nt8-sdk/docs/architecture/implementation_approach.md

NT8 Institutional SDK Implementation Approach

Component Breakdown

1. Strategy Framework

Located in src/NT8.Core/Common/Interfaces/ and src/NT8.Core/Common/Models/:

• IStrategy.cs - Core strategy interface for trading algorithms
• StrategyMetadata.cs - Strategy metadata and configuration models
• StrategyIntent.cs - Strategy trading intent models and enums
• StrategyContext.cs - Strategy context information models
• MarketData.cs - Market data models and provider interface

2. Risk Management

Located in src/NT8.Core/Risk/:

• IRiskManager.cs - Risk management interface with validation methods
• BasicRiskManager.cs - Implementation with Tier 1 risk controls

Key features:

• Daily loss cap enforcement
• Per-trade risk limiting
• Position count limiting
• Emergency flatten functionality
• Thread-safe implementation with locks
• Risk level escalation (Low/Medium/High/Critical)

3. Position Sizing

Located in src/NT8.Core/Sizing/:

• IPositionSizer.cs - Position sizing interface
• BasicPositionSizer.cs - Implementation with fixed contracts and fixed dollar risk methods

Key features:

• Fixed contracts sizing method
• Fixed dollar risk sizing method
• Contract clamping (min/max limits)
• Multi-symbol support with accurate tick values
• Conservative rounding (floor) for contract quantities

Development Workflow

1. Task Management

Following Archon workflow principles:

1. Check Current Task → Review task details and requirements
2. Research for Task → Search relevant documentation and examples
3. Implement the Task → Write code based on research
4. Update Task Status → Move task from "todo" → "doing" → "review"
5. Get Next Task → Check for next priority task
6. Repeat Cycle

2. Code Quality Standards

• All code follows .NET 6.0 standards
• Comprehensive unit testing with >90% coverage
• Proper error handling and logging
• Thread-safe implementations where required
• Deterministic behavior for reliable testing

3. Testing Strategy

Located in tests/NT8.Core.Tests/:

Risk Management Tests

• BasicRiskManagerTests.cs - Unit tests for all risk management functionality
• RiskScenarioTests.cs - Real-world scenario testing

Position Sizing Tests

• BasicPositionSizerTests.cs - Unit tests for position sizing functionality

Key test coverage:

• 90% code coverage for all components

• Edge case testing
• Multi-symbol validation
• Thread safety verification
• Risk escalation scenarios
• Configuration validation

Risk Management Approach

Tier 1 Controls (Implemented)

1. Daily Loss Cap - Trading automatically halts when daily losses exceed configured limit
2. Per-Trade Risk Limit - Individual trades are rejected if they exceed maximum risk
3. Position Count Limiting - Maximum number of concurrent positions enforced
4. Emergency Flatten - Immediate halt and flatten capability for crisis situations

Risk Level Escalation

• Low - Normal trading conditions
• Medium - Elevated caution warranted
• High - Limited trading allowed
• Critical - Trading halted

Position Sizing Methods

Fixed Contracts

• Simple approach where a fixed number of contracts are traded
• Configurable with min/max clamping
• Suitable for consistent position sizing

Fixed Dollar Risk

• Calculates contract count based on target dollar risk per trade
• Uses symbol-specific tick values for accurate calculations
• Conservative rounding (floor) to ensure risk limits are not exceeded
• Configurable with min/max clamping

Next Steps (Phase 1)

1. Order Management System

• Implement OMS with smart order routing
• Add execution algorithm support
• Create order book analysis capabilities

2. NinjaTrader 8 Adapter

• Develop NT8 integration layer
• Implement market data handling
• Create order execution bridge

3. Enhanced Risk Controls

• Implement Tier 2 risk controls
• Add advanced correlation analysis
• Develop portfolio-level risk management

4. Advanced Position Sizing

• Implement Optimal f algorithm
• Add Kelly criterion sizing
• Create volatility-adjusted methods