Stockmock and Algotest strategy automation tool

Execution Details

Intraday or Positional:

• Intraday

Strike Configuration:

For strike configuration, there are two modes available:

1. Entry by ATM Points
2. Entry by ATM Percent
3. Entry by Closest Premium
4. Entry by CP based on Straddle Premium

Entry by ATM Points:

1. Underlying Price: 35125, CE  ATM Points = 0, PE ATM Points = 0
   ATM Strike = 35100
   CE Strike selected = 35100
   PE Strike selected = 35100
2. Underlying Price: 35125, CE  ATM Points = 100, PE ATM Points = 100
   ATM Strike = 35100
   CE Strike selected = 35100 + 100 = 35200
   PE Strike selected = 35100 – 100 = 35000
3. Underlying Price: 35125, CE  ATM Points = -100, PE ATM Points = -100
   ATM Strike = 35100
   CE Strike selected = 35000
   PE Strike selected = 35200

Entry by ATM percent:

1. Underlying Price: 35125, CE  ATM %  = 0.5%, PE ATM % = 0.5%
   ATM Strike = 35100
   CE Strike selected = 35100 + (35100 * 0.5%) = 35300
   PE Strike selected = 35100 – (35100 * 0.5%) = 34900
2. Underlying Price: 35125, CE  ATM %  = -0.5%, PE ATM % = -0.5%
   ATM Strike = 35100
   CE Strike selected = 35100 – (35100 * 0.5%) = 34900
   PE Strike selected = 35100 + (35100 * 0.5%) = 35300

Entry by  Closest Premium (CP):

• Closest Premium Price: 100, Type: “~”, Premium match % = 20%
  It will select the option contract within the range of 80 to 120 and nearest to 100.
• Closest Premium Price: 100, Type: “>=”, Premium match % = 20%
  It will select the option contract within the range of 100 to 120 and nearest to 100.
• Closest Premium Price: 100, Type: “<=”, Premium match % = 20%
  It will select the option contract within the range of 80 to 100 and nearest to 100.
• For contract selection based on premium, there is one more parameter given “Premium is not matched then”.
• If you set “Premium is not matched then” to “Avoid”, then if no options contracts fall within the range at entry time, then it will avoid entry and show Error status in strategy.
• If you set “Premium is not matched then” to “Wait for match”, then if no options contracts fall within the range at entry time, then it will keep checking every second until any contracts come within range and then take entry. So in this case, it will delay the entry.
• If you don’t want to match the premium and want immediate entry, then you can set a higher value in “premium match %” and select “Wait for match”.

Entry by CP based on  Straddle Premium (SP):

• In this case, it will first check the combined premium of the ATM straddle.
• If the ATM straddle is 500 and you have set the value to 70% of the ATM SP, then it will select options contract with the closest premium to 70% of 500 which is 350.
• The closest premium selection “!”, “>=”, and “<=” also applies here.

Stop Loss Logic:

SL Type: Individual Leg SL

• Based on the entry price of each leg, it will place SL orders based on the SL % / SL points set by the user. Please note, that SL is placed on each leg immediately once the entry is done.
• When the trail to cost flag is enabled, if anyone’s leg SL hits, it will trail the SL of the other leg to entry price (if the SL price is above entry price). This feature is available for individual leg SL only. If you have enabled the re-entry feature, then trail SL to cost will not work.
• At exit time, it will modify the SL orders to market to exit the position. If the Square off @ Exit Time flag is unchecked, it will keep the position as it is and you will need to manage them manually.

SL Type: Combined Leg SL

• Based on the entry price of each leg, it will calculate the combined entry price. As the SL is on combined entry premium, it will not place any SL orders for the individual legs. If any time combined premium-based SL hits, it will exit both legs.
• At exit time, it will place market orders to exit the position. If the Square off @ Exit Time flag is unchecked, it will keep the position as it is and you will need to manage them manually.

Re-Entry Types:

• Re-Entry @ Cost
  
• Re-Execute

Re-Entry @ Cost :

• You can set re-entry on an LTP basis or candle closing basis.
• If you want re-entry similar to Stockmock, then you will need to set re-entry type to candle closing basis and timeframe to 1 minute.
• You can also set max no of re-entries.
• Re-entry will happen when the LTP of the options goes below the previous entry price after hitting the stop-loss.
• Re-entry will not happen in the following cases:
  1. If max profit/max loss-based exit is done.
  2. If the Target of the individual leg or combined leg is done.
  3. If the SL is trailed below the entry price.
  4. Along with move SL to cost.

Re-Execute:

• You can use Re-Execute with SL / Target / Both ( SL & Target ).
• For Re-Execute, you can set two modes.
  1. Immediate
  2. Candle Close

• For Immediate Re-Execute, once any leg SL/target is done, it will immediately re-execute that leg with a new contract as per the contract selection method used.
• For Candle Close Re-Execute, once any leg SL/Target is done, it will re-execute that leg at the next candle close with a new contract as per the contract selection method used. If you want Re-Execute similar to Stockmock, use this mode.
• If you enable Square off all legs along with re-execute, then whenever any one leg SL/target is hit, it will exit both contracts and re-execute both contracts with a new contract selection.
• You can also use the Re-Execute along with Trail SL and Move SL to Cost.

