🏛️ Institutional SMC Logic & Auction Market Thesis
Price action can be manipulated by thin limit order books, but Cumulative Volume Delta (CVD) measures aggressive market buyer vs. seller execution. When price pushes to a new Higher High while CVD prints a Lower High, aggressive buying is being secretly absorbed by passive institutional limit sell orders.
Permitted Market Regimes:
EXPANSION TREND_UP RANGE TREND_DOWN REVERSAL
🔍 Phase 1: 1. Multi-Swing Monitoring
Tick-level delta aggregator monitors cumulative volume delta across 3+ consecutive swings.
Active Structural Pivot
Price Lower Low: 24,470.0 | CVD Higher Low (+1,450 contracts delta absorption)
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 |
|---|---|---|
| Divergence Span Gate | Divergence spans at least 3 consecutive M5 candles | Eliminates single-tick noise artifacts |
| Delta Flip Confirmation | Current candle delta matches reversal direction | Confirms aggression has actively shifted |
| Volume Participation Gate | RVOL >= 1.25x on reversal bar | Proves substantial volume participated in absorption |
| Structural Level Confluence | Divergence occurs at prior swing high/low or VWAP | Grounds order flow reading in price structure |
| Regime Verification | Active in RANGE, REVERSAL, and EXPANSION | Avoids fading runaway super-trend days |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points beyond the divergent price extreme. Spot risk: 15.0 - 25.0 points.
Profit Booking & Scaling:
QUICK_HARVEST profile: 50% partial at +1.5R, 35% partial at +2.5R, 15% runner with rapid 75% 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). 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:
OrderFlowDivergenceStrategySource File:
nifty_expansion_runner/strategies/order_flow_divergence.py