260 lines
9.0 KiB
Markdown
260 lines
9.0 KiB
Markdown
# NT8 Institutional SDK - Phase 1 Sprint Plan
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## Overview
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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.
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## Sprint Goals
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1. Implement Order Management System (OMS) with smart order routing
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2. Develop NinjaTrader 8 adapter for integration
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3. Enhance risk controls with Tier 2 functionality
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4. Implement market data handling and validation
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5. Optimize performance and add advanced position sizing algorithms
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## Sprint Timeline
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- **Duration**: 3 weeks
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- **Start Date**: 2025-09-15
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- **End Date**: 2025-10-06
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- **Review Date**: 2025-10-07
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## Team Composition
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- 1 Architect
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- 2 Senior Developers
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- 1 QA Engineer
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- 1 DevOps Engineer
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## Sprint Backlog
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### Epic 1: Order Management System (OMS)
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**Objective**: Implement a comprehensive OMS with smart order routing and execution algorithms.
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#### User Stories:
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1. **As a developer, I want to create an OMS interface that supports multiple order types**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Define IOrderManager interface
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- Implement OrderManager class with basic functionality
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- Add support for Market, Limit, StopMarket, and StopLimit orders
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- Implement order validation logic
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2. **As a trader, I want the OMS to support smart order routing**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Implement routing logic based on liquidity and cost
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- Add support for multiple execution venues
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- Create routing configuration system
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- Add routing performance metrics
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3. **As a developer, I want to implement execution algorithms**
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- Priority: Medium
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- Story Points: 8
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- Tasks:
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- Implement TWAP (Time Weighted Average Price) algorithm
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- Implement VWAP (Volume Weighted Average Price) algorithm
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- Implement Iceberg order algorithm
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- Add algorithm configuration and parameterization
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4. **As a risk manager, I want the OMS to enforce order limits and controls**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Integrate with existing risk management system
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- Add order rate limiting
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- Implement order value limits
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- Add circuit breaker functionality
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### Epic 2: NinjaTrader 8 Adapter
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**Objective**: Develop a robust adapter for integrating with NinjaTrader 8 platform.
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#### User Stories:
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1. **As a developer, I want to create an adapter interface for NT8 integration**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Define INT8Adapter interface
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- Implement NT8Adapter class with basic connectivity
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- Add connection state management
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- Implement error handling and recovery
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2. **As a trader, I want to receive real-time market data from NT8**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Implement market data subscription mechanism
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- Add support for different bar types and intervals
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- Implement data quality checks and validation
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- Add buffering and throttling for high-frequency data
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3. **As a trader, I want to execute orders through NT8**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Implement order submission to NT8
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- Add order status tracking and updates
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- Implement order cancellation and modification
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- Add execution reporting and fill handling
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4. **As a developer, I want to handle NT8-specific data formats and conventions**
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- Priority: Medium
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- Story Points: 5
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- Tasks:
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- Implement data type conversions
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- Add support for NT8 instrument definitions
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- Handle NT8 session and trading hours
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- Implement NT8-specific error codes and handling
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### Epic 3: Enhanced Risk Controls (Tier 2)
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**Objective**: Extend the risk management system with advanced Tier 2 controls.
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#### User Stories:
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1. **As a risk manager, I want to implement portfolio-level risk controls**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Add cross-symbol correlation analysis
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- Implement portfolio VaR (Value at Risk) calculations
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- Add concentration limits by sector/asset class
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- Implement portfolio-level stop-losses
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2. **As a risk manager, I want advanced position tracking and management**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Enhance position tracking with Greeks and risk metrics
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- Add position reconciliation mechanisms
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- Implement position flattening algorithms
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- Add position reporting and visualization
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3. **As a compliance officer, I want transaction cost analysis**
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- Priority: Medium
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- Story Points: 5
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- Tasks:
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- Implement slippage tracking and analysis
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- Add commission and fee tracking
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- Create transaction cost reporting
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- Add cost vs. benefit analysis tools
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4. **As a risk manager, I want scenario analysis and stress testing**
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- Priority: Medium
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- Story Points: 8
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- Tasks:
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- Implement historical scenario analysis
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- Add Monte Carlo simulation capabilities
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- Create stress testing framework
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- Add scenario result visualization
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### Epic 4: Market Data Handling
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**Objective**: Implement comprehensive market data handling and validation.
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#### User Stories:
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1. **As a developer, I want to create a market data provider interface**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Define IMarketDataProvider interface
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- Implement MarketDataProvider base class
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- Add support for multiple data sources
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- Implement data source failover mechanisms
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2. **As a trader, I want to validate market data quality**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Implement data quality checks (gaps, spikes, etc.)
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- Add data freshness monitoring
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- Create data validation rules engine
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- Add alerts for data quality issues
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3. **As a developer, I want to implement historical data handling**
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- Priority: Medium
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- Story Points: 5
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- Tasks:
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- Add support for historical data retrieval
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- Implement data storage and caching
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- Add data compression and archiving
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- Create historical data analysis tools
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4. **As a trader, I want real-time market data analytics**
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- Priority: Medium
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- Story Points: 8
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- Tasks:
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- Implement real-time volatility calculations
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- Add volume and liquidity analytics
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- Create market regime detection
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- Add real-time data visualization
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### Epic 5: Performance Optimization
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**Objective**: Optimize system performance and add advanced algorithms.
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#### User Stories:
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1. **As a developer, I want to optimize core system performance**
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- Priority: High
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- Story Points: 8
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- Tasks:
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- Profile and optimize critical code paths
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- Implement object pooling for frequently used objects
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- Add caching mechanisms for expensive calculations
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- Optimize memory usage and garbage collection
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2. **As a developer, I want to implement advanced position sizing algorithms**
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- Priority: Medium
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- Story Points: 8
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- Tasks:
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- Implement Optimal f algorithm
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- Add Kelly criterion sizing
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- Create volatility-adjusted sizing methods
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- Add machine learning-based sizing approaches
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3. **As a system administrator, I want comprehensive monitoring and logging**
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- Priority: High
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- Story Points: 5
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- Tasks:
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- Implement performance counters and metrics
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- Add distributed tracing support
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- Enhance logging with structured data
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- Create monitoring dashboard
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4. **As a developer, I want to implement parallel processing where appropriate**
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- Priority: Medium
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- Story Points: 5
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- Tasks:
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- Identify opportunities for parallelization
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- Implement thread-safe data structures
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- Add async/await patterns where beneficial
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- Optimize resource utilization
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## Success Criteria
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1. OMS implemented with smart order routing and execution algorithms
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2. NT8 adapter successfully integrated and tested
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3. Tier 2 risk controls operational with portfolio-level management
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4. Market data handling robust with quality validation
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5. System performance optimized with measurable improvements
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6. All new functionality covered by automated tests (>90% coverage)
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7. Documentation updated for all new components
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## Risks and Mitigations
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1. **Risk**: Complexity of NT8 integration
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- **Mitigation**: Start with basic connectivity and incrementally add features
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2. **Risk**: Performance bottlenecks in OMS
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- **Mitigation**: Continuous profiling and optimization throughout development
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3. **Risk**: Data quality issues affecting risk calculations
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- **Mitigation**: Implement comprehensive data validation and quality monitoring
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## Dependencies
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1. Completion of Phase 0 (already completed)
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2. Access to NT8 development environment
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3. Market data feeds for testing
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4. Risk management team for validation of new controls
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## Definition of Done
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- Code implemented and reviewed
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- Unit tests written and passing (>90% coverage)
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- Integration tests completed
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- Documentation updated
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- Performance benchmarks met
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- Security review completed
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- Deployment package created
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