Order Slicing

What is Order Slicing?

Order Slicing is the process of automatically splitting a trade order into smaller chunks when its size exceeds the exchange’s freeze quantity or lot limit.

This ensures:

• Orders don’t get rejected by the exchange
• Large strategies execute seamlessly by creating multiple smaller executions under the allowed limit

How Freeze Quantity Works

Each instrument listed on NSE or BSE has a freeze limit, defined either by quantity or by number of lots (for futures and options).

Instrument	Lot Size	Freeze Quantity	Freeze Lot Limit*
NIFTY	75	1800	24
BANKNIFTY	25	900	36

Key Terms

Term	Meaning
Freeze Quantity / Lot Limit	Maximum tradable quantity or number of lots allowed per single order for an instrument (defined by NSE).
Lot Size	Number of shares per lot (e.g., NIFTY = 75 shares per lot).
Leg	A single position in your strategy (Buy/Sell of an instrument).
Execution Multiplier	Multiplies your strategy quantity during execution.
Broker Multiplier	Executes the same strategy across multiple broker accounts.

• Freeze Lot Limit: This is not an official term. We introduced it to explain the concept clearly.

This means:

• In Options/Futures, you can place one order with up to the freeze-lot limit (e.g., 24 lots for NIFTY).

If your strategy exceeds this limit after broker & quantity multiplier, strategy will get activated in multiple instances..

How Order Slicing Works in AlgoTest

When a strategy is activated:

1. AlgoTest checks each leg’s total quantity or lots after applying:

   • Execution Multiplier
   • Broker Multiplier

2. If any leg, after applying both the execution and broker multipliers, exceeds the NSE’s or BSE's freeze limit:

   • Instead of rejecting the strategy, AlgoTest creates multiple executions, each capped at the maximum allowed limit.
   • Each execution runs independently, ensuring every order stays compliant with exchange limits.

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• If a strategy is split into N executions, it will consume N Algo Executions (credits).

  • Example: 3 executions = 300 credits (3 × 100 credits).

• When the final quantity (after applying multipliers) exceeds the exchange freeze limit, the order is split into multiple executions.

• Stop loss is applied on the traded price of each execution, since each can get a different market price.

Example

A strategy results in 50 lots after multipliers and gets split into 3 executions:

Execution	Lots Traded	Traded Price
E1	24 lots	₹99.00
E2	13 lots	₹99.50
E3	13 lots	₹100.00

• Credits used: 3 executions = 300 credits
• Stop loss: applied per execution based on its own traded price.

Example: Options/Futures

Let’s take NIFTY Options (freeze limit = 24 lots).

Leg	Base Lots	Execution Multiplier	Broker Multiplier	Final Lots (Base × Exec × Broker)
L1	2	3	3	18
L2	3	2	4	24
L3	4	2	4	32

Here’s what happens:

• Leg 1 (18) → Within limit
• Leg 2 (24) → At limit
• Leg 3 (32) → Exceeds limit

Instead of blocking activation, slicing splits it into multiple executions:

This ensures every execution stays below the freeze quantity.

For example, this strategy shown below has been sliced in two executions:

When Execution Fails

Order Slicing applies only when the system can split quantities.

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If any leg’s base quantity itself exceeds the freeze quantity (for example, a NIFTY leg directly defined with 48 lots), the strategy cannot be activated.

Order Slicing in Portfolios

When you activate a Portfolio, AlgoTest checks the freeze limits for each strategy inside the portfolio.

• A leg’s original quantity should be within the exchange’s allowed limit.
• After applying the broker multiplier and execution multiplier, if the final quantity exceeds the exchange limit;
• In that case, strategy will get executed in multiple instances of the portfolio.

However, if any strategy’s leg exceeds the freeze quantity at the base level itself (before multipliers), the strategy cannot be activated.

Error:

AlgoTest will show you an error message identifying exactly which strategy is exceeding the exchange limit.
You can then either edit that strategy and correct the lot/quantity or de-select the strategy from the portfolio before reactivating the portfolio.

Order Slicing in Forward Test

The same rule as algo trade is followed in Forward Test.

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Key Takeaways

• One leg can only fire up to the freeze quantity.
  Example: NIFTY 25500 CE Sep 25, 2025 → Freeze Quantity = 1800, Lot Size = 75 → 24 lots.
• Both execution and broker multipliers are considered together when checking limits.
• Slicing automatically duplicates executions if a leg exceeds the freeze lot limit.
• Slicing keeps your strategy compliant with NSE’s restrictions and ensures uninterrupted execution.

Order Slicing ensures your orders never get rejected for being too large.

AlgoTest automatically breaks oversized trades into smaller, exchange-safe executions, so your strategies run smoothly without manual intervention.