🏛️ Institutional SMC Logic & Auction Market Thesis
The highest-conviction reversals occur when a liquidity sweep is immediately followed by violent displacement that leaves an open Fair Value Gap. Populating source_displacement_score in FVGDetector and enforcing proximity-weighted location scoring unlocked a high-conviction +₹765.00 reversal winner in Stage 4.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN REVERSAL
🚀 5-Stage Production Audit & Latest Architectural Upgrades (Oct 2026)
Forensic progression across the 14-session production dataset (Oct 06 – Oct 23, 2026) from Legacy Baseline (Stage 0) through Stage 4 Peer Review & Calibration.
Stage 0 • Legacy Baseline
-₹1,210.77
3T (1W/2L) • 33.3% WR • PF 0.49x
Stage 1–2 • 4-Pillar + 0DTE Gamma
-₹549.27
+₹661.50 vs S0
Stage 3 • +10 Micro-Bug Fixes
-₹549.27
2T (1W/1L) • PF 0.68x
Stage 4 • +10 Peer Review & Calib
+₹215.73
3T (2W/1L) • 66.7% WR • PF 1.13x
| Upgrade Stage & Identifier | Codebase Modification & Quantified Production Impact |
|---|---|
| Stage 4 · PR #6 & #10b (FVG source_displacement_score & O(N) Scan) | Populated source_displacement_score = min(1.0, (mid_range / avg_range) * 0.5) inside FVGDetector.detect() and wired scan_window() in fyers_feed.py, enabling LiquiditySweepFVG to score post-sweep displacement accurately (+₹765.00 winner unlocked). |
| Stage 4 · PR #8 (Proximity-Gated Location Score) | Gated the 0.80 location score in setup_generator.py by actual distance to the swept liquidity pool (<= 1.2x ATR), preventing over-scoring on extended entries. |
| Stage 1 & 3 · Counter-Trend Filter & Debounce Fix | Eliminated 1 counter-trend loss in Stage 1 (+₹661.50) and fixed same-bar debounce in Stage 3. |
🔍 Phase 1: 1. Liquidity Pool Purge
Key swing high/low or PDH/PDL is swept, triggering resting stop orders.
Active Structural Pivot
Swept Low: 24,460.0 | Bullish Displacement FVG: [24,475 - 24,495]
M5 Benchmark Level
Option-Space R:R Gate
≥ 1.60R (Gate 6 Verified)
Option Premium Space
Tiered Bayesian Heat
Displacement Verified · Flipped +
Single-Pass Confluence
Adaptive Scaling Profile
STANDARD_BALANCED (2-Lot M1/M2)
Dynamic High-Watermark
⚙️ Quantitative Quality Gates & Stage 4 Entry Filters
The strategy enforces strict fail-fast validation before computing the single-pass multi-factor confluence score:
| Filter / Quality Gate | Condition & Mathematical Threshold | Operational Impact & Protection |
|---|---|---|
| Sweep + FVG Window | Sweep & FVG formed within max_lookback_bars = 3 | Requires immediate post-sweep institutional displacement |
| Displacement Score (PR #10b) | fvg.source_displacement_score verified > 0 | Scores true candle expansion relative to 10-bar average |
| Extension & Departure Cap | Departure <= 0.4x ATR AND Extension <= 2.0x ATR | Prevents chasing late, over-extended post-sweep moves |
| Proximity Location Gate (PR #8) | Distance to Swept Pool <= 1.2x ATR for 0.80 Score | Ensures entry remains anchored near structural invalidation |
| Option-Space R:R Gate (PR #4) | Option R:R >= 1.60R (Gate 6 Verified) | Guarantees asymmetric option payoff |
🛑 Risk Geometry & 2-Lot Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points beyond the extreme tip of the liquidity sweep wick. Max spot risk capped at 35.0 points.
Profit Booking & 2-Lot M1/M2 Scaling:
STANDARD_BALANCED 2-Lot Split: Lot 1 booked at M1 (+1.5R) with breakeven stop; Lot 2 held for M2 (+3.0R).
Position Sizing & Tiered Bayesian Heat:
Allocated in integer multiples of 65 shares (
LOT_SIZE) scaled by setup.heat_multiplier (1.40x / 1.20x Top-Spine, 1.35x / 1.15x Standard, 0.75x Capped) and gated by min_reward_risk_ratio: 1.60 in option-premium space.
🎯 Option Strike & DTE-Aligned Greeks Architecture
DTE-Aligned Strike Selection Rule (PR #3):
DTE-aligned strike selection (ATM 0.52 delta on 0DTE, 50-pt ITM 0.60 delta on 1–2 DTE, 100-pt Deep ITM 0.68 delta on 3+ DTE).
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:
LiquiditySweepFVGStrategySource File:
nifty_expansion_runner/strategies/liquidity_sweep_fvg.py