Version: 1.0 (Current)

Execution Settings Schema

This document provides the complete schema reference for the executionSettings configuration object. Execution settings define how the algorithm interacts with the market and executes trades.

Overview

Execution settings are part of Step 5 of algorithm configuration. They control:

Execution mode (live, paper, backtest)
Exchange selection
Broker integration
Order types
Slippage assumptions
Indian market-specific settings

Schema Structure

interface ExecutionSettings {
  mode: 'live' | 'paper' | 'backtest'
  exchange: 'NSE' | 'BSE' | 'MCX' | 'NCDEX'
  broker?: 'AngelOne' | 'Zerodha' | 'Upstox' | 'Dhan'
  orderType: 'market' | 'limit' | 'stop' | 'stop_limit'
  slippage: number
  indianMarketSettings?: IndianMarketSettings
}

Core Fields

`mode`

Type: enum
Required: Yes
Values:
- live - Real trading with actual capital
- paper - Simulated trading with real market data
- backtest - Historical data testing
Example: "paper"

Mode Descriptions:

Live Trading

Executes real trades through broker API
Uses actual capital
Incurs real costs (brokerage, taxes)
Requires broker connection
Risk: Real money at stake

Requirements:

Broker account configured
Sufficient balance
API credentials valid
Risk parameters validated

Paper Trading

Simulates trades with real-time data
No real money involved
No brokerage costs
Tests strategy in live market conditions
Risk: None (simulation only)

Use Cases:

Testing new strategies
Validating algorithm logic
Building confidence before going live
Training and learning

Backtesting

Tests strategy on historical data
Fast execution (no waiting for candles)
Evaluates past performance
Identifies optimal parameters
Risk: None (historical data only)

Use Cases:

Strategy development
Parameter optimization
Performance validation
Walk-forward analysis

Transition Path:

Backtest → Paper Trading → Live Trading

`exchange`

Type: enum
Required: Yes
Values:
- NSE - National Stock Exchange
- BSE - Bombay Stock Exchange
- MCX - Multi Commodity Exchange
- NCDEX - National Commodity & Derivatives Exchange
Example: "NSE"

Exchange Details:

NSE (National Stock Exchange)

Trading Hours: 09:15 - 15:30 IST
Pre-Open: 09:00 - 09:15 IST
Instruments: Equities, Futures, Options
Symbol Format: NSE:RELIANCE, NSE:NIFTY25JAN24500CE

Segments:

Cash Market (Equities)
Futures & Options (F&O)
Currency Derivatives

BSE (Bombay Stock Exchange)

Trading Hours: 09:15 - 15:30 IST
Pre-Open: 09:00 - 09:15 IST
Instruments: Equities, Futures, Options
Symbol Format: BSE:INFY, BSE:SENSEX25JANFUT

Segments:

Cash Market (Equities)
Futures & Options (F&O)
Currency Derivatives

MCX (Multi Commodity Exchange)

Trading Hours: 09:00 - 23:30 IST (varies by commodity)
Instruments: Commodity Futures
Symbol Format: MCX:CRUDEOIL25JANFUT, MCX:GOLD

Commodities:

Energy: Crude Oil, Natural Gas
Metals: Gold, Silver, Copper, Zinc
Agriculture: Cotton, Cardamom

NCDEX (National Commodity & Derivatives Exchange)

Trading Hours: 10:00 - 17:00 IST (most commodities)
Instruments: Agricultural Commodity Futures
Symbol Format: NCDEX:SOYBEAN, NCDEX:WHEAT

Commodities:

Oilseeds: Soybean, Mustard
Cereals: Wheat, Rice
Spices: Turmeric, Jeera

`broker`

Type: enum
Required: No (required for live mode)
Values:
- AngelOne - Angel One (formerly Angel Broking)
- Zerodha - Zerodha
- Upstox - Upstox
- Dhan - Dhan
Example: "AngelOne"

Broker Comparison:

AngelOne

API: SmartAPI
Rate Limit: 1 request/second
Supported: NSE, BSE, MCX, NCDEX
Features: Full F&O support, commodity trading
Setup: See Broker Integration Guide for details

