164 lines
6.4 KiB
Markdown
164 lines
6.4 KiB
Markdown
# Project Context — NT8 SDK (Sprint 2: SIM Validation)
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**Last Updated:** 2026-03-27
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You are working on the **NT8 SDK** — an institutional-grade algorithmic futures trading system for NinjaTrader 8.
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This is **production trading software**. Bugs cause real financial losses. Never take shortcuts.
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---
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## Critical Rules for Kilocode
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1. **Only modify files listed in the task spec.** Never touch adjacent code.
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2. **C# 5.0 only.** No `$""`, no `?.`, no `=>` bodies, no `nameof()`, no async/await.
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3. **Never remove XML documentation or comments.**
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4. **Never change interface signatures** — IStrategy, IRiskManager, IPositionSizer, INT8ExecutionBridge are frozen.
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5. **Always build before deploying:** `dotnet build NT8-SDK.sln --configuration Release`
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6. **Always deploy to BOTH paths** after every code change:
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- Repo: `C:\dev\nt8-sdk\src\NT8.Adapters\Strategies\`
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- NT8: `C:\Users\billy\Documents\NinjaTrader 8\bin\Custom\Strategies\`
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7. **Never guess NT8 API signatures.** Verify at `https://developer.ninjatrader.com/docs/desktop`.
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---
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## Current State (2026-03-27)
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**What works end-to-end:**
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- SimpleORBStrategy with 10-factor confluence scoring
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- NT8StrategyBase with session management, kill switch, connection recovery
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- Dual-leg scaler + runner architecture (EntriesPerDirection=2 restored)
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- PortfolioRiskManager singleton (kill switch, daily loss, contract cap)
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- File logging (session log + settings export)
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- Historical replay guard (_realtimeBarSeen)
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- Execution confirmed in SIM on 2026-03-27
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**Pending validation:**
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- Runner leg dual-fill (Qty=2) — run backtest to confirm
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- Breakeven + trail in live multi-bar scenario
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---
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## Architecture
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```
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SimpleORBNT8.cs NT8 entry point
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↓
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NT8StrategyBase.cs Abstract base: bar routing, kill switch, breakeven, runner trail
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↓
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SimpleORBStrategy.cs Signal: ORB detection, 10-factor confluence, _tradeTaken lock
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↓
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NT8OrderAdapter.cs INT8ExecutionBridge: EnterLong/EnterShort/SetStopLoss
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↓
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PortfolioRiskManager.cs Singleton: cross-strategy risk
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↓
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NinjaTrader 8
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```
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## Key Files
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| File | Path |
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|---|---|
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| NT8StrategyBase.cs | `src\NT8.Adapters\Strategies\` |
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| SimpleORBNT8.cs | `src\NT8.Adapters\Strategies\` |
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| SimpleORBStrategy.cs | `src\NT8.Strategies\Examples\` |
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| NT8OrderAdapter.cs | `src\NT8.Adapters\NinjaTrader\` |
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| PortfolioRiskManager.cs | `src\NT8.Core\Risk\` |
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| deploy-to-nt8.bat | `deployment\` |
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## Active Sprint Tasks
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See `SPRINT_BOARD.md` (at `docs\architecture\phase1_sprint_plan.md`) for full task list.
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Immediate next action: Run Strategy Analyzer backtest (NQ JUN26, Jan 1 2026 → Mar 27 2026) and confirm `PNL_UPDATE Position=Short Qty=2` in session log to validate runner leg.
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---
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## What Is Already Built (Do Not Touch)
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All core trading logic is complete and has 240+ passing tests:
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| Layer | Status | Key Files |
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| Risk (Tier 1-3) | ✅ Complete | `src/NT8.Core/Risk/` |
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| Position Sizing | ✅ Complete | `src/NT8.Core/Sizing/` |
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| OMS / Order Lifecycle | ✅ Complete | `src/NT8.Core/OMS/` |
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| Intelligence | ✅ Complete | `src/NT8.Core/Intelligence/` |
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| Analytics | ✅ Complete | `src/NT8.Core/Analytics/` |
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| Execution Utilities | ✅ Complete | `src/NT8.Core/Execution/` |
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| Market Data | ✅ Complete | `src/NT8.Core/MarketData/` |
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**NT8 Order Execution is ALREADY WIRED.**
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`NT8StrategyBase.SubmitOrderToNT8()` calls `EnterLong`, `EnterShort`, `SetStopLoss`, and
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`SetProfitTarget` directly. The execution path works end-to-end. Do not re-implement it.
