Why do some Open orders outside F&O executable range get cancelled?


Let me explain with an example and let’s assume the following data:

Banknifty spot is at 20500. Banknifty 20300 CE trading at 200 on expiry day and you bought it at this price.
Let’s take the circuit limits of this option at 0.05(Lower circuit limit) and 400(Upper circuit limit).
Any order placed between the circuit limits is a valid order and will be stamped by the exchange.

But there is a possibility of order cancellation in the scenario explained below:

The exchange has introduced a reference price and an execution range for all F&O orders. This execution range is 5% from the reference point for Futures and 40% from the reference point for Options trading above a premium of 50. The reference price is calculated at the end of every minute as the 1 minute simple average.

For Nifty 20300 CE, if the reference price is 200, then the executable range is 120 to 280. Assume you have 2 lots(80 qty) and you have placed a stoploss for this at 100. This is a valid order and will be open.

Another buyer has also placed a Buy Limit order for 2 lots at 100 and this exactly matches with your 2 lots stoploss order in the market depth. This is also a valid order and will be open as it is within the circuit limits of the contract.

If Banknifty spot falls 90 points in 1 minute,

Banknifty 20300 CE will fall to 110.

When this happens, the reference point at the end of this minute will change. Say the reference point is now 180 and the execution range has changed to a new range of 108 to 252.

Your stoploss of 100 is still outside the execution range but is still open.

If Banknifty spot falls another 20 points within the next trading minute.

Banknifty 20300 CE will further fall to 90.

Here, your stoploss of 100 has reached but it is still out of the execution range as the new reference point is yet to be formed only at the end of this minute. It is only after the new reference point is formed that your order will fall in the execution range.

Since your stoploss of 100 has now been reached and there is a matching Buy limit order at 100, and it is still outside the execution range as the new reference point is yet to be formed, this order will be cancelled in such a scenario.

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As I shut my screen after placing an SLM order, is there any way we can avoid it or handle it? or someday I have to take a big loss as the SLM order could get canceled?

It’s cancelled by exchange. May be placing GTT will help you

Any idea how to overcome this issue? I usually place the Stop Loss and shut down the screen but if there is a chance that even the SLM order can get canceled, then I have to sit in front of the screen all day.

Use algo trading and place the orders untill the exchange does not cancel them.

Any recommendations for algo trading websites?

I have sent a dm…

If you are having this problem, you can opt for automated trading instead and trade till the time you have enough profits.