|
5. |
Q. |
What will be the timings of Call Auction Pre-Open Session? When will the continuous trading session start? |
|
|
A. |
Note: The indicative schedule is given below. The call auction timings would be intimated by the Exchange from time to time. Also the exchange will publish the list of scrips eligible for call auction from time to time
Order Entry Period |
9:00am - 9:07/08am |
Order Addition/Modification/Cancellation
Random stoppage between 7th and 8th minute
Dissemination of Indicative Price, Cumulative buy & sale Quantity & Indicative Index
Uniform price band of 20% is applicable
|
Order Matching & Confirmation Period |
9:08am - 9.12am |
No Order Addition/Modification/Cancellation
Opening price determination, order matching and trade confirmation & trade confirmation
|
Buffer Period |
9:12am - 9:15am |
To facilitate transition between pre open and continuous trading session
|
Continuous Trading Session |
9:15am – 3:30pm |
Trades occur continuously as orders match at time/price priority
|
|
|
|
6. |
Q. |
When will the Block deal session start? |
|
|
A. |
Block deal windows shall be available on all trading days in Equity segment as follows –
- Morning Block Deal Window - This window shall operate between 08:45 AM to 09:00 AM.
- Afternoon Block Deal Window - This window shall operate between 02:05 PM to 2:20 PM.
|
|
7. |
Q. |
For which segment will the Call Auction pre-open session be allowed? When will trading in the other segments start? |
|
|
A. |
Call auction during the pre-open session is allowed only for the Equity segment. The continuous trading session for all segments will begin at 9:15am.
|
|
|
|
8. |
Q. |
How will the trading process work during the pre-open session? |
|
|
A. |
During the first 7-8 minutes of the session, members would be allowed to only enter new orders and modify/cancel entered orders. Order entry session will randomly stop anytime between the 7th & 8th minute. Stock-wise order matching will start post the order entry & trades will get executed. All orders entered in the system for any particular stock that will get executed into trades will match at the same price, i.e. the market opening price for that stock. Once the order matching & trade execution period is over, there will be a buffer period before the start of the continuous trading session.
|
|
|
9. |
Q. |
How will the market opening price of a stock be determined during the Call Auction session? |
|
|
A. |
The market opening price of a stock will be determined through a 4-step process as follows –
|
|
Step 1: Sorting and Aggregating Orders at Different Price Points
|
|
All limit orders in the order book will be organized in the following manner:
- Consider the limit order price points at and within the range of the highest buy
price and lowest sell price. Arrange the limit order price points in descending
order.
- Calculate the cumulative buy and sell quantity at each price point. Cumulative buy
quantity shall increase or remain constant as the price decreases. Cumulative sell
quantity shall decrease or remain constant as the price decreases.
|
|
Cumulative market buy and sell orders will be added to each of the cumulative buy
and sell quantities at available price points.
|
|
Step 2: Determining the Maximum Tradable Quantity
|
|
The tradable quantity at an eligible price point is the minimum of the cumulative
buy quantity and cumulative sell quantity at that price point. The price point,
at which the tradable quantity is maximum, is considered the opening price. If there
is a single price point at which the quantity traded is maximum then that is the
opening price.
If there are multiple price points with the same traded quantity, we proceed to
the next step.
|
|
Step 3: Establishing Order Imbalance
|
|
The order imbalance is calculated as the difference between the cumulative buy quantity
and cumulative sell quantity at each eligible price point. If there is a single
volume maximizing price at which the absolute unfilled/unmatched quantity (order
imbalance) is minimum that price is the opening price.
If there is multiple volume maximizing prices at which the order imbalance is minimum,
then we proceed to the next step.
|
|
Step 4: Comparing with the Previous Closing Price
|
|
To arrive at the final price we choose the potential price (obtained from the previous
steps) which is closest to the previous closing price. This single price point is
chosen as final opening price at which all orders are executed. In case the previous
day’s closing price is the mid value of a pair of prices which are closest to it,
then the previous day’s closing price itself will be considered the market opening
price. In case of corporate actions, previous day’s closing price will be the adjusted
for the corporate action.
|
|
|