Transcript Call Auction In Pre open session

Call Auction In Pre open session
Bombay Stock Exchange Ltd.
Pioneering Indian Capital Market
Call Auction
Orders are pooled in the order book but remains unexecuted till the end of the order entry
period, when the orders will get matched and get executed at the single call auction price that
is so determined.
Call Auction can be applicable :
–
At Open
–
At Close
–
Intraday
–
Post Halt
 Initially Call auction session will be applicable for only SENSEX 30 & NIFTY 50 scrips.
Scrips which will get excluded or included in the SENSEX or NIFTY indices will still be a part of
the pre-open session.
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Advantages
 Reduced price volatility due to multiple matching of orders at a single price
 Greater liquidity due to deeper demand supply schedule
 Better Price discovery
 Reduced market impact
 Fairer market especially for small, non professional investors because all trades get
executed at the same price
 Simultaneity of trades eliminates possibility of front running customer orders
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Trading Schedule
Session
Time
Action
9:00 - 9:08
Order Addition/Modification/Cancellation
Random stoppage between 7th and 8th minute
Dissemination of Indicative Price, Cumulative buy Quantity
& Indicative Index
Uniform price band of 20% is applicable
Order Matching
& Confirmation
Period
9:08 – 9:12
No Order Addition/Modification/Cancellation
Opening price determination, order matching and trade
confirmation & trade confirmation
Buffer Period
9:12 - 9:15
To facilitate transition between pre open and continuous
trading session
Continuous
Trading
9:15 – 3:30
Trades occur continuously as orders match at time/price
priority
Order Entry
Period
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Order Execution
Order Types
Pending Orders
• Limit Orders & Market Orders
• No Iceberg orders (orders with
reveal Qty) will be allowed.
• IOC Flag will be applicable to both
Limit & Market orders.
•All unmatched orders will move to
the continuous session on price
time priority
Execution Priority
• Limit with Limit
• Residual Limit with Market
• Market with Market
•Market orders will move to the
continuous session at the opening
price
•If there are no trades in the pre
open session, orders will be shifted
to the continuous session and the
price of the first trade in the
continuous will be the opening price
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Risk Management
 The margining and the collateral system will be similar to the current cash market
system
 Uniform price bands of 20% applicable
 A breach in the index will trigger a halt at the start of the continuous session as
per the current practice in the cash market
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Volume Maximization Algorithm
Opening Price = Price at which Maximum Quantity is tradable
If multiple prices exist then
Opening Price = Price at which there is Minimum Absolute Order
Imbalance
If multiple prices exist then
Opening Price = Price closest to the Previous Closing Price
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Example 1: Maximum quantity tradable
Order Book:
Demand Supply Schedule:
Price
Point
Cumulative
match-able Buy
Quantity
Cumulative
match-able Sell
Quantity
Tradable
Quantity
Absolute Order
Imbalance
(Demand Supply
Mismatch)
100
96.00
200
600
200
400
93
100
95.00
350
400
350
50
93
95
100
93.00
400
300
300
100
100
91.5
96
200
91.50
500
200
200
300
100
91
91.00
600
100
100
500
Buy Quantity
Buy Price
Sell Price
Sell Quantity
100
ATO
91
100
100
96
91.5
150
95
50
• Rs.95 will be the market opening price & 350 units of the stock would get executed into trade at that
price.
•If there are multiple price points with same traded quantity, we proceed to the next example
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Example 2: Minimum absolute order Imbalance
Order Book:
Demand Supply Schedule
Buy
Quantity
Buy
Price
Sell
Price
Sell
Quantity
Price
Point
Cumulative
match-able Buy
Quantity
Cumulative match-able
Sell Quantity
Tradable
Quantity
Absolute Order Imbalance
(Demand Supply Mismatch)
1000
ATO
ATO
500
1000
96.30
94.00
500
98.00
1000
8500
1000
7500
96.30
2000
5500
2000
3500
3000
96.20
96.20
1000
96.20
5000
2000
2000
3000
1500
94.00
96.30
3500
94.00
6500
1000
1000
5500
2000
92.00
98.00
3000
92.00
8500
500
500
8000
1000
90.00
90.00
9500
500
500
9000
•
Since there are 2 prices – Rs.96.20 & Rs.96.30 at which the match-able quantity is maximum, we look at the absolute order
imbalance and select the price with the lowest order imbalance, which is at Rs.96.20.
-Hence, the market opening price in this case will be Rs.96.20 and 2000 units of the stock would get executed into trade at
that price.
•
If there are multiple, volume maximizing prices at which the order imbalance is minimum, we proceed to the next example
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Example 3: Reference to previous closing price
Demand Supply Schedule
Order Book:
Buy
Quantity
Buy
Price
Sell
Price
Sell
Quantity
Price
Point
Cumulative matchable Buy Quantity
Cumulative matchable Sell Quantity
Tradable
Quantity
1000
ATO
ATO
500
1000
96.30
94.00
500
3000
96.20
96.20
1000
1500
94.00
96.30
2000
92.00
98.00
1000
90.00
Absolute Order Imbalance
(Demand Supply
Mismatch)
98.00
1000
8000
1000
96.30
2000
5000
2000
3000
96.20
5000
2000
2000
3000
3500
94.00
6500
1000
1000
3000
92.00
8500
500
500
90.00
9500
500
500
•Since there are 2 prices at which the match-able quantity is maximum as well as the absolute order imbalance is also the
same, the price closest to the previous closing price is considered as the open price.
•If Previous close is Rs.96.50, then the market opening price = Rs.96.30 , If Previous close is Rs.96.10, then the market opening
price = Rs.96.20 ,
•If Previous close is Rs.96.25, then the market opening price = Rs.96.25 (since the previous close is at the mid-value of the
price points where match-able quantity is maximum and the demand supply gap is same)
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Information Dissemination

Indicative opening price

Indicative cumulative buy and sell quantity

Indicative index

The market depth will display the indicative opening price along
with the next four prices
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