How are strikes, entry prices, and exit prices determined during strategy execution?

(a) Strike selection: The strike price for each leg will be determined based on the previous 1-minute closing value prior to the strategy’s entry time.

Logic:

• At the configured entry timestamp (e.g., 09:30), the system fetches the spot closing price of the previous minute candle (i.e., 09:29).
• The strike considered for ATM/OTM/ITM selection is derived from this previous closing value.

Example

• Entry Time: 09:30
• Strike Selection Criteria: ATM
• Leg 1: ATM CE
• Leg 2: ATM PE

• Since the entry time is 09:30, the system uses the 09:29 closing price (25,180) to determine the strike.
  • Spot considered: 25,180
  • ATM strike: 25,200
• Final selected legs:
• 25200 CE
• 25200 PE

(b) Leg Entry: The entry price for each leg will be determined using the previous 1-minute candle’s closing value relative to the strategy's configured entry time.

Logic:

• At the scheduled entry time (e.g., 09:30), the system fetches the closing price of the previous minute candle (e.g., 09:29).
• This closing price becomes the entry reference price for the leg.
• The order will be placed at the average price derived from this closing value.

Example:

• Entry Time: 09:30
• Entry Price Reference Time: 09:29
• Closing Value of 09:29 Candle: 100

Result:

• At 9:30 the entry for the leg will be executed at an average price of 100.

(c) Leg Exit:

• Time: The exit price for each leg will be determined using the previous 1-minute candle’s closing value relative to the strategy's configured exit time.

Logic:

• At the scheduled exit time (e.g., 02:30), the system fetches the closing price of the previous minute candle (e.g., 02:29).
• This closing price becomes the exit reference price for the leg.
• The order will be placed at the average price derived from this closing value.

Example:

• Exit Time: 02:30
• Exit Price Reference Time: 02:29
• Closing Value of 02:29 Candle: 100

Result:

• At 9:30 the entry for the leg will be executed at an average price of 100.

• TP

  • Buy
  • Sell
  • SL
  • Buy

• Sell