The pre-open session is for a duration of 15 minutes i.e. from 9:00 am to 9:15 am. The pre-open session is comprised of Order collection period and order matching period. The price band applicable for pre open session is 20%.
The order collection period of 8* minutes shall be provided for order entry, modification and cancellation. (* - System driven random closure between 7th and 8th minute). During this period orders can be entered, modified and cancelled.
The information like Indicative equilibrium / opening price of scrip, total buy and sell quantity of the scrip is disseminated on the NEAT Terminal to the members on real time basis.
Indicative NIFTY Index value & % change of indicative equilibrium price to previous close price are computed based on the orders in order book and are disseminated during pre-open session.
Order matching period starts immediately after completion of order collection period. Orders are matched at a single (equilibrium) price which will be open price. The order matching happens in the following sequence:
- Eligible limit orders are matched with eligible limit orders
- Residual eligible limit orders are matched with market orders
- Market orders are matched with market orders
Equilibrium price determination:
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.
|Share price(`)||Order Book||Demand / Supply Schedule||Maximum tradable quantity|
During order matching period order modification, order cancellation, trade modification and trade cancellation is not allowed. The trade confirmations are disseminated to respective members on their trading terminals before the start of normal market. After completion of order matching there is a silent period to facilitate the transition from pre-open session to the normal market. All outstanding orders are moved to the normal market retaining the original time stamp.
Limit orders are at limit price and market orders are 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. Accordingly, Normal Market / Odd lot Market and Retail Debt Market opens for trading after closure of pre-open session i.e. 9:15 am. Block Trading session is available for the next 35 minutes from the open of Normal Market.
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 unmatched order quantity. In case more than one price has same minimum order unmatched 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 will be taken as the equilibrium price. In case of corporate action, previous day’s closing price is adjusted to the closing price or the base price. Both limit and market orders are reckoned for computation of equilibrium price. The equilibrium price determined in pre-open session is considered as open price for the day. In case if only market orders exists both in the buy and sell side, then order is matched at previous days close price or adjusted close price / base price. Previous day’s close or adjusted close price / base price is the opening price. In case if no price is discovered in pre-open session, the price of first trade in the normal market is the open price.