Document text
NOTICE
Notice No.
20260610-41
Notice Date
10 Jun 2026
Category
Trading
Segment
Equity
Department
Trading Development
Subject
Introduction of Closing Auction Session in the Equity Segment –
Detailed Operating Guidelines
Attachments
Annexurev-FAQs
This is with reference to SEBI circular No. SEBI/HO/47/11/11(3)2025-MRD-POD2/I/2765/2026 dated January 16,
2026, and Exchange circulars - no. 0260119-17 dated January 19, 2026, no. 20260319-21 dated March 19, 2026
regarding Introduction of Closing Auction Session in the Equity Segment and standard operating procedure
thereof.
All trading members are requested to note the additional, detailed operating guidelines given below on
conducting the closing auction session (CAS) in the Equity Segment –
1. Applicability of CAS:
•
The closing auction session (CAS) shall be made applicable in a phased manner. Initially, it shall be made
applicable for stocks on which derivative contracts are available, except those which are not available
for trading at the Exchange, namely CDSL, BSE (unless trading is invoked as per provisions of Exchange
circular on Business Continuity for Interoperable Segments of Stock Exchanges for Equity Segment – no.
20250328-18).
•
Any new security shall be added to the list of CAS eligible stocks from the first trading date in derivatives
across Exchanges.
•
Similarly, a security shall continue to be part of the eligible list till the last trading date in derivatives
across Exchanges and shall not be applicable for CAS from the next trading date thereafter.
•
Further, CAS shall not be applicable for stocks in the following cases –
-
On the Ex-date of a scheme of arrangement for a security, if the price is not determined during the
SPOS for that security.
-
In case market-wide index circuit breaker is triggered and market halts trading for remainder of the
day.
2. Session Timings:
A. For CAS eligible securities –
•
Continuous trading session (CTS) shall end at 3:15 pm.
•
CAS shall be conducted for a duration of 20 minutes, i.e. from 3:15 pm to 3:35 pm on all trading days.
The session schedule shall be as follows –
Session
Time
Description
Reference
price
calculation
/
Transition
from
CTS to CAS
3:15pm
-
3:20pm
•
To facilitate transition between continuous trading and closing
auction sessions
•
Dissemination of closing reference price and revised price
band
•
Cancellation of pending Stop loss, Revealed quantity orders of
CTS
Order Entry
Period
for
both
limit and market
orders
3:20pm
-
3:25pm
•
Order Addition/Modification/Cancellation of limit and market
orders
•
No trades are executed.
Order entry period
only
for
limit
orders
3:25pm
-
3:30pm
•
Order Addition/Modification/Cancellation of limit orders only
•
No order Modification/Cancellation of market orders
•
System driven random stoppage between during the last 2
minutes
•
No trades are executed
Order Matching &
Confirmation
Period
3:30pm
-
3:35pm
•
Order matching, trade confirmation and Closing price
determination.
•
Order matching period will start immediately after completion
of order entry period.
Buffer Period
3:35pm
-
3:50pm
•
To facilitate transition between CAS and post-closing sessions
•
Post closing session shall be from 3:50pm to 4:00pm.
•
During Order Entry Period only for limit orders, i.e. from 03:25pm to 03:30pm, the Exchange shall not
permit addition, modification, or cancellation of market orders. Any such requests received during
this
period
shall
be
rejected
with
the
following
message:
“Market order cannot be placed during this period.”
B. For securities not eligible for CAS –
•
Securities that are not eligible to participate in the closing auction session, shall continue to be available
for continuous trading till 3:30pm.
•
Post closing session for these securities shall now be revised to 3:50pm to 4:00pm.
3. CAS Reference Price determination:
•
The reference price of a stock in CAS in the equity segment shall be determined based on the VWAP of
the trades executed in the stock during the period 3:00 pm to 3:15 pm (i.e. last 15 minutes of CTS)
•
In case no trade is executed in a stock during the period from 3:00 pm to 3:15 pm, the Last Traded Price
(LTP) of the stock during the day shall be taken as the reference price for CAS.
•
In case there is no trade during the day, the closing price of the stock of the previous trading day shall be
taken as the reference price for CAS.
•
In case of corporate action, previous day’s closing price shall be the adjusted closing price or the base
price.
4. Applicable price band:
•
Price band applicable during CAS shall be +/- 3% from the reference price of the stock for CAS.
•
All outstanding orders outside such revised band shall be cancelled.
5. Types of orders allowed in CAS:
•
Both limit and market orders shall be allowed and shall be considered for computation of equilibrium
price.
•
Revealed quantity orders shall not be allowed, i.e., orders shall be revealed in full quantity.
•
Stop loss orders shall not be allowed.
•
Algo market as well as limit orders shall be allowed.
6. Unexecuted orders of CTS
•
All pending limit orders (EOS and EOD) of the continuous session shall be carried forward to CAS, except
the following –
•
Untriggered Stop loss orders
•
Revealed quantity orders
•
Orders having prices beyond the price bands applicable in CAS.