Zerodha

API: Kite Connect
Rate Limit: 3 requests/second
Supported: NSE, BSE, MCX, NCDEX
Features: Most popular, extensive documentation
Setup: See Broker Integration Guide for details

Upstox

API: Upstox API
Rate Limit: 2 requests/second
Supported: NSE, BSE, MCX
Features: Low brokerage, good API
Setup: See Broker Integration Guide for details

Dhan

API: Dhan API
Rate Limit: 1 request/second
Supported: NSE, BSE, MCX
Features: Modern platform, good support
Setup: See Broker Integration Guide for details

`orderType`

Type: enum
Required: Yes
Values:
- market - Execute at current market price
- limit - Execute at specified price or better
- stop - Trigger market order at stop price
- stop_limit - Trigger limit order at stop price
Example: "market"

Order Type Details:

Market Order

Execution: Immediate at best available price
Guarantee: Execution guaranteed (in liquid markets)
Price: Not guaranteed (subject to slippage)
Use Case: Quick entry/exit, liquid instruments

Pros:

Fast execution
Guaranteed fill (usually)
Simple to implement

Cons:

Price uncertainty
Slippage in volatile markets
Gap risk

Example:

{
  "orderType": "market"
}

Limit Order

Execution: Only at specified price or better
Guarantee: Price guaranteed
Fill: Not guaranteed (may not execute)
Use Case: Price-sensitive entries, illiquid instruments

Pros:

Price control
No slippage
Better fills possible

Cons:

May not execute
Requires price monitoring
Partial fills possible

Example:

{
  "orderType": "limit"
}

Stop Order (Stop-Loss Market)

Trigger: When price reaches stop level
Execution: Market order after trigger
Use Case: Stop losses, breakout entries

Pros:

Automatic trigger
Guaranteed execution after trigger
Good for stop losses

Cons:

Slippage after trigger
Gap risk
May trigger on spike

Example:

{
  "orderType": "stop"
}

Stop-Limit Order

Trigger: When price reaches stop level
Execution: Limit order after trigger
Use Case: Controlled stop losses, precise breakouts

Pros:

Price control after trigger
No slippage
Precise execution

Cons:

May not fill after trigger
Complex to manage
Requires two price levels

Example:

{
  "orderType": "stop_limit"
}

`slippage`

Type: number
Required: Yes
Range: 0 to 5
Unit: Percentage
Description: Expected slippage for backtesting and paper trading
Default: 0.1
Example: 0.1

Purpose:

Realistic backtest results
Account for execution costs
Simulate real market conditions

Calculation:

Actual Fill Price = Expected Price × (1 ± slippage/100)

Long Entry:  Fill = Expected × (1 + slippage/100)
Long Exit:   Fill = Expected × (1 - slippage/100)
Short Entry: Fill = Expected × (1 - slippage/100)
Short Exit:  Fill = Expected × (1 + slippage/100)

Example:

{
  "slippage": 0.1
}

With ₹500 expected price and 0.1% slippage:

Long Entry: ₹500.50 (0.1% worse)
Long Exit: ₹499.50 (0.1% worse)

Recommended Values:

Market Condition	Slippage
Highly Liquid (Nifty 50)	0.05-0.1%
Liquid (Top 200 stocks)	0.1-0.2%
Moderate Liquidity	0.2-0.5%
Low Liquidity	0.5-1.0%
Very Low Liquidity	1.0-2.0%

Factors Affecting Slippage:

Market volatility
Order size
Liquidity
Time of day
Order type

Indian Market Settings

Optional configuration for India-specific market rules.

interface IndianMarketSettings {
  enabled: boolean
  autoSquareOff?: AutoSquareOff
  productType?: ProductType
  circuitBreakerHandling?: 'pause' | 'exit_all' | 'continue'
  avoidPreOpen?: boolean
  sttCalculation?: boolean
  gstCalculation?: boolean
  rmsBuffer?: number
}

`enabled`

Type: boolean
Required: Yes
Description: Whether Indian market settings are enabled
Example: true

Auto Square-Off Configuration

interface AutoSquareOff {
  enabled: boolean
  minutesBeforeClose: number  // 5 to 60
}

`enabled`

Type: boolean
Required: Yes (if indianMarketSettings is defined)
Description: Whether auto square-off is enabled
Example: true

