Introduction of Periodic Call Auction for Illiquid Scrips and Extension of Pre-open Session to all Scrips
Summary
This SEBI circular mandates the introduction of periodic call auction trading for illiquid equity scrips and extends the pre-open session to all other equity scrips. It defines illiquidity based on specific volume and trade count thresholds and outlines the operational procedures for entry, exit, and session mechanics. The document also establishes penalty structures for certain trades and directs stock exchanges to implement necessary systemic and regulatory changes.
Text
Introduce trading through periodic call auction for illiquid scrips in equity market; Extend the pre-open session to all other scrips in the equity market
Trading in illiquid scrips in the equity market shall be conducted only through periodic call auction sessions.
A scrip... shall be classified as illiquid... if all the following conditions are met: 2.2.1. The average daily trading volume of a scrip in a quarter is less than 10000; 2.2.2. The average daily number of trades is less than 50 in a quarter; 2.2.3. The scrip is classified as illiquid at all exchanges where it is traded.
Stock exchanges shall identify illiquid scrips at the beginning of every quarter and move such scrips to periodic call auction mechanism.
Stock exchanges shall move scrips from periodic call auction mechanism to normal trading session if the following criteria are met: 2.4.1. The scrip has remained in periodic call auction for at least two quarters 2.4.2. It is not classified as illiquid as per para 2.2
For entry and exit of scrips in the call auction mechanism, a notice of two trading days shall be given to the market.
Periodic call auction sessions of one hour each shall be conducted throughout the trading hours with the first session starting at 9:30am.
The call auction session duration shall be one hour, of which 45 minutes shall be allowed for order entry, order modification and order cancellation, 8 minutes shall be for order matching and trade confirmation and remaining 7 minutes shall be a buffer period...
All un-matched orders remaining at the end of a call auction session shall be purged.
A maximum price band of 20% shall be applicable on the scrips through the day. Exchanges may reduce the price bands uniformly based on surveillance related concerns.
If the Market wide Index Circuit Breaker gets triggered at any time during the periodic call auction session, the session shall be cancelled and all orders shall be purged. The periodic call auction session shall be resumed at the nearest half hour after the normal market resumes.
In the event where maximum of buy price entered by a client (on PAN basis) is equal to or higher than the minimum sell price entered by that client and if the same results into trades, a penalty shall be imposed on such trades.
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Source: SecMarx — Introduction of Periodic Call Auction for Illiquid Scrips and Extension of Pre-open Session to all Scrips. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.