🏛️ Institutional SMC Logic & Auction Market Thesis
Standard retail traders trade single indicators; institutional algorithms execute at multi-layered technical confluence nodes. When Previous Day High/Low directly coincides with a major round psychological strike (e.g. 24,500) and an Optimal Trade Entry (OTE) Fibonacci level, conviction reaches institutional tier.
Permitted Market Regimes:
EXPANSION TREND_UP RANGE TREND_DOWN REVERSAL
🔍 Phase 1: 1. Multi-Layer Confluence Node
PDH/PDL, psychological round number (24,500), and 61.8% OTE align within 5 pts.
Active Structural Pivot
Triple Confluence Low: 24,450.0 (PDL + Round Strike + 61.8% OTE)
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 |
|---|---|---|
| Ultra-High Entry Threshold | Minimum Entry Score >= 0.75 (Highest in System) | Enforces exceptional selective quality |
| Multi-Factor Confluence (3+) | Confluence of Level + Round Strike + OTE Zone | Rejects single-factor setups |
| Dominant Rejection Wick | Wick >= 45.0% of total candle height | Requires unmistakable institutional rejection |
| RVOL Expansion Gate | Volume Ratio >= 1.45x | Validates heavy institutional volume absorption |
| Zero-Lag Inside Close | Candle close strictly inside the confluent level | Ensures no continuation leakage |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Ultra-tight stop placed 3.0 points beyond the extreme tip of the sweep wick. Spot risk: 10.0 - 20.0 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:
SniperLiquidityReversalStrategySource File:
nifty_expansion_runner/strategies/sniper_liquidity_reversal.py