With an intention to reduce volatility in various scrips at the opening of the markets, and to arrive at the ideal opening price of a scrip, the exchanges have introduced a call auction process in the pre-open session from October 18.
The pre-open session is a new innovation to arrive at the ideal opening price of a scrip for the current trading session. The session intends to reduce volatility in the beginning of a day. Under this new arrangement, an exchange will collect orders for the first few minutes of this session. On the basis of orders received, it will arrive at the opening price and match the tradable orders to that price. The remaining orders will be moved to the normal trading session.
The call auction process will be initially introduced for scrips forming part of Nifty and Sensex, and trading in other scrips and F&O contracts will only begin at 9:15 am when normal market trading begins. Orders not will get traded during the order entry period in the pre-open session.
The duration of the pre-open session will be 15 minutes - from 9 am to 9.15 am.
The session will have three phases:
Order entry period
The order entry period is 9 am to 9.08 am. The buyer can place new orders, modify or delete old orders. The order entry can stop randomly between the 7th and 8th minute.
Order matching and confirmation period (price discovery period)
This period is from 9.08 am to 9.12 am. The exchange arrives at the opening price and trades the matchable orders at the opening price. The client cannot modify or delete the orders during this period.
Buffer period
This is from 9.12 am to 9.15 am. This period is used as a transition period between pre-open and continuous trading sessions.
Then the regular market - 9.15 am to 3:30 pm - hours begin.
Trading
The orders that have not been traded are carried forwarded to the normal trading session. Limit orders that are not traded during pre-open sessions will be moved to normal trading sessions at the same price. Market orders that are not traded during pre-open sessions will be moved to normal trading sessions at the opening price.
Orders are traded in the second phase - order matching and confirmation phase - of the pre-open session. You will receive trade confirmations during that phase only - tentatively between 9.08 and 9.12 am.
If the opening price is not discovered during a pre-open session, the market orders will be shifted to the normal trading session at the previous day's closing price.
Presently, you can only place orders in scrips that form the Nifty and Sensex indices. This list is subject to change and will be notified by exchanges accordingly. You can place an order in any product (cash, intraday or margin) during a pre-open session. Pre-open session is not available in the F&O segment. You cannot place fresh offline orders or modify existing offline orders during a pre-open session.
Also, you cannot place an order beyond plus or minus 20 percent of the previous day's closing price. For example, if the closing price of a scrip is Rs 200, you cannot place an order beyond Rs 160-240 price range during a pre-open session.
You may view the tentative opening price for a scrip in the 'LTP' field during a pre-open session.
Order books
For pre-open sessions, the order book of a scrip in the NSE and BSE need to be interpreted differently.
In the NSE
The NSE order book will have four limit order legs and one market order leg on both bid and offer sides. The last leg of the order book on either side will be for market orders. All the market orders placed by you will come under this leg.
Each limit order leg will show the exact price and quantity available on that price. For market order leg, the order book will display price as '0' and quantity as total quantity of the market orders on that side.
In the BSE
The BSE order book will have all limit order legs and each leg will display the cumulative tradable quantity at that leg.
Market orders will not be treated separately in the order book.
