Stockmock and Algotest strategy automation tool (Time Based Straddle Strangle)

Execution Details

Demonstration Video:

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. Assuming the underlying price of 35125, the “strike out” for both CE and PE is 0. Therefore, the CE strike selected is 35100 and the PE strike selected is 35100.
2. Assuming the underlying price of 35125, the “strike out” for both CE and PE is 100. Therefore, the CE strike selected is 35200 and the PE strike selected is 35000.
3. Assuming the underlying price of 35125, the “strike out” for both CE and PE is -100. Therefore, the CE strike selected is 35000 and the PE strike selected is 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):

• With a closest premium price of 100, a type of “~”, and a premium match percentage of 20%, the option contract closest to 100 within the range of 80 to 120 will be selected.
• When the closest premium price is 100, the type is “>=”, and the premium match percentage is 20%, the option contract closest to 100 within the range of 100 to 120 will be chosen.
• If the closest premium price is 100, the type is “<=”, and the premium match percentage is 20%, the option contract closest to 100 within the range of 80 to 100 will be picked.
• For selecting contracts based on premium, there is an additional parameter called “Premium is not matched then”. If you set it to “Avoid”, the strategy will show an error status if no options contracts fall within the range at entry time. If you set it to “Wait for match”, the strategy will keep checking every second until any contracts come within range and then take entry, delaying the entry in the meantime. If you don’t want to match the premium and want immediate entry, you can increase the premium match percentage and select “Wait for match”.
• The premium match feature is not available on Stockmock. If you want to match with Stockmock, set the premium match percentage to 100 or higher and select “Wait for match”.

Entry by CP based on  Straddle Premium (SP):

• In this scenario, the strategy will initially check the combined premium of the at-the-money (ATM) straddle. If you have specified a value of 70% of the ATM strike price, and the ATM straddle is priced at 500, the strategy will choose the options contract with the premium closest to 70% of 500, which is 350. The same “!”, “>=”, and “<=” premium selection types also apply in this case.

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 use Re-Entry with SL / Target / Both ( SL & Target ).
• For Re-entry, you can set two modes:
  1. LTP basis
  2. Candle Closing basis
• To set re-entry similar to Stockmock, use a candle closing basis and a 1-minute timeframe.
• For sell-side entry, re-entry on SL happens if the price falls to or below the previous entry price after hitting SL.
• For sell-side entry, re-entry on Target happens if the price rises to or above the previous entry price after hitting Target.
• You can set a maximum number of re-entries in each strategy.
• Re-entry won’t happen if max profit/loss-based exit is executed or if SL is trailed below entry 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 following modes available to protect profits and it’s available at strategy level and portfolio level both:

• Lock Minimum Profit
• Trail Profits
• Lock & Trail Profits
• Trail Max Loss

Lock Minimum Profit:

• Assuming the “If Profit Reaches” parameter is set to 10000 and the “Lock Min Profit At” parameter is set to 5000.
• When the profit reaches 10000, the system will lock the minimum profit at 5000.
• All positions will be exited when the MTM decreases to 5000.
• This action is performed only once.

Trail Profits:

• Assuming the “Increase in Profit” parameter is set to 5000 and the “Trail Min Profit by” parameter is set to 3000.
• The system will trail the minimum profit by 3000 for every 5000 increase in profit.
• When the profit reaches 5000, the minimum profit will be locked at 3000.
• When the profit reaches 10000, the minimum profit will be locked at 6000.
• The locking of the minimum profit continues for subsequent increases in profit.

Lock & Trail Profits:

• This mode first locks in the profit at the “Lock Min Profit” value, then begins trailing profits.
• For example, if “Profit Reaches” is set to 10000, and “Lock Min Profit At” is set to 5000, with an increase in profit of 5000 and a “Trail Min Profit by” value of 3000:
• When your profit reaches 10000, the minimum profit will be locked at 5000.
• When your profit reaches 15000, the minimum profit will be locked at 8000.
• When your profit reaches 20000, the minimum profit will be locked at 11000, and so on.

Trail Max Loss:

• With max profit and max loss both set at 10000, and trail max loss X and Y at 1000 and 500 respectively:
• As MTM increases from 0 to 1000, the max loss will be trailed from -10000 to -9500.
• As MTM further increases to 1500, the max loss will be trailed to -9000.

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. Protect Profit
   1. Lock Minimum Profit
   2. Trail Profits
   3. Lock & Trail Profits
   4. Trail Max Loss
5. Qty Multiplier
   1. Nifty
   2. BankNifty
   3. FinNifty
6. Execution Mode ( Paper Trade / Live Trade )

Configurable Parameters at Straddle/ Strangle level:
(These parameters can be configured separately for each straddle/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. Product Type (Dropdown: MIS/NRML)
8. 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
9. Strike Selection Separate for CE and PE
10. Target and Stop Loss Type (Dropdown: Combined SL/ Individual SL)
11. Square Off Type ( Dropdown: One Leg / All Leg )
12. Target % or Target points
13. SL % or SL points
14. Trail SL  Type (Dropdown: Immediate / After One Leg Exits)
15. Trailing X % or Trailing X Points
16. Trailing Y % or Trailing Y Points
17. Re-entry Configurations
    1. Re-entry On ( Dropdown: SL / Target / SL & Target )
    2. Re-entry Type ( Dropdown: Candle / LTP )
    3. Timeframe
    4. No. of re-entries
    5. Stop re-entries time
    6. Exit @ SL/Target after SRT
18. Re-execute Configurations
    1. Re-execute On ( Dropdown: SL / Target / SL & Target )
    2. Re-execute Type ( Dropdown: Candle / Immediate )
    3. Timeframe
    4. No. of re-entries
    5. Stop re-entries time
    6. Exit @ SL/Target after SRT
19. Wait N Trade
    1. % ↑
    2. % ↓
    3. Point ↑
    4. Point ↓
20. Move SL to cost
21. Place SL in Broker
22. Ceiling
23. Max Profit
24. Max Loss
25. Protect Profit
    1. Lock Minimum Profit
    2. Trail Profits
    3. Lock & Trail Profits
    4. Trail Max Loss
26. Square Off @ Exit Time?
27. Advanced Order Configuration for Entry and Exit Order
    1. Order Type (Market / Limit )
    2. Limit Buffer (% / Pts )
    3. Seconds to modify the order if not filled
    4. If not filled (Revise limit price / Modify to market )

Trailing Logic

Trailing Logic:

• Trail SL in Broker Option that allows users to trail their stop-loss (SL) directly into the broker. Users have the option to enable this feature and choose whether or not to use it.Note: Zerodha users have a restriction on order modifications, limiting them to a maximum of 25. To ensure a seamless experience, we have implemented a limit of 15 modifications for trailing stop-loss orders.
• For X and Y parameters based trailing, it will modify the SL price in the broker when trailing.
• For the Trail to cost feature, it will modify the SL price in the broker 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. Integration with the broker requires a Broker Account API. If there are any charges associated with using the API from the broker, the customer will be responsible for covering the cost independently.
2. Infrastructure :
   1. Cloud Machine(Like Amazon AWS/Microsoft Azure/Google Cloud) 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.