Open House on Closing Auction Session

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>> Good afternoon market participants and

members. Thank you very much for joining

today's open house on closing auction

session, which is called as CAS CAS.

Couple of months back,

there were circulars related to the

introduction of closing auction session,

and recently few days back, we have

already issued the operating guidelines

and standard operating procedures via

circulars over our website. We are sure

that definitely all the members must

have gone through the SOP and what the

CAS is all about, but definitely based

on the feedback, we thought why not to

make a session where briefly and quickly

will try to just explain the key nuances

and then we'll straight away jump to the

queries that members are having. So,

please make sure that once we start with

the explanation, there and then whatever

queries you are having, you can use the

Q&A tab, which you can see, and you can

post your relevant queries related to

today's session, which is closing

auction session. Please avoid making

queries related to other topics because

we'll not be able to address over here,

and we can utilize the time in better

manner by addressing the queries related

to today's topics only. Now, to explain

the nuances and to address queries, I

have with me my colleagues from

different teams,

from products team, from member services

team, from surveillance, and then last

from NCL site settlement related things

also will be taken care by my colleague

who are already available here. Now,

without a further ado, I'd like to first

hand over to Kinshuk, who is from

products team, who will just quickly

take us over the key nuances related to

closing auction session. Kinshuk, over

to you.

Yeah, sure. Thank you, Jwalinji. So, let

me first begin with why are we actually

introducing CAS in the first place.

This is a mechanism which is used across

global exchanges to determine the

closing price of stocks, and it is a

very efficient

mechanism which provides a very fair and

transparent closing price.

It also helps large orders to be

executed in a more efficient manner.

So, the price discovery process, it it

reflects the collective market

consensus. That is, all types of market

participants and investors, they get an

equal opportunity to participate in the

price discovery process.

So, that is why CAS is being introduced

in the Indian markets.

This will be implemented from the 3rd of

August, which has been stated in the

SEBI circular.

So, now let me quickly take you through

the structure of CAS. Basically, what is

going to happen? It is going to be a

separate session after CTS for 20

minutes, starting from 3:15 p.m., and it

will end at 3:35 p.m.

So, CAS will have four [snorts] phases

within itself of 5 minutes each.

The first one, which will begin at 3:15

p.m., it will be the transition period

from the CTS session to the CAS session,

where your reference price calculation

is going to happen.

And this will end at 3:20 p.m.

The three at 3:20 p.m., the next phase

of CAS will begin, which is for another

5 minutes until 3:25 p.m. This is

basically your order entry period, where

your limit and market orders can be

entered inputted into the system. Both

limit and market orders in this period

can be modified and canceled as well.

The third phase, which is starting from

3:25 p.m. and ending at 3:30 p.m., this

is only for limit orders. In these 5

minutes, no market orders are allowed,

but you can enter your limit orders,

modify them, and as well as cancel your

limit orders.

So, in this third window, we will have a

random closure in the last 2 minutes.

This is randomly determined by the

system. It can happen anytime after 3:28

p.m., anytime in between 3:28 up to 3:30

p.m.

And then finally, we have the last

window of 5 minutes, starting 3:30 p.m.

and ending at 3:35 p.m., which is your

order matching period. So, your orders

will start getting matched once the ref-

once the equilibrium price has been

determined, and it can start anytime

after the random closure.

So, broadly, this is going to be the

structure of the CAS session, starting

3:15 p.m. and ending at 3:35 p.m. Next,

we move on to certain key features that

we are going to see in the CAS

session.

The reference price of CAS will be the

VWAP that is calculated between 3:00

p.m. until 3:15 p.m. So, this is where

the CAS will start. It will be the

reference price for CAS.

As I mentioned earlier, both limit and

market orders are allowed in their

respective time slots as shared earlier

in the previous slide. And algos will be

allowed on market orders during CAS.

The price band for securities which are

being traded in CAS will be plus and

minus 3% from the reference price of the

stock.

And now, the post close session, the

timings of the post close session will

be modified. It will be available from

3:50 p.m. until 4:00 p.m. Accordingly,

the equity derivative segment is is also

getting extended. Currently, it ends at

3:30 p.m., but now once CAS is

implemented, the equity derivative

segment will operate up to 3:40 p.m. The

order execution priority in CAS, it will

be first the market orders will be

matched with the market orders. In the

next set of priority, the remaining

market orders will be matched with limit

orders. And finally, in the end, all

remaining limit orders will be matched

with the limit orders.

During CAS,

there are certain type of market data

which are going to get disseminated to

the market participants. Some of them

are similar to what we already share in

the pre-open session currently, like the

indicative equilibrium price, the

indicative cumulative buy and sell

quantity of the stock. And there are

certain other, you know, indicators

which are going to be disseminated

during the CAS session. So, some of them

are the indicative imbalance quantity of

the stock at equilibrium price. So, this

is basically the total buy quantity

minus your sell quantity at the

equilibrium price. Then we will also be

sharing indicative imbalance quantity

based on market orders. So, all the

market orders put together, the total

buy quantity minus sell quantity will be

disseminated for market orders, and

we'll also be sharing the indicative

index values

during the CAS session. Now, something

to keep in mind is the applicability,

that is, in the first phase, which is

going live on the 3rd of August,

currently

CAS is applicable only to stocks on

which derivatives are available, which

means only those securities which are

currently available in the F&O segment,

they will be eligible for CAS.

Then there is a slight uh

modality here that the unexecuted limit

orders of CTS will be carried forward to

CAS, but

in CAS, we will not be having stop loss

orders or iceberg orders, so they will

not get carried carried forward to CAS,

and even within CAS, no stop loss orders

and iceberg orders are allowed. And

obviously, any orders

which have prices beyond the

CAS, and neither they can be importable

during the CAS session. So, now I would

like to hand over to our head of member

services department, Khushalji, who will

take you through some further

operational modalities.

Yeah, hi. Uh