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Product Details

Time Based Options Straddle / Options Strangle (Advanced)

Time Based Options straddle / Options strangle “ADVANCE”

Stock Mock strategies can be automated using this Algo Trading tool.

This strategy works on the Index Options Nifty and Bank Nifty.

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Also, known as:
Short Straddle Strangle Algotrading Software
0920 Straddle Strangle Options Strategy

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Strategy Details

• The Advanced version has all the features of Basic + Combined leg SL and Max profit and max loss per straddle/strangle.
• 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.
• This tool can be used for selling/ buying options straddles/strangles time-based.
• You can create different straddles/ strangles to enter at different times.

Check out the COMPARISON tab to know the difference between BASIC, ADVANCE, and PRO.

Live 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:
Examples:

  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 + 200 = 35200
    PE Strike selected = 35100 – 200 – 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:
Examples:

  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 ATM Closest Premium (CP):
Examples:

  • Closest Premium Price: 100, Type: “~”
    It will select the option contract nearest to the price of 100.
  • Closest Premium Price: 100, Type: “>=”
    It will select the option contract nearest and above price 100.
  • Closest Premium Price: 100, Type: “<=”
    It will select the option contract nearest and below price 100.

Entry by CP based on  Straddle Premium (SP):
Examples:

  • 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.
  • 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.

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 run 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. Product Type (Dropdown: MIS/NRML)
  5. Limit Buffer %
  6. Seconds to modify Limit order to market
  7. Protect Profit
    1. Lock Minimum Profit
    2. Trail Profits
    3. Lock & Trail Profits
  8. Qty Multiplier
    1. Nifty
    2. BankNifty
  9. 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. Target % or Target points
  10. SL % or SL points
  11. Trail SL  Type (Dropdown: Immediate / After One Leg Exits)
  12. Square Off Type ( Dropdown: One Leg / All Leg )
  13. Trailing X % or Trailing X Points
  14. Trailing Y % or Trailing Y Points
  15. Move SL to cost
  16. Place SL in Broker
  17. Ceiling
  18. Max Profit
  19. Max Loss
  20. Protect Profit
    1. Lock Minimum Profit
    2. Trail Profits
    3. Lock & Trail Profits
  21. 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 1: Equal distance trailing

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:

  • Trail X Points = 100 * 5% = 5
  • Trail Y Points = 100 * 5% = 5
  • Initial SL = 100 – (100*10%) = 90
  • When LTP / Combined LTP reaches 105, it will trail the SL to 95.
  • When LTP / Combined LTP reaches 110, it will trail the SL to 100.
  • When LTP / Combined LTP reaches 115, it will trail the SL to 105. 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:

  • Trail X Points = 100 * 5% = 5
  • Trail Y Points = 100 * 5% = 5
  • Initial SL = 100 + (100*10%) = 110
  • When LTP / Combined LTP reaches 95, it will trail the SL to 105.
  • When LTP / Combined LTP reaches 90, it will trail the SL to 100.
  • When LTP / Combined LTP reaches 85, it will trail the SL to 95. And so on…

Example 2: Unequal distance trailing

Entry Type = Buy

For trailing, if LTP / Combined LTP = 100, Initial SL % = 10% Trailing  X% = 5%, and Trailing Y% = 3%, then it will trail like following:

  • Trail X Points = 100 * 5% = 5
  • Trail Y Points = 100 * 3% = 3
  • Initial SL = 100 – (100*10%) = 90
  • When LTP / Combined LTP reaches 105, it will trail the SL to 93.
  • When LTP / Combined LTP reaches 110, it will trail the SL to 96.
  • When LTP / Combined LTP reaches 115, it will trail the SL to 99. And so on…

Entry Type = Sell

For trailing, if LTP / Combined LTP= 100, Initial SL % = 10% Trailing  X% = 5%, and Trailing Y% = 3%, then it will trail like following:

  • Trail X Points = 100 * 5% = 5
  • Trail Y Points = 100 * 3% = 3
  • Initial SL = 100 + (100*10%) = 110
  • When LTP / Combined LTP reaches 95, it will trail the SL to 107.
  • When LTP / Combined LTP reaches 90, it will trail the SL to 104.
  • When LTP / Combined LTP reaches 85, it will trail the SL to 101. 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. Today’s Strategies
  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

Supported Broker:

  • Zerodha – Kite API ( Required API Subscription of Interactive )
  • IIFL – XTS Blaze
  • Angel Broking – Smart API
  • Finvasia – Shoonya
  • Sharekhan

Infrastructure :

  • Cloud Machine ( AWS Provides it for Free ) can be used in Windows / MAC System
  • 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 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 max profit and max loss after entry of position?
Ans: Yes.

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

Comparison

Comparison Of Basic Advance And Pro 07 06 2022

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