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Freeze Quantity and Order Execution Limits

Every exchange defines a freeze quantity limit, the maximum number of units (lots) that can be traded in a single order for a given contract.
If a single order exceeds this limit, the exchange will reject the order.

What is the Freeze quantity?​

For example:

  • Instrument: NIFTY Sep 25, 2025 25500 CE
  • Freeze Quantity: 1800 units
  • Lot Size: 36

This means: You can place a maximum of 36 lots in a single order (1800 ÷ 36 = 50).
Any single order exceeding 36 lots will not be accepted by the exchange.

How AlgoTest Handles Freeze Quantity​

If your strategy tries to place an order that crosses the freeze quantity limit, AlgoTest automatically splits the order into smaller executions.

Each execution remains within the exchange’s limit, ensuring your strategy runs smoothly without errors or order rejections.
You don’t need to change anything, AlgoTest handles this automatically.

Example​

Let’s take an example for NIFTY, where the freeze quantity limit is 36 lots.

  • Your strategy has 3 legs with lots = 2, 3, 4
  • You’ve set:
    • Execution Multiplier = 3
    • Broker Multiplier = 4

After applying both multipliers:

  • Total lots per leg = [24, 36, 48]

The last leg (48 lots) crosses the 36-lot limit.

So AlgoTest automatically splits your strategy into two executions, each having half the multiplier, ensuring all legs stay within the allowed limit.

In this case:

  • Instead of one execution with multiplier 12,
    AlgoTest creates two executions with multiplier 6 each.

When a Strategy Cannot Be Activated​

If the base lots of a strategy already exceed the exchange limit, AlgoTest will not activate the strategy directly.

For example:
If a NIFTY strategy has legs with lots = 24, 36, 48, it already exceeds the 36-lot limit.

In such cases:

  • The strategy will still appear as running, but you will see an error notification.
  • You can choose to:
    • Edit your lot size to stay within the limit, or
    • Grant permission to deploy the strategy or portfolio as multiple executions.

Note:
You must have enough execution slots available for the additional executions.
If you don’t, you’ll need to purchase extra execution slots for the strategy to run successfully.

Key Points to Remember​

  • Freeze quantity limits are set by the exchange and vary across instruments.
    For example:

    • NIFTY: 36 lots
    • BANKNIFTY: 30 lots
    • FINNIFTY: 40 lots

  • AlgoTest automatically handles slicing when your order exceeds this limit.

  • If the base lots themselves exceed the limit, you’ll get an error and can choose to modify or authorize multiple executions.

  • Freeze quantity applies only to F&O instruments.
    The Cash segment has its own separate quantity rules.