🏛️ Institutional SMC Logic & Auction Market Thesis
VWAP is the single most critical benchmark for institutional execution desks and algorithms. When a morning attempt to sell off below VWAP stalls and a massive institutional bar reclaims above VWAP, shorts are trapped and benchmark buyers aggressively enter.
Permitted Market Regimes:
TREND_DOWN REVERSAL EXPANSION TREND_UP
🔍 Phase 1: 1. Morning VWAP Deviation
Price drifts 20-40 points away from VWAP during morning session, setting up mean-reversion.
Active Structural Pivot
VWAP Line: 24,515.0 | Reclaim Close: 24,528.0 | Retest Bounce: 24,516.0
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
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 |
|---|---|---|
| Clean Reclaim Close | Candle closes strictly across VWAP by >= 3.0 pts | Prevents false wick touches of VWAP |
| Displacement Body Ratio | Reclaim candle body >= 60% of total height | Proves decisive buying/selling dominance |
| Retest Respect Gate | Retest candle does not close back across VWAP | Validates VWAP is actively defended as support |
| RVOL Expansion Gate | Volume Ratio >= 1.30x on reclaim candle | Confirms institutional benchmark participation |
| Regime Confluence | Active in EXPANSION, TREND_UP, TREND_DOWN, REVERSAL | Executes when institutional liquidity shifts |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points beyond the opposite side of VWAP or low of the reclaim candle. Max risk: 22.0 spot points.
Profit Booking & Scaling:
STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner with dynamic 65% 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:
VWAPReclaimStrategySource File:
nifty_expansion_runner/strategies/vwap_reclaim.py