Wait & Trade:

• After your entry time, it will wait for the option price to increase/decrease by specific Percentages/Points. You can use this feature along with Move SL to cost, Trailing X and Y, Re-Entry, and Re-Execute.
• There are four types of selection:
  1. % Up
  2. % Down
  3. Points Up
  4. Points Down

• For Example, let’s say you create a straddle with entry time 09:30 and Wait configuration is 5 Points Up.
• Then, if the LTP of the option contract at 09:30 is 100, then it will wait for the price to go up to 105. It will be placing a Limit sell order in the broker.

Wait & Trade without Re-Entry/Re-Execute:

• In this mode, Wait & Trade will be applicable on the first entry only. After SL hit, for Re-Entry/Re-Execute, Wait & Trade won’t be applicable.
• To use Wait & Trade without Re-Entry/Re-Execute, you need to uncheck “WNT Re-Entry @Cost” or “WNT Re-Execute”.

Wait & Trade with Re-Entry/Re-Execute:

• In this mode, Wait & Trade will be applicable on the first entry as well as the Re-Entry/ Re-Execute entries.
• To use Wait & Trade with Re-Entry/Re-Execute, you need to check “WNT Re-Entry @Cost” or “WNT Re-Execute”.

Protect Profit:

There are three modes available to protect profits:

• Lock Minimum Profit
• Trail Profits
• Lock & Trail Profits

Lock Minimum Profit:

Example:
If Profit Reaches = 10000
Lock Min Profit At = 5000

When your profit reaches 10000, it will lock the minimum profit at 5000. So when your MTM comes down to 5000, it will exit all positions.
This happens one time only.

Trail Profits:

Example:
Increase in Profit = 5000
Trail Min Profit by = 3000

With every 5000 increase in profit, it will trail your min profit by 3000.
When profit reaches 5000, min profit locked at 3000
When profit reaches 10000, min profit locked at 6000 and so on…

Lock & Trail Profits:

In this mode, first, it will lock the profit at Lock Min Profit value and then it will start trailing profits.

Example:
If Profit Reaches = 10000
Lock Min Profit At = 5000
Increase in Profit = 5000
Trail Min Profit by = 3000

When your profit reaches 10000, it will lock Min. profit at 5000
After that,
When your profit reaches 15000, min profit locked at   8000
When your profit reaches 20000, min profit locked at   11000 and so on…

Please note, when your profit comes down to lock profit level, it will start exiting positions. It doesn’t mean that you will get the exact profit as per your lock profit value.

Exit Conditions:

• • Individual Leg SL/ Combined Leg SL
  • User exits position from software
  • Time-based exit
  • Global Max Profit / Global Max Loss
  • Strangle/Straddle level Max Profit/ Max Loss
  • Protect Profit

Configurable Parameters

• There is no limitation on how many strangles/straddles you can create.
• You can also save day-wise configurations if you are running different strategies on different days.
• Paper trading functionality with PNL and order book generation.

Global Configurable Parameters:
(These parameters are common for all the straddles/strangles taken by the user.)

1. Expiry Date
2. Global Max Profit
3. Global Max Loss
4. Order Type ( Dropdown: MARKET / LIMIT )
5. Product Type (Dropdown: MIS/NRML)
6. Limit Buffer %
7. Seconds to modify Limit order to market
8. Protect Profit
   1. Lock Minimum Profit
   2. Trail Profits
   3. Lock & Trail Profits
9. Qty Multiplier
   1. Nifty
   2. BankNifty
10. Execution Mode ( Paper Trade / Live Trade )

Configurable Parameters at Straddle/ Strangle level:
(These parameters can be configured separately for each straddles/strangles.)

1. Alias Name
2. Underlying (Nifty Spot, Bank nifty Spot, Nifty Future, Bank nifty Future)
3. Entry Time
4. Exit Time
5. Entry Type
6. No of lots
7. Contract Selection Mode
   1. Entry by ATM Point
   2. Entry by ATM Percentage
   3. Entry by Closest Premium
   4. Entry by CP based on Straddle Premium
8. Target and Stop Loss Type (Dropdown: Combined SL/ Individual SL)
9. Square Off Type ( Dropdown: One Leg / All Leg )
10. Target % or Target points
11. SL % or SL points
12. Trail SL  Type (Dropdown: Immediate / After One Leg Exits)
13. Trailing X % or Trailing X Points
14. Trailing Y % or Trailing Y Points
15. Re-entry Configurations
    1. Re-entry Type ( Dropdown : Candle / LTP )
    2. Timeframe
    3. No. of re-entries
    4. Stop re-entries time
16. Re-execute Configurations
    1. Re-execute Type ( Dropdown : Candle / Immediate )
    2. Timeframe
    3. No. of re-entries
    4. Stop re-entries time
17. Wait N Trade
    1. % ↑
    2. % ↓
    3. Point ↑
    4. Point ↓
18. Move SL to cost
19. Place SL in Broker
20. Ceiling
21. Max Profit
22. Max Loss
23. Protect Profit
    1. Lock Minimum Profit
    2. Trail Profits
    3. Lock & Trail Profits
24. Square Off @ Exit Time?

