Pre-Open Session

Applicability 

Pre-open session is applicable for both single stocks and indices futures in equity derivatives market.

Session Timings 

The pre-open session shall be conducted using call auction mechanism for duration of 15 minutes i.e., from 9:00 am to 9:15 am. The pre-open schedule shall be as follows:

Note: In case of index-based market-wide circuit filter breach or any outage (stopping of trading, either suo moto by Exchange or by virtue of reasons beyond control of stock exchange), the market shall open with a pre-open session, and its timings shall be informed separately on that day.

Eligible Contracts 

The pre-open shall be applicable for current months futures contracts only on both single stocks and indices. However, in the last five trading days before the current month expiry, this session shall be extended to next-month futures contracts.

Trading Parameters 

The below shall be the trading parameters applicable for pre-open session:

Trading Sessions 

Pre-open session comprises of two sessions as mentioned below.

1. Order Collection Period:

• During this period orders can be entered, modified, and cancelled. Order collection period ends by system driven random closure between 7 and 8 minutes.
• Both Limit and market order are allowed. Special term orders like Stop loss and IOC shall not be allowed.
• The information like Indicative equilibrium / opening price of contract, total buy and sell quantity of the contract and % change of indicative equilibrium price to previous close price shall be computed based on the orders in order book and will be disseminated during pre-open session.

2. Order Matching Period:

• Order matching period starts immediately after completion of order collection period.
• Order will be matched at a single (equilibrium) price which will be open price.
• The order matching happens in following sequence:
  1. Eligible limit orders are matched with eligible limit orders.
  2. Residual eligible limit orders are matched with market orders.
  3. Market orders match with market orders.
• During order matching period order modification, order cancellation, trade modification and trade cancellation are not allowed.
• The trade details are disseminated to respective members before the start of normal market. Request for trade cancellation shall not be allowed for these trades.

Determination of Equilibrium / Opening Price 

1. The opening price is determined based on the principle of demand supply mechanism.
2. The equilibrium price is the price at which the maximum volume is executable.
3. In case more than one price meets the said criteria, the equilibrium price is 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 more than one price has same minimum order imbalance quantity, the equilibrium price is the price closest to the previous day’s closing price. In case the previous day’s closing price is the mid-value of pair of prices which are closest to it, then the previous day’s closing price itself is taken as the equilibrium price. In case of corporate action, previous day’s closing price is adjustable closing price or the base price.
5. Both limit and market orders reckon for computation of equilibrium price.
6. The equilibrium price determined in pre-open session is considered as open price for the day.
7. In case of only market orders exist both in the buy and sell side, then order is matched at base price. Therefore, Base price is the opening price.
8. In case of no price is discovered in pre-open session, the price of first trade in the normal market is the open price.

 Data Dissemination 

The information like Indicative Equilibrium / Opening Price of contract, total buy and sell quantity of the contract is disseminated on the NEAT+ Terminal to the members on a real time basis.

Information with respect to Indicative Equilibrium / Opening Price, Indicative Equilibrium Quantity shall also be disseminated on website.

Unmatched Orders

• All unmatched limit orders will be moved to the normal market, retaining the original time stamp.
• All unmatched market orders will be modified to assign the discovered equilibrium price and moved to the normal market as limit orders.

Risk Management

• All orders received in the Pre-Open Session will be validated at the applicable margins for sufficiency of available capital prior to acceptance of the orders.
• If the available capital of the member is insufficient to cover the margin requirement of the order placed, the same will not be accepted for the Pre-Open Session.

For FAQs on Pre-Open Session