•
Stop loss orders, Revealed quantity orders shall be cancelled with the error message “Order Ineligible
CAS”
•
Orders having prices beyond the price bands applicable in CAS shall be cancelled with the existing error
message “Price Band Shrink”
•
Limit orders carried forward from the CTS to CAS shall have a higher time priority over the limit orders
placed during the CAS, i.e. their time priority shall be retained.
•
However, time priority of such orders shall be changed if modified during CAS, except for the case where
order quantity is reduced without change in order price.
7. Determination of Equilibrium Price
•
The equilibrium price shall be determined based on the volume maximization logic as described below
–
➢ It shall be the price at which maximum quantity is tradable.
➢ If there is more than one price that meets the above criterion, then, it shall be the price at which
absolute order imbalance (difference between cumulative buy & cumulative sell quantity at that
price) is minimum.
➢ If there is more than one price having same maximum tradable quantity and minimum absolute order
imbalance quantity, then, the equilibrium price shall be the price which is closest to the closing
reference price.
➢ If there is more than one price having same maximum tradable quantity and minimum absolute order
imbalance quantity, and if the closing reference price is exactly at the midpoint of those prices, then
system shall consider the closing reference price as the equilibrium price.
8. Order Execution priority in CAS
•
All orders entered in the system during the closing auction session, which are executable into trades,
shall match at a single price i.e. the equilibrium price.
•
Market orders shall be given priority over limit orders and matching of orders shall happen in the following
sequence –
➢ Eligible market orders shall be matched with eligible market orders as per time priority.
➢ Residual eligible market orders shall be matched with limit orders as per price-time priority.
➢ Residual limit orders shall be matched with limit order as per price-time priority.
9. Unexecuted orders of the CAS
•
Limit orders - EOD (end of day retention type) orders of CAS shall be carried forward to post closing
session as per existing mechanism whereas EOS (end of session retention type) and IOC orders shall be
cancelled after the session ends.
•
Market orders - EOD orders shall be converted to limit orders at the close price discovered and carried
forward to post close session as per existing mechanism whereas EOS and IOC orders shall be cancelled
after the session ends.
10. Information dissemination during the Closing auction session:
•
The following information shall be disseminated to the market at regular intervals during the closing
auction session –
➢ Closing Reference price
➢ Indicative equilibrium price and indicative matchable quantity at that price
➢ Indicative cumulative buy quantity and sell quantity (as currently disseminated during pre-open
session)
➢ Indicative imbalance quantity at equilibrium price, i.e. difference between cumulative buy &
cumulative sell quantities at that price
➢ Side of indicative Imbalance quantity
➢ Indicative imbalance quantity based on market orders at equilibrium price, i.e. difference between
total buy and sell market order quantities at that price
➢ Side of indicative Imbalance quantity based on market orders
➢ Indicative Index
•
The same shall also be available on the Exchange website, during the closing auction session under the
section – “Closing auction session”.
11. Risk Management
•
Market Price Impact (MPI) mechanism shall not be applicable during CAS.
•
Self-Trade Prevention Check (STPC) mechanism shall be applicable during CAS as per existing
mechanism.
•
Orders in CAS shall be subject to applicable margin requirement at order level, except for the limit orders
carried over from CTS to CAS. However, if such limit orders are modified during CAS, then, such limit
orders shall also be subject to applicable margin requirement at the order level.
12. Determination of Close Price
•
For CAS eligible securities, the closing price shall be determined based on the equilibrium price
discovered during the CAS. If the equilibrium price is not discovered, the closing reference price shall be
considered as the closing price for that security.
•
For securities on which CAS is not appliable, closing price shall continue to be determined as per existing
mechanism, i.e. VWAP of last 30 minutes of CTS.
•
Closing price for all CAS eligible and CAS non eligible securities shall be disseminated together.
•
In case market closes for the day before scheduled time due to triggering of Index circuit breaker, the
CAS session shall not be held on such a day. Then closing prices for all the securities shall be computed
as per the existing mechanism i.e. based on VWAP of trades in last 30 minutes or LTP, as applicable.
Trading members are requested to note that Closing Auction Session shall be applicable for trading with effect
from Monday, August 03, 2026. Further, it shall be made available for testing during mock trading sessions, date
for which shall be informed via a separate circular. Other details regarding the new version release of the BOLTPro
TWS supporting CAS changes shall also be informed to all trading members via a separate circular.
Members are requested to refer to the FAQs on the subject, enclosed herewith as Annexure.
For any queries or clarifications, members may kindly get in touch as per the following contact details –
Queries
Email ID
Telephone No.
Technical queries
bse.tech@bseindia.com
bsehelp@bseindia.com
022-2272 8053
022-45720400/600 and 022-69158500
Functional queries
iml.info@bseindia.com
022-22728705/8885
For & On Behalf of BSE Ltd,
Tejash Somaiya
Amith Iyer
Vice President
Dy. Vice President
Trading Development
Trading Development
June 10, 2026
