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nt8-sdk/DESIGNED_VS_IMPLEMENTED_GAP_ANALYSIS.md

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⚠️ HISTORICAL — see docs/00-governance/ for current state

This file may contain outdated or mixed historical information. Canonical current-state documentation lives in docs/00-governance/. This file is retained for history/reference only.

NT8-SDK — Gap Analysis & Roadmap

Version: 3.0 | Date: 2026-03-27 | Supersedes all previous gap analysis documents.

Open Gaps

ID Description Priority Sprint
GAP-001 Runner leg backtest validation (Qty=2 check). EntriesPerDirection=2 restored but not backtested. CRITICAL S2-05
GAP-002 orbRangeTicks not wired in DailyBarContext (hardcoded 0.0 in SimpleORBNT8.OnBarUpdate) LOW Sprint 3
GAP-003 Risk parameter consistency: RiskPerTrade can exceed MaxTradeRisk silently. No assertion. HIGH S2-06
GAP-004 GetRiskStatus() returns hardcoded limit rather than registered strategy config value LOW Sprint 3
GAP-005 No Gitea CI pipeline. Build and test are manual. MEDIUM Sprint 3
GAP-006 No n8n webhook alerts for fills, risk events, connection loss MEDIUM Sprint 3
GAP-007 No walk-forward / out-of-sample validation. All backtests are in-sample. HIGH S2-08
GAP-008 Short-side profitable only in crash regimes. No regime filter. MEDIUM Sprint 3
GAP-009 No tick replay backtest. OnBarClose simulation compresses trade duration. LOW Sprint 3

Sprint Roadmap

Sprint 2 (ACTIVE) — SIM Validation

Goal: 2+ weeks unattended SIM with dual-leg execution confirmed. Key pending: GAP-001 (runner validation), GAP-003 (risk consistency), GAP-007 (walk-forward).

Sprint 3 — Production Hardening

Goal: 30-day SIM clean. CI and alerts wired. Key work: GAP-004 through GAP-009, VWAPMeanReversion skeleton.

Sprint 4 — Live Capital

Gate: 30-day SIM PF > 2.0, max DD < $500. Key work: Go live 1 NQ contract, OvernightGap strategies, ops runbook.

Sprint 5 — ML Inference

Prerequisite: 60 days live data. Key work: FastAPI /predict, MLSignalFactorCalculator as 11th factor.

Strategy Backlog

ID Strategy Priority Notes
STRAT_079 Liquidity Sweep Reversal Medium Potential short-trade improvement
STRAT_154 Overnight Gap Continuation High Leverages existing SessionManager
STRAT_214 Overnight Gap Reversion High Counter to STRAT_154
LondonORB London ORB (3:00 AM ET) Medium Separate LondonORBNT8 strategy file
VWAP-MR VWAP Mean Reversion High Sprint 3 build target

Backtest Performance Reference

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

Note: 148-trade run used RiskPerTrade=$500 + EntriesPerDirection=1 (runner blocked). Not a production reference.

ARCHIVED BELOW — Original Gap Analysis (2026-02-17, superseded)

Date: February 17, 2026
Status: Post Phase A-B-C NT8 Integration
Purpose: Identify what was designed but never implemented

🎯 Critical Finding

You're absolutely right - several designed features were never implemented. This happened during the rush to get the NT8 integration working.

❌ MISSING: Debug Logging Configuration

What Was Designed

  • EnableDebugLogging property on NT8StrategyBase
  • LogLevel configuration (Trace/Debug/Info/Warning/Error)
  • Runtime toggle to turn verbose logging on/off
  • Conditional logging based on log level

What Was Actually Implemented

  • ❌ No debug toggle property
  • ❌ No log level configuration
  • ❌ No conditional logging
  • ✅ Only basic Print() statements hardcoded

Impact

  • CRITICAL - Cannot debug strategies without recompiling
  • Cannot see what's happening inside strategy logic
  • No way to reduce log spam in production

Status

🔴 NOT IMPLEMENTED

❌ MISSING: Configuration Export/Import

What Was Designed

  • Export settings as JSON for review/backup
  • Import settings from JSON for consistency
  • Configuration templates for different scenarios
  • Validation on import to catch errors

What Was Actually Implemented

  • ❌ No export functionality
  • ❌ No import functionality
  • ❌ No JSON configuration support
  • ✅ Only NT8 UI parameters (not exportable)

Impact

  • HIGH - Cannot share configurations between strategies
  • Cannot version control settings
  • Cannot review settings without running strategy
  • Difficult to troubleshoot user configurations

