The Securities and Exchange Board of India has shifted the timing of its closing auction sessions (CAS) to 3:30 p.m. to 3:40 p.m. as per a circular from the body on Thursday. Stock derivatives will now trade till 3:45 p.m., including on expiry days, as per the circular.
CAS will be implemented as a separate session of 10 minutes on all trading days. The first session will be with regards to reference price calculation or transition from Continuous Trading Session (CTS) to CAS, which will last for one minute and start from 3:30 p.m. onwards.
ALSO READ: SEBI Revises CAS Timings; Revises Order Types, Timings And Settlement From Dec 7
The second session concerns the order entry period for both limit and market orders will begin at 3:31 p.m. and last for five minutes. From 3:36 p.m. onwards, the third session commences where order entry period only for limit orders, with no modification or cancellation for market orders and random close in the last two minutes, this will last for four minutes.
The order session will now close randomly between 3:38 p.m. and 3:40 p.m. This random closure will be system driven. After the the order entry period, the stock exchanges will begin order matching as per CAS's framework. The closing price determined via CAS and the quantity of securities executed will be sent to market participants as soon as possible after completing order matching.
Trading in index derivatives contracts is set to continue until 3:45 p.m. on all trading days, with the exception of expiry days, when the trading in expiring index derivatives contracts will stop at 3:30 p.m. Similarly, trading in stock derivatives contracts will continue until 3:45 p.m. on all trading days, in this case, it will also include expiry days. The post-close cash market segment will run from 3:50 p.m. to 4 p.m.
VWAP Trading Norms
The reference price of a security for the purpose of CAS in the cash segment will be determined based on the Volume Weighted Average Price (VWAP) of the trades executed in the security during the last 15 minutes of the Continuous Trading Session (CTS) in the cash segment, the circular said.
If a stock has no trades during the last 15 minutes of the regular trading session, its last traded price (LTP) for the day will be used as the reference price for the Closing Auction Session (CAS).
If the stock does not trade at all during the day, the previous trading day's closing price will be used instead.
In the event of a corporate action, such as a bonus issue or stock split, the adjusted closing price (or base price) from the previous trading day will be taken as the reference price.
Essential Business Intelligence, Sharp Market Insights, Practical Personal Finance Advice, Daily Fuel, Gold and Silver Prices and Latest Stories — On NDTV Profit.