`minutesBeforeClose`

Type: number
Required: Yes (if enabled is true)
Range: 5 to 60
Default: 15
Description: Minutes before market close to square off intraday positions
Example: 15

Exchange-Specific Times:

NSE/BSE: 15:15 IST (15 minutes before 15:30 close)
MCX: 23:15 IST (15 minutes before 23:30 close)

Example:

{
  "autoSquareOff": {
    "enabled": true,
    "minutesBeforeClose": 15
  }
}

Purpose:

Prevents overnight positions for intraday products
Avoids penalty charges
Ensures compliance with broker rules

`productType`

Type: enum
Required: No
Values:
- intraday - Intraday/MIS (Margin Intraday Square-off)
- delivery - Delivery/CNC (Cash and Carry)
- BTST - Buy Today Sell Tomorrow
- futures - Futures contracts
- options - Options contracts
Example: "intraday"

Product Type Details:

Intraday (MIS)

Margin: High leverage (5-20x)
Holding: Must square off same day
Auto Square-Off: Yes (before market close)
Use Case: Day trading, scalping

Delivery (CNC)

Margin: Full capital required
Holding: Can hold indefinitely
Auto Square-Off: No
Use Case: Swing trading, investing

BTST (Buy Today Sell Tomorrow)

Margin: Partial (varies by broker)
Holding: T+1 settlement
Minimum Hold: 1 day
Use Case: Short-term swing trades

Futures

Margin: Based on contract specifications
Holding: Until expiry or square-off
Auto Square-Off: On expiry day
Use Case: Leveraged trading, hedging

Options

Margin: Premium + margin (for sellers)
Holding: Until expiry or square-off
Auto Square-Off: On expiry day
Use Case: Directional bets, hedging

`circuitBreakerHandling`

Type: enum
Required: No
Values:
- pause - Pause algorithm until circuit breaker lifts
- exit_all - Exit all positions immediately
- continue - Continue normal operation
Default: pause
Example: "pause"

Circuit Breaker Triggers:

10% market movement: 15-minute halt
15% market movement: 45-minute halt
20% market movement: Trading suspended for day

Handling Options:

Pause:

Algorithm stops generating signals
Existing positions remain open
Resumes when circuit breaker lifts

Exit All:

Immediately exits all open positions
Uses market orders
May incur slippage

Continue:

Algorithm continues normal operation
May not be able to execute during halt
Resumes when trading resumes

`avoidPreOpen`

Type: boolean
Required: No
Default: true
Description: Avoid trading during pre-open session (09:00-09:15)
Example: true

Pre-Open Session:

09:00-09:08: Order entry
09:08-09:12: Order matching
09:12-09:15: Buffer period

Risks:

High volatility
Wide spreads
Unpredictable fills
Gap openings

`sttCalculation`

Type: boolean
Required: No
Default: true
Description: Include STT (Securities Transaction Tax) in P&L calculations
Example: true

STT Rates:

Intraday Equity: 0.025% on sell side
Delivery Equity: 0.1% on both sides
Futures: 0.01% on sell side
Options: 0.05% on sell side (premium)

`gstCalculation`

Type: boolean
Required: No
Default: true
Description: Include GST (18%) on brokerage and charges
Example: true

GST Application:

18% on brokerage
18% on transaction charges
18% on SEBI charges

`rmsBuffer`

Type: number
Required: No
Range: 0 to 20
Unit: Percentage
Default: 5
Description: Risk Management System buffer for margin calculations
Example: 5

Purpose:

Prevents margin shortfall
Accounts for intraday volatility
Ensures sufficient margin

Calculation:

Required Margin = Base Margin × (1 + rmsBuffer/100)

Complete Examples

Paper Trading Setup

{
  "mode": "paper",
  "exchange": "NSE",
  "orderType": "market",
  "slippage": 0.1,
  "indianMarketSettings": {
    "enabled": true,
    "autoSquareOff": {
      "enabled": true,
      "minutesBeforeClose": 15
    },
    "productType": "intraday",
    "circuitBreakerHandling": "pause",
    "avoidPreOpen": true,
    "sttCalculation": true,
    "gstCalculation": true,
    "rmsBuffer": 5
  }
}