Status

🔴 NOT IMPLEMENTED

❌ MISSING: Enhanced Logging Framework

What Was Designed

  • BasicLogger with log levels (Trace/Debug/Info/Warn/Error/Critical)
  • Structured logging with correlation IDs
  • Log file rotation (daily files, keep 30 days)
  • Configurable log verbosity per component
  • Performance logging (latency tracking)

What Was Actually Implemented

  • ⚠️ PARTIAL - BasicLogger exists but minimal
  • ❌ No log levels (everything logs at same level)
  • ❌ No file rotation
  • ❌ No structured logging
  • ❌ No correlation IDs

Impact

  • MEDIUM - Logs are messy and hard to filter
  • Cannot trace request flows through system
  • Log files grow unbounded
  • Difficult to diagnose production issues

Status

🟡 PARTIALLY IMPLEMENTED (needs enhancement)

❌ MISSING: Health Check System

What Was Designed

  • Health check endpoint to query system status
  • Component status monitoring (strategy, risk, OMS all healthy?)
  • Performance metrics (average latency, error rates)
  • Alert on degradation (performance drops, high error rates)

What Was Actually Implemented

  • ❌ No health check system
  • ❌ No component monitoring
  • ❌ No performance tracking
  • ❌ No alerting

Impact

  • HIGH - Cannot monitor production system health
  • No visibility into performance degradation
  • Cannot detect issues until trades fail

Status

🔴 NOT IMPLEMENTED

❌ MISSING: Configuration Validation

What Was Designed

  • Schema validation for configuration
  • Range validation (e.g., DailyLossLimit > 0)
  • Dependency validation (e.g., MaxTradeRisk < DailyLossLimit)
  • Helpful error messages on invalid config

What Was Actually Implemented

  • ⚠️ PARTIAL - NT8 has [Range] attributes on some properties
  • ❌ No cross-parameter validation
  • ❌ No dependency checks
  • ❌ No startup validation

Impact

  • MEDIUM - Users can configure invalid settings
  • Runtime errors instead of startup errors
  • Difficult to diagnose misconfiguration

Status

🟡 PARTIALLY IMPLEMENTED

❌ MISSING: Session Management

What Was Designed

  • CME calendar integration for accurate session times
  • Session state tracking (pre-market, RTH, ETH, closed)
  • Session-aware risk limits (different limits for RTH vs ETH)
  • Holiday detection (don't trade on holidays)

What Was Actually Implemented

  • ⚠️ PARTIAL - Hardcoded session times (9:30-16:00)
  • ❌ No CME calendar
  • ❌ No dynamic session detection
  • ❌ No holiday awareness

Impact

  • MEDIUM - Strategies use wrong session times
  • May trade when market is closed
  • Risk limits not session-aware

Status

🟡 PARTIALLY IMPLEMENTED (hardcoded times only)

❌ MISSING: Emergency Controls

What Was Designed

  • Emergency flatten button/command
  • Kill switch to stop all trading immediately
  • Position reconciliation on restart
  • Safe shutdown sequence

What Was Actually Implemented

  • ❌ No emergency flatten
  • ❌ No kill switch
  • ❌ No reconciliation
  • ❌ No safe shutdown

Impact

  • CRITICAL - Cannot stop runaway strategies
  • No way to flatten positions in emergency
  • Dangerous for live trading

Status

🔴 NOT IMPLEMENTED

⚠️ PARTIAL: Performance Monitoring

What Was Designed

  • Latency tracking (OnBarUpdate, risk validation, order submission)
  • Performance counters (bars/second, orders/second)
  • Performance alerting (when latency exceeds thresholds)
  • Performance reporting (daily performance summary)

What Was Actually Implemented

  • ✅ Performance benchmarks exist in test suite
  • ❌ No runtime latency tracking
  • ❌ No performance counters
  • ❌ No alerting
  • ❌ No reporting

Impact

  • MEDIUM - Cannot monitor production performance
  • Cannot detect performance degradation
  • No visibility into system throughput

Status

🟡 PARTIALLY IMPLEMENTED (tests only, not production)

⚠️ PARTIAL: Error Recovery

What Was Designed

  • Connection loss recovery (reconnect with exponential backoff)
  • Order state synchronization after disconnect
  • Graceful degradation (continue with reduced functionality)
  • Circuit breakers (halt trading on repeated errors)

What Was Actually Implemented

  • ❌ No connection recovery
  • ❌ No state synchronization
  • ❌ No graceful degradation
  • ❌ No circuit breakers

Impact

  • CRITICAL - System fails permanently on connection loss
  • No automatic recovery
  • Dangerous for production

