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Context: The Closing Auction Session was introduced by Indian stock exchanges for cash market stocks with derivatives, following SEBI’s directive of 16 January 2026. It became effective from 3 August 2026, launched simultaneously by the NSE and BSE.
What It Is
- A dedicated 20-minute daily auction mechanism in the cash market segment for equity stocks on which derivative (F&O) contracts are available. Instead of computing closing prices through continuous trade averages, CAS aggregates buy and sell orders to discover a single, fair equilibrium closing price.
- Aim: to curb end-of-day price manipulation, improve price discovery, align Indian equity markets with global best practices, and deliver more accurate benchmark values for mutual funds, ETFs and derivatives settlement.
How It Works
| Phase | Timing | What happens |
|---|---|---|
| Phase 1 — Transition and Reference Price | 3:15 – 3:20 PM | Continuous trading ends for eligible F&O stocks. A reference price is computed from the VWAP of trades between 3:00 and 3:15 PM, with a strict ±3% price band |
| Phase 2 — Order Entry | 3:20 – 3:30 PM | 3:20–3:25 PM: market and limit orders may be placed, modified or cancelled. 3:25–3:30 PM: only limit orders accepted; market orders cannot be altered or cancelled. The window closes at a random time between 3:28 and 3:30 PM to prevent order spoofing |
| Phase 3 — Order Matching and Price Discovery | 3:30 – 3:35 PM | Orders matched at a single equilibrium price maximising executable volume; market orders get execution priority over limit orders |
