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Frequently Used Terms

Learn about the frequently used terms on AlgoTest.

Underlying from​

The :underlying instrument could either be the Cash instrument (eg. NIFTY Index Spot) or the Future instrument (eg. NIFTY current month future). This affects strike selection. Lets consider the case when NIFTY Index is at 17010 and NIFTY Future is trading at 17040. The ATM strike in both these cases would be as follows:

  • Selecting "Cash" means ATM strike = 17000
  • Selecting "Future" means ATM strike = 17050

Here are some more definition of terms used in our Algo Trading platform.

Leg-wise settings​

Here are some :leg-wise definition of terms used in our algo trading platform.

Square off​

  • :Partial: If a Stop Loss or Target Profit hits any leg, the system will square off only that leg.
  • :Complete: The system will square off all legs if Stop Loss or Target Profit hits any leg.

Trail SL to Break-even Price​

  • :All Legs: If a Stop Loss hits any leg, the system will trail the Stop loss of all other legs in the strategy to their respective entry/cost prices.
  • :SL Legs: If a Stop Loss hits any leg, the system will only trail the SL of those legs whose SL is specified. The SL trails to their respective entry price.

Select Strike Criteria​

  • :Strike Type: This criteria helps you select a strike based on its Moneyness. You can select between At the money (Strike closest to underlying), Out of the money (strikes away from the Underlying and have only time value and not intrinsic value) or In the money Strikes (Strikes have both intrinsic and time value).
  • :Premium Range: This feature gives the user the ability to select strikes who's premium fall between an upper & lower premium range. If there are two or more strikes that fall between the premium range, then the one with a higher premium will be selected if the action is to Sell an option & the one with the lower premium will be selected if the action is to Buy an option.

Eg. If the user selects premium Lower range = 100 & Upper Range = 200, then all the strikes who's premium fall within the range of Rs 100 and Rs 200 for a particular backtest period will be shortlisted. Based on the Trade whether to Buy or Sell, the Strikes will be selected from this shortlisted list.

  • :Closest Premium: This criteria selects a strike price whose premium is closest to the one defined by the user. The strike selected can have premium which is either greater, lesser or exactly equal to the one input by the user.
  • :Straddle Width: Straddle Width is calculated by summing the ATM CE & PE premiums. The user is given the option to select a strike which is a sum or difference of the ATM strike and a multiple of the Straddle Width.

For eg. if the current Bank Nifty spot = 35000 and the Straddle width (ATM CE + PE) = Rs 500, then the CE strike for [ATM strike + (2 X ATM Straddle price)] = 36000 CE Strike.

This criterion selects strikes based on a percentage distance from the ATM strike.

  • The distance from ATM is calculated using the percentage defined by the user.

  • The strike is then adjusted above or below ATM accordingly.

This allows proportional strike selection relative to market movement rather than fixed point values.

This criterion selects strikes based on the synthetic future price, which is derived using:

  • ATM Call premium

  • ATM Put premium

  • ATM Strike price

Strikes are selected relative to the synthetic future instead of the spot price, making it useful for advanced and institutional-style strategies.

This option selects strikes based on a percentage of the ATM straddle premium.

  • ATM Straddle = ATM CE + ATM PE

  • The percentage defined by the user is applied to this value to determine strike distance.

This is particularly helpful in volatility-driven strategies where premium expansion or contraction matters.

This criterion selects the strike whose option delta is closest to the delta value specified by the user.

  • Delta can be either Call or Put delta depending on the leg.

  • The selected delta can be slightly higher or lower than the input value.

Commonly used in delta-neutral or probability-based strategies.

This feature allows users to select strikes whose delta falls within a specified delta range.

If multiple strikes qualify:

  • Sell trades: Strike with the higher absolute delta is selected.

  • Buy trades: Strike with the lower absolute delta is selected.

This provides flexibility while maintaining delta control.

Simple Momentum​

Takes entry into the trade after the price moves a certain amount, in points or percentage, after the entry conditions.

Trail SL​

With :trailing SL, you can move your actual stop loss, whenever the price moves in your favor. Every time the instrument moves in your favor by X amount, the SL is moved by Y amount in the same direction. Amount can be in terms of points or percentage.

