Pre-open session

Pre-Open Session

The pre-open session shall be for a period of 15 minutes i.e. from 9:00 am to 9:15 am. The changes in pre-open session comprising of Order entry period, order matching period and buffer period are provided in below table:

Note: In case of index-based market-wide circuit filter breach or any outage (stopping of trading, either suo moto by Exchange or by the 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.

Additional Notes:

Order Entry Period:

• Special term orders like Stop loss (SL), Immediate or Cancel (IOC) and Disclosed Quantity (DQ) shall not be allowed.
• Algo market orders shall be allowed during initial 5 mins of order entry period when both limit and market orders are allowed.
• When market orders are restricted, any market order placed shall be rejected by the Exchange with an appropriate error message on NEAT – “Market orders are currently not allowed.”

Trade Cancellation:

Request for trade cancellation shall not be allowed for trade executed in pre-open. Such a request shall be rejected by the system with appropriate error message. Error message on NEAT: Trade executed during pre-open is not allowed to cancel.

Order matching priority during  pre-open session:

Market orders shall be given priority over limit orders. The sequence for order execution matching shall be as under:

1. Eligible market orders shall be matched with eligible market orders in the order of time priority at the equilibrium price.
2. Residual eligible market orders, in the order of time priority, shall be matched with limit orders in the order of price-time priority.
3. Remaining limit orders shall be matched with limit orders in the order of price-time priority.

Data Dissemination

Summary of the information to be disseminated during pre-open session is provided below:

Determination of Equilibrium / Opening price

• The opening price is determined based on the principle of demand supply mechanism.
• The equilibrium price is the price at which the maximum volume is executable.
• 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.
• 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.
• Both limit and market orders reckon for computation of equilibrium price.
• The equilibrium price determined in pre-open session is considered as open price for the day.
• In case of only market orders exist both in the buy and sell side, then order is matched at previous day’s close price or adjusted close price / base price. Previous day’s close or adjusted close price / base price is the opening price.
• In case of no price is discovered in pre-open session, the price of first trade in the normal market is the open price.

Unmatched order

• All outstanding orders are moved to the normal market retaining the original time stamp. Limit orders will be at limit price and market orders will be at the discovered equilibrium price.
• In a situation where no equilibrium price is discovered in the pre-open session, all market orders are moved to normal market at previous day’s close price or adjusted close price / base price following price time priority.

Illustration :

In a call auction price mechanism, equilibrium price is determined as shown below. Assume that NSE received bids for particular stock xyz at different prices in between 9:00 am and 9:15 am. Based on the principle of demand supply mechanism, exchange will arrive at the equilibrium price – the price at which the maximum number of shares can be bought / sold. In below example, the opening price will be 105 where maximum 27,500 shares can be traded.

For FAQs on Pre-Open Session