ðïļ Institutional SMC Logic & Auction Market Thesis
Retail breakout systems aggressively buy OR15 High breaks and short OR15 Low breaks at 09:30 IST. Market makers frequently bait these early orders, absorb the volume, and forcefully drive price back across the entire range to liquidate trapped traders on the opposite side.
Permitted Market Regimes:
UNCLEAR EXPANSION TREND_UP COMPRESSION RANGE TREND_DOWN REVERSAL
ð Phase 1: 1. 09:15-09:30 OR Setup
OR15 High and Low established; retail orders queue at breakout extremes.
Active Structural Pivot
OR15 Low (Trapped Bear Breakout): 24,475.0 (Reclaimed to 24,485.0)
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
âïļ 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 |
|---|---|---|
| Timing Window Gate | 09:30 IST <= Current Time <= 10:45 IST | Targeted specifically at morning trap dynamics |
| Boundary Penetration Depth | Breach between 3.0 and 18.0 points | Ensures liquidity was trapped without runaway trend |
| Decisive Reclaim Close | Close strictly back inside the OR by >= 2.0 pts | Confirms trap is fully sprung |
| Rejection Wick Ratio | Trap candle wick >= 30% of total height | Proves sharp institutional rejection |
| Volume Absorption Spike | RVOL >= 1.35x on trap candle | Confirms heavy institutional limit orders |
ð Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points beyond the extreme tip of the trap candle wick. Spot risk between 14.0 and 26.0 points.
Profit Booking & Scaling:
QUICK_HARVEST profile: 50% partial at +1.5R, 35% partial at +2.5R, 15% runner targeting opposite OR boundary.
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.
ðŊ Option Strike & Greeks Architecture
Strike Selection Rule:
ATM strike (Delta ~0.50) for immediate rapid reaction on full-range mean reversion. 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:
OpeningRangeLiquidityTrapStrategySource File:
nifty_expansion_runner/strategies/opening_range_liquidity_trap.py