263 lines
8.9 KiB
Markdown
263 lines
8.9 KiB
Markdown
## Purpose
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A single source of truth to ensure **first-time compile** success for all NinjaTrader 8 strategies, indicators, and add-ons generated by an LLM.
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---
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## Golden Rules (Pin These)
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1. **NT8 only.** No NT7 APIs. If NT7 concepts appear, **silently upgrade** to NT8 (proper `OnStateChange()` and `protected override` signatures).
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2. **One file, one public class.** File name = class name. Put at the top: `// File: <ClassName>.cs`.
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3. **Namespaces:**
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- Strategies → `NinjaTrader.NinjaScript.Strategies`
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- Indicators → `NinjaTrader.NinjaScript.Indicators`
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4. **Correct override access:** All NT8 overrides are `protected override` (never `public` or `private`).
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5. **Lifecycle:** Use `OnStateChange()` with `State.SetDefaults`, `State.Configure`, `State.DataLoaded` to set defaults, add data series, and instantiate indicators/Series.
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6. **Indicator creation:** Instantiate indicators **once** in `State.DataLoaded`. Add to chart (if desired) in `State.Configure` via `AddChartIndicator()`.
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7. **Managed orders by default:** Use `SetStopLoss`/`SetProfitTarget` **before** entries on the same bar. Do **not** mix Managed & Unmanaged in the same file.
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8. **MTF discipline:** Add secondary series **only** in `State.Configure`. In `OnBarUpdate()`, gate logic with `BarsInProgress` and `CurrentBars[i]`.
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9. **No Order Flow+ by default:** Assume unavailable. If VWAP is needed, implement a **local fallback** or feature flag (OFF by default).
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10. **Valid enums only:** Use real NT8 members for `OrderState`, `MarketPosition`, etc.
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11. **Starter header in every strategy `OnBarUpdate()`:**
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```csharp
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if (BarsInProgress != 0) return;
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if (CurrentBar < BarsRequiredToTrade) return;
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Required Using Block (Strategy)
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Always show details
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using System;
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using System.ComponentModel;
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using System.ComponentModel.DataAnnotations;
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using System.Windows.Media;
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using NinjaTrader.Gui;
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using NinjaTrader.Gui.Chart;
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using NinjaTrader.Gui.Tools;
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using NinjaTrader.NinjaScript;
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using NinjaTrader.NinjaScript.Strategies;
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using NinjaTrader.NinjaScript.Indicators;
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using NinjaTrader.NinjaScript.DrawingTools;
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Indicators omit some GUI usings unless needed.
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Inputs Pattern
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Use DataAnnotations so properties render properly in the UI:
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Always show details
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[NinjaScriptProperty, Range(1, int.MaxValue)]
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[Display(Name = "Quantity", GroupName = "Parameters", Order = 0)]
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public int Quantity { get; set; } = 1;
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[NinjaScriptProperty]
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[Display(Name = "DebugMode", GroupName = "Parameters", Order = 999)]
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public bool DebugMode { get; set; } = false;
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Managed Order Rules
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Call SetStopLoss and SetProfitTarget before you place an entry order.
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Re-arm stops/targets when intended direction changes (e.g., flat→long or flat→short).
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Use unique signal names per direction to bind OCO correctly (e.g., "L1", "S1").
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Multi-Timeframe Rules
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Add secondary series in State.Configure:
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Always show details
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AddDataSeries(BarsPeriodType.Minute, 5);
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Guard in OnBarUpdate():
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Always show details
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if (BarsInProgress == 1) { /* 5-min logic */ }
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if (CurrentBars[0] < BarsRequiredToTrade || CurrentBars[1] < 20) return;
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Price Rounding & Tick Math
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Always round to tick size to avoid rejections:
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Always show details
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private double Rt(double p) => Instrument.MasterInstrument.RoundToTickSize(p);
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double target = Rt(Close[0] + 10 * TickSize);
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Historical vs. Realtime
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Always show details
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private bool IsLive => State == State.Realtime;
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Avoid timers/threads/file I/O by default.
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Common Safety Defaults
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Always show details
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Calculate = Calculate.OnBarClose;
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IsOverlay = false;
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BarsRequiredToTrade = 20;
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IsSuspendedWhileInactive = true;
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IsInstantiatedOnEachOptimizationIteration = true;
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Valid NT8 Signatures (paste as needed)
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Always show details
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protected override void OnOrderUpdate(
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Order order, double limitPrice, double stopPrice, int quantity,
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int filled, double averageFillPrice, OrderState orderState,
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DateTime time, ErrorCode error, string nativeError) { }
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protected override void OnExecutionUpdate(
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Execution execution, string executionId, double price, int quantity,
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MarketPosition marketPosition, string orderId, DateTime time) { }
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protected override void OnMarketData(MarketDataEventArgs e) { }
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protected override void OnMarketDepth(MarketDepthEventArgs e) { }
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protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition) { }
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Compile Checklist (Preflight)
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NT8 only; no OnStartUp() or NT7 methods.
