• Duration of special Pre-open session - 60 minutes from 9:00am - 10.00am
• This Pre-Open session will be conducted only on first day of trading (in case of IPOs) and recommencement of trading (in case of re-listed Securities).
• All executable orders for a particular stock will match at the equilibrium price which will be the market opening price.
• Orders are collected in the order entry period & execution occurs in the order matching period.
• Only Limit Orders are accepted (including limit IOC orders). No market orders will be allowed.
• All orders shall be disclosed in full quantity, i.e. orders where revealed quantity function is enabled, will not be allowed during the pre-open session.
• Indicative opening price & matchable quantity for the stock will be disseminated at regular intervals of order entry period.
• Block deal session will not be held for participating Securities on first day of trading\recommencement till 1st day of order matching & resultant price discovery. However Securities will be enabled for the regular block deal session from the next trading day onwards after price discovery.
• In case of no price discovery in special pre- open session -
  IPO Securities: All orders entered will move to continuous trading session at their limit price on price-time priority
  Relisted stocks: All orders will be CANCELLED by the system and the Security shall continue to trade in call auction mechanism until price is discovered
• Relisted stocks and IPOs with issue size less than 250Cr will be traded in TFT (Trade for Trade) segment for first 10 days.
• No Price band will be applicable for IPOs and Relisted stocks in the special Pre-Open Session.

Trading session

Special Pre-open session shall comprise of two sessions viz.

• Order Entry period.
• Order Matching period.
  
  After order matching period there are buffer period to facilitate transition between preopen and continuous session

Order Entry Period

• The order entry period is defined as the timing of Special preopen session. 9.45* minutes shall be provided for order entry, modification and cancellation. (* - System driven random stoppage between 9.44th and 9.45th minute)
• Only Limit order will be allowed.
• Dissemination of indicative equilibrium price, indicative match-able quantity & indicative index values.

Order Matching Period

• Order matching period will start immediately after completion of order entry period.
     • No Order Addition/Modification/Cancellation shall be allowed.
• Opening price determination and trade confirmation.
• The continuous trading session for the set of Securities participating in the special pre-open session will immediately commence after the new pre-open session ends and subject to certain conditions after price discovery. The two sessions, continuous and the special pre-open will not run concurrently for the above-mentioned set of Securities.
• In case of Relisted Securities, system will schedule another round of special pre-open session if equilibrium price is not discovered.

• Equilibrium Price Discovery: The equilibrium price computation should follow the same volume maximization logic based on aggregated demand & supply of orders, which is currently followed for the existing pre-open session. All orders entered in the system should match at the same price, i.e. the equilibrium price, if they qualify as match-able.
  
  Opening price determination logic for IPO's and Relisted Securities
  
  
  
  The following steps illustrate the detailed process to calculate the opening price.
  
  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.
    
    
  NOTE :- 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 close Price
  
  To arrive at the final price we choose the potential price (obtained from the previous steps) which is closest to the close price. This single price point is chosen as final opening price at which all orders are executed. In case the close price is the mid value of a pair of prices which are closest to it, then the close price itself will be considered the market opening price.
  
  
• Treatment of Unmatched orders
  
  
  • IPO Securities:
    
    • All unmatched limit orders in the special pre-open session will be shifted to the order book of the continuous trading session at their limit price on price-time priority basis, irrespective of whether the equilibrium price has been discovered or not.
    • In case the limit price of any unmatched order that is shifted to the continuous trading session is beyond the applicable price band for that Security, then such outstanding orders shall be returned to the respective member.
    • Unmatched orders entered with IOC will get rejected.
      
      
  • Re-listed Securities:
    • Equilibrium price discovered: All unmatched orders entered during the pre-open (Call Auction) period shall be moved to the continuous trading session at their limit price.
    • Equilibrium price NOT discovered: All orders will be CANCELLED by the system at the end of the special pre-open session.

Market Picture Display

The following information will be disseminated to the market at regular intervals during the order entry period pre-open session -

• Indicative market opening price, populated in the 'LTP' field
• Matchable quantity at the indicative market opening price, populated in the 'LTQ' field

If the indicative open price/matchable quantity at the indicative open price is not available then the 'LTP'/'LTQ' field is right blank.

• Total buy /sell depth of the book will be populated in the 'Buy /Sell depth' fields
• Percentage change in the indicative price
• High/ Low prices will be disseminated based on the indicative opening prices
• The 'open' field in the BOLT system will be populated only when the actual opening price has been determined in the order matching and confirmation period.
• The 'Close' field will display issue price in case of IPO

The market depth would display:

• Indicative opening price with next best 4 bids and offers. If the indicative opening price is not determined, then the best bids and offers will be displayed
• Cumulative quantities at each of these price points
  
  

Example of the market depth display

Buy Quantity Buy Price Sell Price Sell Quantity 200 96 91 100 150 95 91.5 100 50 93 93 100 100 91.5 95 100 100 91 96 200 100 90 97 50     98.5 50     99 100

Demand Supply Schedule




Here the opening price determined is 95.00 at which the tradable quantity is maximized. The market depth display would be as follows:

Time Action Issue size GREATER than Rs.250 cr. for IPOs Order level adjustment of upfront margins as applicable, against the latest available collateral As per existing process IPOs with Issue size LESS than Rs.250 cr. & Re-listed Securities Order level adjustment of upfront margins equivalent to 100% of the order value, against the latest available collateral TFT segment for first 10 days - Trade level adjustment of upfront margins equivalent to 100% of the traded value, against latest available collateral From the 11th trading day onwards - As per existing process

Price bands

New Pre-Open Session Continuous Trading Session IPOs - Issue size GREATER than Rs.250 cr. NO Price Bands Equilibrium Price discovered - 20% of Equilibrium Price Equilibrium Price NOT discovered - 20% of Issue Price IPOs - Issue size LESS than Rs.250 cr. NO Price Bands Equilibrium Price discovered - 5% of Equilibrium Price Equilibrium Price NOT discovered - 5% of Issue Price Re-listed Securities NO Price Bands Equilibrium Price discovered - 5% of Equilibrium Price

Setting up of Market watch for IPO/ Re-listed Securities on Touchline:

BOLT TWS will generate a SPR file in BOLTNTSBT folder at the time of downloading latest Security master. This SPR file will contain securities for IPO & Re-listed Securities on that trading day. The BOLTNTSBT folder shall always have two files available with naming convention as mentioned below -

IPORelist_ddmmyyyy_c: For current day file
IPORelist_ddmmyyyy_p: For previous day file

Date of SPR file will be shown as date of Security master generation. This file can be loaded through Security profile window to display Securities under special Pre- opening session on that day in Touchline.

In addition to this, current market depth window will have following indicator on title bar for IPO & Re-listed Securities.

- SPOS-IPO (For IPO securities)
- SPOS-Relist (For Relist securities)

Notice