Introduction of call auction in Pre-open session
Summary
SEBI introduced a call auction mechanism in the pre-open session for Sensex and Nifty scrips on a pilot basis. The 15-minute session allows order entry, matching, and buffer periods with specific rules for price discovery and execution priority. Stock exchanges are mandated to implement necessary systems and guidelines while adhering to risk management protocols.
Text
Based on SMAC recommendation, call auction mechanism is introduced in pre-open session.
Pre-open session introduced on pilot basis by BSE and NSE for Sensex and Nifty scrips; applies to incoming/outgoing scrips.
Session duration is 15 minutes (9:00-9:15 am) comprising 8 mins order entry/modification/cancellation, 4 mins matching, and 3 mins buffer.
Session closes randomly between 7th and 8th minute of order entry via system-driven process.
Limit and market orders allowed for equilibrium price computation; iceberg orders prohibited requiring full quantity disclosure.
Price band of 20% applicable on securities during pre-open session.
If index breaches threshold post-pre-open, procedure per SEBI Circular Ref. No. SMDRPD/Policy/Cir-37/2001 applies from normal market open.
Equilibrium price is where max volume is executable; ties broken by min order imbalance, then proximity to previous closing price.
Limit orders given priority over market orders; sequence: limit-limit, residual limit-market, market-market.
Unmatched orders shift to normal market order book by time priority; unmatched market orders become limit orders at discovered price.
If price not discovered, orders shift to normal market by time priority; first trade price becomes opening price.
Current risk management system for cash market applicable to pre-open session.
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Source: SecMarx — Introduction of call auction in Pre-open session. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.