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Exactly one public class; file name matches class name.
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Required usings present.
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Indicators/Series created in State.DataLoaded.
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Starter header present in OnBarUpdate().
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Managed orders only (unless explicitly asked otherwise).
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Secondary series added only in State.Configure.
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Enums & members verified against NT8.
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Price rounding helper present for any custom prices.
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DebugMode gating for Print() calls.
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""").format(date=datetime.date.today().isoformat())
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files["NT8_Templates.md"] = textwrap.dedent("""
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---
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# NinjaScript Compiler Constraints
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## CRITICAL: Two separate compilers exist in this project
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This project uses TWO compilers with DIFFERENT rules:
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1. **dotnet build** — compiles src/NT8.Core/ and src/NT8.Adapters/ as
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standard .NET Framework 4.8 assemblies. Errors here show up in the
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terminal.
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2. **NinjaTrader NinjaScript compiler** — compiles the .cs files deployed
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to `C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies\`.
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Errors here only show up inside the NT8 NinjaScript Editor, NOT in
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dotnet build output.
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**dotnet build passing does NOT mean NT8 will compile successfully.**
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Always treat NT8 compilation as a required separate verification step.
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---
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## NinjaScript-specific API rules
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### OnConnectionStatusUpdate — correct signature
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```csharp
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// CORRECT — single ConnectionStatusEventArgs parameter
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protected override void OnConnectionStatusUpdate(
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ConnectionStatusEventArgs connectionStatusUpdate)
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{
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connectionStatusUpdate.Status // ConnectionStatus enum
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connectionStatusUpdate.PriceStatus // ConnectionStatus enum
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}
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// WRONG — this signature does not exist in NT8
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protected override void OnConnectionStatusUpdate(
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Connection connection,
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ConnectionStatus status,
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DateTime time) // CS0115 — no suitable method found to override
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```
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### [Optimizable] attribute — does not exist
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```csharp
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// WRONG — OptimizableAttribute does not exist in NinjaScript
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[Optimizable]
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public int StopTicks { get; set; } // CS0246
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// CORRECT — all [NinjaScriptProperty] params are optimizer-eligible
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// Use [Range] to set optimizer bounds
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[NinjaScriptProperty]
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[Range(1, 50)]
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public int StopTicks { get; set; }
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```
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### Attributes that DO exist in NinjaScript
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```csharp
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[NinjaScriptProperty] // exposes to UI and optimizer
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[Display(...)] // controls UI label, group, order
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[Range(min, max)] // sets optimizer/validation bounds
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[Browsable(false)] // hides from UI
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[XmlIgnore] // excludes from serialization
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```
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### Attributes that do NOT exist in NinjaScript
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```
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[Optimizable] — use [NinjaScriptProperty] + [Range] instead
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[JsonProperty] — not available
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[Required] — not available
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```
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### Method overrides — always verify against NT8 documentation
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Before adding any `protected override` method to NT8StrategyBase.cs or
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any NinjaScript file, verify the exact signature at:
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https://developer.ninjatrader.com/docs/desktop
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Common signatures that differ from intuition:
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| Method | Correct NT8 Signature |
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| OnConnectionStatusUpdate | `(ConnectionStatusEventArgs e)` |
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| OnMarketData | `(MarketDataEventArgs e)` |
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| OnMarketDepth | `(MarketDepthEventArgs e)` |
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| OnOrderUpdate | `(Order order, double limitPrice, double stopPrice, int quantity, int filled, double avgFillPrice, OrderState orderState, DateTime time, ErrorCode error, string nativeError)` |
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| OnExecutionUpdate | `(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)` |
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---
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## Deployment reminder
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The full deployment sequence is always:
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```
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1. dotnet build NT8-SDK.sln --configuration Release
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2. deployment\deploy-to-nt8.bat
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3. NT8: Tools → NinjaScript Editor → Compile All
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4. Reload any open Strategy Analyzer or chart instances
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```
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Steps 1-2 passing does NOT mean step 3 will pass. NT8 compilation is
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the only authoritative check for NinjaScript-specific code.
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---
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## Files compiled by NT8 (not dotnet build)
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These files are deployed as source and compiled by NT8's embedded
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compiler. Any NT8-specific API usage in these files is invisible to
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dotnet build:
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- `src/NT8.Adapters/Strategies/NT8StrategyBase.cs`
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- `src/NT8.Adapters/Strategies/SimpleORBNT8.cs`
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- `src/NT8.Adapters/Wrappers/BaseNT8StrategyWrapper.cs`
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- `src/NT8.Adapters/Wrappers/SimpleORBNT8Wrapper.cs`
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Any new strategy or wrapper file added to these locations inherits the
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same constraint. When modifying these files, the NT8 compiler is the
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only valid test.
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