nt8-sdk/docs/architecture/phase1_project_plan.md

NT8 Institutional SDK - Phase 1 Project Plan

Project Overview

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.

Project Information

• Project ID: 5652a2b1-20b2-442f-9800-d166acf5cd1d
• Title: NT8 Institutional SDK
• Phase: Phase 1 Development
• Status: In Progress

Phase 1 Objectives

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 system performance and add advanced algorithms

Created Tasks

1. Order Management System (OMS)

Task ID: 074d41ec-2947-4efd-9d77-d85ed24c29bf Status: todo Feature: oms

Implementation of a comprehensive OMS with smart order routing and execution algorithms:

• IOrderManager interface and OrderManager class
• Support for Market, Limit, StopMarket, and StopLimit orders
• Order validation logic
• Smart order routing based on liquidity and cost
• Multiple execution venues support
• Routing configuration system and performance metrics
• Execution algorithms (TWAP, VWAP, Iceberg)
• Algorithm configuration and parameterization
• Integration with existing risk management system
• Order rate limiting and value limits
• Circuit breaker functionality

2. NinjaTrader 8 Adapter

Task ID: e5771a2f-e7bf-46ad-962e-b2ceb757e184 Status: todo Feature: nt8-adapter

Development of a robust adapter for integrating with NinjaTrader 8 platform:

• INT8Adapter interface and NT8Adapter class
• Connection state management
• Error handling and recovery
• Real-time market data reception
• Market data subscription mechanism
• Support for different bar types and intervals
• Data quality checks and validation
• Buffering and throttling for high-frequency data
• Order execution through NT8
• Order submission, status tracking, and updates
• Order cancellation and modification
• Execution reporting and fill handling
• NT8-specific data formats and conventions
• Data type conversions and instrument definitions
• Session and trading hours handling
• NT8-specific error codes and handling

3. Enhanced Risk Controls (Tier 2)

Task ID: 655c0a70-a5e4-49f-bad1-3f6bac9e70a6 Status: todo Feature: risk-management-tier2

Extension of the risk management system with advanced Tier 2 controls:

• Portfolio-level risk controls
  • Cross-symbol correlation analysis
  • Portfolio VaR (Value at Risk) calculations
  • Concentration limits by sector/asset class
  • Portfolio-level stop-losses
• Advanced position tracking and management
  • Enhanced position tracking with Greeks and risk metrics
  • Position reconciliation mechanisms
  • Position flattening algorithms
  • Position reporting and visualization
• Transaction cost analysis
  • Slippage tracking and analysis
  • Commission and fee tracking
  • Transaction cost reporting
  • Cost vs. benefit analysis tools
• Scenario analysis and stress testing
  • Historical scenario analysis
• Monte Carlo simulation capabilities
• Stress testing framework
• Scenario result visualization

4. Market Data Handling

Task ID: 8d6c7fa7-9b97-41be-a44c-d26079ae04e7 Status: todo Feature: market-data

Implementation of comprehensive market data handling and validation:

• Market data provider interface and MarketDataProvider base class
• Support for multiple data sources
• Data source failover mechanisms
• Market data quality validation
  • Data quality checks (gaps, spikes, etc.)
  • Data freshness monitoring
  • Data validation rules engine
  • Alerts for data quality issues
• Historical data handling
  • Historical data retrieval support
  • Data storage and caching
  • Data compression and archiving
  • Historical data analysis tools
• Real-time market data analytics
  • Real-time volatility calculations
  • Volume and liquidity analytics
  • Market regime detection
  • Real-time data visualization

5. Performance Optimization

Task ID: 597edb61-d818-4ed0-b6f0-6d55ec06a470 Status: todo Feature: performance

System performance optimization and advanced algorithms:

• Core system performance optimization
  • Profiling and optimization of critical code paths
  • Object pooling for frequently used objects
  • Caching mechanisms for expensive calculations
  • Memory usage and garbage collection optimization
• Advanced position sizing algorithms
  • Optimal f algorithm
  • Kelly criterion sizing
  • Volatility-adjusted sizing methods
  • Machine learning-based sizing approaches
• Comprehensive monitoring and logging
  • Performance counters and metrics
  • Distributed tracing support
• Enhanced logging with structured data
• Monitoring dashboard
• Parallel processing implementation
  • Opportunities for parallelization
  • Thread-safe data structures
  • Async/await patterns
  • Resource utilization optimization

Success Criteria

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

Next Steps

1. Begin implementation of Phase 1 tasks following the Archon workflow
2. Update task status from "todo" to "doing" when work begins
3. Conduct research for each task using Archon's research capabilities
4. Implement solutions based on research findings
5. Update task status to "review" upon completion
6. Create new tasks as needed for Phase 2 development