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---
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## What You Are Fixing (The Active Task List)
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### CRITICAL — `NT8StrategyBase.cs`
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**Gap 1 — No kill switch**
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`NT8StrategyBase` has no `EnableKillSwitch` NinjaScript parameter and no early-exit in `OnBarUpdate()`.
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A runaway strategy cannot be stopped without killing NinjaTrader.
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**Fix:** Add `EnableKillSwitch` (bool NinjaScript property) and `EnableVerboseLogging` property.
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Add kill switch check as the FIRST thing in `OnBarUpdate()`.
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→ See `TASK-01-kill-switch.md`
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**Gap 2 — `ExecutionCircuitBreaker` not wired**
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`src/NT8.Core/Execution/ExecutionCircuitBreaker.cs` is complete and tested.
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It is never instantiated. Orders submit regardless of latency or rejection conditions.
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**Fix:** Instantiate in `InitializeSdkComponents()`, gate orders in `SubmitOrderToNT8()`, wire rejections in `OnOrderUpdate()`.
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→ See `TASK-02-circuit-breaker.md`
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### HIGH — `TrailingStopManager.cs`
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**Gap 3 — Placeholder stop math returns zero**
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`CalculateNewStopPrice()` FixedTrailing branch: `marketPrice - (x - x)` = always zero movement.
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ATRTrailing and Chandelier also have meaningless placeholder formulas.
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**Fix:** Replace with real calculations using `TrailingStopConfig.TrailingAmountTicks` and `AtrMultiplier`.
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→ See `TASK-03-trailing-stop.md`
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### HIGH — `BasicLogger.cs`
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**Gap 4 — No log-level filter**
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Every log statement writes to console unconditionally. Cannot suppress debug noise in production.
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**Fix:** Add `MinimumLevel` property (defaults to `Information`). Suppress messages below threshold.
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→ See `TASK-04-log-level.md`
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### MEDIUM — `SessionManager.cs`
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**Gap 5 — No holiday awareness**
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`IsRegularTradingHours()` checks session times only. Will attempt to trade on Christmas, Thanksgiving, etc.
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**Fix:** Add static CME holiday set for 2025/2026. Return `false` on those dates.
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→ See `TASK-05-session-holidays.md`
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---
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## Architecture (Read Before Touching Anything)
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```
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SimpleORBStrategy.OnBar()
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↓ returns StrategyIntent
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NT8StrategyBase.OnBarUpdate()
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↓ [TASK-01: kill switch check here, first]
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↓ calls ProcessStrategyIntent()
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↓ calls _riskManager.ValidateOrder()
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↓ calls _positionSizer.CalculateSize()
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↓ calls SubmitOrderToNT8()
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↓ [TASK-02: circuit breaker gate here]
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↓ calls EnterLong/EnterShort/SetStopLoss/SetProfitTarget (already works)
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NT8 callbacks → OnOrderUpdate / OnExecutionUpdate
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↓ [TASK-02: record rejections in circuit breaker here]
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```
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---
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## Technology Constraints
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- **C# 5.0 only** — no `$""`, no `?.`, no `=>` on methods/properties, no `nameof()`, no `out var`
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- **.NET Framework 4.8** — not .NET Core/5+/6+
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- **NinjaScript managed orders** — `EnterLong`, `EnterShort`, `SetStopLoss`, `SetProfitTarget`
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- `string.Format()` everywhere, never string interpolation
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- All `Dictionary`, `HashSet` access inside `lock (_lock)` blocks
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- XML doc comments on all public members
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- `try/catch` on all public methods with `LogError` in the catch
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