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Phase 0 completion: NT8 SDK core framework with risk management and position sizing
2025-09-09 17:06:37 -04:00

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NT8 Institutional SDK - Phase 1 Sprint Plan

Overview

This document outlines the sprint plan for Phase 1 development of 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.

Sprint Goals

  1. Implement Order Management System (OMS) with smart order routing
  2. Develop NinjaTrader 8 adapter for integration
  3. Enhance risk controls with Tier 2 functionality
  4. Implement market data handling and validation
  5. Optimize performance and add advanced position sizing algorithms

Sprint Timeline

  • Duration: 3 weeks
  • Start Date: 2025-09-15
  • End Date: 2025-10-06
  • Review Date: 2025-10-07

Team Composition

  • 1 Architect
  • 2 Senior Developers
  • 1 QA Engineer
  • 1 DevOps Engineer

Sprint Backlog

Epic 1: Order Management System (OMS)

Objective: Implement a comprehensive OMS with smart order routing and execution algorithms.

User Stories:

  1. As a developer, I want to create an OMS interface that supports multiple order types

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Define IOrderManager interface
      • Implement OrderManager class with basic functionality
      • Add support for Market, Limit, StopMarket, and StopLimit orders
      • Implement order validation logic

  2. As a trader, I want the OMS to support smart order routing

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Implement routing logic based on liquidity and cost
      • Add support for multiple execution venues
      • Create routing configuration system
      • Add routing performance metrics

  3. As a developer, I want to implement execution algorithms

    • Priority: Medium
    • Story Points: 8
    • Tasks:
      • Implement TWAP (Time Weighted Average Price) algorithm
      • Implement VWAP (Volume Weighted Average Price) algorithm
      • Implement Iceberg order algorithm
      • Add algorithm configuration and parameterization

  4. As a risk manager, I want the OMS to enforce order limits and controls

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Integrate with existing risk management system
      • Add order rate limiting
      • Implement order value limits
      • Add circuit breaker functionality

Epic 2: NinjaTrader 8 Adapter

Objective: Develop a robust adapter for integrating with NinjaTrader 8 platform.

User Stories:

  1. As a developer, I want to create an adapter interface for NT8 integration

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Define INT8Adapter interface
      • Implement NT8Adapter class with basic connectivity
      • Add connection state management
      • Implement error handling and recovery

  2. As a trader, I want to receive real-time market data from NT8

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Implement market data subscription mechanism
      • Add support for different bar types and intervals
      • Implement data quality checks and validation
      • Add buffering and throttling for high-frequency data

  3. As a trader, I want to execute orders through NT8

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Implement order submission to NT8
      • Add order status tracking and updates
      • Implement order cancellation and modification
      • Add execution reporting and fill handling

  4. As a developer, I want to handle NT8-specific data formats and conventions

    • Priority: Medium
    • Story Points: 5
    • Tasks:
      • Implement data type conversions
      • Add support for NT8 instrument definitions
      • Handle NT8 session and trading hours
      • Implement NT8-specific error codes and handling

Epic 3: Enhanced Risk Controls (Tier 2)

Objective: Extend the risk management system with advanced Tier 2 controls.

User Stories:

  1. As a risk manager, I want to implement portfolio-level risk controls

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Add cross-symbol correlation analysis
      • Implement portfolio VaR (Value at Risk) calculations
      • Add concentration limits by sector/asset class
      • Implement portfolio-level stop-losses

  2. As a risk manager, I want advanced position tracking and management

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Enhance position tracking with Greeks and risk metrics
      • Add position reconciliation mechanisms
      • Implement position flattening algorithms
      • Add position reporting and visualization

  3. As a compliance officer, I want transaction cost analysis

    • Priority: Medium
    • Story Points: 5
    • Tasks:
      • Implement slippage tracking and analysis
      • Add commission and fee tracking
      • Create transaction cost reporting
      • Add cost vs. benefit analysis tools

  4. As a risk manager, I want scenario analysis and stress testing

    • Priority: Medium
    • Story Points: 8
    • Tasks:
      • Implement historical scenario analysis
      • Add Monte Carlo simulation capabilities
      • Create stress testing framework
      • Add scenario result visualization

Epic 4: Market Data Handling

Objective: Implement comprehensive market data handling and validation.

User Stories:

  1. As a developer, I want to create a market data provider interface

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Define IMarketDataProvider interface
      • Implement MarketDataProvider base class
      • Add support for multiple data sources
      • Implement data source failover mechanisms

  2. As a trader, I want to validate market data quality

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Implement data quality checks (gaps, spikes, etc.)
      • Add data freshness monitoring
      • Create data validation rules engine
      • Add alerts for data quality issues

  3. As a developer, I want to implement historical data handling

    • Priority: Medium
    • Story Points: 5
    • Tasks:
      • Add support for historical data retrieval
      • Implement data storage and caching
      • Add data compression and archiving
      • Create historical data analysis tools

  4. As a trader, I want real-time market data analytics

    • Priority: Medium
    • Story Points: 8
    • Tasks:
      • Implement real-time volatility calculations
      • Add volume and liquidity analytics
      • Create market regime detection
      • Add real-time data visualization

Epic 5: Performance Optimization

Objective: Optimize system performance and add advanced algorithms.

User Stories:

  1. As a developer, I want to optimize core system performance

    • Priority: High
    • Story Points: 8
    • Tasks:
      • Profile and optimize critical code paths
      • Implement object pooling for frequently used objects
      • Add caching mechanisms for expensive calculations
      • Optimize memory usage and garbage collection

  2. As a developer, I want to implement advanced position sizing algorithms

    • Priority: Medium
    • Story Points: 8
    • Tasks:
      • Implement Optimal f algorithm
      • Add Kelly criterion sizing
      • Create volatility-adjusted sizing methods
      • Add machine learning-based sizing approaches

  3. As a system administrator, I want comprehensive monitoring and logging

    • Priority: High
    • Story Points: 5
    • Tasks:
      • Implement performance counters and metrics
      • Add distributed tracing support
      • Enhance logging with structured data
      • Create monitoring dashboard

  4. As a developer, I want to implement parallel processing where appropriate

    • Priority: Medium
    • Story Points: 5
    • Tasks:
      • Identify opportunities for parallelization
      • Implement thread-safe data structures
      • Add async/await patterns where beneficial
      • Optimize resource utilization

Success Criteria

  1. OMS implemented with smart order routing and execution algorithms
  2. NT8 adapter successfully integrated and tested
  3. Tier 2 risk controls operational with portfolio-level management
  4. Market data handling robust with quality validation
  5. System performance optimized with measurable improvements
  6. All new functionality covered by automated tests (>90% coverage)
  7. Documentation updated for all new components

Risks and Mitigations

  1. Risk: Complexity of NT8 integration

    • Mitigation: Start with basic connectivity and incrementally add features

  2. Risk: Performance bottlenecks in OMS

    • Mitigation: Continuous profiling and optimization throughout development

  3. Risk: Data quality issues affecting risk calculations

    • Mitigation: Implement comprehensive data validation and quality monitoring

Dependencies

  1. Completion of Phase 0 (already completed)
  2. Access to NT8 development environment
  3. Market data feeds for testing
  4. Risk management team for validation of new controls

Definition of Done

  • Code implemented and reviewed
  • Unit tests written and passing (>90% coverage)
  • Integration tests completed
  • Documentation updated
  • Performance benchmarks met
  • Security review completed
  • Deployment package created