🏛️ Institutional SMC Logic & Auction Market Thesis
An Order Block represents the last opposing candle prior to a violent displacement move that broke market structure. When price retraces back to this origin block, institutional unfilled limit orders absorb price and vigorously defend the 50% Mean Threshold (MT) of the candle.
Permitted Market Regimes:
TREND_DOWN REVERSAL EXPANSION TREND_UP
🔍 Phase 1: 1. Displacement Identification
Strong multi-candle impulse breaks recent structural swing (BOS or CHoCH).
Active Structural Pivot
Bullish Order Block: [24,485.0 — 24,500.0] | Mean Threshold (50%): 24,492.5
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 |
|---|---|---|
| Freshness Gate | Order Block touch_count <= 1 (Unmitigated) | Prevents entering stale, degraded order blocks |
| Mean Threshold Defense | Candle body does not close beyond 50% midpoint | Confirms dominant institutional order defense |
| Rejection Wick Gate | Rejection wick >= 25% of retest candle | Validates active buyers/sellers present |
| Origin Displacement Quality | Origin impulse created genuine BOS or CHoCH | Ensures Order Block has true structural pedigree |
| Regime Alignment | Active in TREND_UP, TREND_DOWN, EXPANSION, REVERSAL | Executes strictly when directional energy exists |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points beyond the extreme outer boundary of the Order Block zone. Spot risk: 14.0 - 24.0 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 - 0.55). Tuesday weekly expiry 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:
OrderBlockMitigationStrategySource File:
nifty_expansion_runner/strategies/order_block_mitigation.py