We are pleased to announce the launch of Call Auction trading in the Pre-open Session in BSE’s Equity segment with effect from Monday, October 18, 2010. This is pursuant to SEBI Circular No.CIR/MRD/DP/21/2010 dated July 15, 2010, also available on the BSE website vide notice no 20100720-26, dated July 20, 2010 regarding “Introduction of call auction in Pre-open session, and further clarification circulars issued thereafter. (Ref: BSE Notices - 20100831-5 & 20100920-14)
With respect to the launch, we would like to inform all trading members about the guidelines and other important points to note vis-à-vis the launch of Call Auction trading in the Pre-open Session in BSE’s Equity segment.
1. The Call auction trading mechanism will be applicable for the pre-open session only to determine the opening price of the stocks that are eligible to participate in that session.
2. The pre-open session will be introduced initially for the SENSEX and NIFTY components (Annexure 1). However, the definite list of stocks will be determined based on the Index constituents as on October 15, 2010. In case of any change in composition of the Index, the incoming stock(s) will be incorporated for computation of the market opening price in the pre-open session. The outgoing stock(s) will continue to be part of the pre-open session.
3. The pre-open session shall be conducted for a duration of 15 minutes, i.e. from 9:00 am- 9:15 am
The pre-open session schedule will be as follows -
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Session
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Time
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Action
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Order Entry
Period
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9:00am - 9:07/08am
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Ø Order Addition/Modification/Cancellation
- Random stoppage between 7th and 8th minute
Ø No trades are executed
Ø Dissemination of Indicative Price, Matchable Quantity at the Indicative Price& Indicative Index
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Order Matching & Confirmation Period
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9:08am – 9:12am
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Ø No Order Addition/Modification/Cancellation
Ø Opening price determination, order matching and trade confirmation
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Buffer Period
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9:12am - 9:15am
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Ø To facilitate transition between pre-open and continuous trading session
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4. Other trading session timings
Ø The continuous trading session for all the stocks will commence only after the pre-open session ends at 9:15am. The continuous trading session will end at 3:30pm. The two trading sessions, continuous and pre-open sessions will not run concurrently.
Ø Stocks that are not eligible to participate in the pre-open session (in other words, stocks not covered under point 2 above) will be available for trading from 9:15 am – 3:30pm
Ø Trading in BSE’s Derivatives segment will be from 9:15am – 3:30pm
Ø The block deal trading window will be available for duration of 35 minutes from 9:15am – 9:50am.
5. Only markets orders and limit orders will be permitted during the pre-open session. Both order types will be considered for the computation of the opening price. No iceberg or displayed quantity orders are allowed, i.e. orders should be revealed in full quantity.
6. All orders entered in the system for a particular stock during the pre-open session, and which are executable into trades, will match at a single price i.e., the market opening price.
7. Information dissemination during the pre-open session: The following information will be disseminated to the market at regular intervals during the pre-open session –
Ø Indicative market opening price
Ø Matchable quantity at the indicative market opening price
Ø Indicative values of SENSEX and other BSE indices
8. Risk Management
Ø Blocking of Upfront Margins:During the pre-open session, upfront margins will be adjusted against the available collateral of members at the time of entering orders into the system. In other words, orders will not be accepted in the system if the member does not have adequate collateral.
However, the current risk management system for cash market (i.e. blocking of upfront margins at the trade level) shall continue to be applicable to the continuous trading session from 9:15am – 3:30pm.
Ø Price Bands: A uniform price band of 20% will be applicable on all the participating stocks during the pre-open session.
Ø Index-based market-wide circuit breaker system: In the event SENSEX breaches its prescribed threshold limit upon calculation of the opening value of SENSEX at the closure of pre-open session, a trading halt will be triggered as per SEBI Circular Ref. No. SMDRPD/Policy/Cir-37 /2001 dated June 28, 2001 on index-based market-wide circuit breaker system. The trading halt shall be applicable at the start of the continuous trading session. The index breach will not impact the execution and confirmation of trades during the pre-open matching session.
Other details regarding the new version release of the BOLT TWS system as well as of IML regarding the pre-open session will be informed to all trading members in due course of time closer to the launch date.
For more information on the specifications related to the call auction trading mechanism in the pre-open session, please refer to BSE India website –
For any queries related to this notice, trading members may contact the following officials -
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Name
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Contact No.
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Email id
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Annesa Mukherjee
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2272 8757
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Esheeta Sanyal
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2272 8194
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Ojas Shah
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2272 8504
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Sayee Srinivasan Tejash Somaiya
Head – Product Strategy Member/ Institutional Sales
October 1, 2010
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