Trailing Logic

Trailing Logic:

• We do not modify the SL price in the broker when trailing happens. It will store the trail SL price in the software and continuously monitor if the trailing SL is hit. Whenever trailing SL is hit, it will modify the SL order to market to exit.
• For X and Y parameters based trailing, it will not modify the SL price in the kite when trailing because of limitations on no order modifications.
• For the Trail to cost feature, it will modify the SL price in the kite as it happens once only.
• Trailing will always happen in the direction of the trade.
• In the case of Individual Leg SL, trailing will happen on the individual leg LTP and individual leg SL.
• In the case of Combined Leg SL, trailing will happen on the basis of combined LTP and combined SL.

Example :

Entry Type = Buy

For trailing, if LTP / Combined LTP = 100, Initial SL % = 10% Trailing  X% = 5%, and Trailing Y% = 5%, then it will trail like following:

• Initial SL = 100 – (100*10%) = 90
• Trail X Points = 100 * 5% = 5
• Trail Y Points = 90 * 5% = 4.5
• When LTP / Combined LTP reaches 105, it will trail the SL to 94.5.
• When LTP / Combined LTP reaches 110, it will trail the SL to 99.
• When LTP / Combined LTP reaches 115, it will trail the SL to 103.5. And so on…

Entry Type = Sell

For trailing, if LTP / Combined LTP= 100, Initial SL % = 10% Trailing X% = 5%, and Trailing Y% = 5%, then it will trail like following:

• Initial SL = 100 + (100*10%) = 110
• Trail X Points = 100 * 5% = 5
• Trail Y Points = 110 * 5% = 5.5
• When LTP / Combined LTP reaches 95, it will trail the SL to 104.5.
• When LTP / Combined LTP reaches 90, it will trail the SL to 99.
• When LTP / Combined LTP reaches 85, it will trail the SL to 93.5. And so on…

Order Execution

Order Configuration:

• Entry Ordet Type- Limit Order
• Stoploss Order Type – SL (Applicable for Individual Leg SL only)
• Limit Order Configuration :
  • Limit Buffer %
  • Seconds to modify
• Product Type : MIS / NRML

Entry Order:

• For entry order, it will be placing a Limit order. Price will be calculated as below example:
• Entry Type = SELL
  LTP @ the time of placing order = 100
  Limit buffer % = 2%
  Seconds to modify order = 5
  It will place a sell limit order with 2% below the price which will be 98.
  If your order is not executed within 5 seconds it will modify to market.

SL Order:

Individual Leg SL:

• For the SL order, it will be placing a Stoploss Limit order. Price will be calculated as below example:
• Entry Type = Buy, Exit Type= Sell
  SL Price = 100
  Limit buffer % = 2%
  Seconds to modify order = 5
  It will place an SL buy order with trigger price = 100 and limit price = 102.
  So in this case your SL order may get filled anywhere between 100-102 with the best available price.
  If your order is not executed within 5 seconds it will modify to market.

Combined Leg SL:

• It will be placing a Limit order to exit positions when combined SL is hit.

You can tweak “Limit buffer %” and “Seconds to modify order” parameters as per your requirement to get the best results.

If the broker’s API fails due to any reason while modifying the SL order to market after X seconds, then your position will be open without any SL. In this type of scenario, you will need to manage and exit manually.

Salient Features

Screens:

1. Signal Window
2. Options Leg
3. Order Book
4. Position Book
5. Parameter Window
   • The Signal window shows the live signals generated and all different values like Entry Price, Target Price, SL Price, Quantity, etc. depending upon the strategy.
   • Order Book shows all the orders placed by the software.
   • Position Book shows the live MTM and open positions generated due to software.
   • Parameter Window displays all the parameters set by the user.

Some Other Functionalities:

• User can save the configuration in case if he wants to trade the same configuration every day

Pre Requisites

1. API for integration from the broker.
2. Infrastructure :
   1. Cloud Machine ( AWS Provides it for Free ) can be used in Windows / MAC System
   2. If you opt for a Cloud machine, there is no other internet speed requirement or min computer requirement.

Frequently Asked Question's

Que 1: What if I don’t want the trailing stop loss? OR How to use fixed stop loss without trailing them as 0,0 are not acceptable values for X% and Y%
Ans: Keep the value of X% very high.

Que 2: Can I take entries into straddle/strangle at different times?
Ans: Yes, you can enter multiple times with different entry times and there are no limitations on how many times you want to take entry.

Que 3:  Can I take Re-entries on straddle?

Ans: Yes, the Re-entry option is available based on LTP or candle closing based along with the option to select individual or combined leg.

Que 4: Can I keep SL on the individual leg?
Ans: Yes.

Que 5: Can I keep combined SL on the premium of straddle/strangle?
Ans: Yes.

Que 6: Can I change Global max profit and Global max loss after entry of position?
Ans: Yes.

Que 7: Can I login into my Zerodha Kite account while algo is running?
Ans: Yes.