Stock are classifed into three categories on the basis of their liquidity and impact cost.

Download three categories of Stocks

• The Stocks which have traded at least 80% of the days for the previous six months shall constitute the Group I and Group II.
• Out of the scrips identified above, the scrips having mean impact cost of less than or equal to 1% are categorized under Group I and the scrips where the impact cost is more than 1, are categorized under Group II.
• The remaining stocks are classified into Group III.
• The impact cost is calculated on the 15th of each month on a rolling basis considering the order book snapshots of the previous six months. On the basis of the impact cost so calculated, the scrips move from one group to another group from the 1st of the next month.
• For securities that have been listed for less than six months, the trading frequency and the impact cost are computed using the entire trading history of the security.

Categorisation of newly listed securities

For the first month and till the time of monthly review a newly listed security is categorised in that Group where the market capitalization of the newly listed security exceeds or equals the market capitalization of 80% of the securities in that particular group. Subsequently, after one month, whenever the next monthly review is carried out, the actual trading frequency and impact cost of the security is computed, to determine the liquidity categorization of the security.

In case any corporate action results in a change in ISIN, then the securities bearing the new ISIN are treated as newly listed security for group categorization.

Instances as mentioned above shall refer to all disablements during market hours in a calendar month. The penal charge of 0.07% per day shall is applicable on all disablements due to margin violation anytime during the day.

Calculation of mean impact cost

The mean impact cost is calculated in the following manner:

• Impact cost is calculated by taking four snapshots in a day from the order book in the past six months. These four snapshots are randomly chosen from within four fixed ten-minutes windows spread through the day.
• The impact cost is the percentage price movement caused by an order size of Rs.1 Lakh from the average of the best bid and offer price in the order book snapshot. The impact cost is calculated for both, the buy and the sell side in each order book snapshot.

Security Category & Impact Cost file format

This file is generated once a month on the last trading day and is applicable for the next month.

Naming convention

C_CATG_.Tnn
Where MONYYYY - Is the month and year for which the file is generated,T is the file indicator and nn is the batch number. The file is a .CSV file.

File format
Control Record

Field Name	Length	Mandatory / Optional	Description
Record Type	Number (2)	Mandatory	Value is 10
Applicable Month	Char(3)	Mandatory	Applicable month - MON
Applicable Year	Char (4)	Mandatory	Applicable Year - YYYY
Total records	Numeric (6)	Mandatory	Total number of detail records

Detail Record

Field Name	Length	Mandatory / Optional	Description
Record Type	Number (2)	Mandatory	Value is 20
Sec Symbol	Char(10)	Mandatory	Symbol of the security
Sec Series	Char(2)	Mandatory	Series of the security
ISIN	Char(12)	Mandatory	ISIN of the security
Security Category	Char (1)	Mandatory	Security Category applicable on that security in the following month
Security Impact Cost	Number (5,2)	Mandatory	Security Impact Cost