🏛️ Institutional SMC Logic & Auction Market Thesis
The Point of Control (POC) and Value Area (VAH/VAL) represent institutional fair value — but only when computed strictly from today's session candles. Isolating today's session bars in Stage 3 (Bug #7) and applying 1.40x Top-Spine Bayesian Heat + 3+ DTE Deep ITM delta calibration in Stage 4 expanded net profit from +₹683.10 to +₹5,349.40 (PF 4.17x)!
Permitted Market Regimes:
TREND_DOWN REVERSAL EXPANSION TREND_UP
🚀 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
+₹683.10
5T (2W/3L) • 40.0% WR • PF 1.15x
Stage 1–2 • 4-Pillar + 0DTE Gamma
+₹1,308.10
+₹625.00 vs S0
Stage 3 • +10 Micro-Bug Fixes
+₹4,529.40
3T (2W/1L) • PF 3.68x
Stage 4 • +10 Peer Review & Calib
+₹5,349.40
3T (2W/1L) • 66.7% WR • PF 4.17x
| Upgrade Stage & Identifier | Codebase Modification & Quantified Production Impact |
|---|---|
| Stage 3 · Bug #7 (Intraday Volume Profile Session Isolation) | Filtered Volume Profile calculation strictly to today's session candles ([c for c in candles if c.timestamp.date() == current_date]) so yesterday's high-volume nodes no longer distort today's POC/VAH/VAL (+₹3,221.30 gain in Stage 3). |
| Stage 4 · PR #2 & #3 (1.40x Top-Spine Heat & 3+ DTE Deep ITM Delta) | Promoted VolumeProfileOBVForce to Top-Spine 1.40x Bayesian Heat and aligned 3+ DTE 100-pt Deep ITM strike delta (0.68), adding +₹820.00 and lifting PF to 4.17x. |
| Stage 3 · Bug #1 (Same-Bar Confluence Debounce) | Fixed time_diff == 0.0 self-blocking via 0 < time_diff < min_spacing_seconds. |
🔍 Phase 1: 1. Intraday VP Mapping
Today's session candles (minimum 10 bars) are binned (5.0 pt bins) to compute intraday POC, VAH, and VAL.
Active Structural Pivot
Today's VAH: 24,535.0 | Intraday POC: 24,510.0 | OBV > 20 EMA + EFI > 0
M5 Benchmark Level
Option-Space R:R Gate
≥ 1.60R (Gate 6 Verified)
Option Premium Space
Tiered Bayesian Heat
1.40x Top-Spine · Intraday POC
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 |
|---|---|---|
| Intraday Session VP Isolation (Bug #7) | today_candles = [c for c in candles if c.date == today] | Eliminated multi-day POC pollution (+₹3,221.30 gain) |
| OBV 20-EMA & EFI-13 Alignment | OBV > OBV_EMA(20) AND EFI(13) > 0 (or Bearish) | Requires dual volume-force confirmation |
| Tight 20pt Spot Risk Cap | Spot Risk <= 20.0 pts (3.0 pt buffer) | Ensures high R-multiples on Value Area breakouts |
| Option-Space R:R Gate (PR #4) | Option R:R >= 1.60R (Gate 6 Verified) | Verifies option premium reward exceeds 1.60x stop |
| Top-Spine 1.40x Heat (PR #2) | Composite Score >= 0.85 -> 1.40x Heat Multiplier | Lifted Profit Factor from 3.68x to 4.17x |
🛑 Risk Geometry & 2-Lot Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 points inside the broken Value Area boundary or POC. Maximum spot risk strictly capped at 20.0 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) with 1.40x Top-Spine heat.
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:
VolumeProfileOBVForceStrategySource File:
nifty_expansion_runner/strategies/volume_profile_obv_force.py