🏛️ Institutional SMC Logic & Auction Market Thesis
When large institutions enter the market with sudden, aggressive volume, they create single-side liquidity imbalances where only one side of the book is filled. Price naturally seeks equilibrium by retracing into this Fair Value Gap to rebalance liquidity before continuing.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN REVERSAL
🔍 Phase 1: 1. 3-Candle Displacement
Candle 1 high and Candle 3 low do not overlap, leaving a clean open price imbalance (FVG).
Active Structural Pivot
Bullish FVG Zone: [24,490.0 — 24,510.0] (20 pt gap)
M5 Benchmark Level
Risk Geometry (SL)
18.0 - 24.0 Spot Pts
Capped by Max Risk Cap
Composite Entry Score
82.0% Conviction
Quality Gate Passed
Adaptive Scaling Profile
STANDARD_BALANCED
Dynamic High-Watermark
⚙️ Quantitative Quality Gates & Entry Scoring Filters
The strategy enforces strict fail-fast validation before computing the multi-factor confluence score:
| Filter / Quality Gate | Condition & Mathematical Threshold | Operational Impact & Protection |
|---|---|---|
| Minimum FVG Gap Height | FVG Height >= 8.0 points | Filters out insignificant micro-gaps |
| Freshness Gate | Touch Count <= 1 (First-time mitigation only) | Prevents entering exhausted imbalance zones |
| Consequent Encroachment Hold | Price respects 50% midpoint of the FVG | Validates strong institutional absorption |
| Rejection Wick Ratio | Retest candle wick >= 25% of range | Confirms immediate buy/sell response |
| Regime Confluence | Aligned with active EXPANSION or TREND regime | Prevents fading dead ranges |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points beyond the extreme boundary of the FVG zone. Spot risk strictly between 14.0 and 26.0 points.
Profit Booking & Scaling:
STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner with dynamic 65% profit floor.
Position Sizing Protocol:
Strictly allocated in integer multiples of 65 shares (NIFTY default) or configured
LOT_SIZE. Fractional lots are mathematically rounded up/down to preserve exchange execution validity.
🎯 Option Strike & Greeks Architecture
Strike Selection Rule:
ATM strike (Delta ~0.50). Tuesday weekly expiry contract.
Weekly Expiry Cycle:
Matures on Tuesday (or preponed to Monday if Tuesday is an official NSE exchange holiday). Automated holiday shift handled via
ExchangeCalendar.
Codebase Implementation:
Class:
Source File:
FVGRetestStrategySource File:
nifty_expansion_runner/strategies/fvg_retest.py