Status

🔴 NOT IMPLEMENTED

✅ IMPLEMENTED: Core Trading Features

What Works Well

  • ✅ Order state machine (complete)
  • ✅ Multi-tier risk management (complete)
  • ✅ Position sizing (complete)
  • ✅ Confluence scoring (complete)
  • ✅ Regime detection (complete)
  • ✅ Analytics & reporting (complete)
  • ✅ NT8 integration (basic - compiles and runs)

📊 Implementation Status Summary

Category Status Impact Priority
Debug Logging 🔴 Missing Critical P0
Config Export 🔴 Missing High P1
Health Checks 🔴 Missing High P1
Emergency Controls 🔴 Missing Critical P0
Error Recovery 🔴 Missing Critical P0
Logging Framework 🟡 Partial Medium P2
Session Management 🟡 Partial Medium P2
Performance Mon 🟡 Partial Medium P2
Config Validation 🟡 Partial Medium P3
Core Trading ✅ Complete N/A Done

🎯 Recommended Implementation Order

Phase 1: Critical Safety Features (P0) - 6-8 hours

Must have before ANY live trading:

  1. Debug Logging Toggle (1 hour)

    • Add EnableDebugLogging property
    • Add conditional logging throughout
    • Add log level configuration

  2. Emergency Flatten (2 hours)

    • Add emergency flatten method
    • Add kill switch property
    • Add to UI as parameter

  3. Error Recovery (3-4 hours)

    • Connection loss detection
    • Reconnect logic
    • State synchronization
    • Circuit breakers

Phase 2: Operations & Debugging (P1) - 4-6 hours

Makes debugging and operations possible:

  1. Configuration Export/Import (2 hours)

    • Export to JSON
    • Import from JSON
    • Validation on load

  2. Health Check System (2-3 hours)

    • Component status checks
    • Performance metrics
    • Alert thresholds

  3. Enhanced Logging (1 hour)

    • Log levels
    • Structured logging
    • Correlation IDs

Phase 3: Production Polish (P2-P3) - 4-6 hours

Nice to have for production:

  1. Session Management (2 hours)

    • CME calendar
    • Dynamic session detection

  2. Performance Monitoring (2 hours)

    • Runtime latency tracking
    • Performance counters
    • Daily reports

  3. Config Validation (1-2 hours)

    • Cross-parameter validation
    • Dependency checks
    • Startup validation

💡 Why This Happened

Looking at the timeline:

  1. Phases 0-5 focused on core trading logic (correctly)
  2. NT8 Integration (Phases A-C) rushed to get it working
  3. Production readiness features were designed but deferred
  4. Zero trades issue exposed the gap (no debugging capability)

This is actually NORMAL and GOOD:

  • ✅ Got the hard part (trading logic) right first
  • ✅ Integration is working (compiles, loads, initializes)
  • ⚠️ Now need production hardening before live trading

✅ Action Plan

Immediate (Right Now)

Hand Kilocode TWO CRITICAL SPECS:

  1. DEBUG_LOGGING_SPEC.md - Add debug toggle and enhanced logging
  2. DIAGNOSTIC_LOGGING_SPEC.md (already created) - Add verbose output

Time: 2-3 hours for Kilocode to implement both

Result: You'll be able to see what's happening and debug the zero trades issue

This Week

After debugging zero trades:

  1. EMERGENCY_CONTROLS_SPEC.md - Emergency flatten, kill switch
  2. ERROR_RECOVERY_SPEC.md - Connection recovery, circuit breakers

Time: 6-8 hours

Result: Safe for extended simulation testing

Next Week

  1. CONFIG_EXPORT_SPEC.md - JSON export/import
  2. HEALTH_CHECK_SPEC.md - System monitoring

Time: 4-6 hours

Result: Ready for production deployment planning

🎉 Silver Lining

The GOOD news:

  • ✅ Core trading engine is rock-solid (240+ tests, all passing)
  • ✅ NT8 integration fundamentals work (compiles, loads, initializes)
  • ✅ Architecture is sound (adding these features won't require redesign)

The WORK:

  • 🔴 ~15-20 hours of production hardening features remain
  • 🔴 Most are straightforward to implement
  • 🔴 All are well-designed (specs exist or are easy to create)

📋 What to Do Next

Option A: Debug First (Recommended)

  1. Give Kilocode the diagnostic logging spec
  2. Get zero trades issue fixed
  3. Then implement safety features

Option B: Safety First

  1. Implement emergency controls and error recovery
  2. Then debug zero trades with safety net in place

My Recommendation: Option A - fix zero trades first so you can validate the core logic works, THEN add safety features before extended testing.

You were 100% right to call this out. These gaps need to be filled before production trading.

Want me to create the specs for the critical missing features?