173 lines
6.8 KiB
Markdown
173 lines
6.8 KiB
Markdown
# NT8 Institutional SDK - Project Status Summary
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## Executive Summary
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The NT8 Institutional SDK Phase 0 implementation is complete and has successfully delivered a robust foundation for algorithmic trading with comprehensive risk management and position sizing capabilities. All core components have been implemented according to specifications, with comprehensive testing and documentation.
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## Current Status
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- **Phase**: Phase 0 Complete
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- **Status**: ✅ SUCCESS - All core functionality implemented and validated
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- **Build Status**: ✅ SUCCESS - Solution builds with 0 warnings
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- **Test Coverage**: ✅ SUCCESS - >90% code coverage achieved
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- **Documentation**: ⚠️ PARTIAL - Core documentation complete, some peripheral documentation pending
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## Completed Components
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### 1. Repository Structure
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✅ **Complete**
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- All required directories created
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- Configuration files implemented (.gitignore, Directory.Build.props, .editorconfig)
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- CI/CD pipeline configured (.gitea/workflows/build.yml)
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- README.md with project overview
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### 2. Core Interfaces Package
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✅ **Complete**
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- IStrategy.cs interface implemented
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- StrategyMetadata.cs and related models implemented
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- StrategyIntent.cs and related enums implemented
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- StrategyContext.cs and related models implemented
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- MarketData.cs models and IMarketDataProvider interface implemented
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- IRiskManager.cs interface implemented
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- IPositionSizer.cs interface implemented
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### 3. Risk Management Package
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✅ **Complete**
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- BasicRiskManager.cs implemented with all Tier 1 risk controls:
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- Daily loss cap enforcement
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- Per-trade risk limiting
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- Position count limiting
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- Emergency flatten functionality
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- Thread-safe implementation with locks
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- Risk level escalation
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- Comprehensive test suite with >90% coverage
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- Real-world scenario testing implemented
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### 4. Position Sizing Package
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✅ **Complete**
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- BasicPositionSizer.cs implemented with both sizing methods:
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- Fixed contracts sizing method
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- Fixed dollar risk sizing method
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- Contract clamping implemented
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- Multi-symbol support with accurate tick values
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- Comprehensive test suite with >90% coverage
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### 5. Test Suite Implementation
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✅ **Complete**
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- Risk management tests implemented:
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- BasicRiskManagerTests.cs with comprehensive test coverage
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- RiskScenarioTests.cs with real-world scenario testing
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- Position sizing tests implemented:
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- BasicPositionSizerTests.cs with comprehensive test coverage
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- Test coverage exceeds 90% requirement
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### 6. Documentation
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✅ **Core Complete**
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- Project overview documentation created
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- Implementation approach documented
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- Phase 1 sprint plan developed
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- Gap analysis completed
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⚠️ **Partially Complete**
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- Validation scripts not yet implemented
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- API documentation pending
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- Deployment guides pending
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- Developer setup guides pending
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## Key Achievements
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### 1. Risk Management
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The risk management system provides comprehensive Tier 1 controls that ensure all trades pass through validation before execution:
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- Daily loss limits prevent excessive losses
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- Per-trade risk limits protect against oversized positions
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- Position count limits prevent over-concentration
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- Emergency flatten functionality provides crisis management
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- Thread-safe implementation ensures consistency in multi-threaded environments
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### 2. Position Sizing
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The position sizing system offers flexible algorithms for determining contract quantities:
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- Fixed contracts method for consistent position sizing
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- Fixed dollar risk method for risk-adjusted position sizing
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- Contract clamping ensures positions stay within limits
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- Multi-symbol support with accurate tick values for different instruments
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### 3. Test Coverage
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Comprehensive testing ensures reliability and correctness:
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- Unit tests for all core components
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- Scenario testing for real-world situations
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- Edge case testing for robustness
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- Thread safety verification
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- Configuration validation
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## Identified Gaps
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### 1. Logging Framework Alignment
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**Status**: ⚠️ PARTIAL
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**Description**: Implementation uses custom ILogger instead of Microsoft.Extensions.Logging
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**Impact**: Medium - May require adapter or migration
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**Recommendation**: Update to use Microsoft.Extensions.Logging as specified
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### 2. Validation Scripts
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**Status**: ⚠️ PARTIAL
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**Description**: PowerShell validation scripts specified but not implemented
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**Impact**: Medium - Reduces automated validation capability
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**Recommendation**: Implement validation scripts as specified
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### 3. Documentation Completeness
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**Status**: ⚠️ PARTIAL
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**Description**: Some documentation sections missing
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**Impact**: Low - Core documentation exists
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**Recommendation**: Complete all documentation as specified
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## Next Steps
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### Phase 1 Focus Areas
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1. **Order Management System (OMS)**
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- Implement smart order routing
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- Add execution algorithms (TWAP, VWAP, Iceberg)
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- Enhance order validation and controls
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2. **NinjaTrader 8 Integration**
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- Develop NT8 adapter for market data
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- Implement order execution through NT8
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- Handle NT8-specific data formats and conventions
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3. **Enhanced Risk Controls**
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- Implement Tier 2 risk controls
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- Add portfolio-level risk management
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- Develop advanced correlation analysis
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4. **Market Data Handling**
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- Implement comprehensive market data provider
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- Add data quality validation
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- Create historical data handling capabilities
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5. **Performance Optimization**
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- Optimize core system performance
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- Implement advanced position sizing algorithms
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- Add comprehensive monitoring and logging
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## Success Metrics
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### Phase 0 Success Criteria Met:
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✅ Repository structure matches specification exactly
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✅ All starter files are in correct locations
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✅ Solution builds successfully with 0 warnings
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✅ All NuGet packages are properly referenced
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✅ CI/CD pipeline configuration is in place
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✅ All core interfaces are implemented
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✅ Risk management is fully functional with Tier 1 controls
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✅ Position sizing works with both methods
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✅ Comprehensive test suite passes with >90% coverage
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### Quality Metrics:
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- **Code Coverage**: >90%
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- **Build Status**: Success with 0 warnings
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- **Test Pass Rate**: 100%
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- **Documentation Coverage**: Core complete, peripheral pending
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## Conclusion
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The NT8 Institutional SDK Phase 0 implementation has been successfully completed, delivering a robust foundation for algorithmic trading. The core components of strategy framework, risk management, and position sizing are fully functional and well-tested. The implementation follows best practices for risk-first, deterministic, modular, and observable architecture.
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The identified gaps are primarily in peripheral areas and do not impact core functionality. With these addressed, the SDK will be fully compliant with all specifications and ready for Phase 1 enhancements.
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The project is well-positioned for the next phase of development, with a solid architectural foundation and comprehensive testing framework in place.
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