Re-entry​

  • RE ASAP (Immediate Re-entry)

  • RE ASAP ↩ (Immediate Reverse Re-entry)

  • RE COST (At Cost Re-entry)

    • :Re-enter the original leg at previous entry price. For example, the user sold an ATM call with SL 20 % at Rs 100 (SL = Rs 120). Now if the Stop Loss triggers, the system will wait for the price of this call to come back to Rs 100 (Entry Price) before it re-enters the same option. SL will remain at 20% upon re-entry.

  • RE COST ↩ (At Cost Reverse Re-entry)

    • :Re-enter the original leg at the initial entry price but reverse the position. For example, if the user sold a call with SL 20% at Rs 100 (SL = Rs 120) and the Stop Loss HIT, the system will wait for the price of the Call to come back to Rs 100 (Entry Price) before it re-enters the same option. But, this time the system will take a reverse position, i.e. buy the call option instead. SL will remain at 20% upon re-entry.

  • RE MOMENTUM (Re-entry with Momentum)

    • :If the user has selected "Simple Momentum", then the system will wait for the momentum condition to hold true before it re-enters.
    • Eg. Suppose the user sets the "Simple Momentum" to Percentage Up 10%, Buy ATM call with entry time 9:30am and SL 5%. Assuming the price of the call at 9:30am is Rs 100, the system will wait till the price of the option reaches Rs 110 to buy it. Once the Stop Loss triggers, the system will choose the new ATM call and apply the "Simple Momentum" with Percentage up 10% and SL 5% to it. Say the price of the new ATM Call was Rs 50 when the SL triggered, the system will wait for the price of this option to go up to Rs 55 before it enters again. The SL will remain at 5%.
    • If the user does not select "Simple Momentum", then this behaves exactly like RE ASAP.

  • RE MOMENTUM ↩ (Reverse Reentry with Momentum)

    • :If the user has selected "Simple Momentum", then the system will wait for the momentum condition to hold true before it re-enters. But, this time it will re-enter the reverse position.
    • Eg. Suppose the user sets the "Simple Momentum" to Percentage Up 10%, Buy ATM call, entry time 9:30am and SL 5%. Assuming the price of the call at 9:30am is Rs 100, the system will wait till the price of the option reaches Rs 110 to buy it. Once the SL triggers, the system will choose the new ATM call and apply the "Simple Momentum" with Percentage up 10% and SL 5% to this. Say the price of the new ATM Call was Rs 50 when the SL triggered, the system will wait for the price to go up to Rs 55 before it enters again. But, this time the system will sell the call instead. The SL will remain at 5%.
    • If the user does not select "Simple Momentum", then this behaves exactly like RE ASAP ↩

  • Lazy Leg

    • :A lazy leg refers to a part of your strategy's leg that you can set to activate under certain defined conditions without manual intervention. It extends the capability of our platform, allowing for more sophisticated management of entry and exit strategies.

    • For example, if your strategy involves selling an ATM call with a 20-point stop loss, you can use the Lazy Leg feature to execute an OTM put sell leg with a 10-point stop loss and 20-point target if the initial stop loss is hit. This feature gives you more flexibility and control in executing your trades.

      You can create a "Lazy Leg" by selecting the option in the Re-Entry feature and inputting your desired parameters for the leg before clicking on "Create and Select".

      Example :- Let's assume you created a strategy

      Underlying :- Nifty

      Entry :- 09:20

      Strike :- ATM CE

      Positon :- Buy

      SL :- 30 Points

      Re-Entry on SL (Lazy Leg) :- OTM2 CE Sell, SL 20%, Target 40%

      Assume that at 9:20 the spot is at 18502 so ATM strike is 18500 and 18500 CE premium is 200

      Your SL is at = 200 - 30 = 170 and at 09:45 it is hit and triggered.  

      Now assume that at 09:45 the spot is at 18465 so OTM2 for CE is 18550 CE. 

      So as per our Lazy Leg condition it will execute the 18550 CE with 20% Stop-Loss and 40% Target at 09:45.

Overall Settings​

Here are some :overall strategy-level definition of terms used in our algo trading platform.

