Closing Auction Session (CAS)

Closing Auction Session (CAS)

Applicability

Phase 1: Applicable only to stocks in the cash segment on which derivative contracts are available.

Session Timings

Closing Auction Session (CAS) shall be implemented as a separate session of 20 minutes from 3:15 pm to 3:35 pm on all trading days, as under:

Continuous Trading for Non-CAS Securities: Session timings are 9:15 am to 3:30 pm.

Equity Derivatives Segment: Session timings are 9:15 am to 3:40 pm.

Key Features

Reference Price: The reference price of a stock in CAS in the cash segment shall be determined based on the VWAP of the trades executed in the stock during the period 3:00 p.m. to 3:15 p.m.

Price Band: Price band applicable during CAS is +/- 3% from the reference price of the stock.

Order Types: Only limit orders and market orders are allowed. Stop loss orders and iceberg orders are not allowed.

Order Execution Priority

Priority 1: Market orders with Market orders (time priority)

Priority 2: Residual market orders with Limit orders (price time priority)

Priority 3: Remaining Limit orders with Limit orders (price time priority)

Determination of Equilibrium Price

1. The equilibrium price shall be determined based on the principle of demand supply mechanism.
2. The equilibrium price shall be the price at which the maximum volume is executable.
3. In case there is more than one price at which the maximum volume is executable, the equilibrium price shall be the price at which there is minimum order imbalance quantity (unmatched order quantity). The absolute value of the minimum order imbalance quantity is taken into consideration.
4. In case there is more than one price at which the maximum volume is executable and they have same minimum order imbalance quantities, the equilibrium price shall be the price closest to the reference price.
5. In case there is more than one price at which the maximum volume is executable, same minimum order imbalance quantities and the reference price is the mid-value of pair of prices which are closest to it, then the reference price itself shall be taken as the equilibrium price.
6. Both limit and market orders shall be reckoned for the computation of equilibrium price.

Data Dissemination

Summary of the information to be disseminated during CAS is provided below:

All unexecuted limit orders of the CTS are carried forward to CAS, except the following:

• Stop loss orders
• Iceberg orders
• Orders having prices beyond the price bands applicable in CAS

Risk Management

1. Orders in CAS shall be subject to applicable margin requirement at order level, except for the limit orders carried forward from CTS to CAS.
2. Orders carried forward from CTS to CAS shall not be validated for margin sufficiency at order level. However, if such carried forward orders are modified during CAS, such modified orders shall be treated as orders received during CAS and shall be validated for margin sufficiency at order level.
3. All orders received in CAS (including carried forward CTS orders that are modified during CAS) shall be validated at the applicable margins for sufficiency of available capital prior to acceptance of the orders. If the available capital of a member is insufficient to cover the margin requirement of the order placed, the same shall not be accepted for CAS.
4. Priority of orders in the trading system shall be based on the response received from Clearing Corporations after validation of margin requirement.

Pre-Trade risk controls applicable during CAS

1. Market Price Protection (MPP) shall not be applicable during CAS session.
2. Self-Trade Prevention (STP) mechanism applicable during Call Auction sessions currently (refer point 4.8 of Exchange circular ref no NSE/CMTR/73927 dated April 28, 2026), shall be applicable to CAS session. Accordingly, during order entry/collection period of CAS, where on encountering a potential self-trade, the active order shall be cancelled by default irrespective of option set in the active order.

For more information on CAS, please refer to CAS FAQs.

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