🏛️ Institutional SMC Logic & Auction Market Thesis
The most powerful reversals occur when a liquidity sweep does not merely bounce, but violently inverts previous structure by tearing through fair value with displacement. When an opposing FVG is formed in the immediate wake of a liquidity sweep, conviction reaches institutional tier.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN REVERSAL
🔍 Phase 1: 1. Liquidity Pool Purge
Key swing high/low or equal highs/lows are pierced, executing resting stop orders.
Active Structural Pivot
Swept Low: 24,460.0 | Bullish Inversion FVG: [24,475 - 24,495]
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 |
|---|---|---|
| Sweep Depth Gate | Wick breached key level by >= 3.0 points | Guarantees stop liquidity was filled |
| Displacement FVG Height | Resulting FVG Height >= 10.0 points | Proves aggressive institutional follow-through |
| Volume Surge Ratio | Displacement RVOL >= 1.40x | Confirms large institutional volume backing |
| Market Structure Shift (MSS) | Displacement breaks recent minor swing pivot | Confirms genuine change of character |
| Multi-Timeframe Confirmation | Sweep occurs at significant daily / 15m level | Elevates trade probability |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points beyond the extreme tip of the sweep wick. Max spot risk capped at 28.0 points.
Profit Booking & Scaling:
STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner with dynamic profit locking.
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 - 0.55). Tuesday weekly expiry.
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:
LiquiditySweepFVGStrategySource File:
nifty_expansion_runner/strategies/liquidity_sweep_fvg.py