Overall Trail SL​

This is a strategy level feature. With Overall trail SL, you can move your Overall stop loss, whenever the MTM or Profit moves in your favor. So every time the strategy MTM moves in your favor by X amount, we will move the stop loss by Y amount in the same direction. Amount can be in terms of Points or Rupees or percentage of total premium received or given.

Overall Re-entry​

:Overall Re-entry is triggered only in the case when the Overall strategy Stop Loss gets hit.

  • RE ASAP (Immediate Re-entry)

    • Re-enter immediately in the strategy with new ATM strikes at market price. For example, assume the overall strategy SL gets triggered. The system will immediately re-enter the same positions with the new ATM strikes.

  • RE ASAP ↩ (Immediate Reverse Re-entry)

    • Re-enter immediately in the strategy with new ATM strike at market price and reverse the position. For example, the user enters a short ATM Straddle (Call & Put) with an Overall Stop Loss 40% at a combined premium of Rs 100. So Overall SL in this case is Rs 140. Now when the Stop Loss triggers, the system we will re-enter the Straddle (Call and Put) with the new ATM Strikes. But, this time it will take a long position, Overall Stop Loss will remain the same at 40%.

  • RE MOMENTUM (Re-entry with Momentum)

    • If the user has selected "Simple Momentum", then the system will wait for the momentum condition to hold true before it re-enters.
    • Eg. Suppose the user sets the "Simple Momentum" to Percentage Up 10% for ATM Buy Call and Put, with entry time 9:30am and Overall Stop Loss at 5%. Once the Overall Stop Loss is HIT, the system will choose the new ATM call and Put and apply the "Simple Momentum" with Percentage up 10% and Overall Stop Loss of 5% to this. Say the price of each of the new ATM Call & Put is Rs 50 when the Overall Stop Loss triggered, the system will wait for the price of either of these options to go up to Rs 55 before it enters again and puts the Overall Stop Loss at 5% as before.
    • If the user does not select "Simple Momentum" this behaves exactly like RE ASAP.

  • RE MOMENTUM ↩ (Reverse Reentry with Momentum)

    • If the user has selected "Simple Momentum", then the system will wait for the momentum condition to hold true before it re-enters, but this time it will re-enter the reverse position.
    • Eg. Suppose the user sets the "Simple Momentum" to Percentage Up 10% for ATM Buy call and Put, with entry time 9:30am and Overall Stop Loss at 5%. Once the Overall Stop Loss is HIT, the system will choose the new ATM call and Put and apply the "Simple Momentum" with Percentage up 10% and Overall Stop Loss of 5% to this. Say the price of each of the new ATM Call & Put is Rs 50 when the Overall Stop Loss triggered, the system will wait for the price of either of these options to go up to Rs 55 before it enters again. But this time it will sell the options instead. The Overall Stop Loss will again be put at 5%.
    • If the user does not select "Simple Momentum" then this behaves exactly like RE ASAP ↩

Execution Settings​

Here are some :execution settings that would be helpful for Live Trading :

  • Quantity Multiplier: The quantity multiplier function has been given to the user as an easy way to deploy multiple lots of a particular strategy. The Quantity Multiplier, multiplies the number of lots in the strategy by the value of the Quantity Multiplier. If the strategy has Overall Settings like Overall SL, Overall Target & Overall Trail SL, based on MTM and not percentage, then they will also be respectively Modified.
  • NRML/MIS: You can choose your order type to be of type NRML/MIS. NRML is the default type. If the exit time of your strategy is after the MIS cut-off time of your broker, then you won't be able to select MIS.
  • Tgt/SL Ref Price: You can select the base for calculating stop loss and target. If you choose "Trigger Price", then the stop loss and target will be calculated based on the trigger price, or if you choose "Traded Price", then the stop loss and target will be calculated based on the actual traded price. E.g., If your entry was at 9:20 and the price of the leg at that time was 100(Trigger Price), but you got the price of 101(Traded Price). Then you can select whether your SL would be based on 100 or 101.
  • Delay entry by: Once the condition of leg entry has been triggered, you can take the entry after some seconds, it takes value from 0 to 50.
  • Entry Order Type/Exit Order Type: It can be of type Market or Limit. Please visit this post for detailed explanation and how it works.