mo/nt8-sdk
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
7b18df7f37145915883e6851aac20f7a694109c1
nt8-sdk/docs/architecture/phase1_sprint_plan.md
mo 9a28a49292
Some checks failed
Build and Test / build (push) Has been cancelled
Details
Pre-cleanup baseline snapshot
2026-04-05 16:50:18 -04:00

13 KiB
Raw Blame History

NT8-SDK — Sprint Board

Last Updated: 2026-03-27 | Active Sprint: Sprint 2

Sprint 2 — SIM Validation (ACTIVE)

Goal: Strategy runs unattended 2+ weeks in SIM with correct dual-leg execution.
Gate: Zero unhandled exceptions, both scaler and runner filling (Qty=2 in log), daily loss limit never accidentally triggered.

# Task Status Notes
S2-01 Restore EntriesPerDirection=2 ✅ Done Deployed 2026-03-27
S2-02 MaxOpenPositions=2 in SimpleORBNT8 ✅ Done Deployed 2026-03-27
S2-03 _realtimeBarSeen replay guard ✅ Done Blocks live replay burst, allows backtest
S2-04 State.Historical guard in ProcessStrategyIntent ✅ Done Restores backtest execution
S2-05 Validate runner leg — Qty=2 in session log ⬜ Pending Run backtest after S2-01
S2-06 Risk parameter consistency validation ⬜ Pending Assert RiskPerTrade ≤ MaxTradeRisk
S2-07 SIM unattended run 2+ weeks ▶ In progress Started 2026-03-27
S2-08 Walk-forward backtest split ⬜ Pending Mar–Sep 2025 train / Oct–Mar 2026 test
S2-09 BX68915-15 prop firm re-enable 🔴 Blocked Gate: S2-05 + S2-07 pass

Sprint 3 — Production Hardening

Goal: 30-day SIM run clean. CI and alerts live.

# Task Status Notes
S3-01 Gitea CI — build + test on push ⬜ Pending .gitea/workflows/build.yml
S3-02 n8n webhook — fills + risk events ⬜ Pending HTTP POST from NT8StrategyBase
S3-03 Fix GetRiskStatus() hardcoded limit ⬜ Pending Read from registered strategy config
S3-04 orbRangeTicks wiring in DailyBarContext ⬜ Pending Low priority
S3-05 Short-side regime filter ⬜ Pending 20-day MA or VIX-based gate
S3-06 Tick replay validation ⬜ Pending 30-day window
S3-07 VWAPMeanReversion strategy skeleton ⬜ Pending New IStrategy implementation

Sprint 4 — Live Capital

Gate: 30-day SIM pass rate > 70%, PF > 2.0, max drawdown < $500

# Task Status
S4-01 Go live 1 NQ contract ⬜ Pending gate
S4-02 OvernightGapContinuation strategy ⬜ Pending
S4-03 OvernightGapReversion strategy ⬜ Pending
S4-04 Ops runbook and emergency procedures ⬜ Pending
S4-05 Connection loss recovery testing ⬜ Pending
S4-06 CME holiday filter ⬜ Pending

Sprint 5 — ML Inference

Prerequisite: 60 days of live trading data.

# Task
S5-01 FastAPI /predict endpoint on Ollama workstation
S5-02 HTTP client in SimpleORBStrategy
S5-03 MLSignalFactorCalculator as IFactorCalculator
S5-04 Feature engineering from live trade history
S5-05 A/B test: with vs without ML factor

Completed (Historical)

Task Sprint Completed
Execute trades in NT8 SIM (execution bridge wired) Sprint 1 2026-03-27
Historical replay burst fix Sprint 1 2026-03-27
NR7 warm-up guard Phase 4 2026-02
10-factor confluence scoring engine Phase 4 2026-02
PortfolioRiskManager singleton Phase 4 2026-02
Analytics layer (240+ tests) Phase 5 2026-02-16
Breakeven + runner trail logic Sprint 1 2026-03
Connection loss detection Sprint 1 2026-03
File logging + settings export Sprint 1 2026-03

Backtest Results History

Date Period Trades Win% PF Net Config
2026-03-27 Jan–Mar 2026 20 75% 7.00 $1,200 trail=20, grade=B ✅ Use this
2026-03-27 Jan–Mar 2026 40 75% 3.69 $1,075 trail=12, grade=B
2026-03-27 Mar 2025–Mar 2026 148 51% 3.15 $71,303 9 cts experimental

Note: The 148-trade run used RiskPerTrade=$500 producing 9 contracts AND had EntriesPerDirection=1 blocking the runner. Not a production reference. Re-run required post Sprint 2.

ARCHIVED BELOW — Phase 1 Sprint Plan (2025-09-15, superseded)

Overview (ARCHIVED)

This document originally outlined Phase 1 sprint planning from September 2025.

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