CortanaROI Brain

Institutional memory for CortanaROI - a solo-operator 0DTE SPY options trading system being rebuilt from MK2 onto the open-source NautilusTrader framework for MK3. Unlisted; if you have the link, you’re trusted. Don’t share the alpha.

By the numbers

Category	Pages
Nautilus framework knowledge	59
Cortana strategy concepts	20
Unusual Whales API surface (32 controllers + websockets)	32
MK3 design writing (dated)	26
Projects · Postmortems · Ideas · Inbox · Archive	7
Total	144

The map

flowchart LR
    ROOT(["CortanaROI Brain"])

    ROOT --> NF["Nautilus Framework"]
    NF --> NF1["Architecture & Kernel - 7 pages"]
    NF --> NF2["Strategies & Actors - 4 pages"]
    NF --> NF3["Orders, Positions, Execution - 3 pages"]
    NF --> NF4["Data & Custom Data - 3 pages"]
    NF --> NF5["Integrations & IBKR - 4 pages"]
    NF --> NF6["Backtesting - 3 pages"]
    NF --> NF7["Developer guide & Rust core - 16 pages"]
    NF --> NF8["Other primitives - 14 pages"]

    ROOT --> MK3["Cortana MK3 Design"]
    MK3 --> MK3a["The Setup Hunter spine"]
    MK3 --> MK3b["Data-foundation constraint"]
    MK3 --> MK3c["Slice designs S0 to S10"]
    MK3 --> MK3d["Architecture map"]
    MK3 --> MK3e["20 Cortana concepts"]

    ROOT --> SE["Strategy Empirics"]
    SE --> SE1["Sweep flag composite - 67.8% hit / 15 fires/day"]
    SE --> SE2["Contrarian aggressor finding"]
    SE --> SE3["GEX regime gate"]
    SE --> SE4["Trail-stop expectancy"]

    ROOT --> HO["History & Operations"]
    HO --> HO1["MK2 postmortems"]
    HO --> HO2["Migration plans"]
    HO --> HO3["Active projects"]

    ROOT --> UW["Unusual Whales API"]
    UW --> UW1["L1 load-bearing - 16 pages"]
    UW --> UW2["L2 / L3 future - 16 pages"]

Entry points

Start here

• MK3 architecture spine - the Setup Hunter - the canonical MK3 design doc.
• MK3 data-foundation constraint - what the corpus can/cannot validate, and why impulse went from RED to YELLOW.
• Cortana project page - system state at a glance.

Nautilus framework canon (most referenced)

• Nautilus architecture - single-threaded kernel + message bus + design rationale.
• Nautilus actors - Strategy vs Actor decision tree.
• Nautilus custom data - @customdataclass, ts_event/ts_init, replay determinism.
• Nautilus clocks & timers - self.clock discipline, atomic monotonic time.
• Nautilus orders - order types, lifecycle, contingencies.
• Nautilus IB adapter - IBKR integration footguns and patterns.

Operating principles

• RESOLVER - filing rules for new pages (concept vs writing vs project).
• Schema - page templates (frontmatter, two-layer compiled-truth + timeline).
• Agents - hard rules for any AI agent touching the brain.

Unusual Whales API surface

The full UW API (32 controllers + WebSocket streaming) is mapped here, layer-tagged per cortana-north-star scope discipline. L1 = current MK3 0DTE scope. L2 / L3 = future, filed-for-future not parked-but-active.

L1 load-bearing (the SPY hunter substrate)

• WebSocket streaming - 14 channels, the live-feed substrate. Includes IMPULSE-recording strategy.
• GEX + Greeks - 10 endpoints, dealer positioning + intraday spot exposures.
• Tide family - Market Tide + Sector Tide + ETF Tide. User-flagged important.
• Net Flow - /expiry with expiration=zero_dte, the most directly-named 0DTE feed.
• Option Trade - flow-alerts (9 named rules) + full-tape (archival only).
• Option Contract - 6 endpoints, per-trade Greeks.
• Ticker Flow - 5 endpoints, SPY-scoped per-strike intraday.
• Ticker IV + Greeks - 8 endpoints, vol regime substrate.
• Ticker Positioning - 10 endpoints, max pain + NOPE + OI.
• Dark Pool - off-exchange equity prints.
• Lit Flow - exchange-displayed equity prints (companion to dark pool).
• ETFs - 5 endpoints. SPY IS an ETF; basket-implied flow.
• Market - top-net-impact, economic-calendar, correlations, OI-change.
• Screener - 60+ filter parameters, most expressive query surface.
• Alerts - account-scoped alert feed (4 noti_types L1).
• Group Flow - mag7 + Tech + Comm group aggregation.
• Economy - macro release series + forward calendar.
• Intel - market movers + analytics.
• News - circuit-breaker on major headlines.
• Earnings - SPY top-25 overnight gap-risk calendar.
• Seasonality - calendar priors, not gates.
• Ticker Meta - info, OHLC, last-state.
• Stock Directory - ticker-to-exchange map.

L2 / L3 (filed for future)

• Congress - L3, STOCK Act 45-day lag.
• Politician Portfolios - L3.
• Unusual Trades - L3 (Congressional pre-classified; naming hazard: NOT options).
• Insiders - L3, Form 4 with 2-day filing lag.
• Institutional - L3, 13F quarterly.
• Companies - L2 fundamentals + earnings transcripts.
• Fundamentals - L2/L3, Alpha Vantage-wrapped statements.
• Commodities - L3 macro overlay.
• Short - L2/L3 (SPY short interest is stable; squeeze dynamics don’t apply to ETFs).

How to read this brain

• [[wikilink]] syntax - click any blue link to navigate. Backlinks show at the bottom of each page (every other page linking to this one).
• Top-right node graph - local neighborhood; the cluster of pages this page connects to.
• Cmd-G - global graph: every page, every link, as a force-directed map.
• Cmd-K - full-text search across all 118 pages.