Live Trading Setup

{
  "mode": "live",
  "exchange": "NSE",
  "broker": "AngelOne",
  "orderType": "market",
  "slippage": 0.1,
  "indianMarketSettings": {
    "enabled": true,
    "autoSquareOff": {
      "enabled": true,
      "minutesBeforeClose": 15
    },
    "productType": "intraday",
    "circuitBreakerHandling": "pause",
    "avoidPreOpen": true,
    "sttCalculation": true,
    "gstCalculation": true,
    "rmsBuffer": 5
  }
}

Backtesting Setup

{
  "mode": "backtest",
  "exchange": "NSE",
  "orderType": "market",
  "slippage": 0.15,
  "indianMarketSettings": {
    "enabled": true,
    "productType": "intraday",
    "sttCalculation": true,
    "gstCalculation": true
  }
}

Commodity Trading Setup

{
  "mode": "live",
  "exchange": "MCX",
  "broker": "AngelOne",
  "orderType": "limit",
  "slippage": 0.2,
  "indianMarketSettings": {
    "enabled": true,
    "autoSquareOff": {
      "enabled": true,
      "minutesBeforeClose": 15
    },
    "productType": "futures",
    "circuitBreakerHandling": "pause",
    "sttCalculation": true,
    "gstCalculation": true,
    "rmsBuffer": 10
  }
}

Validation Rules

General Validation

mode is required
exchange is required
orderType is required
slippage must be between 0 and 5
broker is required when mode is 'live'

Indian Market Settings Validation

If enabled is true, all required sub-fields must be present
autoSquareOff.minutesBeforeClose must be between 5 and 60
productType must be valid for selected exchange
rmsBuffer must be between 0 and 20

Mode-Specific Validation

live: Requires broker, valid API credentials
paper: No broker required
backtest: No broker required, slippage recommended

Algorithm Structure - Complete algorithm schema
Risk Parameters Schema - Risk management configuration
Indian Market Settings - Detailed Indian market guide
Broker Integration - Broker setup guides
How to Setup Execution Settings - Step-by-step guide

Overview​

Schema Structure​

Core Fields​

mode​

Live Trading​

Paper Trading​

Backtesting​

exchange​

NSE (National Stock Exchange)​

BSE (Bombay Stock Exchange)​

MCX (Multi Commodity Exchange)​

NCDEX (National Commodity & Derivatives Exchange)​

broker​

AngelOne​

Zerodha​

Upstox​

Dhan​

orderType​

Market Order​

Limit Order​

Stop Order (Stop-Loss Market)​

Stop-Limit Order​

slippage​

Indian Market Settings​

enabled​

Auto Square-Off Configuration​

enabled​

minutesBeforeClose​

productType​

Intraday (MIS)​

Delivery (CNC)​

BTST (Buy Today Sell Tomorrow)​

Futures​

Options​

circuitBreakerHandling​

avoidPreOpen​

sttCalculation​

gstCalculation​

rmsBuffer​

Complete Examples​

Paper Trading Setup​

Live Trading Setup​

Backtesting Setup​

Commodity Trading Setup​

Validation Rules​

General Validation​

Indian Market Settings Validation​

Mode-Specific Validation​

Related Documentation​

Overview

Schema Structure

Core Fields

`mode`

Live Trading

Paper Trading

Backtesting

`exchange`

NSE (National Stock Exchange)

BSE (Bombay Stock Exchange)

MCX (Multi Commodity Exchange)

NCDEX (National Commodity & Derivatives Exchange)

`broker`

AngelOne

Zerodha

Upstox

Dhan

`orderType`

Market Order

Limit Order

Stop Order (Stop-Loss Market)

Stop-Limit Order

`slippage`

Indian Market Settings

`enabled`

Auto Square-Off Configuration

`enabled`

`minutesBeforeClose`

`productType`

Intraday (MIS)

Delivery (CNC)

BTST (Buy Today Sell Tomorrow)

Futures

Options

`circuitBreakerHandling`

`avoidPreOpen`

`sttCalculation`

`gstCalculation`

`rmsBuffer`

Complete Examples

Paper Trading Setup

Live Trading Setup

Backtesting Setup

Commodity Trading Setup

Validation Rules

General Validation

Indian Market Settings Validation

Mode-Specific Validation

Related Documentation