🏛️ Institutional SMC Logic & Auction Market Thesis
Large institutional orders cannot be filled without triggering resting market liquidity. Institutions deliberately drive price past obvious technical levels (Previous Day High, Previous Day Low) to harvest stops, then immediately reverse price direction once orders are absorbed.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN RANGE REVERSAL
🔍 Phase 1: 1. Horizontal Pool Identified
Previous Day High (PDH), Low (PDL), or Equal Highs/Lows mapped with precision.
Active Structural Pivot
PDL / Key Low: 24,475.0 (Swept to 24,468.0)
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
QUICK_HARVEST
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 |
|---|---|---|
| Level Sweep Penetration | Sweep depth between 2.0 and 15.0 points | Ensures liquidity was tapped without runaway breakout |
| Rejection Wick Dominance | Rejection Wick >= 40.0% of candle height | Proves aggressive institutional absorption |
| Inside Level Close | Close strictly back inside swept horizontal level | Invalidates true breakout thesis |
| RVOL Expansion Gate | Volume Ratio >= 1.25x (+0.08 Score) | Confirms presence of institutional block orders |
| Regime Suitability | Allowed in RANGE, REVERSAL, and EXPANSION | Versatile across multiple market states |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points beyond the extreme tip of the sweep wick. Max spot risk: 24.0 points.
Profit Booking & Scaling:
QUICK_HARVEST profile: 50% partial at +1.5R, 35% partial at +2.5R, 15% runner with tight 75% 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 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:
LiquiditySweepReversalStrategySource File:
nifty_expansion_runner/strategies/liquidity_sweep_reversal.py