critical code paths
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- Object pooling for frequently used objects
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- Caching mechanisms for expensive calculations
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- Memory usage and garbage collection optimization
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- Advanced position sizing algorithms
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- Optimal f algorithm
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- Kelly criterion sizing
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- Volatility-adjusted sizing methods
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- Machine learning-based sizing approaches
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- Comprehensive monitoring and logging
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- Performance counters and metrics
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- Distributed tracing support
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- Enhanced logging with structured data
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- Monitoring dashboard
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- Parallel processing implementation
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- Opportunities for parallelization
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- Thread-safe data structures
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- Async/await patterns
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- Resource utilization optimization
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## Success Criteria
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- OMS implemented with smart order routing and execution algorithms
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- NT8 adapter successfully integrated and tested
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- Tier 2 risk controls operational with portfolio-level management
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- Market data handling robust with quality validation
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- System performance optimized with measurable improvements
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- All new functionality covered by automated tests (>90% coverage)
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- Documentation updated for all new components
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## Next Steps
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1. Begin implementation of Phase 1 tasks following the Archon workflow
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2. Update task status from "todo" to "doing" when work begins
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3. Conduct research for each task using Archon's research capabilities
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4. Implement solutions based on research findings
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5. Update task status to "review" upon completion
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6. Create new tasks as needed for Phase 2 development
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